Florida State Treasury
Investments
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
Total Treasury Investment Portfolio
February 28, 2015
Treasury Investment Portfolio
(internally and externally managed securities)
$22,738,500,516.76
Investment from Securities Lending Activities
(purchased with cash collateral)
$ 2,532,509,271.00
Total Market Value
$25,271,009,787.76
30.000
25.000
20.000
15.000
10.000
5.000
0.000
Mar-14
Apr-14 May-14
Jun-14
Jul-14
Aug-14
Treasury Investment Pool
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
Sep-14
Oct-14 Nov-14 Dec-14
Jan-15
Feb-15
Securities Lending Investments
2
Portfolio Allocation
as of February 28, 2015
Time Deposits, $0.539,
2.4%
Liquidity, $9.512, 41.8%
Long Duration $8.103,
35.6%
Short Duration, $2.263,
10.0%
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
Intermediate Duration,
$2.321, 10.2%
*Market Value of Treasury investments, excluding Securities Lending
investments
Amounts in billions
3
Treasury Participants
as of February 28, 2015
SPIA, $7.644, 34%
General Revenue and Trust
Funds, $14.838, 66%
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
Dollar amount each owner has invested
Amounts in billions
4
Net Earnings Allocation and Rate
$14,000,000.00
2.50%
$12,000,000.00
2.00%
1.50%
$8,000,000.00
$6,000,000.00
1.00%
$4,000,000.00
0.50%
$2,000,000.00
$0.00
0.00%
Mar-14
Apr-14
May-14
SPIA
Jun-14
Jul-14
Aug-14
General Revenue*
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
Sep-14
Oct-14
Trust Funds
Nov-14 Dec-14
Jan-15
Feb-15
Gross Earnings Rate
*Earnings attributed to General Revenue
Funds plus uninvested Trust Funds
5
Earnings Rate
Earnings Allocation
$10,000,000.00
Annualized Gross Investment Yields as
of February 28, 2015
3.50%
3.01%
3.00%
2.50%
1.99%
2.00%
1.50%
1.85%
1.60%
1.56%
1.32%
1.00%
0.50%
0.00%
1 Yr
2 Yr
3 Yr
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
4 Yr
5 Yr
Rates are unaudited
10 Yr
6
Total Treasury Investment Portfolio
Monthly Sector Distribution**
60.0%
55.1%
54.5%
56.1%
50.0%
40.0%
30.0%
18.9%
20.0%
21.1%
19.1%
11.8% 10.9% 11.1%
10.0%
3.9%
3.7%
3.6%
3.3%
3.1%
3.2%
0.9% 0.9%
1.1%
1.7%
1.5%
1.7%
2.6%
2.4%
2.3%
0.0%
Treasury/Agency
MBS
CMBS
ABS
12/31/2014
Corp
STIF/Cash
1/31/2015
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
Repo
Time Deposits
0.5%
0.5%
0.5%
Foreign
1.2%
1.2%
Muni
2/28/2015
7
1.3%
Total Treasury Investment Portfolio
Quality Distribution
Treasury Investment Pool is rated A+f by S&P.
67.1%
65.7% 66.5%
6.8% 6.7%
US
Government*
& Cash
11.7% 12.1% 11.7%
6.7%
AAA
5.0%
6.3%
AA
5.2%
4.1%
A
4.2%
4.0%
0.1% 0.1% 0.1%
BBB
Dec-14
Jan-15
<BBB
Feb-15
2.6% 2.3%2.4%
2.6% 2.5%
3.5%
Time Deposits Short Term
Investment
Fund
S&P Ratings
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
*Includes Repos collateralized with US
Government securities
8
Total Treasury Investment Portfolio Effective
Duration as of February 28, 2015
50%
46.0%
Effective Duration for Pool – 2.65 years
40%
30%
29.4%
20%
10%
10.0%
4.5%
5.4%
1.6%
2.4%
0%
< 1 year 1 to 3 yrs 3 to 5 yrs 5 to 7 yrs 7 to 10 yrs 10 to 15
yrs
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
15 to 20
yrs
0.2%
0.5%
20+ yrs
Other*
* Other category includes assets for which duration is
not available.
9
Securities Lending - Cash Collateral Portfolio
As of February 28, 2015
Portfolio Characteristics
Credit Quality (S&P)
% of Cost
Cost (in mil.)
Total Market Value
$2,532.5 million
U.S. Govt. Securities*
70.4%
$1,783.2
NAV
1.0000
AAA
1.5%
$37.0
Yield (360 basis)
0.142%
AA
17.7%
$447.6
A
11.0%
$278.3
WAM
94 days
* Includes Repos that are collateralized by U.S. Govt. Securities.
Asset Class
Corporates
30%
U.S.
Agencies
1%
Final Maturity Schedule
80%
70%
70%
60%
Repo
69%
50%
40%
30%
20%
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
12%
12%
181 to 360 Days
361 to 720 Days
6%
10%
0%
Overnight
2 to 180 Days
Acronyms
ABS – Asset Backed Security
CD – Certificate of Deposit
CP – Commercial Paper
CMBS – Commercial Mortgage Backed Security
MBS – Mortgage Backed Security
SPIA – Special Purpose Investment Account
STATE OF FLORIDA
DIVISION OF TREASURY
DEPARTMENT OF FINANCIAL SERVICES
11