administration and projects committee staff report...2018/06/30 · 2-1 administration and projects...

Administration and Projects Committee STAFF REPORTMeeting Date: September 6, 2018

Subject Accept Quarterly Cash and Investment Report for the Period Ended

June 30, 2018

Summary of Issues The Authority’s Investment Policy calls for a quarterly report on

investment activity to be prepared and submitted to the Executive

Director, Administration and Projects Committee (APC), and the

Authority Board. The accompanying report covers transactions from

April 1, 2018 through June 30, 2018.

Recommendations Staff seeks acceptance of this report.

Financial Implications None

Options N/A

Attachments A. Quarterly Investment Report for Period Ended June 30, 2018

B. Economic Update – prepared by Public Trust Advisors (PTA)

Changes from

Committee

Background

The Authority’s Investment Policy calls for an investment report to be submitted to the

Executive Director, APC, and the Authority Board. The report summarizes investment balances,

transactions, returns and other pertinent investment matters. The Authority’s cash and

securities are invested in separate portfolios depending upon the objectives for the assets

being managed. As of March 31, 2018, the combined balance for all cash, investments and

holdings was $221,506,832, a decrease of $14,274,884 from the prior quarter end due primarily

to Measure J project expenditures from the 2017A Series Bonds Project Fund.

Checking Account – $1,996,111

This is the Authority’s commercial banking account for accounts payable, payroll, deposits and

electronic activity. Unencumbered funds at the end of each business day are invested in an

2-1

Administration and Projects Committee STAFF REPORT September 6, 2018

of 3

interest bearing account with Wells Fargo Bank. During this period the Authority received a

total of $9,173,218 and disbursed a total of $8,724,129.

Local Agency Investment Fund (LAIF) – $26,346,103

LAIF is a pooled investment fund managed by the State Treasurer’s Office for public agencies.

The LAIF return was 1.43% at the end of the quarter.

Investment Portfolio – $129,639,423

The investment portfolio is actively managed with assistance from PTA, a registered and

independent investment advisor. The portfolio includes individual securities, such as Treasury

Notes, Federal Agency Securities, high‐quality corporate notes, and other securities permitted

by the Authority’s Investment Policy.

Performance Factors April 1, 2018 Beginning Balance

June 30, 2018 Ending Balance

Quarter Change

Market Value $129,639,423 $130,052,515 $413,092

Book Yield 1.45% 1.59% 0.14%

Yield to Maturity 2.32% 2.52% 0.20%

1‐3 Year Treasury Benchmark 1.80% 1.80% 0.00%

2015A Series Bonds Capitalized Interest Fund – $5,311,274

This portfolio contains Measure J bond proceeds for the payment of bond interest on the Series

2015A Bonds (every March 1 and September 1). The proceeds are invested primarily in U.S.

Treasury Securities with maturities aligned with the timing of future bond interest payments.

The final bond interest payment from this fund will be on September 1, 2018.

2017A Series Bonds Projects Fund – $58,213,921

This portfolio contains the bond proceeds from the Authority’s most recent bond transaction

that closed on June 1, 2017. The bonds fund Measure J capital projects called for in the

Authority’s Expenditure Plan. The bond proceeds are in the process of being invested in a

structured portfolio of Treasuries, Federal Securities, and high‐quality corporate securities as

permitted by the Authority’s Investment Policy. The objective of the portfolio is primarily the

2-2

Administration and Projects Committee STAFF REPORT September 6, 2018

of 3

safety of principal with maturities aligned with cash flow requirements of construction

milestones.

Economic Update

Attachment B is a report prepared by PTA, the Authority’s investment advisor. The report

contains slides of commonly referenced economic indicators and trends, including Gross

Domestic Product, inflation, unemployment, and the Treasury yield curve.

Certification: The investment portfolio is in compliance with the Authority's adopted

investment policy. Furthermore, as required by State regulation, it is certified that the Authority

has sufficient cash liquidity to meet expected expenditure requirements over the next six

months for fiscal operations. Certified by the following:

Randall O. Carlton

Deputy Executive Director, Administration

2-3

Contra Costa Transportation Authority Portfolio Public Trust Advisors LLC

2999 Oak Road, Suite 100 777 South Figueroa Street

Walnut Creek, CA 94597 Suite 805

Los Angeles, CA 90017

Quarterly Investment Report for Period Ended June 30, 2018

Attachment A

2-4

Investment Management Portfolio Review Page

Investment Portfolio Summary Comparison 3

Total Return Performance Summary 4

Investment Portfolio Maturity Distribution 5

Investment Portfolio Maturity Distribution By Security Type 6

Investment Portfolio Rating Distribution 7

Investment Portfolio Security Distribution - Market Value 8

Investment Portfolio Security Distribution - Historical Cost 9

Portfolio Holding Details 10

Contra Costa Transportation Authority Portfolio Summary

Page 2 of 15Page 2 of 2-5

Contra Costa Transportation

Authority Portfolio

April 1, 2018

Beginning Balance

June 30, 2018

Ending Balance Portfolio Characteristic

April 1, 2018

Beginning Balance

June 30, 2018

Ending Balance

Historical Cost 131,082,034.87$ 131,391,786.26$ Book Yield Gross 1.45% 1.59%

Book Value 130,820,463.70$ 131,138,944.75$ Market Yield Gross 2.32% 2.52%

Accrued Interest 503,723.19 449,855.81$ Weighted Average Coupon 1.62% 1.72%

Book Value Plus Accrued 131,324,186.90$ 131,588,800.57$ Duration 1.69 Years 1.56 Years

Net Unrealized Gain/Loss (1,739,468.75) (1,728,832.79) Weighted Effective Maturity 1.73 Years 1.61 Years

Market Value Plus Accrued(2)129,584,718.14$ 129,859,967.78$ Weighted Final Maturity 1.73 Years 1.61 Years

Net Pending Transactions 54,704.30 192,547.30

Market Value Plus Accrued Net(2)129,639,422.44$ 130,052,515.08$

Contra Costa Transportation

Authority Portfolio

June 2018

Net Income Portfolio Compliance Compliant

Interest Income 540,616.48$ Security Distribution YES

Net Amortization/Accretion (44,104.03) Maturity Distribution YES

Net Realized Gain/Loss(3) (94,055.78) Rating Distribution YES

Miscellaneous Income -

Net Income 402,456.67$

Contra Costa Transportation Authority Portfolio Summary Comparison for the period April 1, 2018 to June 30, 2018

(1) Payables represent amounts due to settle security transactions that have been executed but have not settled as of period end. The funds used to settle these trades may come from a variety of sources including cash within

the portfolio, proceeds from future security transactions including maturities and sales, or other sources including money market funds. For reporting purposes, a payable is created for over-period settlements which are

reflected in the detailed holdings.

(2) Market Value Plus Accrued Net represents the market value of the portfolio net payables and recievables from transactions that settle in the following reporting period.

(3) MBS paydowns may result in negative realized losses rather than amortization in as a result of accounting method.

Page 3 of 152-6

Trailing Month Trailing Quarter Fiscal Year to Date Since Inception*

Total Return Performance Periodic Periodic Periodic Annualized

Contra Costa Transportation Authority Portfolio 0.07% 0.32% 0.20% 0.66%

ICE BofA ML 1-3 Year US Treasury Index 0.02% 0.22% 0.09% 0.53%

Yield to Maturity

June 30, 2018

Ending Balance

Contra Costa Transportation Authority Portfolio 2.52%

ICE BofA ML 1-3 Year US Treasury Index 2.51%

Duration September 2017 December 2017 March 2018 June 2018

Contra Costa Transportation Authority Portfolio 1.720 1.800 1.690 1.560

ICE BofA ML 1-3 Year US Treasury Index 1.810 1.800 1.800 1.800

*Total return since inception date: April 1, 2013. Figures based on information provided by prior investment manager. Performance prior to July 21, 2016 not verified by Public Trust. Performance for Sales Tax Portfolio.

Annualized total return performance presented for investment periods longer than one year. Return information obtained from Bloomberg.

Contra Costa Transportation Authority Portfolio Total Return April 1, 2018 to June 30, 2018

0.07%

0.32%0.20%

0.66%

0.02%0.22%

0.09%

0.53%

-1.25%

-0.75%

-0.25%

0.25%

0.75%

1.25%

Trailing Month Trailing Quarter Fiscal Year to Date Since Inception*

Yie

ld

Total Return Performance vs. Benchmark

Contra Costa Transportation Authority Portfolio

1.721.80

1.69

1.56

1.81 1.80 1.80 1.80

1.00

1.25

1.50

1.75

2.00

September 2017 December 2017 March 2018 June 2018

Ye

ars

Portfolio vs. Benchmark Duration

Contra Costa Transportation Authority Portfolio ICE BofA ML 1-3 Year US Treasury Index

Page 4 of 152-7

Maturity Distribution

April 1, 2018

Beginning Balance

June 30, 2018

Ending Balance Portfolio Allocation Distribution Change

0-3 Months 76,894.44$ 202,077.86$ 0.16% 0.10%

3-6 Months 156,324.22 2,791,787.02 2.15% 2.03%

6-9 Months 2,835,202.22 3,186,751.49 2.45% 0.27%

9-12 Months 15,230,736.73 22,915,761.35 17.65% 5.89%

1-2 Years 69,647,103.71 66,049,630.99 50.86% -2.88%

2-3 Years 39,238,687.56 34,713,959.07 26.73% -3.55%

3-4 Years 2,399,769.27 - 0.00% -1.85%

4-5 Years - - 0.00% 0.00%

5-6 Years - - 0.00% 0.00%

6 Years + - - 0.00% 0.00%

Total Portfolio 129,584,718.14$ 129,859,967.78$ 100.00%

Contra Costa Transportation Authority Portfolio Maturity Distribution Market Value Basis April 1, 2018 to June 30, 2018

$-

$10,000,000

$20,000,000

$30,000,000

$40,000,000

$50,000,000

$60,000,000

$70,000,000

$80,000,000

0-3 M 3-6 M 6-9 M 9-12 M 1-2 Yr 2-3 Yr 3-4 Yr 4-5 Yr 5-6 Yr 6 Yr +

Maturity Distribution Comparison

April 1, 2018 June 30, 2018

0-3 M0.16%

3-6 M2.15%

6-9 M2.45%

9-12 M17.65%

1-2 Yr50.86%

2-3 Yr26.73%

Maturity Distribution

Page 5 of 152-8

Security Distribution 0-3 Months 3-6 Months 6-9 Months 9-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years Total Portfolio

Cash -$ -$ -$ -$ -$ -$ -$ -$ -$

Money Market Funds 103,189 - - - - - - - 103,189

Certificates of Deposit - - - - - - - - -

Commercial Paper - - - - - - - - -

U.S. Treasury Notes - - - 15,833,205 54,780,313 18,427,267 - - 89,040,785

U.S. Agency Notes - - - - - - - - -

Federal Inst. (GSE)* 98,889 188,883 - 2,737,155 - 12,459,040 - - 15,483,966

Corporate Notes - 2,602,904 3,186,751 4,345,401 11,269,318 3,827,652 - - 25,232,027

Municipal Bonds - - - - - - - - -

Total 202,078$ 2,791,787$ 3,186,751$ 22,915,761$ 66,049,631$ 34,713,959$ -$ -$ 129,859,968$

*Mortgage backed securities shown to effective maturity.

Contra Costa Transportation Authority Portfolio Maturity Distribution Market Value Basis as of June 30, 2018

$-

$10,000,000

$20,000,000

$30,000,000

$40,000,000

$50,000,000

$60,000,000

$70,000,000

0-3 Months 3-6 Months 6-9 Months 9-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years

Maturity Distribution By TypeMunicipal Bonds

Corporate Notes

Federal Inst. (GSE)*

U.S. Agency Notes

U.S. Treasury Notes

Commercial Paper

Certificates of Deposit

Money Market Funds

Cash

Page 6 of 15 2-9

S&P Rating Distribution

June 30, 2018

Ending Balance Portfolio Allocation

Short Term Rating Distribution

A-1+ -$ 0.00%

A-1 - 0.00%

A-2 - 0.00%

Total Short Term Ratings -$ 0.00%

Long Term Rating Distribution

AAA Rating 1,530,208.34$ 1.18%

AA Rating 123,984,358.13 95.48%

A Rating 4,345,401.31 3.35%

Below A - 0.00%

Not Rated - 0.00%

Total Long Term Rating 129,859,967.78$ 100.00%

Total Portfolio 129,859,967.78$ 100.00%

Moody's Rating Distribution

June 30, 2018

Ending Balance Portfolio Allocation

Short Term Rating Distribution

P-1 -$ 0.00%

P-2 - 0.00%

Total Short Term Ratings -$ 0.00%

Long Term Rating Distribution

Aaa Rating 110,082,082.86$ 84.77%

Aa Rating 16,492,536.92 12.70%

A Rating 3,285,348.00 2.53%

Below A - 0.00%

Not Rated - 0.00%

Total Long Term Rating 129,859,967.78$ 100.00%

Total Portfolio 129,859,967.78$ 100.00%

Contra Costa Transportation Authority Portfolio Rating Distribution Market Value Basis as of June 30, 2018

AAA Rating1.18%

AA Rating95.48%

A Rating3.35%

Portfolio Allocation By Standard and Poors' Rating

Aaa Rating84.77%

Aa Rating12.70%

A Rating2.53%

Portfolio Allocation By Moody's Rating

Page 7 of 152-10

Security Distribution

April 1, 2018

Beginning Balance

Portfolio

Allocation

June 30, 2018

Ending Balance Book Yield

Portfolio

Allocation

Change in

Allocation

Permitted

by Policy*

Complia

nt

Cash -$ 0.00% -$ 0.00% 0.00% 0.00% 100.00% YES

U.S. Treasury Notes 96,344,395.16 74.35% 89,040,785.23 1.40% 68.57% -5.78% 100.00% YES

U.S. Agency Notes - 0.00% - 0.00% 0.00% 0.00% 50.00% YES

FNMA 3,352,438.99 2.59% 287,771.88 1.10% 0.22% -2.37% 40.00% YES

FHLMC 6,895,813.17 5.32% 12,459,039.58 2.26% 9.59% 4.27% 40.00% YES

FFCB - 0.00% - 0.00% 0.00% 0.00% 40.00% YES

FHLB 2,743,061.75 2.12% 2,737,154.73 1.14% 2.11% -0.01% 40.00% YES

Fed Instrumentality Subtotal 12,991,313.90$ 10.03% 15,483,966.18$ 2.04% 11.92% 1.90% 50.00% YES

Repurchase Agreement - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Commercial Paper - 0.00% - 0.00% 0.00% 0.00% 35.00% YES

Corporate Notes 20,172,114.64 15.57% 25,232,027.48 1.96% 19.43% 3.86% 35.00% YES

Bankers Acceptances - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Money Market Funds 76,894.44 0.06% 103,188.89 1.48% 0.08% 0.02% 75.00% YES

State and/or Local Government - 0.00% - 0.00% 0.00% 0.00% 25.00% YES

Certificates of Deposit - 0.00% - 0.00% 0.00% 0.00% 15.00% YES

Total Portfolio Market Value 129,584,718.14$ 100.00% 129,859,967.78$ 1.59% 100.00%

*Permitted allocation based on aggregate assets as defined within the investment policy.

Contra Costa Transportation Authority Portfolio Market Value Basis Security Distribution April 1, 2018 to June 30, 2018

$-

$20,000,000

$40,000,000

$60,000,000

$80,000,000

$100,000,000

$120,000,000

Cas

h

UST

Age

ncy

FNM

A

FHLM

C

FFC

B

FHLB

Rep

o

CP

Co

rp BA

MM

F

Mu

ni

CD

Asset Balance By Security Type(in millions)

April 1, 2018 June 30, 2018

UST68.57%

FNMA0.22%

FHLMC9.59%

FHLB2.11%

Corp19.43%MMF

0.08%

Ending Portfolio Allocation

Page 8 of 152-11

Security Distribution

April 1, 2018

Beginning Balance

Portfolio

Allocation

June 30, 2018

Ending Balance Book Yield

Portfolio

Allocation

Change in

Allocation

Permitted by

Policy*

Compli

ant

Cash -$ 0.00% -$ 0.00% 0.00% 0.00% 100.00% YES

U.S. Treasury Notes 97,565,579.20 74.43% 90,317,307.71 1.40% 68.74% -5.69% 100.00% YES

U.S. Agency Notes - 0.00% - 0.00% 0.00% 0.00% 50.00% YES

FNMA 3,388,752.58 2.59% 291,264.46 1.10% 0.22% -2.36% 40.00% YES

FHLMC 6,927,343.00 5.28% 12,508,203.80 2.26% 9.52% 4.24% 40.00% YES

FFCB - 0.00% - 0.00% 0.00% 0.00% 40.00% YES

FHLB 2,768,836.60 2.11% 2,768,836.60 1.14% 2.11% 0.00% 40.00% YES

Fed Instrumentality Subtotal 13,084,932.18$ 9.98% 15,568,304.86$ 2.04% 11.85% 1.87% 50.00% YES

Repurchase Agreement - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Commercial Paper - 0.00% - 0.00% 0.00% 0.00% 35.00% YES

Corporate Notes 20,354,629.05 15.53% 25,402,984.80 1.96% 19.33% 3.81% 35.00% YES

Bankers Acceptances - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Money Market Funds 76,894.44 0.06% 103,188.89 1.48% 0.08% 0.02% 75.00% YES

State and/or Local Government - 0.00% - 0.00% 0.00% 0.00% 25.00% YES

Certificates of Deposit - 0.00% - 0.00% 0.00% 0.00% 15.00% YES

Total Portfolio Historical Cost 131,082,034.87$ 100.00% 131,391,786.26$ 1.59% 100.00%

*Permitted allocation based on aggregate assets as defined within the investment policy.

Contra Costa Transportation Authority Portfolio Historical Cost Basis Security Distribution April 1, 2018 to June 30, 2018

$-

$20,000,000

$40,000,000

$60,000,000

$80,000,000

$100,000,000

$120,000,000

Cas

h

UST

Age

ncy

FNM

A

FHLM

C

FFC

B

FHLB

Rep

o

CP

Co

rp BA

MM

F

Mu

ni

CD

Asset Balance By Security Type(in millions)

April 1, 2018 June 30, 2018

UST68.74%

FNMA0.22%

FHLMC9.52%

FHLB2.11%

Corp19.33%

MMF0.08%

Ending Portfolio Allocation

Page 9 of 152-12

Portfolio Holdings

Contra Costa Transportation Authority Portfolio Detail

Page 10 of 15 2-13

Description,Identifier,

Security Type,Coupon

Effective Maturity,Final Maturity,Callable,Next Call Date

Original Cost,Current Units,

Market Price

Trade Date,Settle Date

MoodysRating,S&P Rating,Fitch Rating

Book Value,Book Value + Accrued

Accrued Balance,Net Unrealized Gain/Loss

Market Value,Market Value + Accrued

FEDERAL HOME LOAN BANKS3130A8DB6

AGCY BOND1.125

06/21/201906/21/2019N---

2,768,836.602,770,000.00

98.7830

06/02/201606/03/2016

AaaAA+---

2,769,627.322,770,492.95

865.63-33,338.22

2,736,289.102,737,154.73

FEDERAL HOME LOAN MORTGAGE CORP3137EAEK1

AGCY BOND1.875

11/17/202011/17/2020N---

6,927,343.006,950,000.00

98.1520

12/06/201712/08/2017

AaaAA+---

6,931,620.546,947,547.62

15,927.08-110,056.54

6,821,564.006,837,491.08

FEDERAL HOME LOAN MORTGAGE CORP3137EAEL9

AGCY BOND2.375

02/16/202102/16/2021N---

5,580,860.805,615,000.00

99.2260

04/17/201804/19/2018

AaaAA+---

5,583,246.435,633,255.02

50,008.59-11,706.53

5,571,539.905,621,548.49

BERKSHIRE HATHAWAY FINANCE CORP084664CG4

CORP1.700

03/15/201903/15/2019N---

229,825.20230,000.00

99.4800

03/08/201603/15/2016

Aa2AA---

229,950.41231,101.69

1,151.28-1,146.41

228,804.00229,955.28

CHEVRON CORP166764BA7

CORP1.790

11/16/201811/16/2018N---

1,200,000.001,200,000.00

99.7730

11/09/201511/17/2015

Aa2AA----

1,200,000.001,202,685.00

2,685.00-2,724.00

1,197,276.001,199,961.00

COCA-COLA CO191216BV1

CORP1.375

05/30/201905/30/2019N---

1,069,251.001,070,000.00

98.9520

05/25/201605/31/2016

Aa3A+---

1,069,758.401,071,025.31

1,266.91-10,972.00

1,058,786.401,060,053.31

EXXON MOBIL CORP30231GAP7

CORP1.708

03/01/201903/01/2019N---

1,112,716.001,100,000.00

99.4970

06/13/201606/16/2016

AaaAA+---

1,103,319.831,109,582.49

6,262.67-8,852.83

1,094,467.001,100,729.67

INTERNATIONAL BUSINESS MACHINES CORP459200JE2

CORP1.800

05/17/201905/17/2019N---

3,298,647.003,300,000.00

99.3360

02/16/201602/19/2016

A1A+---

3,299,616.663,306,876.66

7,260.00-21,528.66

3,278,088.003,285,348.00

JOHNSON & JOHNSON478160BR4

CORP1.125

03/01/201903/01/2019N---

859,896.80860,000.00

99.0610

02/26/201603/01/2016

AaaAAA---

859,978.22863,203.22

3,225.00-8,053.62

851,924.60855,149.60

TOYOTA MOTOR CREDIT CORP89236TAY1

CORP2.000

10/24/201810/24/2018N---

1,416,408.001,400,000.00

99.8380

10/13/201510/16/2015

Aa3AA----

1,402,321.431,407,532.54

5,211.11-4,589.43

1,397,732.001,402,943.11

APPLE INC037833CE8

CORP1.550

02/08/201902/08/2019N---

999,240.001,000,000.00

99.4760

02/03/201702/09/2017

Aa1AA+---

999,767.321,005,924.27

6,156.94-5,007.32

994,760.001,000,916.94

APPLE INC037833AR1

CORP2.850

05/06/202105/06/2021N---

2,445,062.502,375,000.00

99.7520

04/25/201704/28/2017

Aa1AA+---

2,425,201.452,435,542.59

10,341.15-56,091.45

2,369,110.002,379,451.15

APPLE INC037833CS7

CORP1.800

05/11/202005/11/2020N---

998,980.001,000,000.00

98.3010

05/04/201705/11/2017

Aa1AA+---

999,360.711,001,860.71

2,500.00-16,350.71

983,010.00985,510.00

EXXON MOBIL CORP30231GAG7

CORP1.912

03/06/202003/06/2020Y02/06/2020

2,967,552.502,950,000.00

98.5890

08/28/201708/31/2017

AaaAA+---

2,961,628.812,979,646.76

18,017.94-53,253.31

2,908,375.502,926,393.44

APPLE INC037833CZ1

CORP1.500

09/12/201909/12/2019N---

1,034,109.901,035,000.00

98.7550

09/05/201709/12/2017

Aa1AA+---

1,034,463.591,039,164.21

4,700.63-12,349.34

1,022,114.251,026,814.88

WAL-MART STORES INC931142DY6

CORP1.750

10/09/201910/09/2019N---

539,989.20540,000.00

98.9280

10/11/201710/20/2017

Aa2AA---

539,992.22542,144.72

2,152.50-5,781.02

534,211.20536,363.70

Holdings Report Trade Date CCTA Tax Agg (73911)As of 06/30/2018 Dated: 07/10/2018

Page 11 of 15 2-14





Market Price






JOHNSON & JOHNSON478160CH5

CORP1.950

11/10/202011/10/2020N---

579,379.40580,000.00

98.3220

11/08/201711/10/2017

AaaAAA---

579,507.64581,109.89

1,602.25-9,240.04

570,267.60571,869.85

TOYOTA MOTOR CREDIT CORP89236TEJ0

CORP2.200

01/10/202001/10/2020N---

1,603,571.551,605,000.00

99.0920

01/08/201801/11/2018

Aa3AA----

1,603,903.371,620,577.53

16,674.17-13,476.77

1,590,426.601,607,100.77

TOYOTA MOTOR CREDIT CORP89236TEU5

CORP2.950

04/13/202104/13/2021N---

874,650.00875,000.00

99.5130

04/10/201804/13/2018

Aa3AA----

874,674.27880,266.97

5,592.71-3,935.52

870,738.75876,331.46

WALMART INC931142EG4

CORP2.850

06/23/202006/23/2020N---

4,173,705.754,175,000.00

100.2590

06/20/201806/27/2018

Aa2AA---

4,173,712.554,175,034.64

1,322.0812,100.70

4,185,813.254,187,135.33

FNA 15M15A AS23136AQSW1

FNMA1.898

09/24/201801/25/2019N---

100,025.7199,035.37

99.6940

11/06/201511/30/2015

AaaAA+---

99,230.2999,386.94

156.65-497.97

98,732.3298,888.97

FNA 16M06A AS23136ASPX8

FNMA1.785

11/06/201806/25/2019N---

191,238.74189,345.38

99.6070

06/09/201606/30/2016

AaaAA+---

189,690.95189,972.60

281.65-1,089.69

188,601.26188,882.91

FIRST AMER:GVT OBLG;Y31846V203

MMFUND1.520

06/30/201806/30/2018N---

103,188.89103,188.89

1.0000

06/26/201806/26/2018

AaaAAAm---

103,188.89103,188.89

0.000.00

103,188.89103,188.89

UNITED STATES TREASURY912828C65

US GOV1.625

03/31/201903/31/2019N---

2,032,812.502,000,000.00

99.5150

10/21/201610/25/2016

AaaAA+---

2,010,180.712,018,350.11

8,169.40-19,880.71

1,990,300.001,998,469.40

UNITED STATES TREASURY912828TR1

US GOV1.000

09/30/201909/30/2019N---

5,052,169.935,050,000.00

98.2500

10/21/201610/25/2016

AaaAA+---

5,050,934.885,063,628.87

12,693.99-89,309.88

4,961,625.004,974,318.99

UNITED STATES TREASURY912828D80

US GOV1.625

08/31/201908/31/2019N---

7,779,631.827,675,000.00

99.0930

11/10/201611/15/2016

AaaAA+---

7,719,123.697,760,809.58

41,685.89-113,735.94

7,605,387.757,647,073.64

UNITED STATES TREASURY912828F62

US GOV1.500

10/31/201910/31/2019N---

481,762.50480,000.00

98.7570

12/08/201612/12/2016

AaaAA+---

480,823.15482,036.20

1,213.04-6,789.55

474,033.60475,246.64

UNITED STATES TREASURY912828C65

US GOV1.625

03/31/201903/31/2019N---

752,950.00740,000.00

99.5150

03/02/201603/04/2016

AaaAA+---

743,647.17746,669.85

3,022.68-7,236.17

736,411.00739,433.68

UNITED STATES TREASURY912828WS5

US GOV1.625

06/30/201906/30/2019N---

3,677,906.273,600,000.00

99.2810

09/07/201609/09/2016

AaaAA+---

3,627,895.483,628,054.45

158.97-53,779.48

3,574,116.003,574,274.97

UNITED STATES TREASURY912828SX9

US GOV1.125

05/31/201905/31/2019N---

3,630,234.383,600,000.00

98.9020

09/07/201609/09/2016

AaaAA+---

3,610,237.093,613,667.41

3,430.33-49,765.09

3,560,472.003,563,902.33

UNITED STATES TREASURY912828G95

US GOV1.625

12/31/201912/31/2019N---

2,730,837.512,720,000.00

98.7500

01/13/201701/17/2017

AaaAA+---

2,725,557.712,725,677.82

120.11-39,557.71

2,686,000.002,686,120.11

UNITED STATES TREASURY912828UL2

US GOV1.375

01/31/202001/31/2020N---

5,590,593.745,600,000.00

98.2810

04/04/201704/06/2017

AaaAA+---

5,594,693.145,626,811.92

32,118.78-90,957.14

5,503,736.005,535,854.78


Page 12 of 15 2-15





Market Price






UNITED STATES TREASURY912828W22

US GOV1.375

02/15/202002/15/2020N---

5,588,406.265,600,000.00

98.2140

04/04/201704/06/2017

AaaAA+---

5,593,378.305,622,306.47

28,928.18-93,394.30

5,499,984.005,528,912.18

UNITED STATES TREASURY912828W63

US GOV1.625

03/15/202003/15/2020N---

5,627,125.005,600,000.00

98.5110

04/04/201704/06/2017

AaaAA+---

5,615,890.375,642,596.89

26,706.52-99,274.37

5,516,616.005,543,322.52

UNITED STATES TREASURY912828V31

US GOV1.375

01/15/202001/15/2020N---

4,034,476.554,040,000.00

98.3120

06/26/201706/29/2017

AaaAA+---

4,036,640.784,062,267.44

25,626.66-64,835.98

3,971,804.803,997,431.46

UNITED STATES TREASURY912828X21

US GOV1.500

04/15/202004/15/2020N---

3,017,522.663,020,000.00

98.2220

07/11/201707/13/2017

AaaAA+---

3,018,394.503,027,924.83

9,530.33-52,090.10

2,966,304.402,975,834.73


US GOV1.500

10/31/201910/31/2019N---

1,174,296.101,170,000.00

98.7570

12/08/201612/12/2016

AaaAA+---

1,172,011.361,174,968.15

2,956.79-16,554.46

1,155,456.901,158,413.69


US GOV1.500

10/31/201910/31/2019N---

501,835.94500,000.00

98.7570

12/08/201612/12/2016

AaaAA+---

500,859.54502,123.13

1,263.59-7,074.54

493,785.00495,048.59


US GOV1.500

10/31/201910/31/2019N---

2,760,097.672,750,000.00

98.7570

12/08/201612/12/2016

AaaAA+---

2,754,727.982,761,677.71

6,949.73-38,910.48

2,715,817.502,722,767.23


US GOV1.500

05/15/202005/15/2020N---

4,555,509.784,550,000.00

98.1320

08/03/201708/07/2017

AaaAA+---

4,553,766.194,562,482.90

8,716.71-88,760.19

4,465,006.004,473,722.71

UNITED STATES TREASURY912828WS5

US GOV1.625

06/30/201906/30/2019N---

6,025,078.146,000,000.00

99.2810

09/18/201709/20/2017

AaaAA+---

6,014,171.966,014,436.91

264.95-57,311.96

5,956,860.005,957,124.95

UNITED STATES TREASURY912828VJ6

US GOV1.875

06/30/202006/30/2020N---

5,568,164.065,525,000.00

98.7100

10/03/201710/05/2017

AaaAA+---

5,556,725.055,557,006.56

281.50-102,997.55

5,453,727.505,454,009.00

UNITED STATES TREASURY912828XM7

US GOV1.625

07/31/202007/31/2020N---

5,528,668.935,525,000.00

98.1170

10/03/201710/05/2017

AaaAA+---

5,527,755.355,565,205.54

37,450.19-106,791.10

5,420,964.255,458,414.44


US GOV1.500

04/15/202004/15/2020N---

999,179.691,000,000.00

98.2220

07/11/201707/13/2017

AaaAA+---

999,474.561,002,630.29

3,155.74-17,254.56

982,220.00985,375.74


US GOV1.500

04/15/202004/15/2020N---

999,179.691,000,000.00

98.2220

07/11/201707/13/2017

AaaAA+---

999,475.501,002,631.23

3,155.74-17,255.50

982,220.00985,375.74


US GOV1.500

04/15/202004/15/2020N---

999,179.691,000,000.00

98.2220

07/11/201707/13/2017

AaaAA+---

999,474.461,002,630.20

3,155.74-17,254.46

982,220.00985,375.74

UNITED STATES TREASURY912828TH3

US GOV0.875

07/31/201907/31/2019N---

2,672,572.662,660,000.00

98.3900

06/27/201606/28/2016

AaaAA+---

2,664,519.422,674,228.06

9,708.63-47,345.42

2,617,174.002,626,882.63


US GOV1.500

05/15/202005/15/2020N---

1,001,210.941,000,000.00

98.1320

08/03/201708/07/2017

AaaAA+---

1,000,833.751,002,749.51

1,915.76-19,513.75

981,320.00983,235.76


Page 13 of 15 2-16

* Filtered By: Description ≠ "Payable" and Description ≠ "Receivable". * Weighted by: Market Value + Accrued.





Market Price






UNITED STATES TREASURY912828PC8

US GOV2.625

11/15/202011/15/2020N---

4,168,801.384,145,000.00

100.0850

03/26/201803/28/2018

AaaAA+---

4,166,566.004,180,462.45

13,896.45-18,042.75

4,148,523.254,162,419.70

UNITED STATES TREASURY912828A83

US GOV2.375

12/31/202012/31/2020N---

3,367,103.923,370,000.00

99.4720

03/26/201803/28/2018

AaaAA+---

3,367,425.373,367,642.87

217.49-15,218.97

3,352,206.403,352,423.89

------------

02/08/202002/08/2020------

131,391,786.26130,941,569.64

---

------

Aa1AA+---

131,138,944.75131,588,800.57

449,855.81-1,728,832.79

129,410,111.97129,859,967.78


Page 14 of 15 2-17

Additional Disclosure:

The information on this website is for general purposes only and is not intended to provide specific advice or recommendations. All information presented on this website is obtained via electronic data transfer from theCustodian. While this information is reconciled on a daily basis, when available, accuracy is relied upon from the Custodian. Please review the data carefully. Should you have any questions regarding the informationpresented, calculation methodology, investment portfolio or security detail, or any other facet of the data, please feel free to contact us.

This data is intended to detail our investment advisory activity as well as the activity of any client accounts managed by Public Trust Advisors, LLC (Public Trust). The custodian bank maintains the control of assets andexecutes and settles all investment transactions. The custodian statement is the official record of security and cash holdings transactions. Public Trust recognizes that clients may use these reports to facilitate record keeping;therefore it is recommended that the client reconcile this statement with their custodian bank statement. Many custodians use a settlement date basis which may result in the need to reconcile due to a timing difference.Please contact your relationship manager or call our toll free number 855-395-3954 with questions regarding your account.

Public Trust does not have the authority to withdraw funds from or deposit funds to the custodian. Our clients retain responsibility for their internal accounting policies; implementing and enforcing internal controls andgenerating ledger entries or otherwise recording transactions.

Pricing sources from our reporting platform are provided by Clearwater Analytics®. Clearwater utilizes a hierarchical pricing model with multiple options for pricing sources. These options include custodial pricing, S&P CapitalIQ and other sources. Since multiple pricing hierarchies are offered through Clearwater Analytics, and client preferences regarding pricing sources may differ, it is important to verify the specific pricing hierarchy for eachportfolio. Securities with short maturities and infrequent secondary market trades are typically priced via mathematical calculations. The securities in this investment portfolio, including shares of mutual funds, are notguaranteed or otherwise protected by Public Trust, the FDIC (except for certain non-negotiable certificates of deposit) or any government agency, unless otherwise specifically stated. Investing involves risk, including thepossible loss of principal.

Past performance is not an indicator of future performance or results.

Public Trust statements present beginning and ending balances and are based on Market Value plus accrued interest on a Trade Date basis. Customized reports made available to the end user either from Public Trust orthrough the online reporting platform may present information and portfolio analytics using various optional methods including, but not limited to, historical cost, amortized cost, and market value. Custom reports may also differfrom the information received from the custodian as a result of additional formulas and filters created based on end user preferences.

The investment advisor providing these services is Public Trust Advisors, LLC, an investment adviser registered with the U.S. Securities and Exchange Commission (SEC) under the Investment Advisers Act of 1940, asamended. Registration with the SEC does not imply a certain level of skill or training. Public Trust is required to maintain a written disclosure brochure of our background and business experience. If you would like to receive acopy of our current disclosure brochure, privacy policy, or code of ethics please contact us at the address below.

Public Trust Advisors

717 17th St. Suite 1850

Denver, CO 80202

DisclaimerDated: 07/10/2018

Page 15 of 152-18

Economic Update and Yield Curve Analysis

Second Quarter 2018

Attachment B

2-19

Public Trust Advisors 2018 ©

Economic Update

Benchmarks are provided for illustrative purposes only. Comparisons to benchmarks have limitations because benchmarks have volatility and other material characteristics that may differ from the portfolio. Also, performance results for benchmarks do not reflect payment of investment management/incentive fees and other fund expenses. Because of these differences, benchmarks should not be relied upon as an accurate measure of comparison.

Source: Bloomberg

The FOMC voted to increase the Federal Funds rate to a target range of 1.75% to 2.00% during the June 2018 meeting. This is the seventh 0.25% increase since December 2015.

Short term rate increases continue to outpace longer term rates, resulting in a flatter yield curve.

Inflation has increased in recent months with the most recent PCE index reading of 2.30% in May, the third consecutive month of 2.00% or higher growth.

The final reading of 1st Quarter GDP was 2.0%, following the similar trend of lower 1st quarter growth in recent years. The decline was mainly attributed to the slowdown in consumer spending.

Unemployment was slightly higher at 4.0% in May due to an increase in the job participation rate. This is seen as a positive indicator as confidence in the labor markets continues to improve.

Housing sales also remain resilient in spite of a more than 0.75% in mortgage rates since the fall. Median home prices are at another all time high and are up 4.8% year over year through May.

2-20


Federal Funds Rate

During the June 2018 meeting the FOMC voted to increase the overnight rate for the 7th time during the current cycle.


Source: Bloomberg

Dec 150.50%

Dec 160.75%

Mar 171.00%

Jun 171.25%

Dec 171.50%

Mar 181.75%

Jun 182.00%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

Nov 15 Apr 16 Sep 16 Feb 17 Jul 17 Dec 17 May 18

Fed Funds Rate

2-21


Yield Curve Continues Upward Trend During the 2nd Quarter

Interest rates increased during the quarter, continuing the longer term trend. U.S. Treasury yields are 1.60% - 1.90% higher since June 2016.


Source: Bloomberg

0.25% 0.24% 0.28% 0.31% 0.26% 0.20% 0.17%

1.72%1.90%

2.07%2.30% 2.41% 2.49% 2.56%

3 Month1.97%

6 Month2.14%

1 Year2.35%

2 Year2.60%

3 Year2.67%

4 Year2.69%

5 Year2.73%

0.00%

1.00%

2.00%

3.00%

4.00%

3 Month 6 Month 1 Year 2 Year 3 Year 4 Year 5 Year

Yiel

d

US Treasury Yields3 Months - 5 Years Maturity

Change March 30, 2018 July 13, 2018

2-22


7-Jul-20160.62%

8-Sep-20171.29%

March2.61%

July 20182.62%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

Jun 16 Oct 16 Jan 17 Apr 17 Aug 17 Nov 17 Feb 18 May 18

Yie

ld

U.S. Treasury Yield Two Year Maturity

Sep 2017 – Mar 2018

Two Year U.S. Treasury Note – Historical Perspective

The Two Year U.S. Treasury has traded between 2.50% - 2.65% in recent months after a significant increase from September 2017 to March 2018.


Source: Bloomberg

Jul 2016 – Sep 2017

2-23


Forward Yield Curves Suggest Continued Flattening

Short term rates are expected to increase faster than longer term rates, further flattening the yield curve.


Source: Bloomberg

0.68% 0.62% 0.46% 0.31% 0.26% 0.24% 0.18%

1.69% 1.75%1.95%

2.09%2.25%

2.37%2.54%

2.37% 2.37% 2.40% 2.41%2.51% 2.61%

2.73%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

1Mo 3Mo 6Mo 1Yr 2Yr 3Yr 5Yr

Forward Yield Curve Chart - July 2018U.S. Treasury Actives

Proj. 1 Year Forward 1WK FWD 1YR FWD

2-24


Spreads Narrow as the Yield Curve Continues to Flatten

Spreads between maturities greater than two years continue to narrow approaching levels seen last seen in 2007.


Source: Bloomberg

2-25


Credit Spreads to U.S. Treasuries Remain Narrow

Corporate Note spreads remain low as compared to historical levels.


Source: Bloomberg

2-26


Federal Funds Futures

Futures contracts suggest an overnight rate near 2.25% by the end of 2018.


Source: Bloomberg

Dec 18 Contract2.22%

Dec 19 Contract2.66%

1.00%

1.50%

2.00%

2.50%

3.00%

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18

Yie

ld

Federal Funds Futures ContractsAs of July 2018

Dec 18 Contract Dec 19 Contract

2-27


Labor Force

The unemployment rate increased slightly in June to 4.0%, primarily due to an increase in the labor force participation rate.

The number of people quitting jobs is more than double the amount of layoffs. This is likely due to better opportunities and higher paying jobs.


Source: Bloomberg

2-28


Housing Market

Housing sales remain above 6 million annually even as mortgage rates increased by approximately 0.50-0.75% since the fall of 2017.

Median housing prices surged to a new high level in May. The median home price is 4.8% higher year over year in May.


Source: Bloomberg

2-29


Inflation and Oil


Source: Bloomberg

The Fed’s preferred Inflation indicator, the PCE index reached the Fed’s 2.0% in March and now has reached 2.3%, and may be the start of a longer term trend of higher inflation.

Oil prices have reached the highest levels in four years and are now more than double the lows from early 2016.

2-30


Economic Growth and Inflation

GDP posted slowed in the first quarter, following a similar trend in recent years. While personal consumption slowed considerably, business investments increased during the quarter on expectations of a rebound in consumer spending which is expected in 2nd quarter GDP.

Source: Bloomberg


2-31


Disclosures

This presentation is for informational purposes only. All information is assumed to be correct but the accuracy has not been confirmed and therefore is not guaranteed to be correct. Information is obtained from third party sources that may or may not be verified. The information presented should not be used in making any investment decisions and is not a recommendation to buy, sell, implement or change any securities or investment strategy, function or process. Any financial and/or investment decision should be made only after considerable research, consideration and involvement with an experienced professional engaged for the specific purpose. All comments and discussion presented are purely based on opinion and assumptions, not fact, and these assumptions may or may not be correct based on foreseen and unforeseen events. All calculations and results presented and are for discussion purposes only and should not be used for making calculations and/or decisions. The data in this presentation is unaudited.

Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due to changes in market conditions. Investment involves risk, including the possible loss of principal. No assurance can be given that the performance objectives of a given strategy will be achieved. Past performance is not an indicator of future performance or results. Any financial and/or investment decision may incur losses.

The investment advisor providing these services is Public Trust Advisors, LLC, an investment adviser registered with the U.S. Securities and Exchange Commission (SEC) under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level of skill or training. Public Trust is required to maintain a written disclosure brochure of our background and business experience. If you would like to receive a copy of our current disclosure brochure, privacy policy, or code of ethics please contact us.

2-32

administration and projects committee staff report...2018/06/30 · 2-1 administration and projects...

Documents