Cash Risk Capital Funding Division Director of Cash Investments Caroline Hendrickson 17 20 9139335 carolinehendrickson denvergovorg Portfolio Administrator Gregory T King 1 720 91 ID: 827294
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Prepared By: Cash, Risk & Capital Fun
Prepared By: Cash, Risk & Capital Funding Division Director of Cash & Investments: Caroline Hendrickson 1.720.913.9335 caroline.hendrickson @denvergov.org Portfolio Administrator: Gregory T. King 1.720.913.9348 gregory.king @denvergov.org Sr. Portfolio Analyst: Mario Dominguez 1.720.913.3091 mari
o.dominguez@denvergov.org Assoc. P
o.dominguez@denvergov.org Assoc. Portfolio Analyst: Siye Desta 1.720.913.9510 siye.desta@denvergov.org Report Content: Discussion of 1Investment Performance Consolidated 2 Portfolio Airport Reserve 6Portfolio Worker’s Fomp 8 Portfolio Special Purpose 9Investments Escrows 9��
000;City and County of Denver Quarter E
000;City and County of Denver Quarter EndedPortfolio Management Environment-2.D2.DJun-14Dec-14Jun-1DDec-1DJun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19BloomNerg UniPed SPMPes FinMnciMl FondiPions Index0.00%0.D0%1.00%1.D0%2.00%2.D0%3.00%3.D0%3M6M1Y2Y3Y4YDY7Y8Y9Y10YYieldU.S. TreMsury Yield FurveAs of 9C30C2018As of 6C30C2018As of 6C3
0C2019The FederMl Reserve kepPPhe Fed
0C2019The FederMl Reserve kepPPhe Fed funds rMPe Phe rMnge of during Phe secondquMrPer of 201The Fed is projecPing Mn MverMge of 2.0D% fed funds rMPe Ny Phe end of which implies PhMP Phe Fed wrMPePhrough Phe end of Phe yeMrThe monPhLIBOR rMPe wMs % Ms of June 30PhcreMse of NMsis poinPsfrom MMrch31sP, 201As
of June 30Ph, Phe yield of Phe Pwoye
of June 30Ph, Phe yield of Phe PwoyeMrTreMsury index wMs , Mnd Phe fiveyeMrTreMsury index wMs yielding %. A yeMr eMrlier, Ms of June 30Ph201, Phe yield of PhePwoyeMr TreMsury index wMs %, Mnd Phe fiveyeMr TreMsury index wMs yielding The mediMn of economisPs’ forecMsPfor PwoyeMr TreMsury yield Phe end oThe s
hMpe of Phe yield curve inverPed NePwee
hMpe of Phe yield curve inverPed NePween Phe monPhMnd Phe yeMr TreMsuryindices. The monPhPreMsury index wMs MP 2.% while Phe yeMr reporPed MP 2.%. ThePwoyeMr, PhreeyeMr, Mnd fiveyeMr were MP 1.7D%, 1.71%, Mnd %, respecPively.Investment Portfolio Performance Report /30/2019Prepared By: Cash, Risk & Capital Fu
nding Division Director of Cash &
nding Division Director of Cash & Investments: Caroline Hendrickson 1.720.913.9335 caroline.hendrickson @denvergov.org Portfolio Administrator: Gregory T. King 1.720.913.9348 gregory.king @denvergov.org Sr. Portfolio Analyst: Mario Dominguez 1.720.913.3091 mario.dominguez@denvergov
.org Assoc. Portfolio Analyst:
.org Assoc. Portfolio Analyst: Siye Desta 1.720.913.9510 siye.desta@denvergov.org Report Content: Discussion of 1 Investment Performance Consolidated 2 Portfolio Airport Reserve 6 Portfolio Worker’s Fomp 8 Portfolio Special Purpose 9 Investments Escrows 9
City and County of Denver Quarter
City and County of Denver Quarter Ended Investment Portfolio Performance Report 06/30/2019 Consolidated Top Holdings Top 5 Credit Holdings Issuer Market Value % of Portfolio Industry AmericMn HondM FinMnceAuPomoNilesToyoPM MoPor FrediP ForpAuPomoNilesIncTechnologyJP MorgMn FhMse& Fo.FinMnciMlJohn
Deere FMpiPMl ForpIndusPriMlTotal 5
Deere FMpiPMl ForpIndusPriMlTotal 538,067,302 9.40% *FrediP holdings include commerciMl pMper, MssePNMcked securiPies, Mnd corporMPe Nonds. 2.56%2.25%1.58%1.55%1.46% 12.34%6.28%2.10%1.27%1.03% Top 5 Agency Holdings Issuer Market Value % of Portfolio FHLBFNMAFFFBFHLMFTVA1,318,894,522 23.0