Trinity River Authority

Transcription

1 Investment Officers' Report Trinity River Authority For the Quarter Ended February 28, 2015 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: February kicked off with a bang as the employment report showed that the economy created +257k new jobs during the month of January while large upward revisions to November and December added another +147k to the tally. Over the past three months payrolls have risen by an average of +336k per month, the biggest three month gain in 18 years. The unemployment rate rose a tenth from 5.6% to 5.7%, but the rise was due to an increase in the labor force participation rate and is actually a positive sign of a healthy job market that is drawing people back into the workforce. Average hourly earnings rose +0.5%, completely reversing December s -0.2% decline and the biggest monthly gain since November The overwhelmingly positive employment report rekindled talk of a June rate hike and sent bonds yields higher. Other data released during the month was mixed. The ISM manufacturing index fell from 55.1 to 53.5, the lowest level in a year, although still indicative of expansion. The ISM non-manufacturing (service sector) index rose slightly from 56.5 to 56.7 in January. Consumers seem to be saving more and spending less of their gas savings as retails sales for January followed up December s -0.9% decline with a -0.8% drop. Considering the sharp decline in gas prices, the back to back declines are counter-intuitive. Inflation indicators have flat-lined with the producer price index (PPI) registering its fifth drop in six months at -0.8% in January and unchanged over the last year. The consumer price index (CPI) for January fell by -0.7%, as the third straight monthly decline in the headline number took the year-over-year change into negative territory at -0.1%. Obviously, energy prices had a lot to do with this as the energy component fell by -9.7%. Ex food and energy, the core CPI rose by +0.2% in January and +1.6% year-over-year. Existing home sales fell -4.9% in January to an annual rate of 4.82 million units, the lowest in nine months. Inclement weather was a factor, but the January decline was experienced across all four regions and in both single- and multi-family dwellings. Finally, fourth quarter gross domestic product (GDP) was revised lower from +2.6% to +2.2%. Despite the downward revision there were actually positive signs embedded in the figures as the contribution from inventory growth was lowered while final sales were raised. The result is better momentum heading into Q1. The mixed data and lack of any clear signals from the Federal Reserve has left markets and economists guessing about the timing of Fed rate hikes. Some forecasts still call for rate hikes to begin by June while others don t expect lift-off until Overall, the economy continues to grow at a respectable pace with strong job growth and tentative signs of wage growth. Weak economies overseas and the collapse in oil prices are acting as headwinds and keeping the reins tight. Page 2 of 27

3 Investment Officers' Certification For the Quarter Ended February 28, 2015 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: Candida Nash-Trautmann Title: Manager, Cash and Capital Projects Name: Melissa Saniuk Title: Manager, Accounting Page 3 of 27

4 Executive Summary As of 02/28/15 Account Summary Allocation by Security Type Beginning Values as of 11/30/14 Ending Values as of 02/28/15 Par Value 569,025, Market Value 569,414, Book Value 569,190, Unrealized Gain / Loss 223, Market Value % % Weighted Avg. YTW 0.202% Weighted Avg. YTM 0.203% 540,784, ,008, ,890, , % 0.228% 0.229% AGCY BULLET 61% AGCY CALL 5% AGCY DISCO 1% BANK DEP 0% LGIP 14% MMF 13% TREASURY 7% Total: 100% Allocation by Issuer Maturity Distribution % Credit Quality 28% 27% 24% 22% 20% 19% 20% FHLB 48% WF 11% FNMA 10% FFCB 8% US TREAS 7% TEXPOOL 5% Other Issuers 12% Total: 100% 16% 12% 8% 12% AAA 100% Collateralized 0% Total: 100% 4% 0% Overnight 2-90 Days Days 6-12 Months 1-2 Years Weighted Average Days to Maturity: 176 Print Date: 3/24/2015 Print Time: 3:05 pm Page 4 of 27 Page 1 of 1

5 Benchmark Comparison As of 02/28/ % 0.20% 0.16% 0.12% 0.08% 0.04% % Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 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: 3/24/2015 Print Time: 3:08 pm Page 5 of 27 Page 1 of 1

6 Detail of Security Holdings As of 02/28/2015 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 4,683, ,683, ,683, ,683, G0HG1 08/18/14 AGCY BULET FNMA /16/15 11,781, ,798, ,782, ,782, DM8 08/18/14 AGCY DISCO FHLB 03/25/15 3,000, ,997, ,999, ,000, Total for 110 CRWS 2010 $107M Const 19,464, ,479, ,465, ,465, CRWS 2010A $127M Const 6,219, ,219, ,219, ,219, Total for 110 CRWS 2010A $127M Const 6,219, ,219, ,219, ,219, CRWS 2011A1 $71M Const 6,153, ,153, ,153, ,153, G0HG1 04/10/14 AGCY BULET FNMA /16/15 6,000, ,013, ,000, ,000, A0R69 08/29/14 AGCY BULET FHLB /24/15 4,500, ,502, ,500, ,500, A2P91 11/05/14 AGCY BULET FHLB /17/15 19,000, ,006,46 19,003, ,998, A3Y32 02/19/15 AGCY BULET FHLB /22/16 3,000, ,998,05 2,998, ,998, Total for 110 CRWS 2011A1 $71M Const 38,653, ,673, ,656, ,651, CRWS 2011A2 $7M Const 67, , , , A2XV3 09/15/14 AGCY BULET FHLB /10/15 3,000, ,999, ,999, ,000, Total for 110 CRWS 2011A2 $7M Const 3,067, ,067, ,067, ,067, Print Date: 3/24/2015 Print Time: 3:09 pm Page 1 of 6 Page 6 of 27

7 Detail of Security Holdings As of 02/28/2015 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 2011A3 $30M Const 1,809, ,809, ,809, ,809, A2PG5 07/24/14 AGCY BULET FHLB /23/15 6,000, ,996,58 5,998, ,000, Total for 110 CRWS 2011A3 $30M Const 7,809, ,806, ,808, ,809, CRWS $28.9M Const 4,777, ,777, ,777, ,777, G0HG1 07/18/14 AGCY BULET FNMA /16/15 7,500, ,512,60 7,500, ,500, A2WA0 09/19/14 AGCY BULET FHLB /14/15 10,000, ,999,00 9,999, ,003, Total for 110 CRWS $28.9M Const 22,277, ,289, ,278, ,281, CRWS $45M Const 4,740, ,740, ,740, ,740, A2MC7 07/21/14 AGCY BULET FHLB /17/15 10,000, ,995, ,998, ,999, G0SB0 04/04/14 AGCY BULET FNMA /21/15 9,300, ,302, ,301, ,310, Total for 110 CRWS $45M Const 24,040, ,038, ,040, ,050, CRWS BONY Reserve MISXX MMF Morgan Stanley Trsy MM 260, , , , ECZG2 09/16/13 AGCY BULET FFCB /16/15 17,825, ,841, ,841, ,865, WX4 07/31/14 TREAS NOTE U.S. Treasury /31/16 22,260, ,228, ,237, ,284, Total for 110 CRWS BONY Reserve 40,345, ,330, ,339, ,411, DCRWS 2011 $19M Const 2,103, ,103, ,103, ,103, Total for 117 DCRWS 2011 $19M Const 2,103, ,103, ,103, ,103, Print Date: 3/24/2015 Print Time: 3:09 pm Page 2 of 6 Page 7 of 27

8 Detail of Security Holdings As of 02/28/2015 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 117 DCRWS 2011A1 $23.7M Const 1,031, ,031, ,031, ,031, A2XV3 09/15/14 AGCY BULET FHLB /10/15 19,000, ,999, ,999, ,000, Total for 117 DCRWS 2011A1 $23.7M Const 20,031, ,031, ,031, ,031, DCRWS 2011A2 $14M Const 2,405, ,405, ,405, ,405, Total for 117 DCRWS 2011A2 $14M Const 2,405, ,405, ,405, ,405, DCRWS 2012 $14M Const 1,953, ,953, ,953, ,953, RN9 08/29/14 AGCY BULET FHLB /11/16 9,400, ,483, ,456, ,463, Total for 117 DCRWS 2012 $14M Const 11,353, ,437, ,409, ,417, TMCRWS $26.5M Const 19,331, ,331, ,331, ,331, Total for 120 TMCRWS $26.5M Const 19,331, ,331, ,331, ,331, ROCRWS 2011 $11.7M Const 3,900, ,900, ,900, ,900, Total for 121 ROCRWS 2011 $11.7M Const 3,900, ,900, ,900, ,900, Print Date: 3/24/2015 Print Time: 3:09 pm Page 3 of 6 Page 8 of 27

9 Detail of Security Holdings As of 02/28/2015 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 242 TCWSP BONY Reserve MISXX MMF Morgan Stanley Trsy MM 27, , , , WX4 07/31/14 TREAS NOTE U.S. Treasury /31/16 3,740, ,734, ,736, ,744, Total for 242 TCWSP BONY Reserve 3,767, ,762, ,763, ,771, Print Date: 3/24/2015 Print Time: 3:09 pm Page 4 of 6 Page 9 of 27

10 Detail of Security Holdings As of 02/28/2015 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 FED-PRIME MMF Federated Prime Oblig 9,998, ,998, ,998, ,998, LNSTGOV LGIP LoneStar Govt O/N 20,913, ,913, ,913, ,913, TEXPOOL LGIP TexPool 27,793, ,793, ,793, ,793, TEXSTAR LGIP TexSTAR 27,054, ,054, ,054, ,054, WF-PFTRA BANK DEP Wells Fargo Choice IV 249, , , , A1D39 03/21/14 AGCY BULET FHLB /12/15 10,000, ,995,90 9,999, ,000, ZQ1 01/16/14 AGCY BULET FHLB /13/15 10,000, ,020,20 10,000, ,001, SK7 02/27/14 TREAS NOTE U.S. Treasury /15/15 10,000, ,024, ,000, ,999, A1JC3 04/01/14 AGCY BULET FHLB /01/15 10,000, ,995,78 9,999, ,000, G0KM4 04/25/14 AGCY BULET FNMA /27/15 10,000, ,039,00 10,008, ,008, ER6 05/30/14 AGCY BULET FHLB /12/15 10,000, ,038,19 10,010, ,011, A2J80 07/02/14 AGCY BULET FHLB /02/15 10,000, ,995,28 9,998, ,996, A2RG3 07/29/14 AGCY BULET FHLB /29/15 10,000, ,998,75 9,999, ,003, V81 07/11/14 AGCY BULET FHLB /28/15 10,000, ,021,70 10,009, ,012, V81 08/27/14 AGCY BULET FHLB /28/15 10,000, ,017,76 10,008, ,012, G0UW1 08/18/14 AGCY BULET FNMA /28/15 10,000, ,016,70 10,007, ,007, A2XA9 09/09/14 AGCY BULET FHLB /29/15 10,000, ,996,50 9,998, ,004, ECCR3 01/29/13 AGCY BULET FFCB /14/15 20,000, ,000,00 20,000, ,018, A3E75 11/05/14 AGCY BULET FHLB /01/15 10,000, ,995,18 9,996, ,991, A0GK0 12/31/14 AGCY CALL FHLB /30/15 Expired ONE TIME 10,000, ,004,10 10,003, ,011, A4EJ7 02/23/15 AGCY BULET FHLB /22/16 10,000, ,997,51 9,997, ,995, A3W26 01/12/15 AGCY BULET FHLB /30/16 20,000, ,000,00 20,000, ,020, A2X35 08/28/14 AGCY BULET FHLB /26/16 5,000, ,000,00 5,000, ,007, EDW24 10/30/14 AGCY CALL FFCB /23/16 03/23/15 CONT 5,000, ,002,55 5,000, ,988, A3CE2 11/05/14 AGCY BULET FHLB /14/16 10,000, ,009,03 10,007, ,010, A3FY5 11/28/14 AGCY CALL FHLB /25/16 05/25/15 QRTLY 5,000, ,000,00 5,000, ,996, G6AA1 01/30/15 AGCY CALL FHLMC /30/17 07/30/15 ONE TIME 5,000, ,000,00 5,000, ,984, A4CY6 02/26/15 AGCY BULET FHLB /21/17 10,000, ,009,70 10,009, ,004, Total for 999 Investment Pool 316,011, ,189, ,068, ,089, Print Date: 3/24/2015 Print Time: 3:09 pm Page 5 of 6 Page 10 of 27

11 Detail of Security Holdings As of 02/28/2015 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 Trinity River Authority 540,784, ,067, ,890, ,008, Print Date: 3/24/2015 Print Time: 3:09 pm Page 6 of 6 Page 11 of 27

12 Change in Value From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description 11/30/14 Cost of Maturities / Amortization / Realized 02/28/15 11/30/14 02/28/15 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 110 CRWS 2010 $107M Const 7,056, (2,373,278.46) 4,683, ,056, ,683, (2,373,218.45) 3135G0HG1 AGCY BULET FNMA /16/15 11,789, (7,468.68) 11,782, ,790, ,782, (8,246.70) DM8 AGCY DISCO FHLB 0 03/25/15 2,998, ,999, ,999,40 3,000,00 60 Total for 110 CRWS 2010 $107M Const 21,845, (2,373,278.46) (6,643.68) 19,465, ,846, ,465, (2,380,865.15) 110 CRWS 2010A $127M Const 7,661, (1,441,997.32) 6,219, ,661, ,219, (1,441,868.52) Total for 110 CRWS 2010A $127M Const 7,661, (1,441,997.32) 6,219, ,661, ,219, (1,441,868.52) 110 CRWS 2011A1 $71M Const 4,588, ,564, ,153, ,588, ,153, ,564, A1MB1 AGCY BULET FHLB /29/14 6,999, (7,000,00) ,000,00 (7,000,00) 3130A1Z27 AGCY BULET FHLB /19/15 2,999, (3,000,00) ,999,70 (2,999,70) 3135G0HG1 AGCY BULET FNMA /16/15 6,004, (3,498.30) 6,000, ,004,80 6,000,60 (4,20) 3130A0R69 AGCY BULET FHLB /24/15 4,501, (994.59) 4,500, ,500,90 4,500,45 (45) 3130A2P91 AGCY BULET FHLB /17/15 19,005, (2,060.36) 19,003, ,994,30 18,998,10 3, A3Y32 AGCY BULET FHLB /22/16 2,998, ,998, ,998,80 2,998,80 Total for 110 CRWS 2011A1 $71M Const 44,099, ,563, (10,000,00) (6,346.62) 38,656, ,088, ,651, (5,436,770.29) 110 CRWS 2011A2 $7M Const 473, (406,394.83) 67, , , (406,390.78) 3130A2XV3 AGCY BULET FHLB /10/15 2,999, ,999, ,999,70 3,000,00 30 Total for 110 CRWS 2011A2 $7M Const 3,473, (406,394.83) ,067, ,473, ,067, (406,090.78) Print Date: 3/24/2015 Print Time: 3:09 pm Page 1 of 6 Page 12 of 27

13 Change in Value From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description 11/30/14 Cost of Maturities / Amortization / Realized 02/28/15 11/30/14 02/28/15 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 110 CRWS 2011A3 $30M Const 2,109, , (303,227.29) 1,809, ,109, ,809, (299,441.83) 3130A2PG5 AGCY BULET FHLB /23/15 5,997, ,998, ,998,80 6,000,00 1,20 Total for 110 CRWS 2011A3 $30M Const 8,107, , (303,227.29) ,808, ,108, ,809, (298,241.83) 110 CRWS $28.9M Const 4,777, ,777, ,777, ,777, G0HG1 AGCY BULET FNMA /16/15 7,505, (4,765.50) 7,500, ,506,00 7,500,75 (5,25) 3130A2WA0 AGCY BULET FHLB /14/15 9,999, ,999, ,001,00 10,003,00 2,00 Total for 110 CRWS $28.9M Const 22,282, (4,512.10) 22,278, ,284, ,281, (3,129.10) 110 CRWS $45M Const 4,903, , (168,515.19) 4,740, ,903, ,740, (162,218.38) 3130A2MC7 AGCY BULET FHLB /17/15 9,996, , ,998, ,999,00 9,999, G0SB0 AGCY BULET FNMA /21/15 9,301, (373.58) 9,301, ,312,09 9,310,23 (1,86) Total for 110 CRWS $45M Const 24,201, , (168,515.19) ,040, ,214, ,050, (164,078.38) 110 CRWS BONY Reserve MISXX MMF Morgan Stanley Trsy MM 205, ,65 260, , , , ECZG2 AGCY BULET FFCB /16/15 17,841, ,841, ,882,04 17,865, (16,042.50) WX4 TREAS NOTE U.S. Treasury /31/16 22,233, , ,237, ,324, ,284, (40,068.00) Total for 110 CRWS BONY Reserve 40,280, ,65 3, ,339, ,411, ,411, (460.50) 117 DCRWS 2011 $19M Const 2,103, ,103, ,103, ,103, Total for 117 DCRWS 2011 $19M Const 2,103, ,103, ,103, ,103, Print Date: 3/24/2015 Print Time: 3:09 pm Page 2 of 6 Page 13 of 27

14 Change in Value From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description 11/30/14 Cost of Maturities / Amortization / Realized 02/28/15 11/30/14 02/28/15 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 117 DCRWS 2011A1 $23.7M Const 1,031, ,031, ,031, ,031, A2XV3 AGCY BULET FHLB /10/15 18,999, ,999, ,998,10 19,000,00 1,90 Total for 117 DCRWS 2011A1 $23.7M Const 20,031, ,031, ,029, ,031, , DCRWS 2011A2 $14M Const 2,405, ,405, ,405, ,405, Total for 117 DCRWS 2011A2 $14M Const 2,405, ,405, ,405, ,405, DCRWS 2012 $14M Const 2,203, (249,981.08) 1,953, ,203, ,953, (249,945.56) RN9 AGCY BULET FHLB /11/16 9,469, (13,659.23) 9,456, ,481,78 9,463,92 (17,86) Total for 117 DCRWS 2012 $14M Const 11,673, (249,981.08) (13,659.23) 11,409, ,685, ,417, (267,805.56) 120 TMCRWS 2010 $23M Const Total for 120 TMCRWS 2010 $23M Const 120 TMCRWS $26.5M Const 8,628, ,802, (99,929.10) 19,331, ,628, ,331, ,702, A26J0 AGCY BULET FHLB /27/15 10,999, (11,000,00) ,998,90 (10,998,90) Total for 120 TMCRWS $26.5M Const 19,627, ,802, (11,099,929.10) ,331, ,627, ,331, (296,235.41) Print Date: 3/24/2015 Print Time: 3:09 pm Page 3 of 6 Page 14 of 27

15 Change in Value From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description 11/30/14 Cost of Maturities / Amortization / Realized 02/28/15 11/30/14 02/28/15 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value 120 TMCRWS $1M Const Total for 120 TMCRWS $1M Const 121 ROCRWS 2011 $11.7M Const 4,100, (199,966.29) 3,900, ,100, ,900, (199,898.65) Total for 121 ROCRWS 2011 $11.7M Const 4,100, (199,966.29) 3,900, ,100, ,900, (199,898.65) 122 MCRWS 2009 $1.7M Const Total for 122 MCRWS 2009 $1.7M Const 122 MCRWS 2011 $3M Const Total for 122 MCRWS 2011 $3M Const 242 TCWSP BONY Reserve MISXX MMF Morgan Stanley Trsy MM 17, ,35 27, , , , WX4 TREAS NOTE U.S. Treasury /31/16 3,735, ,736, ,750, ,744, (6,732.00) Total for 242 TCWSP BONY Reserve 3,753, , ,763, ,768, ,771, , Print Date: 3/24/2015 Print Time: 3:09 pm Page 4 of 6 Page 15 of 27

16 Change in Value From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description 11/30/14 Cost of Maturities / Amortization / Realized 02/28/15 11/30/14 02/28/15 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 1, ,997, ,998, , ,998, ,997, LNSTGOV LGIP LoneStar Govt O/N 28,974, , (8,062,785.43) 20,913, ,974, ,913, (8,060,575.94) TEXPOOL LGIP TexPool 22,769, ,005, (7,981,429.22) 27,793, ,769, ,793, ,024, TEXSTAR LGIP TexSTAR 41,468, ,776, (17,189,593.46) 27,054, ,468, ,054, (14,413,049.66) WF-PFTRA BANK DEP Wells Fargo Choice IV 239, , (135,733.59) 249, , , , EADA4 AGCY BULET FHLMC /29/14 10,002, (10,000,00) (2,919.50) 10,004,00 (10,004,00) 3134G33W8 AGCY BULET FHLMC /07/15 20,000,00 (20,000,00) 20,004,00 (20,004,00) 31315PWS4 AGCY BULET Farmer Mac /23/15 5,000,00 (5,000,00) 5,001,50 (5,001,50) 3134G4FJ2 AGCY BULET FHLMC /23/15 10,001, (10,000,00) (1,967.40) 10,004,00 (10,004,00) 3133ECDR2 AGCY BULET FFCB /24/15 19,999, (20,000,00) ,008,00 (20,008,00) 3130A1D39 AGCY BULET FHLB /12/15 9,998, , ,999, ,000,00 10,000, ZQ1 AGCY BULET FHLB /13/15 10,004, (4,363.10) 10,000, ,009,00 10,001,00 (8,00) SK7 TREAS NOTE U.S. Treasury /15/15 10,006, (5,768.70) 10,000, ,009,00 9,999,00 (10,00) 3130A1JC3 AGCY BULET FHLB /01/15 9,998, , ,999, ,999,00 10,000,00 1, G0KM4 AGCY BULET FNMA /27/15 10,017, (8,958.10) 10,008,56 10,016,00 10,008,00 (8,00) ER6 AGCY BULET FHLB /12/15 10,019, (9,242.10) 10,010, ,017,00 10,011,00 (6,00) 3130A2J80 AGCY BULET FHLB /02/15 9,997, , ,998, ,996,00 9,996, A2RG3 AGCY BULET FHLB /29/15 9,999, ,999, ,000,00 10,003,00 3, V81 AGCY BULET FHLB /28/15 20,027, (9,223.00) 20,018, ,030,00 20,024,00 (6,00) 3135G0UW1 AGCY BULET FNMA /28/15 10,012, (4,060.60) 10,007, ,014,00 10,007,00 (7,00) 3130A2XA9 AGCY BULET FHLB /29/15 9,997, ,998, ,996,00 10,004,00 8, ECCR3 AGCY BULET FFCB /14/15 20,000,00 20,000,00 20,034,00 20,018,00 (16,00) 3130A3E75 AGCY BULET FHLB /01/15 9,995, , ,996, ,993,00 9,991,00 (2,00) 3130A0GK0 AGCY CALL FHLB /30/15 10,004,10 (683.60) 10,003, ,011,00 10,011, A4EJ7 AGCY BULET FHLB /22/16 9,997, ,997, ,995,00 9,995, A3W26 AGCY BULET FHLB /30/16 20,000,00 20,000,00 20,020,00 20,020, A2X35 AGCY BULET FHLB /26/16 5,000,00 5,000,00 5,009,00 5,007,50 (1,50) 3133EDW24 AGCY CALL FFCB /23/16 5,001, (1,604.90) 5,000, ,994,50 4,988,50 (6,00) 3130A3CE2 AGCY BULET FHLB /14/16 10,008, (1,155.60) 10,007, ,011,00 10,010,00 (1,00) 3130A3FY5 AGCY CALL FHLB /25/16 5,000,00 5,000,00 5,003,50 4,996,00 (7,50) 3134G6AA1 AGCY CALL FHLMC /30/17 5,000,00 5,000,00 4,984,50 4,984, A4CY6 AGCY BULET FHLB /21/17 10,009,70 (67.40) 10,009, ,004,00 10,004,00 Print Date: 3/24/2015 Print Time: 3:09 pm Page 5 of 6 Page 16 of 27

17 Change in Value From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description 11/30/14 Cost of Maturities / Amortization / Realized 02/28/15 11/30/14 02/28/15 Book Value Purchases Calls / Sales Accretion Gain/(Loss) Book Value Market Value Market Value Change in Mkt Value Total for 999 Investment Pool 333,542, ,940, (98,369,541.70) (44,409.40) 316,068, ,604, ,089, (17,514,668.50) Total for Trinity River Authority 569,190, ,381, (124,612,831.26) (68,460.92) 540,890, ,414, ,008, (28,405,454.48) Print Date: 3/24/2015 Print Time: 3:09 pm Page 6 of 6 Page 17 of 27

18 Earned Income From 11/30/2014 to 02/28/2015 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 G0HG1 AGCY BULET FNMA /16/15 9, , , (7,468.68) 3, DM8 AGCY DISCO FHLB 0 03/25/ Total for 110 CRWS 2010 $107M Const 9, , , (6,643.68) 4, CRWS 2010A $127M Const Total for 110 CRWS 2010A $127M Const CRWS 2011A1 $71M Const A1MB1 AGCY BULET FHLB /29/14 4, , A1Z27 AGCY BULET FHLB /19/ , G0HG1 AGCY BULET FNMA /16/15 4, , , (3,498.30) 2, A0R69 AGCY BULET FHLB /24/ , , (994.59) 1, A2P91 AGCY BULET FHLB /17/15 13, ,50 19,00 3, (2,060.36) 7, A3Y32 AGCY BULET FHLB /22/ (607.50) Total for 110 CRWS 2011A1 $71M Const 24, , , (607.50) 17, (6,346.62) 12, CRWS 2011A2 $7M Const A2XV3 AGCY BULET FHLB /10/ , Total for 110 CRWS 2011A2 $7M Const , Print Date: 3/24/2015 Print Time: 3:09 pm Page 1 of 6 Page 18 of 27

19 Earned Income From 11/30/2014 to 02/28/2015 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 2011A3 $30M Const A2PG5 AGCY BULET FHLB /23/15 2, , , , Total for 110 CRWS 2011A3 $30M Const 2, , , , CRWS $28.9M Const G0HG1 AGCY BULET FNMA /16/15 5, , , (4,765.50) 2, A2WA0 AGCY BULET FHLB /14/15 4, ,00 9, , Total for 110 CRWS $28.9M Const 10, , , (4,512.10) 7, CRWS $45M Const A2MC7 AGCY BULET FHLB /17/15 4, , , , , , G0SB0 AGCY BULET FNMA /21/15 15,50 8, , , (373.58) 8, Total for 110 CRWS $45M Const 20, , , , , CRWS BONY Reserve MISXX MMF Morgan Stanley Trsy MM ECZG2 AGCY BULET FFCB /16/15 20, , , , WX4 TREAS NOTE U.S. Treasury /31/16 37, , ,65 8, , , Total for 110 CRWS BONY Reserve 57, , , , , , DCRWS 2011 $19M Const Total for 117 DCRWS 2011 $19M Const Print Date: 3/24/2015 Print Time: 3:09 pm Page 2 of 6 Page 19 of 27

20 Earned Income From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description Beg. Accrued Interest Earned Interest Rec'd / Interest Purchased Ending Accrued Disc Accr / Sold / Matured Prem Amort Net Income 117 DCRWS 2011A1 $23.7M Const A2XV3 AGCY BULET FHLB /10/15 4, ,75 9, , Total for 117 DCRWS 2011A1 $23.7M Const 4, , , , DCRWS 2011A2 $14M Const Total for 117 DCRWS 2011A2 $14M Const DCRWS 2012 $14M Const RN9 AGCY BULET FHLB /11/16 20, ,50 44, (13,659.23) 9, Total for 117 DCRWS 2012 $14M Const 20, , , (13,659.23) 9, TMCRWS 2010 $23M Const Total for 120 TMCRWS 2010 $23M Const 120 TMCRWS $26.5M Const A26J0 AGCY BULET FHLB /27/ , , , Total for 120 TMCRWS $26.5M Const , , , TMCRWS $1M Const Total for 120 TMCRWS $1M Const Print Date: 3/24/2015 Print Time: 3:09 pm Page 3 of 6 Page 20 of 27

21 Earned Income From 11/30/2014 to 02/28/2015 CUSIP Security Type Security Description Beg. Accrued Interest Earned Interest Rec'd / Interest Purchased Ending Accrued Disc Accr / Sold / Matured Prem Amort Net Income 121 ROCRWS 2011 $11.7M Const Total for 121 ROCRWS 2011 $11.7M Const MCRWS 2009 $1.7M Const Total for 122 MCRWS 2009 $1.7M Const 122 MCRWS 2011 $3M Const Total for 122 MCRWS 2011 $3M Const 242 TCWSP BONY Reserve MISXX MMF Morgan Stanley Trsy MM WX4 TREAS NOTE U.S. Treasury /31/16 6, , ,35 1, , Total for 242 TCWSP BONY Reserve 6, , , , , Print Date: 3/24/2015 Print Time: 3:09 pm Page 4 of 6 Page 21 of 27

22 Earned Income From 11/30/2014 to 02/28/2015 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 FED-PRIME MMF Federated Prime Oblig LNSTGOV LGIP LoneStar Govt O/N 3, , , TEXPOOL LGIP TexPool 3, , , TEXSTAR LGIP TexSTAR 4, , , EADA4 AGCY BULET FHLMC /29/14 26, , ,25 (2,919.50) 1, G33W8 AGCY BULET FHLMC /07/15 23,20 5,80 29,00 5, PWS4 AGCY BULET Farmer Mac /23/15 5,60 2, , , G4FJ2 AGCY BULET FHLMC /23/15 8, , ,25 (1,967.40) 4, ECDR2 AGCY BULET FFCB /24/15 14,55 12,45 27, , A1D39 AGCY BULET FHLB /12/15 2, ,25 6, , , ZQ1 AGCY BULET FHLB /13/15 8, , ,50 (4,363.10) 5, SK7 TREAS NOTE U.S. Treasury /15/15 7, , , (5,768.70) 3, A1JC3 AGCY BULET FHLB /01/15 2, , , , , G0KM4 AGCY BULET FNMA /27/ ,50 13, (8,958.10) 3, ER6 AGCY BULET FHLB /12/15 23, ,50 25,00 10, (9,242.10) 3, A2J80 AGCY BULET FHLB /02/15 5, , ,25 2, , , A2RG3 AGCY BULET FHLB /29/15 6,10 4,50 9,00 1, , V81 AGCY BULET FHLB /28/15 19, ,75 38, (9,223.00) 9, G0UW1 AGCY BULET FNMA /28/15 9, ,75 17, (4,060.60) 4, A2XA9 AGCY BULET FHLB /29/15 3, ,75 8, , ECCR3 AGCY BULET FFCB /14/15 9, ,50 28, , A3E75 AGCY BULET FHLB /01/15 1,20 4,00 1,20 4,00 1, , A0GK0 AGCY CALL FHLB /30/15 6, , (683.60) 5, A4EJ7 AGCY BULET FHLB /22/ A3W26 AGCY BULET FHLB /30/16 13, , , A2X35 AGCY BULET FHLB /26/16 7,75 7,50 14, , EDW24 AGCY CALL FFCB /23/16 6, ,50 14, (1,604.90) 6, A3CE2 AGCY BULET FHLB /14/16 8, , , (1,155.60) 14, A3FY5 AGCY CALL FHLB /25/ ,75 9, , G6AA1 AGCY CALL FHLMC /30/17 3, , , A4CY6 AGCY BULET FHLB /21/17 1, (1,666.67) 2, (67.40) Total for 999 Investment Pool 199, , , (1,666.67) 244, (44,409.40) 176, Print Date: 3/24/2015 Print Time: 3:09 pm Page 5 of 6 Page 22 of 27

23 Earned Income From 11/30/2014 to 02/28/2015 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 Trinity River Authority 356, , , (2,274.17) 424, (68,460.92) 297, Print Date: 3/24/2015 Print Time: 3:09 pm Page 6 of 6 Page 23 of 27

24 Investment Transactions From 12/01/2014 to 02/28/2015 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 2011A1 $71M Const Maturities 12/29/14 12/29/ A1MB1 AGCY BULET FHLB /29/14 7,000, ,000,00 5, ,005, /19/15 02/19/ A1Z27 AGCY BULET FHLB /19/15 3,000, ,000,00 3,000, Total for: Maturities 10,000,00 10,000,00 5, ,005, Purchases 02/18/15 02/19/ A3Y32 AGCY BULET FHLB /22/16 3,000, ,998, ,998, Total for: Purchases 3,000,00 2,998, ,998, Income Payments 01/25/15 01/24/ A2P91 AGCY BULET FHLB /17/15 19,00 19,00 02/19/15 02/19/ A1Z27 AGCY BULET FHLB /19/15 1,50 1,50 02/22/15 02/22/ A3Y32 AGCY BULET FHLB /22/ Total for: Income Payments 21, , CRWS 2011A3 $30M Const Income Payments 01/23/15 01/23/ A2PG5 AGCY BULET FHLB /23/15 3,75 3,75 Total for: Income Payments 3,75 3, CRWS $45M Const Income Payments 12/21/14 12/21/ G0SB0 AGCY BULET FNMA /21/15 17, , /18/15 01/17/ A2MC7 AGCY BULET FHLB /17/15 6, , Total for: Income Payments 23, , Print Date: 3/24/2015 Print Time: 3:10 pm Page 24 of 27 Page 1 of 4

25 Investment Transactions From 12/01/2014 to 02/28/2015 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 Income Payments 02/02/15 01/31/ WX4 TREAS NOTE U.S. Treasury /31/16 55,65 55,65 Total for: Income Payments 55,65 55, TMCRWS $26.5M Const Maturities 02/27/15 02/27/ A26J0 AGCY BULET FHLB /27/15 11,000, ,000,00 11,000, Total for: Maturities 11,000,00 11,000,00 11,000, Income Payments 02/27/15 02/27/ A26J0 AGCY BULET FHLB /27/15 2, , Total for: Income Payments 2, , TCWSP BONY Reserve Income Payments 02/02/15 01/31/ WX4 TREAS NOTE U.S. Treasury /31/16 9,35 9,35 Total for: Income Payments 9,35 9,35 Print Date: 3/24/2015 Print Time: 3:10 pm Page 25 of 27 Page 2 of 4

26 Investment Transactions From 12/01/2014 to 02/28/2015 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 12/29/14 12/29/ EADA4 AGCY BULET FHLMC /29/14 10,000, ,000,00 10,000, /07/15 01/07/ G33W8 AGCY BULET FHLMC /07/15 20,000, ,000,00 20,000, /23/15 01/23/ PWS4 AGCY BULET Farmer Mac /23/15 5,000, ,000,00 5,000, /23/15 02/23/ G4FJ2 AGCY BULET FHLMC /23/15 10,000, ,000,00 10,000, /24/15 02/24/ ECDR2 AGCY BULET FFCB /24/15 20,000, ,000,00 20,000, Total for: Maturities 65,000,00 65,000,00 65,000, Purchases 12/30/14 12/31/ A0GK0 AGCY CALL FHLB /30/15 10,000, ,004,10 10,004, /08/15 01/12/ A3W26 AGCY BULET FHLB /30/16 20,000, ,000,00 20,000, /22/15 01/30/ G6AA1 AGCY CALL FHLMC /30/17 07/30/15 5,000, ,000,00 5,000, /19/15 02/23/ A4EJ7 AGCY BULET FHLB /22/16 10,000, ,997,51 9,997, /25/15 02/26/ A4CY6 AGCY BULET FHLB /21/17 10,000, ,009,70 1, ,011, Total for: Purchases 55,000,00 55,011,31 1, ,012, Income Payments 12/01/14 12/01/ A3E75 AGCY BULET FHLB /01/15 1,20 1,20 12/12/14 12/12/ ER6 AGCY BULET FHLB /12/15 25,00 25,00 12/29/14 12/29/ EADA4 AGCY BULET FHLMC /29/14 31,25 31,25 01/02/15 01/02/ A2J80 AGCY BULET FHLB /02/15 6,25 6,25 01/07/15 01/07/ G33W8 AGCY BULET FHLMC /07/15 29,00 29,00 01/23/15 01/23/ PWS4 AGCY BULET Farmer Mac /23/15 7, , /29/15 01/29/ A2RG3 AGCY BULET FHLB /29/15 9,00 9,00 02/23/15 02/23/ G4FJ2 AGCY BULET FHLMC /23/15 15,25 15,25 02/24/15 02/24/ ECDR2 AGCY BULET FFCB /24/15 27,00 27,00 02/26/15 02/26/ A2X35 AGCY BULET FHLB /26/16 14, , Total for: Income Payments 166, , Print Date: 3/24/2015 Print Time: 3:10 pm Page 26 of 27 Page 3 of 4

27 Investment Transactions From 12/01/2014 to 02/28/2015 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 86,000,00 86,005, Total Purchases 58,000,00 58,011, Total Income Payments 282, Print Date: 3/24/2015 Print Time: 3:10 pm Page 27 of 27 Page 4 of 4