METRO INVESTMENT REPORT ALL FUNDS

Transcription

1 METRO INVESTMENT REPORT ALL FUNDS October 2018

2 Investment Report For month ended October 31, 2018 Portfolio Summary Management Report The following is a summary of METRO's Investment Portfolios: Fund: General Construction Real Estate General Mobilitv Prior Month End Book Value $280,122,154 $77,783,915 $491,156 $95,877,948 Current Month End Book Value 256,513,092 38,515, , ,857,202 Change ($23,609,062) ($39,268,424) $898 $10,979,254 Prior Month End Market Value* $279,399,812 $77,783,915 $491,156 $95,877,948 Current Month End Market Value* 255,754,222 38,515, , ,857,202 Change ($23,645,590) ($39,268,424) $898 $10,979,254 Interest Receivable $2,883,941 $0 $0 $0 Weighted Average Days Outstanding Weighted Average_ Years Outstanding Recognized Yield 3.60% 2.16% 2.15% 2.21% Benchmark Yield 2.48% 2.14% 2.09% 2.09% Yield Over/ <Under> Benchmark 1.12% 0.02% 0.06% 0.12% TexStar Wtd Avg. Days Outstanding (as of 10/31 /18) ** N/A N/A TexDaily Wtd Avg. Days Outstanding (as of 09/30/18) ** 34 N/A LOGIC Wtd Avg. Days Outstanding(as of 10/31/18)** N/A N/A N/A 46 All Funds are managed in full compliance with the ublic unds!~vestment Act, the Investment Policy and Strategy of the Metropolitan Transit Authority of Harris Cou an under t~e s fety parameters set by the Board of Directors. ents t Service & Investments * Change in Market Value is presented in accordance with the Public Funds Investment Act and primarily reflects receipts, expenditures, securities purchases and maturities and changes in the marketability of securities held at the end of the period. ** This weighted average maturity calculation uses the SEC Rule 2a-7 definition for stated maturity for any floating rate instrument held in the portfolio to determine the weighted average maturity for the pool. This Rule specifies that a variable rate instrument to be paid in 397 calendar days or less shall be deemed to have a maturity equal to the period remaining until the next readjustment of the interest rate.

3 Monthly Changes in Position No. Maturity Purch Book Value Market Value Description Coupon Rating Date Date Pa, Cost Price YT M Type 9/30/ /31/2018 9/30/ /31/2018 General Fund Wells Fargo Master Account 11/1/ /31/2018 4,774,355 4,774,355 NA DOA 5,228,754 4,774,355 5,228,754 4,774,355 Wells Fargo HOT Lanes Account 11/1/ /31/2018 NA ODA 5,151 5,151 Wells Fargo Mobile Ticketing 11/1/ /31/ , ,380 NA ODA 58, ,380 58, ,380 Wells Fargo METROLirt Online Account 11/1/ /31/ NA ODA TexStar Investment Pool TexDa1li'.. Investment Pool AAA m AAA m 11/1/ /1/ /31/ /31/ % LGIP 2.150% LGIP 33,256,956 26,342,607 33,256,956 _2_6_242,607 12,064,Qg Wells Fargo Institutional Sweep ll{!l /31/2018 1,279,811 1,279, % DSA 506,111!,I:?_9, ,111 1,279,811 EWBCD21 East West Bank CD EGM69 / Federal Farm Credit Banks EWBCD22 East West Bank CD EQ1 / Tennessee Valley Authority AAM88 / Federal Home Loan Bank A9AE1 / Federal Home Loan Bank AAV62 / Federal Home Loan Bank EHQFJ / Federal Farm Credit Banks EADZ9 / Freddie Mac GOJ53 / Fanme Mae ABQ25 / Federal Home Loan Bank EHJG9 / Federal Farm Credit Banks X72S2 / Federal Home Loan Bank EHZF3 / Federal Farm Credit Banks FC2 / World Bank EAEB1 / Freddie Mac EGFU4 / Federal Farm Credit Banks EAEB1 / Freddie Mac GON33 / Fanme Mae A8Y72 / Federal Home Loan Bank F62 / US Treasury Note FQ1 / World Bank EJAKS / Federal Farm Credi! Banks F62 I US Treasury Note GOZY2 / Fannie Mae FS7 I World Bank AOJR2 / Federal Home Loan Bank AOJR2 / Federal Home Loan Bank AA3R7 / Federal Home Loan Bank EAEE5 / Freddie Mac EAEE5 / Freddie Mac ADN32 / Federal Home Loan Bank ADMS8 / Federal Home Loan Bank J84 / US Treasury Note W63 / US Treasury Note EAEM7 / Freddie Mac EAEM7 / Freddie Mac XES / US Treasury Note XE5 / US Treasury Note XY1 I US Treasury Note HU8 / Federal Home Loan Bank L32 / US Treasury Note VP2 / US Treasury Note GBXV9 / Freddie Mac W9 / US Treasury Note 1.100% Coll= Aaa 1.100% AA+/Aaa 1.500% Coll::: Aaa 1.750% AA+ Aaa 1.625% AA+/Aaa 1.270% AA+/Aaa 1.350% AA+/Aaa 1.125% AA+/Aaa 1.000% AA+/Aaa 1.360% AA+/Aaa 1.400% AA+/Aaa 5.375% AA+/Aaa 1.250% AA+/Aaa 1.210% AA+/Aaa 1.200% AA+/Aaa 2.010% AA+/Aaa 1.750% AA+/Aaa 1.125% AA+/Aaa 2.375% AA+/Aaa 2.375% AA+/Aaa 2.125% AA+/Aaa 2.150% AA+/Aaa 1.625% AA+/Aaa 1.750% AA+/Aaa 2.000% AA+/Aaa 1.850% AA+/Aaa 2.125% AA+/Aaa 11/21/ /5/2018 3/14/ /15/2018 1/18/ /1/2018 2/27/2019 _lj_jj_2019 4/15/2019 2/26/2019 3/29/2019 5/15/2019 5/15/2019 6/19/2019 4/26/2019 7/19/2019 6/20/2019 7/19/2019 8/2/2019 8/5/ /31/2019 9/30/2019 9/25/ /31/ /26/ /27/ /13/ /13/ /15/2019 1/17/2020 1/17/2020 2/11/2020 2/14/2020 3/31/2020 3/15/2020 4/23/2020 4/23/2020 5/31/2020 5/31/2020 6/30/2020 6/12/2020 8/31/2020 7/31/2020 7/13/2020 8/31/ /21/2016 1/23/2017 3/14/2017 7/31/2017 7/31/2017 8/16/2017 8/16/2017 9/18/2017 9/28/2017 9/29/ /22/ /20/2017 1/3/2018 2/16/2018 3/21/2018 5/17/2018 5/16/2018 5/16/2018 7/23/2018 8/15/2018 8/16/2018 8/27/ /3/2018 ~Q9.L000 5.!.0_90,0QQ_ 6,000,000 6,000,000 4,000,000 4,710,000 9,966,134 2,025,740 5,010,000 4,973,450 4,993,700 5_.gqo~9S_Q_ 4,982,920 4,973,500 4,997,450 4,993,555 5,312,400 4,972,000 4,962,150 4,928,750 4,955,150 4,924,586 4,920,600 5,901,307 4,950,586 5,910,696 4,993,750 3,954,531 4,953,600 4,889,850 4,987,950 4,698,790 4,926,450 4,923,820 4,923,950 4,963,474 4,964,900 4,904,480 4,926,172 4,991,750 4,991,500 4,902,539 4,905,273 4,989,844 4,913,700 4,866,016 4,926,758 4,916,500 4,934, % co 1.284% A 1.510% CD 1.330% A 1.490% A 1.321% A 1.351% A 1.336% A 1.333% A 1.352% A 1.394% A 1.480% A 1.475% A 1.736% A 1.788% A 1.749% A 1.788% A 1.802% A 1.877% A 1.931% A 2.091% T 2.133% A 2.089% A 2.184% T 2.316% A 2.606% A 2.531% A 2.529% A 2.522% A 2.579% A 2.577% A 2.620% A 2.630% A 2.580% A 2.580% A 2.599% A 2.602% A 2.620% A 2.590% A 2.613% A 2.801% A 2.854% 2.844% T 2.839% A 2.851% T 9,996,763 5,000,795 5,001,989 4,998,367 5,000,178 4,994,476 4,992,971 4,999,179 4,997,544 5,119,261 4,987,268 4,984,933 4,965,673 4,979,564 4,963,606 4,958,885 5,947,409 4,968,720 5,945,183 4,996,184 3,971,079 4,968,185 4,916,697 4,990,821 4,701,461 4,937,045 4,931,755 4,931,872 4,967,107 4,967,910 4,912,038 4,932,175 4,992,378 4,992,147 4,909,394 4,911,801 4,990,358 Did Nol Own 9,998,307 5,001,423 4,998,707 5,000,121 4,995,350 4,994,444 4,999,321 4,997, _l_Q_2,902 4,988,780 4,987,189 4,969,329 4,981,982 4,967,483 4,963,064 5,952,702 4,971,175 5,949,851 4,996,514 3,973,348 4,970,528 4,922,816 4,991,471 4,702,065 4,941,805 4,936,228 4,936,337 4,969,154 4,969,896 4,917,023 4,936,135 4,992,793 4,992,575 4,914,014 4,916,298 4,990,826 4,917,616 4,868,954 4,928,440 4,918,472 4,935,623 9,977,700 4,999,050 4,990,400 4,978,550 4,987,400 4,964,650 4,973,650 4,974,850 4,966,450 5,088,600 4,959,450 4,962,700 4,934,200 4,953,400 4,934,200 4,929,850 5,913,720 4,936,900 5,906,580 4,971,200 3,949,520 4,947,050 4,904,600 4,980,000 4,691,160 4,928,250 4,922,000 4,922,000 4,958,200 4,957,600 4,898,450 4,920,100 4,976,800 4,976,800 4,895,300 4,895,300 4,974,200 Did Nol Own 9,989,300 4,992,000 4,981,600 4,991,600 4,968,000 4,977,000 4,977,700 4,970,800 5,075,600 4,963,150 4,966,950 4,938,100 4,957,800 4,938,100 4,933,500 5,918,220 4,939,650 5,910,600 4,968,950 3,951,720 4,947,700 4,908,850 4,977,000 4,688,334 4,929,200 4,923,850 4,923,850 4,956,350 4,956,100 4,900,200 4,920,700 4,972,950 4,972,950 4,896,500 4,896,500 4,970,900 4,910,850 4,866,800 4,926,150 4,911,200 4,932,800 Total General Fund 280,!~, ,513, ,399, ,754,222 Notes: AAA is the highest long-term rating. A 1 + is the highest short term rating. ODA: Demand Deposit Account LGIP: Local Government Investment Pool DSA: FDIC-insured Sweep Account TPF: Trust Payment Fund (Cash) MB: Municipal Bond MCP: Municipal Commercial Paper CD: Certificate of Deposit A: U. S. Agency & Instrumentality Bond MMA: Money Market Account T: U.S. Treasuries NA : Implicit backing of the Federal Government

4 Monthly Changes in Position Maturity Purch No. Description Coupon Rating Date Date Pa, Cost Price YTM Type Construction Fund Sales & Use Tax Bonds DSR (TexStar) AAAm 11/1/ /31/ ,494,944 21,494, % LGIP Contractual Obligations DSR (T exstar) AAAm 11/1/ /31/2018 4,681,779 4,681, % LGIP Interest & Sinking Fund (2009 & 2010) (TexStar) AAAm 11/1/ /31/ ,629 82, % LGIP Interest & Sinking Fund 2011A (TexStar) AAAm 11/1/ /31/ ,851 24, % LGIP Interest & Sinkm2 Fund 2011 B 1rexStaq AAAm 11/1/ /31/ % LGtP Interest & Sinking Fund 2014 (TexStar) AAAm 11/1/ /31/2018 4,361,457 4,361, % LGIP Interest & Sinking Fund 201 SA (TexStar) AAAm 11/1/ /31/2018 4,936,992 4,936, % LGIP Interest & Sinking Fund (TexStar) AAAm 11/1/ /31/2018 9,689 9, % LGIP Interest & Sinking Fund 2016A (TexStar) AAAm 11/1/ /31/2018 5,267 5, % LGIP Interest & Sinking Fund 20168!TexStar) AAAm 11/1/ /31/2018 1,041 1, % LGIP Interest & Sinking Fund 2016C (TexStar) AAAm 11/1/ /31/2018 2,901,554 2,901, % LGIP Interest & Sinking Fund (TexStar) AAAm 11/1/ /31/2018 8,195 8, % LGIP Interest & Sinking Fund 2017A (TexStar) AAAm 11/1/ /31/2018 1,252 1, % LGIP Interest & Sinking Fund (TexStar) AAAm 11/1/ /31/2018 4,212 4, % LGIP Interest & Sinking Fund 2017C \TexStar) AAAm 11/1/ /31/2018 1,270 1, % LGIP Total Construction Fund General Mobility Fund TexDaily Investment Pool GMP AAAm 11/1/ /31/ % LGIP LOGIC Investment Pool GMP Escrow AAAm 11/1/ /31/ ,857, ,857, % LGIP Total General Mobility Fund Real Estate Fund TexDail~ Investment Pool Real Estate AAAm 11/1/ /31/ , , % LGIP Total Real Estate Fund Grand Total All Funds Book Value Market Value 9/30/ /31/2018 9/30/ /31/ ,455,555 21,494,944 21,455,555 21,494,944 4,673,200 4,681,779 4,673,200 4,681,779 7,379,350 82,629 7,379,350 82,629 12,789,554 24,851 12,789,554 24, , , ,511,455 4,361,457 13,511,455 4,361,457 3,290,457 4,936,992 3,290,457 4,936,992 5,089,091 9,689 5,089,091 9,689 2,634,061 5,267 2,634,061 5, ,751 1, ,751 1,041 1,933,738 2,901,554 1,933,738 2,901, ,670 8, ,670 8, ,836 1, ,836 1,252 2,106,289 4,212 2,106,289 4, ,658 1, ,658 1,270 77,783,915 38,515,491 77,783,915 38,515,491 95,877,948 95,877, ,857, ,857,202 95,877, ,857,202 95,877, ,857, , , , , , , , , ,275, ,377, ,552, ,618,969 Notes: AAA is the highest long-term rating. A-1 + is the highest short term rating. DOA: Demand Deposit Account LGIP: Local Government Investment Pool DSA: FDIC-insured Sweep Account TPF: Trust Payment Fund (Cash) MB: Municipal Bond MCP: Municipal Commercial Paper CD: Certificate of Deposit A: U. S. Agency & Instrumentality Bond MMA: Money Market Account T: U. S. Treasuries NA* Implicit backing of the Federal Government

5 Texas General Mobility Escrow Activity Summary FY2018 Year to Date Escrow Disbursements Interest to Interest Earned Escrow Description Funding from Escrow General Fund on Escrow Funds Balance Oct-18 Escrow Balance Forward $ 178,672, $ (158,094,983.50) $ (1,975,222.00) $ 1, 187, $ 95,877, Oct-18 Net Sales Tax Received [((Net Sales Tax X 25%) - FY2014 Oct GMP) / 2] + FY2014 Oct GMP ((($59,180, X 25%)- $13,550,722.44) I 2] + $13,550, ,172, ,050, Oct-18 City of Katy, Humble & Missouri City Monthly Congestion Mitigation and Traffic Management (2,691,466.48) 107,359, Oct-18 City of Bellaire, Hedwig Village, Hunters Creek, Southside Place, Spring Valley & West University Place Monthly Congestion Mitigation and Traffic Management (626,822.05) 106,732, Oct-18 Interest Activity (69,058.13) 193, ,857, Oct-18 Escrow - Fiscal Year to Date $ 192,845, $ (161,413,272.03) $ (2,044,280.13) $ 1,380, $ 106,857,201.90