San Mateo County Transportation Authority Investment Performance - - PowerPoint PPT Presentation

San Mateo County Transportation Authority

Investment Performance Review For the Quarter Ended June 30, 2018

Compliance and Allocation

Security Type Market Value as of June 30, 2018 % of Portfolio Permitted by Policy In Compliance Average 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. *Total market values exclude accrued interest.

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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

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A Diversified Portfolio

• The diversified portfolio had total earnings
• f $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%

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 6/30/2018 3/31/2018 12/31/2017 9/30/2017 6/30/2017 Federal Agency/CMO Asset-Backed Certificates of Deposit Commercial Paper U.S. Treasury Corporate Federal Agency/GSE

Sector Allocation

As of June 30, 2018

Second quarter earnings totaled $499,371. FY17 total earnings were $2,088,437

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Portfolio Performance

• Positive fiscal year returns despite rising

yields

Duration Total Return As of June 30, 2018 (Years) 1Q18 1 Yr Since Inception1 SMCTA 2.01 0.36% 0.26% 0.66% Performance Benchmark2 2.10 0.20% 0.01% 0.58%

• 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

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.

1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50% 2.75% 3.00% 3M 6M 1Y 2Y 3Y 5Y Yield June 30, 2018 June 30, 2017

1.15% increase

Maturity U.S. Treasury Curve 4

Portfolio Characteristics

Federal Agency/GSE 12% Corporate 25% U.S. Treasury 25% Commercial Paper 9% Certificates

• f Deposit

11% Asset- Backed 14% Federal Agency/CMO 4%

Sector Allocation

0% 10% 20% 30% 40% Under 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years

Maturity Distribution

*Totals may not add due to rounding. As of June 30, 2018

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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

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