Office of the Treasurer & Tax Collector City and County of San Francisco José Cisneros, Treasurer Pauline Marx, Chief Assistant Treasurer Michelle Durgy, Chief Investment Officer Treasury Oversight Committee February 10, 2017 City Hall - Room 140 ● 1 Dr. Carlton B. Goodlett Place ● San Francisco, CA 94102-4638 Telephone: 415-554-5210 ● Facsimile: 415-554-5660
Table of Contents Economic & Market Overview 3-4 Pooled Fund Review 5 Strategy 6-7 Pool Participants Breakdown 8 December Monthly Report 2016 separate handout 2
Key Economic Data Housing Employment 64.0% 10.0% 6.0 800K Millions Labor Participation Rate 700K 5.0 Unemployment Rate 8.0% 63.5% 600K Wage Growth 4.0 500K 6.0% 63.0% 3.0 400K 4.0% 300K 2.0 Existing Homes Sales 62.5% 200K 2.0% New Home Sales 1.0 100K 0.0 0K 62.0% 0.0% 12/12 12/13 12/14 12/15 12/16 12/12 12/13 12/14 12/15 12/16 Inflation Gross Domestic Product 3.0% 9.0% GDP Annual growth rates 3.0% 2.0% 6.0% 1.0% 0.0% 2.0% 3.0% US Personal Consumption Expenditure Deflators Year-over-Year -1.0% Change -2.0% China Producer Price Index 0.0% -3.0% 1.0% -4.0% -3.0% -5.0% -6.0% -6.0% 0.0% 12/12 12/13 12/14 12/15 12/16 12/12 12/13 12/14 12/15 12/16 3 Source: Bloomberg
Yield Curve Changes 3.5% 3.0% 2.5% 2.0% UST Yields 10/25/2016 2/6/2017 Change 3M 0.33% 0.51% 0.18% 1.5% 1Y 0.65% 0.79% 0.14% 2Y 0.85% 1.15% 0.30% 3Y 0.99% 1.40% 0.41% 1.0% 5Y 1.27% 1.85% 0.58% 7Y 1.55% 2.18% 0.63% 0.5% 10Y 1.76% 2.41% 0.65% 30Y 2.50% 3.05% 0.55% 0.0% 3M 1Y 2Y 3Y 5Y 7Y 10Y 30Y UST Yield Curve as of 10/25/2016 UST Yield Curve as of 2/6/2017 4 Source: Bloomberg
County Pooled Fund Statistics 2.0% Name of Fund Portfolio Size* Monthly Change In Earned Income Yield ($ mns) Los Angeles County $24,734.0 1.5% LAIF 20,709.9 Fresno County San Diego County 7,944.5 Los Angeles County San Diego County Contra Costa County City and County of San Francisco 7,518.8 1.0% Sonoma County City and County of San Riverside County 5,966.5 Sacramento County Francisco Orange County Riverside County Orange County (ex. Schools) 4,152.1 0.5% LAIF Sacramento County 2,883.7 Fresno County Fresno County 2,663.6 2,663.6 Aug 2016 Nov 2016 Contra Costa County 2,080.3 0.0% 0 200 400 600 800 1000 Sonoma County 1,588.3 Weighted Average Maturity (in days) * as of November 2016 LGIP Index 30-Day Gross Yield November 2006 – November 2016 6% San Francisco Earned Income Yield 5% LGIP Index 30-Day Gross Yield 4% 3% 2% 1% 0% Nov 06 Nov 08 Nov 10 Nov 12 Nov 14 Nov 16 5 Sources: Bloomberg, Sacramento County as of 10/26/2016
Strategic Considerations Fiscal Policy • Regulatory • Trade • Economy • Monetary Policy – Fed shift • Key Effects Cash Flow Uncertainty • Fund Type • Duration • Portfolio Mix • 6
Federal Open Market Committee changes in voting composition January 1, 2016 versus January 1, 2017 2016 2017 Neutral Dove Dove Hawk Dove Hawk No Longer Voting Now Voting Esther George Patrick Harker James Bullard Robert Kaplan Loretta Mester Charles Evans Eric Rosengren Neel Kashkari 7 Sources: FOMC, Great Pacific Securities
Pool Participants Breakdown As of December 31, 2016 Pool Participant Equity Balance Percent of Fund General Fund/Special City Funds/Internal Services Funds 2,712,528,538 32.59% San Francisco International Airport 1,110,623,183 13.34% San Francisco Public Utilities Commission 956,327,683 11.49% San Francisco Municipal Transportation Authority 827,805,649 9.95% San Francisco Unified School District 561,901,229 6.75% Facilities and Capital Projects Funds - General 523,328,136 6.29% Other agencies (incl. Transbay Joint Powers, Trial Courts) 430,873,230 5.18% San Francisco General Hospital and Laguna Honda Hospital 421,593,172 5.06% OCII - Successor Agency – former SFRDA 317,877,308 3.82% Port of San Francisco 183,968,197 2.21% San Francisco Community College District 150,423,885 1.81% Pension and Retiree Health Care Trust Fund 100,858,311 1.21% San Francisco County Transportation Authority 25,606,074 0.31% Totals $8,323,714,595 100.0% 8 Source: Cognos Impromptu
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