Texas Transportation Commission. Quarterly Investment Report. February 28, 2018 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

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4 MANAGEMENT DISCUSSION 2002 PROJECT OF THE CENTRAL TEXAS TURNPIKE SYSTEM The Central Texas Turnpike System (the System) 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: $ 3,482,193: yield 2.10%. On February 15, 2018 $ 57.4 million in debt service was paid by the System. 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 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: 1.59% 2-Year Treasury: 2.18% 10-Year Treasury: 2.86% Discount Rate: 2.00% U.S. Treasury yields reflect monthly averages for February 2018 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 $3,482,193 Yield for Quarter 2.10% Description Yield Maturity Date Book Value Fair Value 1 Money Market Investments JP Morgan Govt MMKT Fund 1.200% 03/01/18 $ 2,932,966 $ 2,932,966 Morgan Stanley Govt MMKT Fund 1.220% 03/01/18 224, ,903 U.S Government Securities U.S. Treasury Bill 1.172% 03/22/18 5,496,135 5,495,655 U.S. Treasury Note 1.244% 05/31/18 24,984,667 24,958,750 U.S. Treasury Bill 1.799% 08/09/18 6,547,728 6,547,926 U.S. Treasury Bill 1.799% 08/09/18 3,025,844 3,025,936 U.S. Treasury Note 1.294% 08/15/18 259, ,983 U.S. Treasury Note 1.294% 08/15/18 988, ,129 U.S. Treasury Note 1.537% 08/15/18 5,486,477 5,478,495 U.S. Treasury Note 1.294% 08/15/18 7,340,113 7,321,262 U.S. Treasury Note 1.520% 08/15/18 7,581,899 7,570,284 U.S. Treasury Note 1.392% 08/15/18 10,181,724 10,160,118 U.S. Treasury Note 1.537% 08/15/18 14,963,132 14,941,350 U.S. Treasury Note 1.222% 08/15/18 9,290,557 9,263,637 U.S. Treasury Note 1.222% 08/15/18 8,990,861 8,964,810 U.S. Treasury Note 1.606% 08/15/18 7,229,840 7,221,653 U.S. Treasury Note 1.605% 08/15/18 4,288,065 4,283,187 U.S. Treasury Note 1.645% 08/15/18 6,580,459 6,574,194 U.S. Treasury Note 1.639% 08/15/18 6,480,900 6,474,585 U.S. Treasury Note 1.793% 08/15/18 11,956,250 11,953,080 U.S. Treasury Note 1.605% 08/15/18 9,972,244 9,960,900 U.S. Treasury Note 1.605% 08/15/18 19,944,488 19,921,800 U.S. Treasury Note 1.609% 10/15/18 5,176,884 5,165,264 U.S. Treasury Note 1.633% 11/15/18 9,973,124 9,947,700 Lone Star Investment Pool 2 Government Overnight Fund 1.330% 03/01/18 43,082,668 43,038,683 TexPool 2 Local Government Investment Pool 1.344% 03/01/18 138,140, ,998,063 Prime 1.575% 03/01/18 88,884,491 88,777,250 Guaranteed Investment Contract 3 Citigroup Global Markets Inc. GIC (CUSIP S ) 5.200% 08/15/22 114,999, ,999,379 Funds Held by State Highway Fund Operating, Maint. and Reserve Maint % 03/01/18 66,367,791 66,367,801 $ 641,372,221 $ 640,814,741 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

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7 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 3 Allocation by Account 11/30/2017 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 2nd Tier Debt Service Reserve Reserves held by SHF Portfolio Total JP Morgan Govt MMKT Fund $ 1,691, ,821 1, ,798 $ 1,751,230 Morgan Stanley Govt MMKT Fund 7, ,931 U.S. Treasury Notes 30,530,159 9,522,620 9,950,939 55,009, ,013,256 U.S. Treasury Bill 5,478,660 5,478,660 U.S. Govt Agency Securities - U.S. Govt Agency Discount Notes 24,932,250 28,921,410 53,853,660 Lonestar Govt Overnight Fund 12,778,469 30,133,728 42,912,197 TexPool Fund 11,735,074 8,151,120 10,007,201 53,278,847 32,440,808 45,562, ,175,596 TexPool Prime Fund 22,820,810 65,644,374 88,465,184 Guaranteed Investment Contract 114,999, ,999,379 Reserves Held by SHF 86,113,991 86,113,991 Totals $ 49,435,481 33,083,676 9,525, ,008,284 38,880,030 53,279,097 68,040, ,404,985 86,113,991 $ 659,771,085 2/28/2018 1st Tier Principal Account Rate Stabilization Fund Capital Contributions Account Description Revenue Fund 1st Tier Interest Account (A) 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 $ 2,190, ,607 50,628 15, ,019 $ 2,932,966 Morgan Stanley Govt MMKT Fund , , ,903 U.S. Treasury Notes 67,036,857-9,522,620 9,960,900 9,950,939 19,921,800-55,013, ,406,181 U.S. Treasury Bill 12,043, ,025, ,069,517 U.S. Govt Agency Securities U.S. Govt Agency Discount Notes Lonestar Govt Overnight Fund ,816,135 30,222,548 43,038,683 TexPool Fund 18,148,290 8,175,318-25,443-33,414,085 32,537,116 45,697, ,998,063 TexPool Prime Fund ,901,312 65,875,939 88,777,250 Guaranteed Investment Contract ,999, ,999,379 Reserves Held by SHF 66,367,801 66,367,801 Totals $ 99,419,429 8,582,926 9,573, ,027,656 10,075,591 53,436,136 68,254, ,077,379 66,367,801 $ 640,814,741 Note (A) - In February, $24.5 million in debt service was paid Note (B) - In February, $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 Liquid Investments $339,633,134 $339,339,665 2 days to 6 months 171,589, ,362,733 6 months to 1 year 15,150,008 15,112, years 114,999, ,999,379 Total Investments $641,372,221 $640,814,741 $400,000,000 Book Value Fair Value $300,000,000 $200,000,000 $100,000,000 $0 Liquid Investments 2 days to 6 months 6 months to 1 year 1-5 years 8

9 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 5 Investment Portfolio Quarter End Values Quarter End Values Book Value Fair Value 3 Qtr FY17 $ 659,088,981 $ 658,801,380 4 Qtr FY17 616,427, ,036,464 1 Qtr FY18 660,174, ,771,085 2 Qtr FY18 641,372, ,814,741 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 3 Qtr FY17 4 Qtr FY17 1 Qtr FY18 2 Qtr FY18 9

10 CENTRAL TEXAS TURNPIKE SYSTEM SCHEDULE 6 Investments by Security Type Security Type Fair Value Money Market Investments $3,157,869 US Treasury Bills and Notes 186,475,697 Lone Star Government Overnight Fund TexPool Local Government Investment Pool 43,038, ,998,063 TexPool Prime 88,777,250 Guaranteed Investment Contract (GIC) Operating, Maint. and Reserve Maint. held in SHF 114,999,379 66,367,801 Total Investments $640,814,741 Held in SHF 10.4% Money Market 0.5% GIC 17.9% US Treasury Notes 29.1% TexPool Prime 13.9% Lone Star 6.7% TexPool 21.5% 10

11 MANAGEMENT DISCUSSION In August 2016, the Texas Transportation Commission (Commission) adopted an investment strategy for the IH 35E Managed Lanes Project (IH 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 IH 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 IH 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 IH 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: $ 69,666: yield 1.22%. This quarter, $ 5.6 million in revenue was received by the IH 35E System. 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 February 2018 as posted by the Federal Reserve. 3-Month Treasury: 1.59% 6-Month Treasury: 1.79% 1-Year Treasury: 1.96% 2-Year Treasury: 2.18% 11

12 TEXAS DEPARTMENT OF TRANSPORTATION IH 35E Project SCHEDULE 1 Investments Outstanding Book Value to Fair Value Comparison Interest and Investment Income 69,666 Yield for Quarter 1.22% Maturity Description Yield Date Book Value Fair Value 1 Money Market Investments Fidelity Treasury Portfolio 1.220% 03/01/18 $ 17,022,946 $ 17,022,946 U.S Treasury Bills and Treasury Notes U.S. Treasury Note 1.605% 08/15/18 1,495,837 1,493,755 U.S. Treasury Note 1.645% 08/15/18 757, ,695 U.S. Treasury Note 1.520% 08/15/18 5,287,377 5,280,020 $ 24,563,909 $ 24,553,417 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 $17,022,946 $17,022, days to 1 Year 7,540,963 7,530,471 Total Investments $24,563,909 $24,553,417 $20,000,000 Book Value Fair Value $15,000,000 $10,000,000 $5,000,000 $0 1 to 90 days 91 days to 1 Year 13

14 IH 35E Project SCHEDULE 3 Investment Portfolio Quarter End Values Feburary 28, 2018 Quarter End Values Book Value Fair Value 3 Qtr FY17 $253,254,260 $253,244,729 4 Qtr FY17 33,030,273 33,031,778 1 Qtr FY18 19,811,296 19,809,621 2 Qtr FY18 24,563,909 24,553,417 Book Value Fair Value $300,000,000 $250,000,000 $200,000,000 $150,000,000 $100,000,000 $50,000,000 $0 3 Qtr FY17 4 Qtr FY17 1 Qtr FY18 2 Qtr FY18 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 $17,022,946 US Treasury Notes 7,530,471 Total Investments $24,553,417 US Treasury Notes 31% Money Market 69% 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; and, 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: $ 118,523, yield 1.10%. 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: 1.25% 6-Month Treasury: 1.39% 1-Year Treasury: 1.56% 2-Year Treasury: 1.70% U.S. Treasury yields reflect monthly averages for February 2018 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 Feburary 28, 2018 Interest and Investment Income 118,523 Yield for Quarter 1.10% Maturity Description Yield Date Book Value Fair Value 1 Money Market Investments BlackRock FedFund MM 1.26% 03/01/18 $ 17,743,581 $ 17,743,581 U.S Government Securities Treasury Bill 1.628% 05/24/18 5,977,333 5,977,620 Treasury Bill 1.799% 08/09/18 5,952,480 5,952,660 Treasury Note 1.222% 08/15/18 4,994,923 4,980,450 Treasury Bill 1.837% 10/11/18 5,932,688 5,931,900 $ 40,601,005 $ 40,586,211 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 $23,720,915 $23,721, to 270 days 16,880,091 16,865,010 Total Investments $40,601,005 $40,586,211 $25,000,000 Book Value Fair Value $20,000,000 $15,000,000 $10,000,000 $5,000,000 $0 1 to 90 days 91 to 270 days 18

19 PRE-PAID TX TAG ACCOUNT SCHEDULE 3 Investment Portfolio Quarter End Values Quarter End Values Book Value Fair Value 3 Qtr FY17 $31,753,486 $31,747,747 4 Qtr FY17 47,702,193 47,704,809 1 Qtr FY18 41,826,210 41,809,062 2 Qtr FY18 40,601,005 40,586,211 Book Value Fair Value $50,000,000 $40,000,000 $30,000,000 $20,000,000 $10,000,000 $0 3 Qtr FY17 4 Qtr FY17 1 Qtr FY18 2 Qtr FY18 Strategy for this portfolio was authorized in August

20 PRE-PAID TX TAG ACCOUNT SCHEDULE 4 Investments by Security Type Security Type Fair Value Money Market Investments $17,743,581 US T-Bills 17,862,180 US Treasury Notes 4,980,450 Total Investments $40,586,211 US Treasury Note 12% Money Market 44% US T-Bills 44% 20