San Mateo County Transportation Authority Investment Performance Review For the Quarter Ended June 30, 2018
Compliance and Allocation Market Value as of % of Permitted In Average Security Type June 30, 2018 Portfolio by Policy Compliance Credit Rating U.S. Treasury $39,197,032 25.0% 100% AA+ Federal Agency/GSE $18,486,770 24.1% 100% AA+ Federal Agency/CMO $5,483,663 3.5% 20% AA+ Corporate Notes $39,924,733 25.5% 30% A+ Negotiable CDs $16,973,176 10.8% 10% A Asset-Backed Securities $22,486,798 14.4% 30% A Commercial Paper $13,887,147 8.9% 15% A-1 Money Market Fund $865,931 <1% 10% AAAm Total Investments* $157,305,250 100.0% As of June 30, 2018. 1 *Total market values exclude accrued interest.
Market Themes • U.S. economy remained strong • The Fed continued its path of raising rates • Personal consumption expenditures (PCE), hit the target level of 2% for the first time in six years. • Labor force market remains robust • Fed likely to continue to raise rates. 3
Portfolio Recap • Strategically positioned the portfolio with a modest defensive duration bias • Maintained diversification, investing in high quality issuers 5
A Diversified Portfolio Sector Allocation As of June 30, 2018 100% 90% Federal Agency/CMO 80% Asset-Backed 70% Certificates of Deposit 60% 50% Commercial Paper 40% U.S. Treasury 30% 20% Corporate 10% Federal Agency/GSE 0% 6/30/2018 3/31/2018 12/31/2017 9/30/2017 6/30/2017 • The diversified portfolio had total earnings of $2,236,899 for FY18, a $148,461 increase from the prior fiscal year - The portfolio yields have increased by ~50 bps fiscal year over fiscal year to 2.03% 5 Second quarter earnings totaled $499,371. FY17 total earnings were $2,088,437
Portfolio Performance • Positive fiscal year returns despite rising yields U.S. Treasury Curve 3.00% 2.75% 2.50% 2.25% Yield 1.15% increase 2.00% 1.75% 1.50% June 30, 2018 1.25% June 30, 2017 1.00% 3M 6M 1Y 2Y 3Y 5Y Maturity Duration Total Return As of June 30, 2018 Since Inception 1 (Years) 1Q18 1 Yr SMCTA 2.01 0.36% 0.26% 0.66% Performance 2.10 0.20% 0.01% 0.58% Benchmark 2 1. Inception date is March 31, 2015. 2. Composed of the 0-5 Year U.S. Treasury Index since 6/30/2016. Before 6/30/2016, composed of 15% 0-1 Government Index, 15% 0-1 Year Federal Agency 4 Index, 20% 1-3 Year U.S. Government Index, 20% 3-5 Year U.S. Government Index, 10% 1-10 Year U.S. Government Index, and 20% 1-5 Year Corporate Index.
Portfolio Characteristics Sector Allocation Federal Maturity Distribution Agency/GSE Federal 12% Agency/CMO 40% 4% Corporate 30% 25% Asset- Backed 20% 14% 10% U.S. Treasury 25% 0% Certificates Under 6 6 - 12 1 - 2 2 - 3 3 - 4 4 - 5 of Deposit Commercial Months Months Years Years Years Years 11% Paper 9% 6 *Totals may not add due to rounding. As of June 30, 2018
Outlook and Strategy • Interest rate hikes are likely to continue… • Preserve broad diversification and maintain high credit quality. • Modest defensive portfolio duration bias • Focus on Corporate issuers with strong fundamentals • Will be reevaluating maturity structure in light of cash flow data and expectations 7
Recommend
More recommend
