Trinity River Authority

Transcription

1 Investment Officers' Report Trinity River Authority For the Quarter Ended August 31, 2018 Prepared by FirstSouthwest Asset Management

2 Table of Contents / Market Recap Report Name Certification Page Executive Summary Benchmark Comparison Detail of Security Holdings Change in Value Earned Income Investment Transactions Amortization and Accretion Projected Fixed Income Cash Flows MARKET RECAP - AUGUST 2018: August s slate of economic data was somewhat mixed. The ISM indexes moderated and housing showed signs of weakness while employment and consumer spending remained strong. The ISM manufacturing survey slipped from a very strong 60.2 in June to a three-month low of 58.1 in July. While still a very good number, the outlook dimmed a bit as survey respondents were overwhelmingly concerned about trade issues. It was the same story on the service side as the ISM non-manufacturing index fell from 59.1 to an 11-month low of 55.7 in July. Non-farm payrolls rose by +157k in July, well shy of the +193k median forecast, but prior month revisions added +59k, more than making up the difference. The monthly average for the first seven months of the year is now +215k; if this holds, it would be the strongest job growth since The unemployment rate dipped from 4.0% to 3.9% in July, but hourly earnings rose just +0.3% for the month while annualized wage growth was unchanged at +2.7%. Inflation is still somewhat high, but has backed off a bit along with energy prices. The consumer price index (CPI) equaled forecasts with a +0.2% gain in July, keeping the year-over-year rate at +2.9%, the fastest pace in six years. Core CPI rose +0.2% in July which pushed the annual pace up a tenth to +2.4%, the largest annual increase since While inflation readings have been warming in recent months, there are indications this trend may be short-lived. With the dollar strengthening commodity prices have been on the decline recently and Bloomberg s commodity price index is down -8.6% from the peak in May and -5.0% for the year, suggesting inflationary pressures may subside. Consumers continue to spend at a solid pace with headline retail sales rising +0.5% in July. The benchmark GDP revisions included another insight into consumer health. The U.S. savings rate for 2016 and 2017 was revised upward from 3.4% to 6.7%, an indication that consumers are in better shape than previously thought. Housing data seems to be the one area where signs of stress are percolating. Existing home sales fell -0.7% in July, well short of the +0.4% expected gain. The fourth straight decline took sales to the weakest level since February Affordability is a growing problem as the median price of an existing home was up +4.5% year-over-year in July to $269,600 and mortgage rates have climbed ¾ s of a point in the last year. The NAR s chief economists said, Too many would be buyers are either being priced out or are deciding to postpone their search until more homes in their price range come onto the market. Trade issues continue to garner headlines and while tariffs may be causing a lot of consternation, the economic fallout has been limited, at least so far. Problems in emerging markets including Turkey, Argentina, and Venezuela have also been making headlines as those countries suffer from the strengthening dollar and a myriad of other problems. The FOMC met in August but made no changes to monetary policy and proffered no changes to the outlook. Investors fully expect a rate hike in late-september and a December increase also appears likely. The yield curve continued to flatten as short rates rose while long rates fell. The yield on a six-month Treasury bill rose 7 basis points to 2.26% while the two-year Treasury yield fell 4 basis points from 2.67% to 2.63%. The yield on the 10-year T-note is just 23 basis points higher at 2.86%. Page 2 of 27

3 Investment Officers' Certification For the Quarter Ended August 31, 2018 This report is prepared for the Trinity River Authority (the Entity ) in accordance with Chapter 2256 of the Texas Public Funds Investment Act ("PFIA"). Section (a) of the PFIA states that: Not less than quarterly, the investment officer shall prepare and submit to the governing body of the entity a written report of the investment transactions for all funds covered by this chapter for the preceding reporting period. This report is signed by the Entity s investment officers and includes the disclosures required in the PFIA. To the extent possible, market prices have been obtained from independent pricing sources. The investment portfolio complied with the PFIA and the Entity s approved Investment Policy and Strategy throughout the period. All investment transactions made in the portfolio during this period were made on behalf of the Entity and were made in full compliance with the PFIA and the approved Investment Policy. Officer Names and Titles: Name: Alison A. Mackey Title: Chief Financial Officer Name: Melissa Saniuk Title: Manager, Accounting Name: Victor Patel Title: Manager, Cash and Capital Projects Page 3 of 27

4 Executive Summary As of 08/31/18 Account Summary Allocation by Security Type Beginning Values as of 05/31/18 Ending Values as of 08/31/18 Par Value 526,933, Market Value 524,495, Book Value 525,459, Unrealized Gain /(Loss) (963,871.37) Market Value % 99.82% 474,140, ,785, ,461, (676,175.06) 99.86% AGCY BULLET 47% AGCY CALL 4% BANK DEP 0% LGIP 17% MMF 3% TREASURY 29% Total: 100% Weighted Avg. YTW 1.635% Weighted Avg. YTM 1.643% 1.890% 1.899% Allocation by Issuer Maturity Distribution % Credit Quality 32% 30% 28% 24% FHLB 37% US TREAS 29% FHLMC 10% TEXPOOL 9% TEXSTAR 6% WF 3% Other Issuers 7% Total: 100% 20% 16% 12% 8% 20% 20% 18% 10% AAA 100% Collateralized 0% Total: 100% 4% 2% 0% Overnight 2-90 Days Days 6-12 Months Weighted Average Days to Maturity: Years 2-3 Years Print Date: 9/21/2018 Print Time: 3:29 pm Page 4 of 27 Page 1 of 1

5 Benchmark Comparison As of 08/31/ % 2.00% 1.60% 1.20% 0.80% 0.40% % Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 3-MO CMT 6-MO CMT 1-YR CMT TEXPOOL Trinity River Authority Note 1: CMT stands for Constant Maturity Treasury. This data is published in Federal Reserve Statistical Release H.15 and represents an average of all actively traded Treasury securities having that time remaining until maturity. This is a standard industry benchmark for Treasury securities. The CMT benchmarks are moving averages. The 3-month CMT is the daily average for the previous 3 months, the 6-month CMT is the daily average for the previous 6 months, and the 1-year and 2-year CMT's are the daily averages for the previous 12-months. Note 2: Benchmark data for TexPool is the monthly average yield. Print Date: 9/21/2018 Print Time: 3:30 pm Page 5 of 27 Page 1 of 1

6 Detail of Security Holdings As of 08/31/2018 Settle Purch Mkt CUSIP Date Sec. Type Sec. Description CPN Mty Date Next Call Call Type Par Value Price Orig Cost Book Value Price Market Value Days to Mty Days to Call YTM YTW 110 CRWS 2010 $107M Const GVIXX MMF Wells Fargo Adv Gov MM 1,762, ,762, ,762, ,762, Total for 110 CRWS 2010 $107M Const 1,762, ,762, ,762, ,762, CRWS 2011A1 $71M Const GVIXX MMF Wells Fargo Adv Gov MM 1,946, ,946, ,946, ,946, Total for 110 CRWS 2011A1 $71M Const 1,946, ,946, ,946, ,946, CRWS 2011A3 $30M Const GVIXX MMF Wells Fargo Adv Gov MM 1,771, ,771, ,771, ,771, Total for 110 CRWS 2011A3 $30M Const 1,771, ,771, ,771, ,771, CRWS $28.9M Const GVIXX MMF Wells Fargo Adv Gov MM 1,275, ,275, ,275, ,275, Total for 110 CRWS $28.9M Const 1,275, ,275, ,275, ,275, CRWS $45M Const GVIXX MMF Wells Fargo Adv Gov MM 2,553, ,553, ,553, ,553, Total for 110 CRWS $45M Const 2,553, ,553, ,553, ,553, Print Date: 9/21/2018 Print Time: 3:30 pm Page 1 of 4 Page 6 of 27

7 Detail of Security Holdings As of 08/31/2018 Settle Purch Mkt CUSIP Date Sec. Type Sec. Description CPN Mty Date Next Call Call Type Par Value Price Orig Cost Book Value Price Market Value Days to Mty Days to Call YTM YTW 110 CRWS BONY Reserve BONY BANK DEP BONY - Cash 1,042, ,042, ,042, ,042, BR5 09/14/17 AGCY BULET FHLB /14/18 18,000, ,092,16 18,021, ,975, EE5 07/26/17 AGCY BULET FHLB /14/19 8,575, ,600, ,585, ,524, AESN1 08/15/18 AGCY BULET FHLB /15/19 20,500, ,502, ,502, ,501, Total for 110 CRWS BONY Reserve 48,117, ,237, ,151, ,043, DCRWS 2011A2 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 1,215, ,215, ,215, ,215, Total for 117 DCRWS 2011A2 $14M Const 1,215, ,215, ,215, ,215, DCRWS 2012 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 2,670, ,670, ,670, ,670, L40 03/15/18 TREAS NOTE U.S. Treasury /15/18 8,400, ,361, ,397, ,397, Total for 117 DCRWS 2012 $14M Const 11,070, ,031, ,067, ,068, ROCRWS 2011 $11.7M Const GVIXX MMF Wells Fargo Adv Gov MM 217, , , , Total for 121 ROCRWS 2011 $11.7M Const 217, , , , Print Date: 9/21/2018 Print Time: 3:30 pm Page 2 of 4 Page 7 of 27

8 Detail of Security Holdings As of 08/31/2018 Settle Purch Mkt CUSIP Date Sec. Type Sec. Description CPN Mty Date Next Call Call Type Par Value Price Orig Cost Book Value Price Market Value Days to Mty Days to Call YTM YTW 999 Investment Pool GOFXX-TRA MMF Federated Gov Oblig 93, , , , LNSTGOV LGIP LoneStar Gov O/N 9,620, ,620, ,620, ,620, TEXPOOL LGIP TexPool 44,274, ,274, ,274, ,274, TEXSTAR LGIP TexSTAR 27,478, ,478, ,478, ,478, WF-PFTRA BANK DEP Wells Fargo Choice IV 517, , , , NV7 03/19/18 TREAS BILL U.S. Treasury 09/13/18 8,150, ,073, ,144, ,146, L40 06/30/17 TREAS NOTE U.S. Treasury /15/18 27,100, ,003, ,096, ,092, A9AE1 07/27/17 AGCY BULET FHLB /01/18 10,350, ,293, ,345, ,339, A9AE1 08/03/17 AGCY BULET FHLB /01/18 25,000, ,868, ,990, ,975, M64 11/17/17 TREAS NOTE U.S. Treasury /15/18 10,000, ,967, ,993, ,983, M64 12/15/17 TREAS NOTE U.S. Treasury /15/18 5,000, ,978, ,995, ,991, BR5 10/12/17 AGCY BULET FHLB /14/18 5,100, ,116, ,104, ,093, BR5 10/26/17 AGCY BULET FHLB /14/18 15,000, ,040,05 15,010, ,979, BR5 12/15/17 AGCY BULET FHLB /14/18 15,000, ,000, ,000, ,979, AAE46 10/26/17 AGCY BULET FHLB /16/19 20,000, ,928, ,977, ,926, G0ZA4 03/08/18 AGCY BULET FNMA /19/19 5,380, ,368, ,374, ,369, G0J53 12/15/17 AGCY BULET FNMA /26/19 5,000, ,953,44 4,980, ,969, W30 01/25/18 TREAS NOTE U.S. Treasury /28/19 5,600, ,552, ,578, ,569, A14R6 01/04/18 AGCY BULET FHLB /15/19 4,950, ,938, ,944, ,934, P95 02/23/18 TREAS NOTE U.S. Treasury /15/19 5,000, ,942, ,970, ,967, ADUL4 03/19/18 AGCY BULET FHLB /19/19 6,995, ,992, ,993, ,988, Q52 02/23/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,254, ,320, ,309, R44 05/04/18 TREAS NOTE U.S. Treasury /15/19 15,000, ,786, ,853, ,845, R85 05/31/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,252, ,288, ,276, A8DB6 06/15/18 AGCY BULET FHLB /21/19 10,000, ,874,90 9,900, ,900, EFW52 05/15/18 AGCY BULET FFCB /01/19 10,250, ,108, ,145, ,143, EAEB1 05/04/18 AGCY BULET FHLMC /19/19 15,000, ,738,25 14,808, ,800, EADK2 05/25/18 AGCY BULET FHLMC /01/19 10,350, ,206, ,238, ,236, A8Y72 04/27/18 AGCY BULET FHLB /05/19 10,750, ,545, ,600, ,594, G4 06/15/18 TREAS NOTE U.S. Treasury /15/19 10,600, ,393, ,428, ,426, T59 08/07/18 TREAS NOTE U.S. Treasury /15/19 20,350, ,988, ,008, ,011, ACM92 08/28/18 AGCY BULET FHLB /21/19 5,200, ,140, ,140, ,141, GBET5 09/07/17 AGCY CALL FHLMC /13/20 10/13/18 QRTLY 10,000, ,004,40 10,000, ,872, GBH21 09/29/17 AGCY CALL FHLMC /29/20 09/29/18 QRTLY 10,300, ,269, ,278, ,083, Print Date: 9/21/2018 Print Time: 3:30 pm Page 3 of 4 Page 8 of 27

9 Detail of Security Holdings As of 08/31/2018 Settle Purch Mkt CUSIP Date Sec. Type Sec. Description CPN Mty Date Next Call Call Type Par Value Price Orig Cost Book Value Price Market Value Days to Mty Days to Call YTM YTW Total for 999 Investment Pool 404,209, ,567, ,498, ,930, Total for Trinity River Authority 474,140, ,580, ,461, ,785, Print Date: 9/21/2018 Print Time: 3:30 pm Page 4 of 4 Page 9 of 27

10 Change in Value From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description 05/31/18 Cost of Maturities / Amortization / Realized 08/31/18 05/31/18 08/31/18 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 110 CRWS 2010 $107M Const GVIXX MMF Wells Fargo Adv Gov MM 1,755, , ,762, ,755, ,762, , Total for 110 CRWS 2010 $107M Const 1,755, , ,762, ,755, ,762, , CRWS 2010A $127M Const GVIXX MMF Wells Fargo Adv Gov MM Total for 110 CRWS 2010A $127M Const 110 CRWS 2011A1 $71M Const GVIXX MMF Wells Fargo Adv Gov MM 2,040, , (100,334.33) 1,946, ,040, ,946, (94,600.98) Total for 110 CRWS 2011A1 $71M Const 2,040, , (100,334.33) 1,946, ,040, ,946, (94,600.98) 110 CRWS 2011A3 $30M Const GVIXX MMF Wells Fargo Adv Gov MM 1,764, , ,771, ,764, ,771, , Total for 110 CRWS 2011A3 $30M Const 1,764, , ,771, ,764, ,771, , CRWS $28.9M Const GVIXX MMF Wells Fargo Adv Gov MM 1,270, , ,275, ,270, ,275, , Total for 110 CRWS $28.9M Const 1,270, , ,275, ,270, ,275, , CRWS $45M Const GVIXX MMF Wells Fargo Adv Gov MM 2,543, , ,553, ,543, ,553, , Total for 110 CRWS $45M Const 2,543, , ,553, ,543, ,553, , Print Date: 9/21/2018 Print Time: 3:31 pm Page 1 of 4 Page 10 of 27

11 Change in Value From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description 05/31/18 Cost of Maturities / Amortization / Realized 08/31/18 05/31/18 08/31/18 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 110 CRWS BONY Reserve BONY BANK DEP BONY - Cash 494, , ,042, , ,042, , MISXX MMF Morgan Stanley Trsy MM 3133EGQY4 AGCY BULET FFCB /15/18 20,736, (20,740,00) 3, ,691, (20,691,675.80) BR5 AGCY BULET FHLB /14/18 18,039, (18,532.44) 18,021, ,963, ,975,34 11, EE5 AGCY BULET FHLB /14/19 8,589, (3,392.52) 8,585, ,512, ,524, , AESN1 AGCY BULET FHLB /15/19 20,502, (99.01) 20,502, ,501,23 20,501,23 Total for 110 CRWS BONY Reserve 47,860, ,050, (20,740,00) (18,741.24) 48,151, ,662, ,043, , DCRWS 2011A2 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 1,210, , ,215, ,210, ,215, , Total for 117 DCRWS 2011A2 $14M Const 1,210, , ,215, ,210, ,215, , DCRWS 2012 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 2,659, , ,670, ,659, ,670, , L40 TREAS NOTE U.S. Treasury /15/18 8,377, , ,397, ,376, ,397, ,00 Total for 117 DCRWS 2012 $14M Const 11,037, , , ,067, ,036,00 11,068, , ROCRWS 2011 $11.7M Const GVIXX MMF Wells Fargo Adv Gov MM 216, , , , Total for 121 ROCRWS 2011 $11.7M Const 216, , , , Print Date: 9/21/2018 Print Time: 3:31 pm Page 2 of 4 Page 11 of 27

12 Change in Value From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description 05/31/18 Cost of Maturities / Amortization / Realized 08/31/18 05/31/18 08/31/18 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 999 Investment Pool FED-PRIME MMF Federated Prime Oblig GOFXX-TRA MMF Federated Gov Oblig 46, , (522,752.50) 93, , , , LNSTGOV LGIP LoneStar Gov O/N 9,574, , ,620, ,574, ,620, , TEXPOOL LGIP TexPool 49,962, , (5,834,324.25) 44,274, ,962, ,274, (5,687,858.00) TEXSTAR LGIP TexSTAR 40,584, ,799, (27,905,833.39) 27,478, ,584, ,478, (13,106,048.63) WF-PFTRA BANK DEP Wells Fargo Choice IV 720, , (513,899.77) 517, , , (202,784.40) XF2 TREAS NOTE U.S. Treasury /15/18 20,299, (20,300,00) ,295, (20,295,919.70) 3135G0E33 AGCY BULET FNMA /20/18 34,993, (35,000,00) 6, ,962, (34,962,375.00) 3130A8PK3 AGCY BULET FHLB /07/18 19,975, (20,000,00) 24, ,950,72 (19,950,72) 3130A9A92 AGCY CALL FHLB /28/18 5,000,00 (5,000,00) 4,987,76 (4,987,76) NV7 TREAS BILL U.S. Treasury 0 09/13/18 8,105, , ,144, ,105, ,146, , L40 TREAS NOTE U.S. Treasury /15/18 27,076, , ,096, ,024, ,092, , A9AE1 AGCY BULET FHLB /01/18 35,295, , ,336, ,217, ,315, , M64 TREAS NOTE U.S. Treasury /15/18 14,974, , ,988, ,943,75 14,975,85 32, BR5 AGCY BULET FHLB /14/18 35,127, (12,587.20) 35,114, ,029, ,051, , AAE46 AGCY BULET FHLB /16/19 19,963, , ,977, ,881,68 19,926,80 45, G0ZA4 AGCY BULET FNMA /19/19 5,370, , ,374, ,367, ,369, , G0J53 AGCY BULET FNMA /26/19 4,971, , ,980, ,954, ,969,00 14, W30 TREAS NOTE U.S. Treasury /28/19 5,567, , ,578, ,554, ,569, , A14R6 AGCY BULET FHLB /15/19 4,942, , ,944, ,928, ,934, , P95 TREAS NOTE U.S. Treasury /15/19 4,957, , ,970, ,952, ,967,00 14, ADUL4 AGCY BULET FHLB /19/19 6,992, ,993, ,989, ,988, (1,294.08) Q52 TREAS NOTE U.S. Treasury /15/19 10,288, , ,320, ,276, ,309,00 32, R44 TREAS NOTE U.S. Treasury /15/19 14,802, , ,853, ,804, ,845,35 41, R85 TREAS NOTE U.S. Treasury /15/19 10,253, , ,288, ,249, ,276, , A8DB6 AGCY BULET FHLB /21/19 9,874,90 25, ,900, ,900,20 9,900, EFW52 AGCY BULET FFCB /01/19 10,113, , ,145, ,129, ,143, , EAEB1 AGCY BULET FHLMC /19/19 14,754, , ,808, ,759,94 14,800,50 40, EADK2 AGCY BULET FHLMC /01/19 10,208, , ,238, ,221, ,236, , A8Y72 AGCY BULET FHLB /05/19 10,560, , ,600, ,565, ,594, , G4 TREAS NOTE U.S. Treasury /15/19 10,393, , ,428, ,426, ,426, T59 TREAS NOTE U.S. Treasury /15/19 19,988, , ,008, ,011, ,011, ACM92 AGCY BULET FHLB /21/19 5,140, ,140, ,141, ,141, GBET5 AGCY CALL FHLMC /13/20 10,000,00 10,000,00 9,867,68 9,872,60 4,92 Print Date: 9/21/2018 Print Time: 3:31 pm Page 3 of 4 Page 12 of 27

13 Change in Value From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description 05/31/18 Cost of Maturities / Amortization / Realized 08/31/18 05/31/18 08/31/18 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 999 Investment Pool 3134GBH21 AGCY CALL FHLMC /29/20 10,276, , ,278, ,086, ,083,70 (2,966.40) Total for 999 Investment Pool 455,760, ,269, (115,076,809.91) 545, ,498, ,996, ,930, (53,065,819.86) Total for Trinity River Authority 525,459, ,373, (135,917,144.24) 545, ,461, ,495, ,785, (52,709,777.72) Print Date: 9/21/2018 Print Time: 3:31 pm Page 4 of 4 Page 13 of 27

14 Earned Income From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description Beg. Accrued Interest Earned Interest Rec'd / Interest Purchased Ending Accrued Disc Accr / Sold / Matured Prem Amort Net Income 110 CRWS 2010 $107M Const GVIXX MMF Wells Fargo Adv Gov MM 2, , , , , Total for 110 CRWS 2010 $107M Const 2, , , , , CRWS 2010A $127M Const Total for 110 CRWS 2010A $127M Const 110 CRWS 2011A1 $71M Const GVIXX MMF Wells Fargo Adv Gov MM 2, , , , , Total for 110 CRWS 2011A1 $71M Const 2, , , , , CRWS 2011A3 $30M Const GVIXX MMF Wells Fargo Adv Gov MM 2, , , , , Total for 110 CRWS 2011A3 $30M Const 2, , , , , CRWS $28.9M Const GVIXX MMF Wells Fargo Adv Gov MM 1, , , , , Total for 110 CRWS $28.9M Const 1, , , , , CRWS $45M Const GVIXX MMF Wells Fargo Adv Gov MM 3, , , , , Total for 110 CRWS $45M Const 3, , , , , Print Date: 9/21/2018 Print Time: 3:31 pm Page 1 of 4 Page 14 of 27

15 Earned Income From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description Beg. Accrued Interest Earned Interest Rec'd / Interest Purchased Ending Accrued Disc Accr / Sold / Matured Prem Amort Net Income 110 CRWS BONY Reserve 3133EGQY4 AGCY BULET FFCB /15/18 48, , ,96 3, , BR5 AGCY BULET FHLB /14/18 146, ,75 157,50 67, (18,532.44) 60, EE5 AGCY BULET FHLB /14/19 64, , , , (3,392.52) 31, AESN1 AGCY BULET FHLB /15/19 22, , (99.01) 22, Total for 110 CRWS BONY Reserve 259, , , , (18,741.24) 151, DCRWS 2011A2 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 1, , , , , Total for 117 DCRWS 2011A2 $14M Const 1, , , , , DCRWS 2012 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 3, , , , , L40 TREAS NOTE U.S. Treasury /15/18 17, ,00 38, , , Total for 117 DCRWS 2012 $14M Const 21, , , , , , ROCRWS 2011 $11.7M Const GVIXX MMF Wells Fargo Adv Gov MM Total for 121 ROCRWS 2011 $11.7M Const Print Date: 9/21/2018 Print Time: 3:31 pm Page 2 of 4 Page 15 of 27

16 Earned Income From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description Beg. Accrued Interest Earned Interest Rec'd / Interest Purchased Ending Accrued Disc Accr / Sold / Matured Prem Amort Net Income 999 Investment Pool GOFXX-TRA MMF Federated Gov Oblig 6, , , LNSTGOV LGIP LoneStar Gov O/N 45, , , TEXPOOL LGIP TexPool 239, , , TEXSTAR LGIP TexSTAR 183, , , XF2 TREAS NOTE U.S. Treasury /15/18 105, , , , G0E33 AGCY BULET FNMA /20/18 143, , , , , A8PK3 AGCY BULET FHLB /07/18 39, , ,50 24, , A9A92 AGCY CALL FHLB /28/18 12, , ,00 12, NV7 TREAS BILL U.S. Treasury 0 09/13/18 39, , L40 TREAS NOTE U.S. Treasury /15/18 57, ,75 125, , , A9AE1 AGCY BULET FHLB /01/18 51, , , , , M64 TREAS NOTE U.S. Treasury /15/18 8, , , , , BR5 AGCY BULET FHLB /14/18 284, , , , (12,587.20) 140, AAE46 AGCY BULET FHLB /16/19 93,75 62,50 125,00 31,25 14, , G0ZA4 AGCY BULET FNMA /19/19 28, , , , , , G0J53 AGCY BULET FNMA /26/19 13, ,50 25, , , W30 TREAS NOTE U.S. Treasury /28/19 15, , , , , A14R6 AGCY BULET FHLB /15/19 17, , , , , P95 TREAS NOTE U.S. Treasury /15/19 10, ,50 23, , , ADUL4 AGCY BULET FHLB /19/19 29, , , , Q52 TREAS NOTE U.S. Treasury /15/19 11, , , , , R44 TREAS NOTE U.S. Treasury /15/19 6, , , , , R85 TREAS NOTE U.S. Treasury /15/19 42,00 22, ,50 19, , , A8DB6 AGCY BULET FHLB /21/19 23,75 56,25 (54,375.00) 21, , , EFW52 AGCY BULET FFCB /01/19 49, , , , , , EAEB1 AGCY BULET FHLMC /19/19 48, , , , , , EADK2 AGCY BULET FHLMC /01/19 43, , , , , , A8Y72 AGCY BULET FHLB /05/19 30, , , , , , G4 TREAS NOTE U.S. Treasury /15/19 19, (23,187.50) 42, , , T59 TREAS NOTE U.S. Treasury /15/19 13, (63,385.25) 77, , , ACM92 AGCY BULET FHLB /21/19 65 (27,516.67) 28, , GBET5 AGCY CALL FHLMC /13/20 24,00 45,00 69,00 45, GBH21 AGCY CALL FHLMC /29/20 30, , , , , Print Date: 9/21/2018 Print Time: 3:31 pm Page 3 of 4 Page 16 of 27

17 Earned Income From 05/31/2018 to 08/31/2018 CUSIP Security Type Security Description Beg. Accrued Interest Earned Interest Rec'd / Interest Purchased Ending Accrued Disc Accr / Sold / Matured Prem Amort Net Income Total for 999 Investment Pool 1,197, ,448, ,750, (168,464.42) 1,063, , ,993, Total for Trinity River Authority 1,492, ,698, ,117, (168,464.42) 1,242, , ,244, Print Date: 9/21/2018 Print Time: 3:31 pm Page 4 of 4 Page 17 of 27

18 Investment Transactions From 06/01/2018 to 08/31/2018 Trade Date Settle Date Security Principal Int Purchased / CUSIP Type Security Description Coupon Mty Date Call Date Par Value Price Amount Received Total Amount Realized Gain / Loss YTM YTW 110 CRWS BONY Reserve Maturities 08/15/18 08/15/ EGQY4 AGCY BULET FFCB /15/18 20,740, ,740,00 20,740, Total for: Maturities 20,740,00 20,740,00 20,740, Purchases 08/14/18 08/15/ AESN1 AGCY BULET FHLB /15/19 20,500, ,502, ,502, Total for: Purchases 20,500,00 20,502, ,502, Income Payments 06/14/18 06/14/ BR5 AGCY BULET FHLB /14/18 157,50 157,50 06/14/18 06/14/ EE5 AGCY BULET FHLB /14/19 69, , /15/18 08/15/ EGQY4 AGCY BULET FFCB /15/18 82,96 82,96 Total for: Income Payments 310, , Print Date: 9/21/2018 Print Time: 3:31 pm Page 18 of 27 Page 1 of 4

19 Investment Transactions From 06/01/2018 to 08/31/2018 Trade Date Settle Date Security Principal Int Purchased / CUSIP Type Security Description Coupon Mty Date Call Date Par Value Price Amount Received Total Amount Realized Gain / Loss YTM YTW 999 Investment Pool Maturities 06/15/18 06/15/ XF2 TREAS NOTE U.S. Treasury /15/18 20,300, ,300,00 20,300, /20/18 07/20/ G0E33 AGCY BULET FNMA /20/18 25,000, ,000,00 25,000, /20/18 07/20/ G0E33 AGCY BULET FNMA /20/18 10,000, ,000,00 10,000, /07/18 08/07/ A8PK3 AGCY BULET FHLB /07/18 20,000, ,000,00 20,000, /28/18 08/28/ A9A92 AGCY CALL FHLB /28/18 5,000, ,000,00 5,000, Total for: Maturities 80,300,00 80,300,00 80,300, Purchases 06/14/18 06/15/ A8DB6 AGCY BULET FHLB /21/19 10,000, ,874,90 54, ,929, /14/18 06/15/ G4 TREAS NOTE U.S. Treasury /15/19 10,600, ,393, , ,416, /06/18 08/07/ T59 TREAS NOTE U.S. Treasury /15/19 20,350, ,988, , ,051, /27/18 08/28/ ACM92 AGCY BULET FHLB /21/19 5,200, ,140, , ,168, Total for: Purchases 46,150,00 45,397, , ,565, Income Payments 06/14/18 06/14/ BR5 AGCY BULET FHLB /14/18 131,25 131,25 06/14/18 06/14/ BR5 AGCY BULET FHLB /14/18 131,25 131,25 06/14/18 06/14/ BR5 AGCY BULET FHLB /14/18 44, , /15/18 06/15/ R85 TREAS NOTE U.S. Treasury /15/19 45,50 45,50 06/15/18 06/15/ XF2 TREAS NOTE U.S. Treasury /15/18 114, , /21/18 06/21/ A8DB6 AGCY BULET FHLB /21/19 56,25 56,25 07/02/18 07/01/ EFW52 AGCY BULET FFCB /01/19 58, , /16/18 07/16/ AAE46 AGCY BULET FHLB /16/19 125,00 125,00 07/19/18 07/19/ EAEB1 AGCY BULET FHLMC /19/19 65, , /20/18 07/20/ G0E33 AGCY BULET FNMA /20/18 140, , /20/18 07/20/ G0E33 AGCY BULET FNMA /20/18 56,25 56,25 08/01/18 08/01/ EADK2 AGCY BULET FHLMC /01/19 64, , /06/18 08/05/ A8Y72 AGCY BULET FHLB /05/19 47, , /07/18 08/07/ A8PK3 AGCY BULET FHLB /07/18 62,50 62,50 08/20/18 08/19/ G0ZA4 AGCY BULET FNMA /19/19 50, , Print Date: 9/21/2018 Print Time: 3:31 pm Page 19 of 27 Page 2 of 4

20 Investment Transactions From 06/01/2018 to 08/31/2018 Trade Date Settle Date Security Principal Int Purchased / CUSIP Type Security Description Coupon Mty Date Call Date Par Value Price Amount Received Total Amount Realized Gain / Loss YTM YTW 999 Investment Pool Income Payments 08/27/18 08/26/ G0J53 AGCY BULET FNMA /26/19 25,00 25,00 08/28/18 08/28/ A9A92 AGCY CALL FHLB /28/18 25,00 25,00 08/31/18 08/31/ W30 TREAS NOTE U.S. Treasury /28/19 31,50 31,50 Total for: Income Payments 1,275, ,275, Print Date: 9/21/2018 Print Time: 3:31 pm Page 20 of 27 Page 3 of 4

21 Investment Transactions From 06/01/2018 to 08/31/2018 Trade Date Settle Date Security Principal Int Purchased / CUSIP Type Security Description Coupon Mty Date Call Date Par Value Price Amount Received Total Amount Realized Gain / Loss YTM YTW Total for All Portfolios Transaction Type Quantity Total Amount Realized G/L YTM YTW Total Maturities 101,040,00 101,040, Total Purchases 66,650,00 66,067, Total Income Payments 1,585, Print Date: 9/21/2018 Print Time: 3:31 pm Page 21 of 27 Page 4 of 4

22 Amortization and Accretion From 05/31/2018 to 08/31/2018 CUSIP Settle Date Security Type Security Description Next Call Date Purchase Qty Orig Price Original Cost Amrt/Accr for Period Total Amrt/Accr Since Purch Remaining Disc / Prem Book Value 110 CRWS BONY Reserve 3133EGQY4 08/15/16 AGCY BULET FFCB /15/ , BR5 09/14/17 AGCY BULET FHLB /14/18 18,000, ,092,16 (18,532.44) (70,930.08) (21,229.92) 18,021, EE5 07/26/17 AGCY BULET FHLB /14/19 8,575, ,600, (3,392.52) (14,739.22) (10,728.53) 8,585, AESN1 08/15/18 AGCY BULET FHLB /15/19 20,500, ,502, (99.01) (99.01) (2,144.51) 20,502, Total for 110 CRWS BONY Reserve 47,075,00 47,194, (18,741.24) (85,768.31) (34,102.96) 47,109, DCRWS 2012 $14M Const L40 03/15/18 TREAS NOTE U.S. Treasury /15/18 8,400, ,361, , , , ,397, Total for 117 DCRWS 2012 $14M Const 8,400,00 8,361, , , , ,397, Print Date: 9/21/2018 Print Time: 3:31 pm Page 1 of 3 Page 22 of 27

23 Amortization and Accretion From 05/31/2018 to 08/31/2018 CUSIP Settle Date Security Type Security Description Next Call Date Purchase Qty Orig Price Original Cost Amrt/Accr for Period Total Amrt/Accr Since Purch Remaining Disc / Prem Book Value 999 Investment Pool XF2 06/15/17 TREAS NOTE U.S. Treasury /15/ G0E33 08/03/17 AGCY BULET FNMA /20/ , A8PK3 07/14/17 AGCY BULET FHLB /07/ , A9A92 08/30/16 AGCY CALL FHLB /28/ NV7 03/19/18 TREAS BILL U.S. Treasury 0 09/13/18 8,150, ,073, , , , ,144, L40 06/30/17 TREAS NOTE U.S. Treasury /15/18 27,100, ,003, , , , ,096, A9AE1 07/27/17 AGCY BULET FHLB /01/18 35,350, ,161, , , , ,336, M64 11/17/17 TREAS NOTE U.S. Treasury /15/18 15,000, ,946, , , , ,988, BR5 10/12/17 AGCY BULET FHLB /14/18 35,100, ,157, (12,587.20) (42,774.81) (14,421.09) 35,114, AAE46 10/26/17 AGCY BULET FHLB /16/19 20,000, ,928, , , , ,977, G0ZA4 03/08/18 AGCY BULET FNMA /19/19 5,380, ,368, , , , ,374, G0J53 12/15/17 AGCY BULET FNMA /26/19 5,000, ,953,44 9, , , ,980, W30 01/25/18 TREAS NOTE U.S. Treasury /28/19 5,600, ,552, , , , ,578, A14R6 01/04/18 AGCY BULET FHLB /15/19 4,950, ,938, , , , ,944, P95 02/23/18 TREAS NOTE U.S. Treasury /15/19 5,000, ,942, , , , ,970, ADUL4 03/19/18 AGCY BULET FHLB /19/19 6,995, ,992, , , ,993, Q52 02/23/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,254, , , , ,320, R44 05/04/18 TREAS NOTE U.S. Treasury /15/19 15,000, ,786, , , , ,853, R85 05/31/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,252, , , , ,288, A8DB6 06/15/18 AGCY BULET FHLB /21/19 10,000, ,874,90 25, , , ,900, EFW52 05/15/18 AGCY BULET FFCB /01/19 10,250, ,108, , , , ,145, EAEB1 05/04/18 AGCY BULET FHLMC /19/19 15,000, ,738,25 53, , , ,808, EADK2 05/25/18 AGCY BULET FHLMC /01/19 10,350, ,206, , , , ,238, A8Y72 04/27/18 AGCY BULET FHLB /05/19 10,750, ,545, , , , ,600, G4 06/15/18 TREAS NOTE U.S. Treasury /15/19 10,600, ,393, , , , ,428, T59 08/07/18 TREAS NOTE U.S. Treasury /15/19 20,350, ,988, , , , ,008, ACM92 08/28/18 AGCY BULET FHLB /21/19 5,200, ,140, , ,140, GBET5 09/07/17 AGCY CALL FHLMC /13/20 10/13/18 10,000, ,004,40 (4,40) 10,000, GBH21 09/29/17 AGCY CALL FHLMC /29/20 09/29/18 10,300, ,269, , , , ,278, Total for 999 Investment Pool 322,225,00 319,583, , , ,710, ,514, Print Date: 9/21/2018 Print Time: 3:31 pm Page 2 of 3 Page 23 of 27

24 Amortization and Accretion From 05/31/2018 to 08/31/2018 CUSIP Settle Date Security Type Security Description Next Call Date Purchase Qty Orig Price Original Cost Amrt/Accr for Period Total Amrt/Accr Since Purch Remaining Disc / Prem Book Value Total for Trinity River Authority 377,700, ,139, , , ,679, ,020, Print Date: 9/21/2018 Print Time: 3:31 pm Page 3 of 3 Page 24 of 27

25 Projected Cash Flows Cash Flows for next 180 days from 08/31/2018 CUSIP Security Type Security Description Pay Date Interest Principal Total Amount 110 CRWS BONY Reserve BR5 AGCY BULET FHLB /14/18 12/14/18 157,50 18,000,00 18,157, EE5 AGCY BULET FHLB /14/19 12/14/18 69, , AESN1 AGCY BULET FHLB /15/19 02/15/19 256,25 256,25 Total for 110 CRWS BONY Reserve 483, ,000,00 18,483, DCRWS 2012 $14M Const L40 TREAS NOTE U.S. Treasury /15/18 09/15/18 42,00 8,400,00 8,442,00 Total for 117 DCRWS 2012 $14M Const 42,00 8,400,00 8,442,00 Print Date: 9/21/2018 Print Time: 3:31 pm Page 25 of 27 Page 1 of 3

26 Projected Cash Flows Cash Flows for next 180 days from 08/31/2018 CUSIP Security Type Security Description Pay Date Interest Principal Total Amount 999 Investment Pool NV7 TREAS BILL U.S. Treasury 0 09/13/18 09/13/18 8,150,00 8,150, G4 TREAS NOTE U.S. Treasury /15/19 09/15/18 46, , L40 TREAS NOTE U.S. Treasury /15/18 09/15/18 135,50 27,100,00 27,235, P95 TREAS NOTE U.S. Treasury /15/19 09/15/18 25,00 25, A14R6 AGCY BULET FHLB /15/19 09/17/18 41, , ADUL4 AGCY BULET FHLB /19/19 09/19/18 74, , GBH21 AGCY CALL FHLMC /29/20 09/29/18 87,55 87, A9AE1 AGCY BULET FHLB /01/18 10/01/18 154, ,350,00 35,504, GBET5 AGCY CALL FHLMC /13/20 10/13/18 90,00 90, Q52 TREAS NOTE U.S. Treasury /15/19 10/15/18 45,50 45, T59 TREAS NOTE U.S. Treasury /15/19 10/15/18 101,75 101, ACM92 AGCY BULET FHLB /21/19 10/21/18 39,00 39, M64 TREAS NOTE U.S. Treasury /15/18 11/15/18 93,75 15,000,00 15,093, R44 TREAS NOTE U.S. Treasury /15/19 11/15/18 65, , BR5 AGCY BULET FHLB /14/18 12/14/18 307, ,100,00 35,407, R85 TREAS NOTE U.S. Treasury /15/19 12/15/18 45,50 45, A8DB6 AGCY BULET FHLB /21/19 12/21/18 56,25 56, EFW52 AGCY BULET FFCB /01/19 01/01/19 58, , AAE46 AGCY BULET FHLB /16/19 01/16/19 125,00 20,000,00 20,125, EAEB1 AGCY BULET FHLMC /19/19 01/19/19 65, , EADK2 AGCY BULET FHLMC /01/19 02/01/19 64, , A8Y72 AGCY BULET FHLB /05/19 02/05/19 47, , G0ZA4 AGCY BULET FNMA /19/19 02/19/19 50, ,380,00 5,430, G0J53 AGCY BULET FNMA /26/19 02/26/19 25,00 5,000,00 5,025,00 Total for 999 Investment Pool 1,846, ,080,00 152,926, Print Date: 9/21/2018 Print Time: 3:31 pm Page 26 of 27 Page 2 of 3

27 Projected Cash Flows Cash Flows for next 180 days from 08/31/2018 CUSIP Security Type Security Description Pay Date Interest Principal Total Amount Total for All Portfolios September , ,650,00 44,102, October , ,350,00 35,780, November , ,000,00 15,159, December , ,100,00 53,736, January , ,000,00 20,249, February , ,380,00 10,823, Total Projected Cash Flows for Trinity River Authority 2,371, ,480,00 179,851, Print Date: 9/21/2018 Print Time: 3:31 pm Page 27 of 27 Page 3 of 3