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Table of Contents

MANAGEMENT’S CERTIFICATION OF THE QUARTERLY INVESTMENT REPORT 3

2002 PROJECT OF THE CENTRAL TEXAS TURNPIKE SYSTEM

MANAGEMENT DISCUSSION 4

INVESTMENT ACTIVITY 4

SCHEDULE 1 - INVESTMENTS OUTSTANDING 5

SCHEDULE 2 - GRAPH - U.S. TREASURY HISTORICAL YIELDS 6

SCHEDULE 3 - ALLOCATION BY ACCOUNT 7

SCHEDULE 4 - BAR CHART - MATURITY DISTRIBUTION 8

SCHEDULE 5 - BAR CHART - INVESTMENT PORTFOLIO QUARTER END VALUES 9

SCHEDULE 6 - PIE CHART - INVESTMENTS BY SECURITY TYPE 10

PRE-PAID TX TAG ACCOUNT

MANAGEMENT DISCUSSION 11

INVESTMENT ACTIVITY 11

SCHEDULE 1 - INVESTMENTS OUTSTANDING 12

SCHEDULE 2 - BAR CHART - MATURITY DISTRIBUTION 13

SCHEDULE 3 - BAR CHART - INVESTMENT PORTFOLIO QUARTER END VALUES 14

SCHEDULE 4 - PIE CHART - INVESTMENTS BY SECURITY TYPE 15

2

Exhibit A - Quarterly Investment Report as of 05-31-2016

MANAGEMENT’S CERTIFICATION OF THE QUARTERLY INVESTMENT REPORT

I certify that I have reviewed the Quarterly Investment Report as of and for the period ending May 31, 2016that is being submitted for acceptance by the Texas Transportation Commission. To the best of my knowledgeand belief:

1. In all material respects the Investment Report was prepared in accordance with the guidelinespresented in Government Code, Chapter 2256 (Public Funds Investment Act) and Section 9.0 of theinvestment policy. The investments have been accorded consistent treatment in accordance withgenerally acceptd accounting principles.

2. There have been no material misrepresentations in the report by the inclusion or exclusion ofinformation.

3. An effective system of internal controls has been established to ensure that material financialinformation is recorded in the accounting system and properly reported in the report and there wereno material weaknesses in internal control during the period covered by the report or thereafter.

4. The Investment Report is formally reviewed in compliance with the annual audit of the Central TexasTurnpike System financial statements. An independent accountant’s report on agreed-uponprocedures to review management’s compliance with the Public Funds Investment Act is conductedannually. The report is presented to the Commission.

Brian RagI’d /Chief Financial Officer

Investment Officer

Benja in H. Asher

Direc or, Project Finance, Debt & Strategic Contracts DivisionInvestment Officer

3


2002 PROJECT OF THE CENTRAL TEXAS TURNPIKE SYSTEM

MANAGEMENT DISCUSSION

During the reporting period, all investment funds of the Texas Transportation Commission (Commission) wereassociated with the Central Texas Turnpike System (the System) obligations. The investments are held by TheBank of New York Mellon, acting as trustee. The funding of investments includes bond proceeds, capitalcontributions for the purpose of financing the 2002 Project of the System, revenues derived from operation ofthe System’s toll roads and related investment earnings.

Suitable investments have been determined using the following criteria and priorities pursuant to theCommission’ investment policy and the investment strategy relating to the ystem:

1) suitability of the investment to the financial requirements of the entity;2) preservation and safety of principal;3) liquidity;4) marketability of the investment if the need arises to liquidate the investment before maturity;5) diversification of the investment portfolio; and,6) yield.

The investment instruments described in Schedule 1 are in compliance with the Public Funds Investment Act,

investment policy and strategy of the Commission.

INVESTMENT ACTIVITY

Interest and Investment Income for the quarter: $2,110,094: yield 1.43%.

Schedule 1 outlines all investments outstanding for the quarter ending May 31, 2016. The Guaranteed

investment Contract is intended to be held to the maturity date of August 15, 2022.

CURRENT STRATEGY

Due to historically low interest rates, our strategy has been to limit our investments to a maturity of less than

one year. This approach will enable us to obtain a higher return when, as expected, the Federal Reserve

increases the Federal Funds interest rate. Our strategy, however, will remain guided by the following

principles: safety of principal, liquidity, and yield, in that order.

CURRENT MARKET CONDITIONS

3-Month Treasury: 0.28%

2-Year Treasury: 0.82%


Discount Rate: 1.00%

U.S. Treasury yields reflect monthly averages for May 2016 as posted by the Federal Reserve.

Schedule 2 presents the U.S. Treasury Historical Yields.

4

Exhibit A — Quarterly Investment Report as of 05-31-2016

TEXAS DEPARTMENT OF TRANSPORTATIONCENTRAL TEXAS TURNPIKE SYSTEM

SCHEDULE I

Investments OutstandingBook Value to Fair Value Comparison

May 31, 2016

Interest and Investment Income $2,110,094Yield for Quarter 1.43%

Maturity May 31, 2016

Description Yield Date Book Value Fair Value’

Money Market Investments

JP Morgan Govt MMKT Fund 0.230% $ 6,929,832 $ 6,929,832Morgan Stanley Govt MMKT Fund 0.250% 56,588 56,588

U.S Government Securities

U.S. Treasury Note 0.361% 07/30/16 20,084,000 20,039,600U.S. Agency Discount Note 0.560% 07/18/16 20,844,425 20,851,030U.S. Agency Discount Note 0.330% 08/16/16 39,977,267 39,972,000U.S. Agency Discount Note 0.360% 08/05/16 24,983,500 24,981,250U.S. Treasury Bill 0.440% 08/25/16 29,968,466 29,979,000U.S. Treasury Bill 0.525% 09/15/16 24,960,990 24,976,500U.S. Treasury Bill 0.465% 11/25/16 7,981,607 7,982,240U.S. Treasury Note 0.593% 11/30/16 14,984,250 14,997,300U.S. Agency Note 0.800% 05/26/17 9,993,600 9,993,600

Lone Star Investment Pool 2

Government Overnight Fund 0.330% 77,330,107 77,330,107

TexPool 2

Local Government Investment Pool 0.338% 97,137,446 97,137,446Prime 0.534% 87,309,230 87,309,230

Guaranteed Investment Contract

Citigroup Global Markets Inc. GIC 5.20% 08/15/22 114,999,379 114,999,379(CUSIP S86538450)

Funds Held by State Highway Fund

Operating Maint. and Reserve Maint. 0.82% 43,937,809 43,937,809

$ 621,478,495 $ 621,472,911

Notes:

‘For the quarter, ($34,050) was booked for changes in the Fair Value of investments. All investments are intended to held to maturity.2 These local government investment pools seek to maintain a one dollar per share as required by the Texas Public Funds Investment Act.

‘This security was purchased under the terms of a forward purchase agreement that was executed in August 2002 at rates that werecurrently available at that time.

Weighted average yield to maturity’ is the portfolio performance measurement standard.Yields and fair values as reported on monthly account statements.Totals may not add due to rounding.

5


4.00%

3.50%

300%

250%

200%

t50%

100%

0.50%

Scliedu]e 2U.S Trsujry Historical Yields

0.00%

, r 1’— — S — — — — — S

—3-MonthT-BIs

— 10-YearTreasury

6

2-yrTreaswy

—Discount Rate


2/29/2016

SCHEDULE 3Allocation by Account

Quarters Ending February 2016 and May 2016

Note -In Febmary, $24.6 million in debt service was paid

Nato -In February, $29 million in debt service was paid

Fair Valves as reported Ac monthly account statements.Tutals may not add doe to rounding.

1st Tier

lot Tier Interest Principal

Account dl Account

544

7


1st Tier Debt

Service Reseme

2,960.333

2nd 11cr 2nd 11cr Debt

lnrnresr 191 Service Reserve

Rate

Stabilization

Fund

340.042

capital

Contributions Reserves held

Account bySHF

3 .464,963

Portfolio Total

10 .520.297

Dnscnption Revenue Fund

JP MorgAn Gout MMKT Fund 3.794.805

Mnrgan Srarlnpoovt MMKT Fund 17,047 17,047

U.S.Treasury Notes 25,002.750 14,964,250 20,084.000 60,071,000

U.S. Treasury Bill 29,930,700 29,930,700

U.S. Gout bgency Secnriries 9,996,300 S.SV.300

SS.GeutdgencporscounrNntns 9,985,300 843,714 9.970,322 20,é29,336

Lonestar Gout Ounmight Fund 12,694,970 64,610,941 77,269.911

TeaPoel Fund 46,747.457 26,428 7,354,904 2,249,865 64,658,390 121,036,944

TeePonl Pnmn Fund 22,493,062 64,701.603 87,194,666

Guaranteed lnunstmnnt Contract 114,999,379 114,999,379

Reserves Held by OAF 43,836,561 43,836,561

Terals $ 89,490,312 26,428 874,298 127,930,034 17,047 52,269,754 67,818,239 197,439,497 43,836,561 $ 575,698,130

5/31/2 016

lsrfler Rare CapdalRnsenue 1st 11cr Interest Principal 1st Tier Debt 2nd 11cr 2nd 11cr Debt StabilizaSon Centebutiens Reserves held

Description Fund Accosrr Account Service Resnrvn Inrnresr Service Reserve Fund Account by SAP Portfolio Total

JP Morgan Gout MMVT Ford 6,497,309 bG7 544 380,225 51,247 6.929,832

Morgue StunleyGeet MMKT Fund 56.588 96,588

U.S.TmusuryNotes 14,997,300 20.039,600 35.G3b,9GG

U.S. Treasury Bill 1,995.560 35,985,680 24,R7b.59G 62,937,740

U.S. GoutdgnncySecsnries 9.993,600 9,993,600

A.S.GoutdgencyDrsceuncNorns 74.948,950 874,624 9,980,706 85,804280

Lonestar Sent Dvemi5ir Fund 12,669,485 64,664,623 77,330.107

TeaFool Fund 49,289,0gb 28,624 986,543 1,376,819 2,251,76b 43,228,800 97,137,446

TnuPoel Prime Furd 22,922,616 64.786,814 87,309,230

Guaranteed lnsesrmentContrect 114,999,379 114,999,379

Reserves Held bySHF 43,937,809 43,637,809

Totals $ 13G731,354 29,131 875,168 127.942,188 56.588 52,339,799 87,853.290 19T,7GT,58A 43,637,809 $ 621,472,911

SCHEDULE 4Maturity Distribution

May 31, 2016

Maturity Date

ito 7 days

7 days to 2 years

1-8 yearsTotal Investments

Book Value Fair Value

$312,701,012 $312,701,012193,778,104 193,772,520

114,999,379 114,999,379

$621,478,495 $621,472,911

$400,000,000

IBook Value

Fair Value

$300,000,000

$200,000,000

$100,000,000

7 days to 2 years

8

1-8 yearsito 7 days


SCHEDULE 5Investment Portfolio Quarter End Values

May 31, 2016

Quarter End Values Book Value

4 Qtr FY15 $540,225,122

1 Qtr FY16 584,136,236

2 Qtr FY16 575,686,846

3 Qtr FY16 621,478,495

k Book Value

* Fair Value

$700,000,000

I I

4QtrFY15 1QtrFY16 2QtrFY16 3QtrFY16

Fair Value

$540,25,122

583,972,990

575,698,130

621,472,911

$600,000,000

$500,000,000

$400,000,000

$300,000,000

$200,000,000

$100,000,000

$0

9


SCHEDULE 6Investments by Security Type

May 31, 2016

Security Type

Money Market InvestmentsUS Treasury BillsUS Government Agency SecuritiesUS Treasury NotesLone Stat Government Overnight FundTexPool Local Government Investment PoolTexPool PrimeGuaranteed Investment Contract (GIC)Operating, Maint. and Reserve Maint. held in SFHTotal Investments

Fair Value

$6,986,42062,937,74095,797,88035,036,90077,330,10797,137,44687,309,230

114,999,37943,937,809

$621,472,911

10


us Agencies15%

Treasury Note6%

TexPool Prime14%


MANAGEMENT DISCUSSION

During the investment policy update in August 2015, the Texas Transportation Commission (Commission)adopted an investment strategy for the Pre-paid Tx Tag account held by The Bank of New York Mellon, actingas custodian.

Suitable investments have been determined using the following criteria and priorities pursuant to theCommission’s investment policy and the investment strategy relating to the System:

1) suitability of the investment to the financial requirements of the entity;2) preservation and safet’ of principal;3) liquidity;4) marketability of the investment it the need arises to liquidate the investment before maturity;5) diversification of the investment portfolio; and,6) yield.

Investments in this portfolio are restricted to:1) US Treasury and other government obligations that carry the full faith and credit guarantee of theUnited States for the payment of principal and interest.2) Federal Agency or U.S. government sponsored enterprises (GSE) obligations, participations or otherinstruments.3) Securities and Exchange Commission registered money market funds.

Further restrictions on the portfolio include:1) Only 20% of the Custodial Account can be investment with a final maturity not to exceed two years

from the date of purchase2) Maximum weighted average maturity for the investments may not exceed 240 days at any time.

The investment instruments described in Schedule 1 are in compliance with the Public Funds Investment Act,

investment policy and strategy of the Commission.

INVESTMENT ACTIVITY

Interest and Investment Income for the quarter: $ 14,711: yield 0.25%.

Schedule 1 outlines all investments outstanding for the quarter ending May 31, 2016.

CURRENT STRATEGY

Invest the portfolio for diversification into 6-9 month maturity sector. Our strategy, however, will remain guided

by the following principles: safety of principal, liquidity, and yield, in that order.

CURRENT MARKET CONDITIONS





U.S. Treasury yields reflect monthly averages for May 2016 as posted by the Federal Reserve.

11


Interest and Investment Income

Yield for Quarter

TEXAS DEPARTMENT OF TRANSPORTATION


SCHEDULE 1

Investments Outstanding

Book Value to Fair Value Comparison

May 31, 2016

14,711

0.25%

Maturity May 31, 2016

Book Value Fair Value 1Description Yield Date

Money Market Investments

BNY Mellon Cash Reserve Fund 0.010% $ 7,457,152 $ 7,457,152

U.S Government Securities

U.S. Agency Discount Note 0.417% 07/18/16 5,996,720 5,997,420Treasury Note 0.544% 09/30/16 4,999,274 5,000,650U.S. Agency Discount Note 0.520% 10/24/16 5,987,347 5,989,620U.S. Agency Discount Note 0.555% 11/16/16 1,994,883 1,995,260

$ 26,435,376 $ 26,440,102

Notes:

For the quarter, $0 was booked for changes in the Fair Value of investments. All investments are intended to held to maturity.

Weighted average yield to maturity is the portfolio performance measurement standard.Yields and fair values as reported on monthly account statements.Totals may not add due to rounding.

12


SCHEDULE 2Maturity Distribution

May 31, 2016

Maturity Date

ito 90 days91-180 days180-240 days

Total Investments

Book Value Fair Value

$13,453,872 $13,454,57212,981,504 12,985,530

0 0

$26,435,376 $26,440,102

$20,000,000

RBookValue

• Fair Value

$15,000,000

$10,000,000

$5,000,000

9 1-180 days

13

180-240 days$0

ito 90 days


SCHEDULE 3Investment Portfolio Quarter End Values

May 31, 2016

Quarter End Values

4Qtr FY15

1 Qtr FY16

2 Qtr FY16

3 Qtr FY16

Book Value

$23,704,464

25,440,701

26,212,425

26,435,376

Fair Value

$23,704,464

25,440,701

26,210,248

26,440,102

14

• Book Value

— Fair Value

$30,000,000

$25,000,000

$20,000,000

$15,000,000

$10,000,000

$5,000,000

$04QtrFY15 1QtrFY16 2QtrFY16 3QtrFY16

Strategy for this portfolio was authorized in August 2015


SCHEDULE 4Investments by Security Type

May 31, 2016

Security Type

Money Market InvestmentsUS Government Agency SecuritiesUS Treasury NotesTotal Investments

15

Fair Value$7,457,15213,982,3005,000,650

$26,440,102


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