Texas Transportation Commission. Quarterly Investment Report. August 31, 2017 Exhibit A

Transcription

1 Texas Transportation Commission Quarterly Investment Report Exhibit A

2 Table of Contents MANAGEMENT S CERTIFICATION OF THE QUARTERLY INVESTMENT REPORT PROJECT OF THE CENTRAL TEXAS TURNPIKE SYSTEM MANAGEMENT DISCUSSION... 4 INVESTMENT ACTIVITY... 4 SCHEDULE 1 INVESTMENTS OUTSTANDING... 5 SCHEDULE 2 GRAPH U.S. TREASURY HISTORICAL YIELDS... 6 SCHEDULE 3 ALLOCATION BY ACCOUNT... 7 SCHEDULE 4 BAR CHART MATURITY DISTRIBUTION... 8 SCHEDULE 5 BAR CHART INVESTMENT PORTFOLIO QUARTER END VALUES... 9 SCHEDULE 6 PIE CHART INVESTMENTS BY SECURITY TYPE IH 35E Project MANAGEMENT DISCUSSION INVESTMENT ACTIVITY SCHEDULE 1 INVESTMENTS OUTSTANDING SCHEDULE 2 BAR CHART MATURITY DISTRIBUTION SCHEDULE 3 BAR CHART INVESTMENT PORTFOLIO QUARTER END VALUES SCHEDULE 4 PIE CHART INVESTMENTS BY SECURITY TYPE PRE-PAID TX TAG ACCOUNT MANAGEMENT DISCUSSION INVESTMENT ACTIVITY SCHEDULE 1 INVESTMENTS OUTSTANDING SCHEDULE 2 BAR CHART MATURITY DISTRIBUTION SCHEDULE 3 BAR CHART INVESTMENT PORTFOLIO QUARTER END VALUES SCHEDULE 4 PIE CHART INVESTMENTS BY SECURITY TYPE

3

4 2002 PROJECT OF THE CENTRAL TEXAS TURNPIKE SYSTEM MANAGEMENT DISCUSSION During the reporting period, all investment funds of the Texas Transportation Commission (Commission) were associated with the Central Texas Turnpike System (the System) obligations. The investments are held by The Bank of New York Mellon, acting as trustee. The funding of investments includes bond proceeds, capital contributions for the purpose of financing the 2002 Project of the System, revenues derived from operation of the System s toll roads and related investment earnings. Suitable investments have been determined using the following criteria and priorities pursuant to the Commission s investment policy and the investment strategy relating to the System: 1) suitability of the investment to the financial requirements of the entity; 2) preservation and safety of principal; 3) liquidity; 4) marketability of the investment if the need arises to liquidate the investment before maturity; 5) diversification of the investment portfolio; and, 6) yield. The investment instruments described in Schedule 1 are in compliance with the Public Funds Investment Act, investment policy and strategy of the Commission. INVESTMENT ACTIVITY Interest and Investment Income for the quarter: $2,868,223: yield 1.85%. On August 15 th, $61.4 million in debt service was paid. On August 31 st, per the trust agreement, the remaining balance in the revenue account was allocated to other accounts, for debt service and operation and maintenance reserve requirements. Schedule 1 outlines all investments outstanding for the quarter ending. The Guaranteed Investment Contract is intended to be held to the maturity date of August 15, CURRENT STRATEGY As expected, the Federal Reserve increased the Federal Funds rate target from.75% to 1.00% on June 14, The portfolios were extended slightly with direct purchases in investments to match estimated cash flows. Our strategy, however, will remain guided by the following principles: safety of principal, liquidity, and yield, in that order. CURRENT MARKET CONDITIONS 3-Month Treasury: 1.03% 2-Year Treasury: 1.34% 10-Year Treasury: 2.21% Discount Rate: 1.75% U.S. Treasury yields reflect monthly averages for August 2017 as posted by the Federal Reserve. Schedule 2 presents the U.S. Treasury Historical Yields. 4

5 TEXAS DEPARTMENT OF TRANSPORTATION CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 1 Investments Outstanding Book Value to Fair Value Comparison Interest and Investment Income $2,868,223 Yield for Quarter 1.85% Description Yield Maturity Date Book Value Fair Value 1 Money Market Investments JP Morgan Govt MMKT Fund 0.860% 09/01/17 $ 2,309,232 $ 2,309,232 Morgan Stanley Govt MMKT Fund 0.890% 09/01/17 993, ,426 U.S Government Securities FHDN 1.018% 10/13/17 9,988,056 9,988,200 U.S. Treasury Bill 1.019% 11/09/17 19,961,111 19,964,400 FMCDN 1.090% 02/14/18 53,731,965 53,723,520 U.S. Treasury Note 1.222% 08/15/18 18,261,398 18,258,459 Lone Star Investment Pool 2 Government Overnight Fund 0.990% 09/01/17 67,861,652 67,804,526 TexPool 2 Local Government Investment Pool 0.999% 09/01/17 147,248, ,015,678 Prime 1.242% 09/01/17 88,277,975 88,184,972 Guaranteed Investment Contract 3 Citigroup Global Markets Inc. GIC 5.200% 08/15/22 114,999, ,999,379 (CUSIP S ) Funds Held by State Highway Fund Operating, Maint. and Reserve Maint % 92,794,672 92,794,672 $ 616,427,140 $ 616,036,464 Notes: 1 For the quarter, ($0) was booked for changes in the Fair Value of investments. All investments are intended to held to maturity. 2 These local government investment pools seek to maintain a one dollar per share as required by the Texas Public Funds Investment Act. 3 This security was purchased under the terms of a forward purchase agreement that was executed in August 2002 at rates that were currently available at that time. "Weighted average yield to maturity" is the portfolio performance measurement standard. Yields and fair values as reported on monthly account statements. Totals may not add due to rounding. 5

6 6

7 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 3 Allocation by Account Quarters Ending May 2017 and August /31/2017 1st Tier Principal Account Rate Stabilization Fund Capital Contributions Account Description Revenue Fund 1st Tier Interest Account 1st Tier Debt Service Reserve 2nd Tier Interest (B) 2nd Tier Debt Service Reserve Reserves held by SHF Portfolio Total JP Morgan Govt MMKT Fund $ 2,790, ,027, ,012,519 $ 6,831,045 Morgan Stanley Govt MMKT Fund 7,659, ,659,933 U.S. Treasury Notes 14,499,855 14,499,855 U.S. Treasury Bill 46,872,038 19,908,400 66,780,438 U.S. Govt Agency Securities 9,963,200 9,963,200 U.S. Govt Agency Discount Notes 14,198,320 14,198,320 Lonestar Govt Overnight Fund 12,719,160 54,938,669 67,657,830 TexPool Fund 69,550,974 8,592,935 9,991,890 53,327,456 32,757,600 46,271, ,492,804 TexPool Prime Fund 22,683,406 65,249,130 87,932,536 Guaranteed Investment Contract 114,999, ,999,379 Reserves Held by SHF 47,786,041 47,786,041 Totals $ 147,911,500 8,593, ,018,837 7,659,692 53,327,697 68,160, ,343,866 47,786,041 $ 658,801,380 8/31/2017 1st Tier Principal Account (A) Rate Stabilization Fund Capital Contributions Account Description Revenue Fund 1st Tier Interest Account 1st Tier Debt Service Reserve 2nd Tier Interest (B) 2nd Tier Debt Service Reserve Reserves held by SHF Portfolio Total JP Morgan Govt MMKT Fund $ 2,043, , ,195 $ 2,309,232 Morgan Stanley Govt MMKT Fund 993, ,426 U.S. Treasury Notes 9,278,889 8,979,570 18,258,459 U.S. Treasury Bill 19,964,400 19,964,400 U.S. Govt Agency Securities - U.S. Govt Agency Discount Notes 24,872,000 28,851,520 9,988,200 63,711,720 Lonestar Govt Overnight Fund 12,745,960 55,058,566 67,804,526 TexPool Fund 1 6,089,074 9,980,452 53,142,511 32,357,583 45,446, ,015,678 TexPool Prime Fund 22,748,526 65,436,447 88,184,972 Guaranteed Investment Contract 114,999, ,999,379 Reserves Held by SHF 92,794,672 92,794,672 Totals $ 1 33,005,066 9,540, ,979,831 38,824,275 53,142,752 67,852, ,896,865 92,794,672 $ 616,036,464 Note (A) - In August, $32.5 million in debt service was paid Note (B) - In August, $28.9 million in debt service was paid Fair Values as reported on monthly account statements. Totals may not add due to rounding. 7

8 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 4 Maturity Distribution Maturity Book Value Fair Value 1 to 7 days $399,485,231 $399,102,506 7 days to 1 year 101,942, ,934, years 114,999, ,999,379 Total Investments $616,427,140 $616,036,464 $500,000,000 Book Value Fair Value $400,000,000 $300,000,000 $200,000,000 $100,000,000 $0 1 to 7 days 7 days to 1 year 1-8 years 8

9 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 5 Investment Portfolio Quarter End Values Quarter End Values Book Value Fair Value 1 Qtr FY17 $616,100,775 $616,098,712 2 Qtr FY17 613,140, ,956,370 3 Qtr FY17 659,088, ,801,380 4 Qtr FY17 616,427, ,036,464 Book Value Fair Value $700,000,000 $600,000,000 $500,000,000 $400,000,000 $300,000,000 $200,000,000 $100,000,000 $0 1 Qtr FY17 2 Qtr FY17 3 Qtr FY17 4 Qtr FY17 9

10 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 6 Investments by Security Type Security Type Fair Value Money Market Investments $3,302,658 US Treasury Bills and Notes 38,222,859 Federal Home Loan Discount Note 9,988,200 Freddie Mac Discount Note 53,723,520 Lone Star Government Overnight Fund TexPool Local Government Investment Pool 67,804, ,015,678 TexPool Prime 88,184,972 Guaranteed Investment Contract (GIC) Operating, Maint. and Reserve Maint. held in SHF 114,999,379 92,794,672 Total Investments $616,036,464 Held in SHF 15.1% MM 0.5% Treasuries 6.2% FHDN 1.6% FMCDN 8.7% GIC 18.7% Lone Star 11.0% TexPool Prime 14.3% TexPool 23.9% 10

11 MANAGEMENT DISCUSSION In August 2016, the Texas Transportation Commission (Commission) adopted an investment strategy for the I- 35E Managed Lanes Project (I-35E System) in anticipation of executing a trust agreement with Amegy Bank, a Division of ZB, National Association to serve as Trustee for the trust securing the I-35E System toll revenue obligations. On November 3, 2016, the Commission executed a loan agreement (TIFIA Loan) with the United States Department of Transportation pursuant to the Transportation Infrastructure Finance and Innovation Act to finance a portion of the I-35E System and secured by the revenues of the system. Suitable investments have been determined using the following criteria and priorities pursuant to the Commission s investment policy and the investment strategy relating to the I-35E System: 1) suitability of the investment to the financial requirements of the entity; 2) preservation and safety of principal; 3) liquidity; 4) marketability of the investment if the need arises to liquidate the investment before maturity; 5) diversification of the investment portfolio; and, 6) yield. Investments in this portfolio for Type I funds must be an eligible investment pursuant to the TIFIA Loan agreement. Type I funds include the Revenue Fund, Debt Service Fund, and General Fund (excluding Capitalized Interest Funds). INVESTMENT ACTIVITY Interest and Investment Income for the quarter: $ 362,352: yield 0.89%. This quarter, $191 million of the construction funds were expended. Schedule 1 outlines all investments outstanding for the quarter ending. CURRENT STRATEGY Investment of this portfolio is determined by the cash flow projections for the remaining loan proceeds. Our strategy, however, will remain guided by the following principles: safety of principal, liquidity, and yield, in that order. CURRENT MARKET CONDITIONS U.S. Treasury yields reflect monthly averages for August 2017 as posted by the Federal Reserve. 3-Month Treasury: 1.03% 6-Month Treasury: 1.13% 1-Year Treasury: 1.23% 2-Year Treasury: 1.34% 11

12 TEXAS DEPARTMENT OF TRANSPORTATION IH 35E Project SCHEDULE 1 Investments Outstanding Book Value to Fair Value Comparison Interest and Investment Income 362,352 Yield for Quarter 0.89% Maturity Description Yield Date Book Value Fair Value 1 Money Market Investments Fidelity Treasury Portfolio 0.870% 09/01/17 $ 4,071,681 $ 4,071,681 U.S Treasury Bills and Treasury Notes Treasury Bill 0.975% 09/28/17 8,593,579 8,593,997 Treasury Bill 1.056% 10/26/17 9,454,680 9,455,312 Treasury Bill 1.055% 01/04/18 7,971,020 7,971,352 Treasury Bill 1.055% 01/04/18 2,939,314 2,939,436 $ 33,030,273 $ 33,031,778 Notes: 1 For the quarter, $0 was booked for changes in the Fair Value of investments. All investments are intended to held to maturity. "Weighted average yield to maturity" is the portfolio performance measurement standard. Yields and fair values as reported on monthly account statements. Totals may not add due to rounding. 12

13 IH 35E Project SCHEDULE 2 Maturity Distribution Maturity Date Book Value Fair Value 1 to 90 days $22,119,939 $22,120, days 10,910,334 10,910,788 Total Investments $33,030,273 $33,031,778 $25,000,000 Book Value Fair Value $20,000,000 $15,000,000 $10,000,000 $5,000,000 $0 1 to 90 days days 13

14 IH 35E Project SCHEDULE 3 Investment Portfolio Quarter End Values Quarter End Values Book Value Fair Value 2 Qtr FY17 $285,257,714 $285,267,439 3 Qtr FY17 253,254, ,244,729 4 Qtr FY17 33,030,273 33,031,778 Book Value Fair Value $300,000,000 $250,000,000 $200,000,000 $150,000,000 $100,000,000 $50,000,000 $0 2 Qtr FY17 3 Qtr FY17 4 Qtr FY17 Proceeds from the TIFIA loan for the IH 35E Project were received on December 1,

15 IH 35E Project SCHEDULE 4 Investments by Security Type Security Type Fair Value Money Market Investments $4,071,681 US T-Bills 28,960,097 Total Investments $33,031,778 MM 12% US T-Bills 88% 15

16 PRE-PAID TX TAG ACCOUNT MANAGEMENT DISCUSSION During the investment policy update in August 2015, the Texas Transportation Commission (Commission) adopted an investment strategy for the Pre-paid Tx Tag account held by The Bank of New York Mellon, acting as custodian. Suitable investments have been determined using the following criteria and priorities pursuant to the Commission s investment policy and the investment strategy relating to the System: 1) suitability of the investment to the financial requirements of the entity; 2) preservation and safety of principal; 3) liquidity; 4) marketability of the investment if the need arises to liquidate the investment before maturity; 5) diversification of the investment portfolio; and, 6) yield. Investments in this portfolio are restricted to: 1) US Treasury and other government obligations that carry the full faith and credit guarantee of the United States for the payment of principal and interest. 2) Federal Agency or U.S. government sponsored enterprises (GSE) obligations, participations or other instruments. 3) Securities and Exchange Commission registered money market funds. Further restrictions on the portfolio include: 1) Only 20% of the Custodial Account can be investment with a final maturity not to exceed two years from the date of purchase 2) Maximum weighted average maturity for the investments may not exceed 240 days at any time. The investment instruments described in Schedule 1 are in compliance with the Public Funds Investment Act, investment policy and strategy of the Commission. INVESTMENT ACTIVITY Interest and Investment Income for the quarter: $ 64,594, yield 0.70%. Schedule 1 outlines all investments outstanding for the quarter ending. CURRENT STRATEGY Invest the portfolio for diversification into 6-9 month maturity sector. Our strategy, however, will remain guided by the following principles: safety of principal, liquidity, and yield, in that order. CURRENT MARKET CONDITIONS 3-Month Treasury: 1.03% 6-Month Treasury: 1.13% 1-Year Treasury: 1.23% 2-Year Treasury: 1.34% U.S. Treasury yields reflect monthly averages for August 2017 as posted by the Federal Reserve. 16

17 TEXAS DEPARTMENT OF TRANSPORTATION PRE-PAID TX TAG ACCOUNT SCHEDULE 1 Investments Outstanding Book Value to Fair Value Comparison Interest and Investment Income 64,594 Yield for Quarter 0.70% Maturity Description Yield Date Book Value Fair Value 1 Money Market Investments BNY Mellon Cash Reserve Fund 0.100% $ 154,185 $ 154,185 Cash 0.000% 4,717,984 4,717,984 U.S Government Securities Treasury Bill 1.019% 11/09/17 9,980,556 9,982,200 Treasury Bill 1.127% 01/25/18 4,977,440 4,979,250 FMCDN 1.090% 02/14/18 7,960,291 7,959,040 Treasury Strips 1.140% 02/15/18 14,922,285 14,923,500 Treasury Note 1.222% 08/15/18 4,989,453 4,988,650 $ 47,702,193 $ 47,704,809 Notes: 1 For the quarter, $0 was booked for changes in the Fair Value of investments. All investments are intended to held to maturity. "Weighted average yield to maturity" is the portfolio performance measurement standard. Yields and fair values as reported on monthly account statements. Totals may not add due to rounding. 17

18 PRE-PAID TX TAG ACCOUNT SCHEDULE 2 Maturity Distribution Maturity Date Book Value Fair Value 1 to 90 days $14,852,725 $14,854, days 27,860,015 27,861, days 4,989,453 4,988,650 Total Investments $47,702,193 $47,704,809 Book Value Fair Value $30,000,000 $25,000,000 $20,000,000 $15,000,000 $10,000,000 $5,000,000 $0 1 to 90 days days days 18

19 PRE-PAID TX TAG ACCOUNT SCHEDULE 3 Investment Portfolio Quarter End Values Quarter End Values Book Value Fair Value 1 Qtr FY17 $29,548,020 $29,547,454 2 Qtr FY17 31,953,532 31,953,982 3 Qtr FY17 31,753,486 31,747,747 4 Qtr FY17 47,702,193 47,704,809 Book Value Fair Value $50,000,000 $40,000,000 $30,000,000 $20,000,000 $10,000,000 $0 1 Qtr FY17 2 Qtr FY17 3 Qtr FY17 4 Qtr FY17 19

20 PRE-PAID TX TAG ACCOUNT SCHEDULE 4 Investments by Security Type Security Type Fair Value Money Market Investments $154,185 Cash 4,717,984 US Government Agency Securities 7,959,040 US Treasury Strips 14,923,500 US T-Bills 14,961,450 US Treasury Notes 4,988,650 Total Investments $47,704,809 Treasury Note 11% MM 0% Cash 10% US Agencies 17% US T-Bills 35% US Treasury Strips 31% 20