Page 437 - FortWorthFY22AdoptedBudget

report will comply with the Act and will contain, at a minimum, the following
information for each portfolio (Short-Term and Long-Term):

a. a detailed description of each investment position as of the date of the
report, including book and market values and purchase yield;
b. individual transactions (buy/sell, maturities, calls) during the period;
c. summary statements for the total portfolios including:
(1) beginning and ending book value for the reporting period,
(2) beginning and ending market value for the reporting period,
(3) change in market value (volatility measure) for the reporting
period,
(4) total earnings for the reporting period,
(5) WAM at the beginning and end of the period, and
(6) portfolio yield and benchmark yield for the reporting period.
d. securities lending income stated as a separate amount and also expressed
as a part of the overall portfolio-yield calculation, with overall yield shown
in comparison to benchmark.
e. asset allocation by maturity and market sector with comparison to policy
guidelines, and
f. compensating balances maintained at depositories at its earned credit rate
(ECR) stated as a separate amount and also expressed as a part of the overall
portfolio-yield calculation, with overall yield shown in comparison to
benchmark.
g. overall blended yield (taking into account both securities lending and
ECR revenues) in comparison to benchmark.

The quarterly report shall include a statement of compliance for each portfolio
as it relates to the City's Investment Policy and Strategy and shall be signed by each
Investment Officer and Investment Advisor. In order to maintain the transparency
of the program, the reports shall be made easily available and clear and concise for
the reader.

Prices used for calculation of market values will be obtained from an independent
source.

Benchmarks
The benchmarks for the performance of the City's investment portfolios will be (a)
for the Short-Term Portfolio the comparable period average of the yield of the
portfolio and the ICE BoAML 0-5 year US Treasury Index and (b) on the Long-
Term Portfolio the comparable period average yield of the portfolio and the ICE
BoAML 0-10 year US Treasury Index. The City's objective is to match or exceed
the benchmarks through active portfolio management.

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