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Florida State Treasury Investments. 2 Total Treasury Investment Portfolio as of November 30, 2007.

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Presentation on theme: "Florida State Treasury Investments. 2 Total Treasury Investment Portfolio as of November 30, 2007."— Presentation transcript:

1 Florida State Treasury Investments

2 2 Total Treasury Investment Portfolio as of November 30, 2007

3 3 Sector Distribution as of November 30, 2007 No direct CDO exposure

4 4 Treasury Portfolio Maturity Distribution as of November 30, 2007 Effective Duration – 3.59 years

5 5 Treasury Portfolio Quality Distribution as of November 30, 2007 S&P Ratings

6 6 Treasury Portfolio - Sub-Prime Rating Distribution as of November 30, 2007 This information includes securities held in mortgage backed and asset backed programs.

7 7 Treasury Portfolio - Sub-Prime Mortgage Exposure as of November 30, 2007

8 8 Securities Lending Portfolio Sector Distribution as of November 30, 2007 Investments from Securities Lending Activities - $5,194,998,520.30

9 9 Securities Lending Portfolio SIV Breakdown as of November 30, 2007* Links Finance LLC.  MV: $11,551,  Sub-Prime: $1, ABS CDO: $168, CC USA Inc.  MV: $53,050,  Sub-Prime: $0.00 ABS CDO: $100, Beta Finance Inc.  MV: $61,223,  Sub-Prime: $0.00 ABS CDO: $42, K2 (USA) LLC  MV: $108,277,  Sub-Prime and ABS CDO: $0.00 Liberty Lighthouse US Capital  MV: $95,116,  Sub-Prime: $0.00 ABS CDO: $1,521, Sigma Finance Inc.  MV: $92,611,  Sub-Prime: $0.00 ABS CDO: $416, Five Finance Inc.  MV: $3,711,  Sub-Prime: $0.00 ABS CDO: $1, Tango Finance Corp.  MV: $62,773,  Sub-Prime: $232, ABS CDO: $106, Dorada Finance Inc  MV: $48,668,  Sub-Prime: $0 ABS CDO: $73, Sedna Finance Inc.  MV: $52,516,  Sub-Prime and ABS CDO: $0 Total Market Value: $589,501, Total Sub-prime/ABS CDO: $2,665, *Information obtained through our securities lending vendors and represents a conservative estimate of each holdings unwrapped exposure to the sub- prime market.

10 10 Securities Lending Portfolio SIV Characteristics  Senior Notes AAA rated with some on negative credit watch  5.2 – 20% excess coverage  Sub-prime exposure minimal  All maturities are within 3 years  Sponsors will be backing the following SIVs by incorporating them on their balance sheets: CC USA Inc. Beta Finance Five Finance Tango Finance Dorada Finance Sedna Finance

11 11 Acronyms  ABS – Asset Backed Security  BA – Bankers Acceptance  CD – Certificate of Deposit  CDO – Collateralized Debt Obligation  CP – Commercial Paper  MBS – Mortgage Backed Security  MV – Market Value  SIV – Structured Investment Vehicle  SPIA – Special Purpose Investment Account


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