administration and projects committee staff report...2018/06/30 · 2-1 administration and projects...
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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
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Administration and Projects Committee STAFF REPORT September 6, 2018
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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
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Administration and Projects Committee STAFF REPORT September 6, 2018
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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
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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
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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
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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.
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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
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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
$80,000,000
0-3 M 3-6 M 6-9 M 9-12 M 1-2 Yr 2-3 Yr 3-4 Yr 4-5 Yr 5-6 Yr 6 Yr +
Maturity Distribution Comparison
April 1, 2018 June 30, 2018
0-3 M0.16%
3-6 M2.15%
6-9 M2.45%
9-12 M17.65%
1-2 Yr50.86%
2-3 Yr26.73%
Maturity Distribution
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Security Distribution 0-3 Months 3-6 Months 6-9 Months 9-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years Total Portfolio
Cash -$ -$ -$ -$ -$ -$ -$ -$ -$
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
$70,000,000
0-3 Months 3-6 Months 6-9 Months 9-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years
Maturity Distribution By TypeMunicipal Bonds
Corporate Notes
Federal Inst. (GSE)*
U.S. Agency Notes
U.S. Treasury Notes
Commercial Paper
Certificates of Deposit
Money Market Funds
Cash
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S&P Rating Distribution
June 30, 2018
Ending Balance Portfolio Allocation
Short Term Rating Distribution
A-1+ -$ 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
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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
$120,000,000
Cas
h
UST
Age
ncy
FNM
A
FHLM
C
FFC
B
FHLB
Rep
o
CP
Co
rp BA
MM
F
Mu
ni
CD
Asset Balance By Security Type(in millions)
April 1, 2018 June 30, 2018
UST68.57%
FNMA0.22%
FHLMC9.59%
FHLB2.11%
Corp19.43%MMF
0.08%
Ending Portfolio Allocation
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Security Distribution
April 1, 2018
Beginning Balance
Portfolio
Allocation
June 30, 2018
Ending Balance Book Yield
Portfolio
Allocation
Change in
Allocation
Permitted by
Policy*
Compli
ant
Cash -$ 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
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Portfolio Holdings
Contra Costa Transportation Authority Portfolio Detail
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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
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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
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
Holdings Report Trade Date CCTA Tax Agg (73911)As of 06/30/2018 Dated: 07/10/2018
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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
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
UNITED STATES TREASURY912828F62
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
UNITED STATES TREASURY912828F62
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
UNITED STATES TREASURY912828F62
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
UNITED STATES TREASURY912828X96
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
UNITED STATES TREASURY912828X21
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
UNITED STATES TREASURY912828X21
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
UNITED STATES TREASURY912828X21
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
UNITED STATES TREASURY912828X96
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
Holdings Report Trade Date CCTA Tax Agg (73911)As of 06/30/2018 Dated: 07/10/2018
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* Filtered By: Description ≠ "Payable" and Description ≠ "Receivable". * Weighted by: Market Value + Accrued.
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
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
Holdings Report Trade Date CCTA Tax Agg (73911)As of 06/30/2018 Dated: 07/10/2018
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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
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Economic Update and Yield Curve Analysis
Second Quarter 2018
Attachment B
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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.
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Public Trust Advisors 2018 ©
Federal Funds Rate
During the June 2018 meeting the FOMC voted to increase the overnight rate for the 7th time during the current cycle.
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
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
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Public Trust Advisors 2018 ©
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.
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
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
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Public Trust Advisors 2018 ©
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.
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
Jul 2016 – Sep 2017
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Forward Yield Curves Suggest Continued Flattening
Short term rates are expected to increase faster than longer term rates, further flattening the yield curve.
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
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
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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.
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
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Credit Spreads to U.S. Treasuries Remain Narrow
Corporate Note spreads remain low as compared to historical levels.
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
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Federal Funds Futures
Futures contracts suggest an overnight rate near 2.25% by the end of 2018.
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
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
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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.
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
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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.
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
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Inflation and Oil
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 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.
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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
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.
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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.
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