October 2020 March 2021 Overview Meeting Date May 19 2021 1 Florida Economic Recovery 2 Florida Economy January and February unemployment dropped to 28 the lowest recorded by EDR since 1976 With the Coronavirus outbreak the rate spike to 138 in April 2020 As of December of th ID: 1030086
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1. Treasury Investment Council October 2020 - March 2021OverviewMeeting Date: May 19, 2021 1
2. Florida Economic Recovery2
3. Florida EconomyJanuary and February, unemployment dropped to 2.8% (the lowest recorded by EDR since 1976). With the Coronavirus outbreak, the rate spike to 13.8% in April 2020. As of December, of this year we are around 6.1%.In Florida, the percentage of those unemployed for less than 5 weeks had grown from 32.3% in February to 44.2% in April, before falling back to 29.5% in November.Population growth is typically the state’s primary engine of economic growth, fueling both employment and income growth.As a result of the pandemic, population growth is expected to slow to 297,851 new residents (1.38%), reflecting both slower net migration and a speed‐up in the expected negative natural increase (more deaths than births). Between 2021 and 2025, growth is forecast to average 1.36%.3
4. State Net Receipts4
5. State Net Receipts(Including Federal Stimulus)5
6. State Receipts and Disbursements6
7. Treasury Overview7
8. Investment Pool Balance8
9. State Operating Accounts9
10. Non-State Operating Accounts** Subject to Floor Provision10
11. Bond Accounts11
12. Non-State Operating & Bond Accounts by typeParticipant3/31/21 balance% of PoolUniversities $ 2,596,463,679.61 7.78%School Boards $ 990,560,610.13 2.97%University Component Units $ 484,125,578.96 1.45%Colleges $ 414,273,959.88 1.24%Miscellaneous $ 103,223,111.69 0.31%Counties $ 81,892,197.35 0.25%CollegeComponent Units $ 79,771,657.19 0.24%StateComponent Units $ 46,738,344.23 0.14%Cities $ 3,766,653.43 0.01%Grand Total $ 4,800,815,792.47 14.39%*Miscellaneous includes various associations, foundations, and finance corporations.Non-State OperatingBondParticipant3/31/21 balance% of PoolFlorida Housing Finance Corp. $ 1,227,719,919.74 3.68%SBA Bond Finance $ 900,797,983.88 2.70%UniversityComponent Units $ 116,294,975.92 0.35%Universities $ 64,136,746.17 0.19%State Component Units $ 3,563,240.94 0.01%School Boards $ 511.01 0.00% Grand Total $ 2,312,513,377.66 6.93%12
13. Investment Pool Distributed Income Rate (net)13
14. Investment Pool Distributed IncomeAverage BalanceAverage Return (net of fees)$21.0 billion$22.3 billion$23.6 billion$24.7 billion$23.3 billion$24.1 billion$26.5 billion$31.0 billion0.98%1.46%1.42%1.45%1.66%2.32%3.16%1.82%14
15. Treasury Initiatives15
16. Bloomberg AIM OMS16Work continues on finalizing implementation. Future benefits will be substantial in Investments / Portfolio Management / Compliance / Middle Office / AccountingPositives: Already using new system for all internal trading. Eliminated middle office steps.Remaining Challenges: Working in AIM to enhance system: Some type of securities / transactions not yet properly processed. Pricing of securities. Compliance: Work continues on finishing coding all the rules Accounting: Working with PALM to finish development of a new Inv. ACG system ahead of the July 2021 go live date.
17. Miscellaneous Update Effective May 3rd, 144A securities were allowed as result of the recent SEC update to Accredited Investor Definition: Managers have added 45 144A securities since we granted permission36 corporate issues and 9 MBSThis will permit managers to participate in exchange offers of acquired firmsStarted open trading anonymous network to trade agencies and corporate bonds in late February for the internally managed portfolios:MKTX was our #1 counterparty for 2020 and 20% of all trades had no dealer cover. Total cost savings of $185,000 for the year off 58 High Yield corporate trades.17
18. Investment PoolReview18
19. Fixed Income Market Review Q4 2020 & Q1 - 20219/30/20203/31/2021PeriodChangeAgency2916-13Corp – IG13691-45Corp – HY517310-207MBS6112-49ABS4135-6CMBS10671-359/30/20203/31/2021Period Change3-month T-Bill0.092%0.015%-7.6 b.p.2 Year T-Note0.127%0.160%+3.3 b.p.5 Year T-Note0.277%0.939%+66.2 b.p.10 Year T-Note0.684%1.740%+105.6 b.p.30 Year T-Note1.455%2.411%+95.5 b.p.Source: Bloomberg and Goldman SachsTreasuriesSpread Sectors19
20. Q4 2020 & Q1 2021 Total Returns (excl. Time Deposits)20
21. 21Q4 2020 & Q1 2021 Total Returns vs Benchmarks (excl. Time Deposits)
22. Investment Pool Total Return (excl. Time Deposits) * Annualized22
23. Individual Mandate Key Characteristics23
24. Individual Mandate Key Characteristics (continued)24
25. Portfolio % vs. Allocation Rangesas of May 13, 202125
26. Portfolio Rebalancing Decisions26FROMTOAMOUNTEffective DateLIQUIIDTYULTRA SHORT DURATION$400 MILLIONFebruary 1, 2021LIQUIDITYULTRA SHORT DURATION$400 MILLIONMarch 1, 2021LIQUIDITYULTRA SHORT DURATION$600 MILLIONApril 1, 2021LIQUIDITYSHORT DURATION$200 MILLIONFebruary 1, 2021LIQUIDITYSHORT DURATION$100 MILLIONMarch 1, 2021LIQUIDITY INTERMEDIATE DURATION$400 MILLIONApril 1, 2021
27. Intermediate Duration Portfolio Net of Fee Performance as of March 31, 2021Intermediate Duration PortfolioRanked by Assets% TotalMgr AnnualizedPortfolioMarket ValueRank*6 Month1 Year2 Year3 Year5 YearGalliard2.63%$895,061,984.042-0.92542.89834.63344.57123.0201IR+M2.37%$806,571,268.981-0.74123.51114.80914.66012.9883Sterling Capital2.33%$791,346,687.654-0.69313.49824.67624.53732.9952MetWest1.47%$501,085,434.623-0.79732.23544.65334.52942.9204Total8.81%$2,994,065,375.29 -0.793 3.108 4.695 4.579 2.985 Benchmark-1.200 1.383 4.132 4.169 2.639 * 1, 3 & 5 Year Risk-Adjusted Ranking** Benchmark changed from Barclay's Int Gov/Credit to Barclay's Int Aggregate on June 1, 201927
28. Long Duration Portfolio Net of Fee Performance as of March 31, 2021Long Duration PortfolioRanked by Assets% TotalMgr AnnualizedPortfolioMarket ValueRank*6 Month1 Year3 Year 5 Year 7 Year 10 Year 15 Year Sterling Capital3.48%$1,183,838,059.703-1.86513.47435.10573.62313.69933.82934.7993Galliard3.39%$1,152,305,097.907-2.784122.33475.42913.61923.90214.0111 Manulife 3.07%$1,042,938,434.156-2.24862.052125.11563.55743.60363.620104.6765Fidelity3.00%$1,019,095,661.965-2.670112.055115.19243.55553.57293.74054.8462Amundi Pioneer2.56%$869,885,996.834-2.00534.20815.10083.57133.70523.92824.9071Prudential2.48%$842,022,995.118-2.06843.63324.95793.45583.58083.78544.7154Western Asset2.47%$837,609,004.3510-2.10552.85544.864113.435103.59973.66964.4978Wells Capital 2.33%$792,308,321.501-1.90522.42465.17653.55063.63743.65784.6246Blackrock1.84%$625,903,596.822-2.32172.77555.36523.54973.62153.66964.5297Goldman Sachs1.65%$560,843,648.209-2.648102.24085.21633.44293.475103.564114.48410Nuveen 1.31%$445,324,748.6612-2.56192.18894.754123.157123.256123.393124.4929Insight Investment0.71%$239,621,525.4111-2.43182.138104.952103.276113.427113.6229 Total28.29%$9,611,697,090.59 -2.279 2.757 5.106 3.487 3.583 3.685 4.507 Benchmark-2.726 0.710 4.655 3.104 3.309 3.440 4.295 * 1, 3 & 5 Year Risk-Adjusted Ranking28
29. Total Pool Distribution by Mandate29
30. Total Pool CharacteristicsYield 3/31/21: 0.66%Yield 9/30/20: 0.62%Yield 3/31/30: 1.27%30
31. Top 10 Non-US Govt Holdings at March 31, 202131ISSUERMARKET VALUE% OF TOTALS&P LONG TERM RANKING Bank of America Corp 184,407,972.36 0.54%A-/BBB+ JPMorgan Chase & Co179,477,244.68 0.53%A- Toyota Motor Corp126,061,878.55 0.37%AA- Goldman Sachs Group Inc/The 119,431,961.71 0.35%BBB+ Citigroup Inc 115,586,102.28 0.34%A+/BBB+ Wells Fargo & Co 105,037,181.15 0.31%BBB+ Morgan Stanley 104,427,374.18 0.31%BBB+ Berkshire Hathaway Inc92,246,454.340.27%AA Comcast Corp79,860,291.48 0.24%A- Oracle Corp79,760,963.56 0.23%A
32. Basket ClauseMarch 202185 items$52.7 million Market ValueABS$8.7 million Market Value4.13 years WAM / 3.46 years WALMBS$0.6 million Market Value13.52 years WAM / 1.32 years WALCMBS$16,616.38 Market Value20.40 years WAM / 1.74 WALCorporate$43.4 million Market Value11.16 years WAM and WAL$58.0 million Cost0.16% of Investment PoolStatutes allow for 3% in basket clause items32September 202083 items$46.8 million Market ValueABS$9.9 million Market Value4.45 years WAM / 3.44 years WALMBS$0.6 million Market Value14.04 years WAM / 1.48 years WALCMBS$4,219.16 Market Value18.80 years WAM / 0.43 WALCorporate$36.3 million Market Value11.39 years WAM and WAL$52.3 million Cost0.15% of Investment Pool
33. Pool RatingMaximum ScoreRating18.49AAAf 37.49AA+f58.49AAf91.49AA-f120.49A+f184.49Af290.49A-f360.49BBB+f Policy requirement: A+ or better using S&P rating matrix S&P Rating as of March 31, 2021 = AA-f Credit Score as of March 31, 2021 = 51.83 (AAf) (vs. 53.83 Sep. 30, 2020)S&P rating matrix33
34.