FY 2007 ANNUAL
INVESTMENT REPORT
MARTHA O. HAYNIE, CPA
COUNTY COMPTROLLER
Investment Objectives
• Safety
• Liquidity
• Yield
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Agenda
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Highlights
Benchmarks
Portfolio & Fed Rates
Treasury Yield Curves
Economic Conditions
Investment Committee
Committee Discussions
Recommendations
FY 2006 Portfolio Composition
FY 2007 Portfolio Composition
SBA Crisis
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Highlights
(in millions)
2007
2006
Interest earned
$67.2 $48.8
Effective rate of return 5.07% 4.38%
Average daily balance $1,325 $1,115
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Benchmarks
Benchmark
FY 2007
Variance
FY 2006
Variance
Portfolio
5.07%
4.38%
3-Month Treasury
4.86%
0.21%
4.57%
-0.19%
6-Month Treasury
4.96%
0.11%
4.78%
-0.40%
Merrill Lynch 0-1 Treasury Index
4.93%
0.14%
4.66%
-0.28%
1-Year Treasury
4.86%
0.21%
4.76%
-0.38%
2-Year Treasury
4.67%
0.40%
4.72%
-0.34%
State Investment Pool
5.43%
-0.36%
4.73%
-0.35%
Effective Federal Funds
5.21%
-0.14%
4.65%
-0.27%
Committee Benchmark
5.00%
0.07%
4.71%
-0.33%
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Portfolio and Fed Rates
PORTFOLIO AND FEDERAL FUNDS RATES
7.25
6.25
5.25
4.25
Orange County
3.25
Fed Funds
2.25
1.25
0.25
Oct-03
Apr-04
Oct-04
Apr-05
Oct-05
Apr-06
Oct-06
Apr-07
Oct-07
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Treasury Yield Curves
AVERAGE U.S. TREASURY YIELD CURVES
6.00
5.00
2007
2006
4.00
2005
2004
3.00
2003
2.00
1.00
Fed Funds
3 Mo
6 Mo
1 Yr
2 Yr
5 Yr
10 Yr
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Economic Conditions
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Deteriorating housing market
Slower economic growth
Decline in payrolls
Low consumer spending growth rate
Eroding consumer sentiment
Federal Reserve reducing interest rates
Tight credit conditions
Recession concerns
Rising Treasury prices
Below trend GDP growth forecasted in 2008
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Investment Committee
Community Volunteers
Ed Manning
Retired Managing Partner of Ernst
and Young, CPA
John Cheney, DBA
Associate Professor of Finance,
University of Central Florida
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Committee Discussions
•Pooling of enterprise funds
•Increased liquidity
•Inverted yield curve
•Asset allocation
•Sub-prime crisis
•Commercial paper markets
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Recommendations
• Increase maximum investment in
the noncurrent portfolio
• Increase diversification
• Reduce SBA investment
• Add commercial paper (CP)
• Add bankers’ acceptances
• Limit financial CP maturities to 30
days or less
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FY 2006 Portfolio Composition
FY 2006 AVERAGE PORTFOLIO COMPOSITION
FLGIT
3.65%
SBA
37.09%
Money Markets
6.56%
CP
6.58%
BAs
0.21%
Treasuries
17.18%
CDs
2.67%
Instrumentalities
26.06%
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FY 2007 Portfolio Composition
FY 2007 AVERAGE PORTFOLIO COMPOSITION
SBA
29.93%
Money Markets
5.28%
Treasuries
16.55%
CP
10.63%
BAs
5.05%
CDs
3.64%
Instrumentalities
28.92%
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Current Portfolio Composition
JANUARY 14, 2008 PORTFOLIO COMPOSITION
Money Markets
14.32%
Treasuries
62.59%
CP
8.36%
BAs
1.56% CDs
Instrumentalities
4.35%
8.82%
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SBA Crisis
• 10/31 – 3.4% of assets downgraded
• 11/14 – Bloomberg article
• 11/15 – Withdrew all County funds
• Asset quality concerns
• Lack of clear communications from SBA
• 11/29 – State froze pool
• 12/06 – Reopened with two funds
• Fund A: 86% of assets – High quality
• Fund B: 14% of assets – Riskier assets
• Redemption limit of the higher of $2
million or 15% of assets
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FY 2007 ANNUAL
INVESTMENT REPORT
Interest earned
$67.2 million
Effective rate of return
5.07%
The 2008 effective rate of return?
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REPORT ONLINE
FY 2007 ANNUAL
INVESTMENT REPORT
WWW.OCCOMPT.COM
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