CAFR 2017

by quoted market prices, using the specific identification method. Money market instruments that have a remaining maturity at time of purchase of one year or less are reported at amortized cost. The securities of the NCCMT Government Portfolio, a SEC-registered (2a-7) money market mutual fund, are valued at amortized cost, which is the NCCMT’s share price. The NCCMT Term Portfolio has a duration of 0.09 years, and is also an eligible investment for City funds, investing in high-grade money market securities including obligations of the U.S. Treasury and the State of North Carolina. The NCCMT – Term Portfolio’s securities are valued at fair value. Ownership interest of the STIF is determined on a fair market valuation basis as of fiscal year end in accordance with the STIF operating procedures. Valuation of the underlying assets is performed by the custodian. General Statute 159-30.1 allows the City to establish an Other Postemployment Benefit (OPEB) Trust managed by the staff of the Department of the State Treasurer and operated in accordance with state laws and regulations. It is not registered with the SEC and G.S. 159-30(g) allows the City to make contributions to the Trust. The State Treasurer in his discretion may invest the proceeds in equities of certain publicly held companies and long or short-term fixed income investments as detailed in G.S. 147-69.2 (1-6), (6c) and (8). Funds submitted are managed in three different sub-funds, the State Treasurer’s Short Term Investment Fund (STIF) consisting of short to intermediate treasuries, agencies and corporate issues authorized by G.S. 147- 69.1, the Bond Index Fund (BIF) consisting of high quality debt securities eligible under G.S. 147-69.2(b)(1)-(6), and BlackRock’s MSCI ACWI EQ Index Non-Lendable Class B Fund (Equity Index Fund) authorized under G.S. 147-69.2(b)(8). Under the authority of G.S. 147-69.3, no unrealized gains or losses of the STIF are distributed to participants of the fund. The BIF is also valued at $1 per share. The MSCI ACWI EQ Index Non-Lendable Class B Fund is priced at $19.1579 per share at June 30, 2017. General Statute 159-30.2 allows the City to establish a Law Enforcement Special Separation Allowance Trust and G.S. 147-69.2 (65) allows the State Treasurer to invest deposits by the City into the Trust in the same manner as the OPEB Trust in the same three sub-funds outlined above. Interest income earned in the Capital Projects funds, amounting to $103,277 was assigned to the Debt Service Fund. The GTA owns a percentage of the City's total investment pool. Accordingly, investment balances of the GTA are included in the following table:

Valuation Measurement

Weighted Average

Investment Type

Method

Reported/Fair Value

Maturity (Year)

U.S. Government Agencies

Fair Value - Level 2

$

265,383,625

1.07532 0.00001 0.00005 0.00008 0.00005 0.00044 0.00001

OPEB - STIF OPEB - BIF OPEB - EIF

Amortized Cost

204,606

Fair Value - Level 2 Fair Value - Level 1

6,246,430 10,928,886 6,367,475 55,684,733

LEOSSA - STIF

Amortized Cost Amortized Cost

NCCMT Government Portfolio

NCCMT TermFund

Fair Value - Level 1

697,820

Total Fair Value

$

345,513,575

Portfolio Weighted Average Maturity

1.07596

All investments are measured using the market approach: using prices and other relevant information generated by market transactions involving identical or comparable assets or a group of assets. Level of fair value hierarchy: Level 1: Financial instruments are valued using directly observable, quoted prices (unadjusted) in active markets for identical assets. Level 2: Financial instruments are valued using a matrix pricing technique. Matrix pricing is used to value securities based on the securities’ benchmark quoted prices. The Street Improvements Bond Fund-Series 2010 has $962,670 in checks in excess of cash and the Parks & Recreation-Series 2010 has $28,384 in checks in excess of cash, which are reflected in the liability section of these financial statements.

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