Trinity River Authority

Transcription

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

2 Table of Contents / Market Recap MARKET RECAP - MAY 2018: 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 The month of May looked a lot like April as mixed economic data and geopolitical concerns resulted in a fair amount of market volatility. The month opened with April nonfarm payrolls rising by +164k, missing the +193k Bloomberg median forecast, but upward revisions added +30k to the prior two months, essentially making up the difference. The unemployment rate fell from 4.1% to 3.9%, the lowest since 2000 and well below what has historically been considered full employment, raising concerns that larger wage increases will soon follow. But, with average hourly earnings up just +0.1% in April and +2.6% year-over-year that has not been the case thus far. The ISM manufacturing index slowed for the second straight month, cooling to 57.3 in April from 59.3 in March and an 18-year high of 60.8 in February. However, prices are climbing as the 79.0 reading on the ISM prices paid index was the highest in seven years. It was the same story on the ISM non-manufacturing (service sector) index; down from 58.8 to 56.8 in April, still historically high just less so. Tariff concerns and rising prices were two factors cited in both surveys. On the inflation front, both consumer and producer prices fell short of forecasts and generally eased in April. If Owner Equivalent Rent (OER) had not jumped, core CPI would have actually fallen in April. The Fed s preferred inflation measure- personal consumption expenditures (PCE), which lags a month behind, was unchanged in March, although the year-over-year pace climbed from +1.8% to +2.0%. Core PCE rose +0.2% in March, pushing the year-over-year core rate up from +1.6% to +1.9%, very close to the Fed s +2.0% target. Consumer spending improved in April as headline retail sales gained +0.3% while March s original +0.6% gain was revised up to +0.8%. Without grinding through all the other numbers, the bottom line is that Q1 spending was better than previously thought and Q2 is off to a slightly better start. The apparent improvements in consumer spending and hints of firming inflation data pushed bond yields higher through the first three weeks of the month. The two-year Treasury note yield touched 2.59% mid-month while the 10-year yield topped 3.10% for the first time in seven years. The rise in yields came to an abrupt end on May 23rd following the release of the May FOMC minutes. While the minutes signaled a June rate hike was likely, they did not affirm recent speculation that additional hikes would follow in September and December. The overall tone of the minutes was less hawkish than markets had feared, sparking a rally in bond prices. The rally got a further boost when President Trump announced he was cancelling the planned North Korean summit and considering tariffs on imported automobiles. A few days later, after the Memorial Day weekend, yields took another leg down on news that Italy was having trouble forming a new government, raising concerns that the third largest economy in the Eurozone could potentially leave the common currency. At one point, the yield on the two-year Treasury note fell to 2.32% while the 10-year slid to 2.78%. Some of that rally reversed into month end, but the closing yields of 2.43% and 2.86% on the two-year and 10-year respectively were well below the mid-month highs and down for the month. Looking forward, a June rate hike seems to be a forgone conclusion. Beyond that, the picture is clouded by threatened trade wars and geopolitical uncertainty. Page 2 of 27

3 Investment Officers' Certification For the Quarter Ended May 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 05/31/18 Account Summary Allocation by Security Type Beginning Values as of 02/28/18 Ending Values as of 05/31/18 Par Value 485,277, Market Value 483,465, Book Value 484,745, Unrealized Gain /(Loss) (1,279,807.69) Market Value % 99.74% 526,933, ,495, ,459, (963,871.37) 99.82% AGCY BULLET 50% AGCY CALL 5% BANK DEP 0% LGIP 19% MMF 3% TREASURY 24% Total: 100% Weighted Avg. YTW 1.340% Weighted Avg. YTM 1.348% 1.635% 1.643% Allocation by Issuer Maturity Distribution % Credit Quality 28% 24% 22% 25% FHLB 31% US TREAS 24% TEXPOOL 10% FNMA 9% FHLMC 9% TEXSTAR 8% Other Issuers 11% Total: 100% 20% 16% 12% 8% 4% 19% 18% 14% 2% AAA 100% Collateralized 0% Total: 100% 0% Overnight 2-90 Days Days 6-12 Months Weighted Average Days to Maturity: Years 2-3 Years Print Date: 6/25/2018 Print Time: 3:28 pm Page 4 of 27 Page 1 of 1

5 Benchmark Comparison As of 05/31/ % 1.60% 1.20% 0.80% 0.40% % Dec-16 Jan-17 Feb-17 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 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: 6/25/2018 Print Time: 3:30 pm Page 5 of 27 Page 1 of 1

6 Detail of Security Holdings As of 05/31/2018 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 1,755, ,755, ,755, ,755, Total for 110 CRWS 2010 $107M Const 1,755, ,755, ,755, ,755, CRWS 2011A1 $71M Const GVIXX MMF Wells Fargo Adv Gov MM 2,040, ,040, ,040, ,040, Total for 110 CRWS 2011A1 $71M Const 2,040, ,040, ,040, ,040, CRWS 2011A3 $30M Const GVIXX MMF Wells Fargo Adv Gov MM 1,764, ,764, ,764, ,764, Total for 110 CRWS 2011A3 $30M Const 1,764, ,764, ,764, ,764, CRWS $28.9M Const GVIXX MMF Wells Fargo Adv Gov MM 1,270, ,270, ,270, ,270, Total for 110 CRWS $28.9M Const 1,270, ,270, ,270, ,270, CRWS $45M Const GVIXX MMF Wells Fargo Adv Gov MM 2,543, ,543, ,543, ,543, Total for 110 CRWS $45M Const 2,543, ,543, ,543, ,543, Print Date: 6/25/2018 Print Time: 3:30 pm Page 1 of 4 Page 6 of 27

7 Detail of Security Holdings As of 05/31/2018 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 494, , , , EGQY4 08/15/16 AGCY BULET FFCB /15/18 20,740, ,708, ,736, ,691, BR5 09/14/17 AGCY BULET FHLB /14/18 18,000, ,092,16 18,039, ,963, EE5 07/26/17 AGCY BULET FHLB /14/19 8,575, ,600, ,589, ,512, Total for 110 CRWS BONY Reserve 47,809, ,895, ,860, ,662, DCRWS 2011A2 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 1,210, ,210, ,210, ,210, Total for 117 DCRWS 2011A2 $14M Const 1,210, ,210, ,210, ,210, DCRWS 2012 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 2,659, ,659, ,659, ,659, L40 03/15/18 TREAS NOTE U.S. Treasury /15/18 8,400, ,361, ,377, ,376, Total for 117 DCRWS 2012 $14M Const 11,059, ,020, ,037, ,036, ROCRWS 2011 $11.7M Const GVIXX MMF Wells Fargo Adv Gov MM 216, , , , Total for 121 ROCRWS 2011 $11.7M Const 216, , , , Print Date: 6/25/2018 Print Time: 3:30 pm Page 2 of 4 Page 7 of 27

8 Detail of Security Holdings As of 05/31/2018 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 46, , , , LNSTGOV LGIP LoneStar Gov O/N 9,574, ,574, ,574, ,574, TEXPOOL LGIP TexPool 49,962, ,962, ,962, ,962, TEXSTAR LGIP TexSTAR 40,584, ,584, ,584, ,584, WF-PFTRA BANK DEP Wells Fargo Choice IV 720, , , , XF2 06/15/17 TREAS NOTE U.S. Treasury /15/18 20,300, ,281, ,299, ,295, G0E33 08/03/17 AGCY BULET FNMA /20/18 25,000, ,967,50 24,995, ,973, G0E33 08/15/17 AGCY BULET FNMA /20/18 10,000, ,987,40 9,998, ,989, A8PK3 07/14/17 AGCY BULET FHLB /07/18 20,000, ,858,80 19,975, ,950, A9A92 08/30/16 AGCY CALL FHLB /28/18 Expired ONE TIME 5,000, ,000,00 5,000, ,987, NV7 03/19/18 TREAS BILL U.S. Treasury 09/13/18 8,150, ,073, ,105, ,105, L40 06/30/17 TREAS NOTE U.S. Treasury /15/18 27,100, ,003, ,076, ,024, A9AE1 07/27/17 AGCY BULET FHLB /01/18 10,350, ,293, ,333, ,311, A9AE1 08/03/17 AGCY BULET FHLB /01/18 25,000, ,868, ,962, ,906, M64 11/17/17 TREAS NOTE U.S. Treasury /15/18 10,000, ,967, ,985, ,962, M64 12/15/17 TREAS NOTE U.S. Treasury /15/18 5,000, ,978, ,989, ,981, BR5 10/12/17 AGCY BULET FHLB /14/18 5,100, ,116, ,107, ,089, BR5 10/26/17 AGCY BULET FHLB /14/18 15,000, ,040,05 15,019, ,969, BR5 12/15/17 AGCY BULET FHLB /14/18 15,000, ,000, ,000, ,969, AAE46 10/26/17 AGCY BULET FHLB /16/19 20,000, ,928, ,963, ,881, G0ZA4 03/08/18 AGCY BULET FNMA /19/19 5,380, ,368, ,370, ,367, G0J53 12/15/17 AGCY BULET FNMA /26/19 5,000, ,953,44 4,971, ,954, W30 01/25/18 TREAS NOTE U.S. Treasury /28/19 5,600, ,552, ,567, ,554, A14R6 01/04/18 AGCY BULET FHLB /15/19 4,950, ,938, ,942, ,928, P95 02/23/18 TREAS NOTE U.S. Treasury /15/19 5,000, ,942, ,957, ,952, ADUL4 03/19/18 AGCY BULET FHLB /19/19 6,995, ,992, ,992, ,989, Q52 02/23/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,254, ,288, ,276, R44 05/04/18 TREAS NOTE U.S. Treasury /15/19 15,000, ,786, ,802, ,804, R85 05/31/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,252, ,253, ,249, EFW52 05/15/18 AGCY BULET FFCB /01/19 10,250, ,108, ,113, ,129, EAEB1 05/04/18 AGCY BULET FHLMC /19/19 15,000, ,738,25 14,754, ,759, EADK2 05/25/18 AGCY BULET FHLMC /01/19 10,350, ,206, ,208, ,221, A8Y72 04/27/18 AGCY BULET FHLB /05/19 10,750, ,545, ,560, ,565, GBET5 09/07/17 AGCY CALL FHLMC /13/20 07/13/18 QRTLY 10,000, ,004,40 10,000, ,867, GBH21 09/29/17 AGCY CALL FHLMC /29/20 06/29/18 QRTLY 10,300, ,269, ,276, ,086, Print Date: 6/25/2018 Print Time: 3:30 pm Page 3 of 4 Page 8 of 27

9 Detail of Security Holdings As of 05/31/2018 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 457,263, ,170, ,760, ,996, Total for Trinity River Authority 526,933, ,887, ,459, ,495, Print Date: 6/25/2018 Print Time: 3:30 pm Page 4 of 4 Page 9 of 27

10 Change in Value From 02/28/2018 to 05/31/2018 CUSIP Security Type Security Description 02/28/18 Cost of Maturities / Amortization / Realized 05/31/18 02/28/18 05/31/18 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 1,749, , ,755, ,749, ,755, , Total for 110 CRWS 2010 $107M Const 1,749, , ,755, ,749, ,755, , CRWS 2010A $127M Const GVIXX MMF Wells Fargo Adv Gov MM 400, (400,636.32) 400, (400,267.54) Total for 110 CRWS 2010A $127M Const 400, (400,636.32) 400, (400,267.54) 110 CRWS 2011A1 $71M Const GVIXX MMF Wells Fargo Adv Gov MM 2,033, , ,040, ,033, ,040, , Total for 110 CRWS 2011A1 $71M Const 2,033, , ,040, ,033, ,040, , CRWS 2011A3 $30M Const GVIXX MMF Wells Fargo Adv Gov MM 1,758, , ,764, ,758, ,764, , Total for 110 CRWS 2011A3 $30M Const 1,758, , ,764, ,758, ,764, , CRWS $28.9M Const GVIXX MMF Wells Fargo Adv Gov MM 1,595, , (328,388.35) 1,270, ,595, ,270, (325,322.97) Total for 110 CRWS $28.9M Const 1,595, , (328,388.35) 1,270, ,595, ,270, (325,322.97) 110 CRWS $45M Const GVIXX MMF Wells Fargo Adv Gov MM 2,534, , ,543, ,534, ,543, , Total for 110 CRWS $45M Const 2,534, , ,543, ,534, ,543, , Print Date: 6/25/2018 Print Time: 3:31 pm Page 1 of 4 Page 10 of 27

11 Change in Value From 02/28/2018 to 05/31/2018 CUSIP Security Type Security Description 02/28/18 Cost of Maturities / Amortization / Realized 05/31/18 02/28/18 05/31/18 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, , , , MISXX MMF Morgan Stanley Trsy MM 3133EGQY4 AGCY BULET FFCB /15/18 20,732, , ,736, ,646, ,691, , BR5 AGCY BULET FHLB /14/18 18,058, (18,427.32) 18,039, ,959,86 17,963, , EE5 AGCY BULET FHLB /14/19 8,592, (3,371.44) 8,589, ,513, ,512, (1,775.02) Total for 110 CRWS BONY Reserve 47,878, (17,806.11) 47,860, ,614, ,662, , DCRWS 2011A2 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 1,206, , ,210, ,206, ,210, , Total for 117 DCRWS 2011A2 $14M Const 1,206, , ,210, ,206, ,210, , DCRWS 2012 $14M Const GVIXX MMF Wells Fargo Adv Gov MM 2,570, , ,659, ,570, ,659, , J68 TREAS NOTE U.S. Treasury /15/18 8,399, (8,400,00) ,399, (8,399,042.40) L40 TREAS NOTE U.S. Treasury /15/18 8,361, , ,377, ,376, ,376, Total for 117 DCRWS 2012 $14M Const 10,969, ,450, (8,400,00) 16, ,037, ,969, ,036,00 66, ROCRWS 2011 $11.7M Const GVIXX MMF Wells Fargo Adv Gov MM 216, , , , Total for 121 ROCRWS 2011 $11.7M Const 216, , , , Print Date: 6/25/2018 Print Time: 3:31 pm Page 2 of 4 Page 11 of 27

12 Change in Value From 02/28/2018 to 05/31/2018 CUSIP Security Type Security Description 02/28/18 Cost of Maturities / Amortization / Realized 05/31/18 02/28/18 05/31/18 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 187, , (267,590.47) 46, , , (140,464.01) LNSTGOV LGIP LoneStar Gov O/N 9,535, , ,574, ,535, ,574, , TEXPOOL LGIP TexPool 49,756, , ,962, ,756, ,962, , TEXSTAR LGIP TexSTAR 28,199, ,796, (412,168.74) 40,584, ,199, ,584, ,384, WF-PFTRA BANK DEP Wells Fargo Choice IV 2,683, , (2,591,227.55) 720, ,683, , (1,962,665.99) 3133EGE68 AGCY BULET FFCB /08/18 5,199, (5,200,00) ,199, (5,199,360.40) 3130A7CX1 AGCY BULET FHLB /19/18 14,989, (14,990,00) ,985, (14,985,368.09) 3133EF5C7 AGCY BULET FFCB /27/18 9,999, (10,000,00) ,987,90 (9,987,90) XA3 TREAS NOTE U.S. Treasury /15/18 10,095, (10,100,00) 4, ,087, (10,087,385.10) 3134G9HC4 AGCY CALL FHLMC /25/18 9,994, (10,000,00) 5, ,984,98 (9,984,98) VE7 TREAS NOTE U.S. Treasury /31/18 10,247, (10,250,00) 2, ,233, (10,233,056.75) XF2 TREAS NOTE U.S. Treasury /15/18 20,294, , ,299, ,263, ,295, , G0E33 AGCY BULET FNMA /20/18 34,981, , ,993, ,910,75 34,962, , A8PK3 AGCY BULET FHLB /07/18 19,942, , ,975, ,896,82 19,950,72 53, A9A92 AGCY CALL FHLB /28/18 5,000,00 5,000,00 4,978, ,987,76 9, NV7 TREAS BILL U.S. Treasury 0 09/13/18 8,073, , ,105, ,105, ,105, L40 TREAS NOTE U.S. Treasury /15/18 27,056, , ,076, ,966, ,024, , A9AE1 AGCY BULET FHLB /01/18 35,255, , ,295, ,121, ,217, , M64 TREAS NOTE U.S. Treasury /15/18 14,960, , ,974, ,921,49 14,943,75 22, BR5 AGCY BULET FHLB /14/18 35,139, (12,505.56) 35,127, ,021, ,029, , AAE46 AGCY BULET FHLB /16/19 19,948, , ,963, ,855,98 19,881,68 25, G0ZA4 AGCY BULET FNMA /19/19 5,368, , ,370, ,367, ,367, G0J53 AGCY BULET FNMA /26/19 4,961, , ,971, ,945, ,954, , W30 TREAS NOTE U.S. Treasury /28/19 5,556, , ,567, ,546, ,554, , A14R6 AGCY BULET FHLB /15/19 4,940, , ,942, ,931, ,928, (2,935.35) P95 TREAS NOTE U.S. Treasury /15/19 4,943, , ,957, ,942, ,952, , ADUL4 AGCY BULET FHLB /19/19 6,992, ,992, ,989, ,989, Q52 TREAS NOTE U.S. Treasury /15/19 10,256, , ,288, ,255, ,276, , R44 TREAS NOTE U.S. Treasury /15/19 14,786, , ,802, ,804, ,804, R85 TREAS NOTE U.S. Treasury /15/19 10,252, ,253, ,249, ,249, EFW52 AGCY BULET FFCB /01/19 10,108, , ,113, ,129, ,129, EAEB1 AGCY BULET FHLMC /19/19 14,738,25 16, ,754, ,759,94 14,759, EADK2 AGCY BULET FHLMC /01/19 10,206, , ,208, ,221, ,221, Print Date: 6/25/2018 Print Time: 3:31 pm Page 3 of 4 Page 12 of 27

13 Change in Value From 02/28/2018 to 05/31/2018 CUSIP Security Type Security Description 02/28/18 Cost of Maturities / Amortization / Realized 05/31/18 02/28/18 05/31/18 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 999 Investment Pool 3130A8Y72 AGCY BULET FHLB /05/19 10,545, , ,560, ,565, ,565, GBET5 AGCY CALL FHLMC /13/20 10,000,00 10,000,00 9,891,80 9,867,68 (24,12) 3134GBH21 AGCY CALL FHLMC /29/20 10,273, , ,276, ,096, ,086, (9,568.70) Total for 999 Investment Pool 414,403, ,868, (63,810,986.76) 300, ,760, ,387, ,996, ,608, Total for Trinity River Authority 484,745, ,354, (72,940,011.43) 298, ,459, ,465, ,495, ,029, Print Date: 6/25/2018 Print Time: 3:31 pm Page 4 of 4 Page 13 of 27

14 Earned Income From 02/28/2018 to 05/31/2018 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 1, , , , , Total for 110 CRWS 2010 $107M Const 1, , , , , CRWS 2010A $127M Const GVIXX MMF Wells Fargo Adv Gov MM Total for 110 CRWS 2010A $127M Const CRWS 2011A1 $71M Const GVIXX MMF Wells Fargo Adv Gov MM 1, , , , , Total for 110 CRWS 2011A1 $71M Const 1, , , , , CRWS 2011A3 $30M Const GVIXX MMF Wells Fargo Adv Gov MM 1, , , , , Total for 110 CRWS 2011A3 $30M Const 1, , , , , 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 2, , , , , Total for 110 CRWS $45M Const 2, , , , , Print Date: 6/25/2018 Print Time: 3:31 pm Page 1 of 4 Page 14 of 27

15 Earned Income From 02/28/2018 to 05/31/2018 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 7, ,48 48, , , BR5 AGCY BULET FHLB /14/18 67, ,75 146, (18,427.32) 60, EE5 AGCY BULET FHLB /14/19 29, , , (3,371.44) 31, Total for 110 CRWS BONY Reserve 104, , , (17,806.11) 137, 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 2, , , , , J68 TREAS NOTE U.S. Treasury /15/18 38, , , , L40 TREAS NOTE U.S. Treasury /15/18 17, , , , Total for 117 DCRWS 2012 $14M Const 41, , , , , , ROCRWS 2011 $11.7M Const GVIXX MMF Wells Fargo Adv Gov MM Total for 121 ROCRWS 2011 $11.7M Const Print Date: 6/25/2018 Print Time: 3:31 pm Page 2 of 4 Page 15 of 27

16 Earned Income From 02/28/2018 to 05/31/2018 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 LNSTGOV LGIP LoneStar Gov O/N 38, , , TEXPOOL LGIP TexPool 205, , , TEXSTAR LGIP TexSTAR 156, , , EGE68 AGCY BULET FFCB /08/18 19, , , A7CX1 AGCY BULET FHLB /19/18 59, , , , EF5C7 AGCY BULET FFCB /27/18 29, , , , XA3 TREAS NOTE U.S. Treasury /15/18 29, , ,50 4, , G9HC4 AGCY CALL FHLMC /25/18 26, , ,00 5, , VE7 TREAS NOTE U.S. Treasury /31/18 25, , ,25 2, , XF2 TREAS NOTE U.S. Treasury /15/18 47, , , , , G0E33 AGCY BULET FNMA /20/18 44, , , , , A8PK3 AGCY BULET FHLB /07/18 8, ,25 39, , , A9A92 AGCY CALL FHLB /28/ ,50 12, , NV7 TREAS BILL U.S. Treasury 0 09/13/18 31, , L40 TREAS NOTE U.S. Treasury /15/18 125, , ,50 57, , , A9AE1 AGCY BULET FHLB /01/18 128, , , , , , M64 TREAS NOTE U.S. Treasury /15/18 54, , ,75 8, , , BR5 AGCY BULET FHLB /14/18 131, , , (12,505.56) 141, AAE46 AGCY BULET FHLB /16/19 31,25 62,50 93,75 14, , G0ZA4 AGCY BULET FNMA /19/19 23, (5,323.96) 28, , , G0J53 AGCY BULET FNMA /26/ ,50 13, , , W30 TREAS NOTE U.S. Treasury /28/ ,75 15, , , A14R6 AGCY BULET FHLB /15/19 38, , , , , , P95 TREAS NOTE U.S. Treasury /15/19 23, , ,00 10, , , ADUL4 AGCY BULET FHLB /19/19 29, , , Q52 TREAS NOTE U.S. Treasury /15/19 34,25 22, ,50 11, , , R44 TREAS NOTE U.S. Treasury /15/19 10, , (61,636.74) 6, , , R85 TREAS NOTE U.S. Treasury /15/19 25 (41,75) 42, EFW52 AGCY BULET FFCB /01/19 5, (43,875.69) 49, , , EAEB1 AGCY BULET FHLMC /19/19 9, (38,281.25) 48, , , EADK2 AGCY BULET FHLMC /01/19 2, (40,968.75) 43, , , A8Y72 AGCY BULET FHLB /05/19 8, (21,425.35) 30, , , GBET5 AGCY CALL FHLMC /13/20 69,00 45,00 90,00 24,00 45,00 Print Date: 6/25/2018 Print Time: 3:31 pm Page 3 of 4 Page 16 of 27

17 Earned Income From 02/28/2018 to 05/31/2018 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 3134GBH21 AGCY CALL FHLMC /29/20 73, , ,55 30, , , Total for 999 Investment Pool 1,001, ,363, ,421, (253,261.74) 1,197, , ,663, Total for Trinity River Authority 1,158, ,590, ,509, (253,261.74) 1,492, , ,889, Print Date: 6/25/2018 Print Time: 3:31 pm Page 4 of 4 Page 17 of 27

18 Investment Transactions From 03/01/2018 to 05/31/2018 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 117 DCRWS 2012 $14M Const Maturities 03/15/18 03/15/ J68 TREAS NOTE U.S. Treasury /15/18 8,400, ,400,00 8,400, Total for: Maturities 8,400,00 8,400,00 8,400, Purchases 03/14/18 03/15/ L40 TREAS NOTE U.S. Treasury /15/18 8,400, ,361, ,361, Total for: Purchases 8,400,00 8,361, ,361, Income Payments 03/15/18 03/15/ J68 TREAS NOTE U.S. Treasury /15/18 42,00 42,00 Total for: Income Payments 42,00 42,00 Print Date: 6/25/2018 Print Time: 3:31 pm Page 18 of 27 Page 1 of 4

19 Investment Transactions From 03/01/2018 to 05/31/2018 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 03/08/18 03/08/ EGE68 AGCY BULET FFCB /08/18 5,200, ,200,00 5,200, /19/18 03/19/ A7CX1 AGCY BULET FHLB /19/18 14,990, ,990,00 14,990, /27/18 04/27/ EF5C7 AGCY BULET FFCB /27/18 10,000, ,000,00 10,000, /15/18 05/15/ XA3 TREAS NOTE U.S. Treasury /15/18 10,100, ,100,00 10,100, /25/18 05/25/ G9HC4 AGCY CALL FHLMC /25/18 10,000, ,000,00 10,000, /31/18 05/31/ VE7 TREAS NOTE U.S. Treasury /31/18 10,250, ,250,00 10,250, Total for: Maturities 60,540,00 60,540,00 60,540, Purchases 03/07/18 03/08/ G0ZA4 AGCY BULET FNMA /19/19 5,380, ,368, , ,373, /16/18 03/19/ NV7 TREAS BILL U.S. Treasury 09/13/18 8,150, ,073, ,073, /16/18 03/19/ ADUL4 AGCY BULET FHLB /19/19 6,995, ,992, ,992, /25/18 04/27/ A8Y72 AGCY BULET FHLB /05/19 10,750, ,545, , ,566, /03/18 05/04/ EAEB1 AGCY BULET FHLMC /19/19 15,000, ,738,25 38, ,776, /03/18 05/04/ R44 TREAS NOTE U.S. Treasury /15/19 15,000, ,786, , ,848, /14/18 05/15/ EFW52 AGCY BULET FFCB /01/19 10,250, ,108, , ,152, /22/18 05/25/ EADK2 AGCY BULET FHLMC /01/19 10,350, ,206, , ,247, /30/18 05/31/ R85 TREAS NOTE U.S. Treasury /15/19 10,400, ,252, ,75 10,294, Total for: Purchases 92,275,00 91,072, , ,325, Income Payments 03/08/18 03/08/ EGE68 AGCY BULET FFCB /08/18 20,80 20,80 03/15/18 03/15/ L40 TREAS NOTE U.S. Treasury /15/18 135,50 135,50 03/15/18 03/15/ P95 TREAS NOTE U.S. Treasury /15/19 25,00 25,00 03/18/18 03/17/ A14R6 AGCY BULET FHLB /15/19 41, , /19/18 03/19/ A7CX1 AGCY BULET FHLB /19/18 65, , /29/18 03/29/ GBH21 AGCY CALL FHLMC /29/20 87,55 87,55 04/02/18 04/01/ A9AE1 AGCY BULET FHLB /01/18 45, , /02/18 04/01/ A9AE1 AGCY BULET FHLB /01/18 109, , /13/18 04/13/ GBET5 AGCY CALL FHLMC /13/20 90,00 90,00 Print Date: 6/25/2018 Print Time: 3:31 pm Page 19 of 27 Page 2 of 4

20 Investment Transactions From 03/01/2018 to 05/31/2018 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 04/15/18 04/15/ Q52 TREAS NOTE U.S. Treasury /15/19 45,50 45,50 04/27/18 04/27/ EF5C7 AGCY BULET FFCB /27/18 42,50 42,50 05/15/18 05/15/ M64 TREAS NOTE U.S. Treasury /15/18 62,50 62,50 05/15/18 05/15/ M64 TREAS NOTE U.S. Treasury /15/18 31,25 31,25 05/15/18 05/15/ R44 TREAS NOTE U.S. Treasury /15/19 65, , /15/18 05/15/ XA3 TREAS NOTE U.S. Treasury /15/18 50,50 50,50 05/25/18 05/25/ G9HC4 AGCY CALL FHLMC /25/18 50,00 50,00 05/31/18 05/31/ VE7 TREAS NOTE U.S. Treasury /31/18 51,25 51,25 Total for: Income Payments 1,020,04 1,020,04 Print Date: 6/25/2018 Print Time: 3:31 pm Page 20 of 27 Page 3 of 4

21 Investment Transactions From 03/01/2018 to 05/31/2018 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 68,940,00 68,940, Total Purchases 100,675,00 99,686, Total Income Payments 1,062,04 Print Date: 6/25/2018 Print Time: 3:31 pm Page 21 of 27 Page 4 of 4

22 Amortization and Accretion From 02/28/2018 to 05/31/2018 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 /15/18 20,740, ,708, , , , ,736, BR5 09/14/17 AGCY BULET FHLB /14/18 18,000, ,092,16 (18,427.32) (52,397.64) (39,762.36) 18,039, EE5 07/26/17 AGCY BULET FHLB /14/19 8,575, ,600, (3,371.44) (11,346.70) (14,121.05) 8,589, Total for 110 CRWS BONY Reserve 47,315,00 47,400, (17,806.11) (35,294.87) (50,600.68) 47,365, DCRWS 2012 $14M Const J68 08/31/17 TREAS NOTE U.S. Treasury /15/ L40 03/15/18 TREAS NOTE U.S. Treasury /15/18 8,400, ,361, , , , ,377, Total for 117 DCRWS 2012 $14M Const 8,400,00 8,361, , , , ,377, Print Date: 6/25/2018 Print Time: 3:31 pm Page 1 of 3 Page 22 of 27

23 Amortization and Accretion From 02/28/2018 to 05/31/2018 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 3133EGE68 11/25/16 AGCY BULET FFCB /08/ A7CX1 02/24/17 AGCY BULET FHLB /19/ EF5C7 04/27/16 AGCY BULET FFCB /27/ XA3 08/28/17 TREAS NOTE U.S. Treasury /15/ , G9HC4 06/01/17 AGCY CALL FHLMC /25/ , VE7 04/20/17 TREAS NOTE U.S. Treasury /31/ , XF2 06/15/17 TREAS NOTE U.S. Treasury /15/18 20,300, ,281, , , ,299, G0E33 08/03/17 AGCY BULET FNMA /20/18 35,000, ,954,90 11, , , ,993, A8PK3 07/14/17 AGCY BULET FHLB /07/18 20,000, ,858,80 33, , , ,975, A9A92 08/30/16 AGCY CALL FHLB /28/18 5,000, ,000,00 5,000, NV7 03/19/18 TREAS BILL U.S. Treasury 0 09/13/18 8,150, ,073, , , , ,105, L40 06/30/17 TREAS NOTE U.S. Treasury /15/18 27,100, ,003, , , , ,076, A9AE1 07/27/17 AGCY BULET FHLB /01/18 35,350, ,161, , , , ,295, M64 11/17/17 TREAS NOTE U.S. Treasury /15/18 15,000, ,946, , , , ,974, BR5 10/12/17 AGCY BULET FHLB /14/18 35,100, ,157, (12,505.56) (30,187.61) (27,008.29) 35,127, AAE46 10/26/17 AGCY BULET FHLB /16/19 20,000, ,928, , , , ,963, G0ZA4 03/08/18 AGCY BULET FNMA /19/19 5,380, ,368, , , , ,370, G0J53 12/15/17 AGCY BULET FNMA /26/19 5,000, ,953,44 9, , , ,971, W30 01/25/18 TREAS NOTE U.S. Treasury /28/19 5,600, ,552, , , , ,567, A14R6 01/04/18 AGCY BULET FHLB /15/19 4,950, ,938, , , , ,942, P95 02/23/18 TREAS NOTE U.S. Treasury /15/19 5,000, ,942, , , , ,957, ADUL4 03/19/18 AGCY BULET FHLB /19/19 6,995, ,992, , ,992, Q52 02/23/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,254, , , , ,288, R44 05/04/18 TREAS NOTE U.S. Treasury /15/19 15,000, ,786, , , , ,802, R85 05/31/18 TREAS NOTE U.S. Treasury /15/19 10,400, ,252, , ,253, EFW52 05/15/18 AGCY BULET FFCB /01/19 10,250, ,108, , , , ,113, EAEB1 05/04/18 AGCY BULET FHLMC /19/19 15,000, ,738,25 16, , , ,754, EADK2 05/25/18 AGCY BULET FHLMC /01/19 10,350, ,206, , , , ,208, A8Y72 04/27/18 AGCY BULET FHLB /05/19 10,750, ,545, , , , ,560, GBET5 09/07/17 AGCY CALL FHLMC /13/20 07/13/18 10,000, ,004,40 (4,40) 10,000, GBH21 09/29/17 AGCY CALL FHLMC /29/20 06/29/18 10,300, ,269, , , , ,276, Print Date: 6/25/2018 Print Time: 3:31 pm Page 2 of 3 Page 23 of 27

24 Amortization and Accretion From 02/28/2018 to 05/31/2018 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 999 Investment Pool 356,375,00 354,281, , , ,502, ,872, Total for Trinity River Authority 412,090, ,043, , , ,474, ,615, Print Date: 6/25/2018 Print Time: 3:31 pm Page 3 of 3 Page 24 of 27

25 Projected Cash Flows Cash Flows for next 180 days from 05/31/2018 CUSIP Security Type Security Description Pay Date Interest Principal Total Amount 110 CRWS BONY Reserve BR5 AGCY BULET FHLB /14/18 06/14/18 157,50 157, EE5 AGCY BULET FHLB /14/19 06/14/18 69, , EGQY4 AGCY BULET FFCB /15/18 08/15/18 82,96 20,740,00 20,822,96 Total for 110 CRWS BONY Reserve 310, ,740,00 21,050, 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: 6/25/2018 Print Time: 3:31 pm Page 25 of 27 Page 1 of 3

26 Projected Cash Flows Cash Flows for next 180 days from 05/31/2018 CUSIP Security Type Security Description Pay Date Interest Principal Total Amount 999 Investment Pool BR5 AGCY BULET FHLB /14/18 06/14/18 307, , R85 TREAS NOTE U.S. Treasury /15/19 06/15/18 45,50 45, XF2 TREAS NOTE U.S. Treasury /15/18 06/15/18 114, ,300,00 20,414, EFW52 AGCY BULET FFCB /01/19 07/01/18 58, , AAE46 AGCY BULET FHLB /16/19 07/16/18 125,00 125, EAEB1 AGCY BULET FHLMC /19/19 07/19/18 65, , G0E33 AGCY BULET FNMA /20/18 07/20/18 196, ,000,00 35,196, EADK2 AGCY BULET FHLMC /01/19 08/01/18 64, , A8Y72 AGCY BULET FHLB /05/19 08/05/18 47, , A8PK3 AGCY BULET FHLB /07/18 08/07/18 62,50 20,000,00 20,062, G0ZA4 AGCY BULET FNMA /19/19 08/19/18 50, , G0J53 AGCY BULET FNMA /26/19 08/26/18 25,00 25, A9A92 AGCY CALL FHLB /28/18 08/28/18 25,00 5,000,00 5,025, W30 TREAS NOTE U.S. Treasury /28/19 08/31/18 31,50 31, NV7 TREAS BILL U.S. Treasury 0 09/13/18 09/13/18 8,150,00 8,150, 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, 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, , Total for 999 Investment Pool 2,033, ,900,00 167,933, Print Date: 6/25/2018 Print Time: 3:31 pm Page 26 of 27 Page 2 of 3

27 Projected Cash Flows Cash Flows for next 180 days from 05/31/2018 CUSIP Security Type Security Description Pay Date Interest Principal Total Amount Total for All Portfolios June , ,300,00 20,993, July , ,000,00 35,446, August , ,740,00 46,129, September , ,650,00 44,056, October , ,350,00 35,640, November , ,000,00 15,159, Total Projected Cash Flows for Trinity River Authority 2,385, ,040,00 197,425, Print Date: 6/25/2018 Print Time: 3:31 pm Page 27 of 27 Page 3 of 3