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The Florida Local Government
Investment Pool
Best Practices for Today and Tomorrow
Ash WilliamsExecutive Director and CIOFlorida SBA
Amy MichaliszynSenior Vice PresidentFederated Securities Corp.
June 2, 2009 Institutional Use Only Federated Investment Counseling 09-31238
2
Florida Local GovernmentInvestment Pool
Professional Investment Management with Full
Transparency
• Comprehensive Credit Analysis• Effective Portfolio Construction
TechniquesRule 2a-7
S&P AAAm Rating
Investment Policy
• Investment Policy with Clarity of Objective
• Florida Statutes
SBA Governanceand Supervision
• Executive Director and CIO• IOG• Participant Local Government
Advisory Council• Board of Trustees• IAC
Stringent ComplianceModel in Real Time
• Internal Audit• External Audit• Protective Legislation
Stringent Protections at Multiple Levels
• Independent Custodian• Participant Services• Strong Outreach• Ease of Use
Institutional Use Only
3
Continuum of Recovery
LGIP suspends withdrawals
11/07 12/07 1/08 2/08 3/08 4/08 5/08 6/08 7/08 8/08 9/08 10/08 11/08 12/08 1/09 2/09 3/09 4/09 5/09
S&P AAAm Rating; Pool has liquidity restrictions
Federated Investors named Manager of LGIP & Fund B
Pools split into LGIP & Fund B
SB 2422 Legislation signed by
Charlie Crist
LGIP achieves full liquidity
New investment
strategy developed for
LGIP
SBA hires new Executive Director
PLGAC is formed
LGIP has positive net cash flows for five consecutive months
Governance model
addressed and improved
Institutional Use Only
4
Name of Pool State Assets ($mm)TexPool TX 19,071
State of New Jersey Cash Management Fund NJ 18,800
Georgia Fund 1 GA 11,666
Utah Public Treasurers Investment Fund UT 10,702
Local Government Investment Pool TN 8,687
Mass Municipal Depository Trust-Cash Portfolio MA 8,067
Local Government Investment Pool WA 7,162
Local Government Surplus Funds Trust Fund FL 7,050
State Treasury Asset Reserve of Ohio OH 6,570
North Carolina Capital Management Trust: Cash Portfolio NC 6,399
TexSTAR Cash Reserve Fund TX 5,450
(Riverside) Treasurer’s Pooled Money Fund IL 5,336
The Illinois Funds – Money Market Fund IL 5,084
San Diego County Treasurer’s Pooled Money Fund CA 5,063
State Treasurer’s Short-Term Investment Fund CT 5,036
Local Gov’t Investment Pool OR 4,397
San Bernardino County Investment Pool CA 4,335
King County Investment Pool WA 4,100
Largest Money Market LGIPs*
Institutional Use Only *iMoneyNet as of June 2008
5
Florida Local GovernmentInvestment Pool
Professional Investment Management with Full
Transparency
• Comprehensive Credit Analysis• Effective Portfolio Construction
TechniquesRule 2a-7
S&P AAAm Rating
Investment Policy
• Investment Policy with Clarity of Objective
• Florida Statutes
Stringent ComplianceModel in Real Time
• Internal Audit• External Audit• Protective Legislation
SBA Governanceand Supervision
• Executive Director and CIO• IOG• Participant Local Government
Advisory Council• Board of Trustees• IAC
Stringent Protections at Multiple Levels
Institutional Use Only
6
Investment Policy with Clarity of Objective
• The Local Government Surplus
Funds Trust Fund was created by
an Act of the Florida Legislature
effective October 1, 1977
(Chapter 218, Part IV, Florida
Statutes)
• The primary investment
objectives for the LGIP, in priority
order, are safety, liquidity and
competitive returns with
minimization of risks
Preservation of Capital
Liquidity
Yield
Institutional Use Only
7
Florida Local GovernmentInvestment Pool
Professional Investment Management with Full
Transparency
• Comprehensive Credit Analysis• Effective Portfolio Construction
TechniquesRule 2a-7
S&P AAAm Rating
Investment Policy
• Investment Policy with Clarity of Objective
• Florida Statutes
Stringent ComplianceModel in Real Time
• Internal Audit• External Audit• Protective Legislation
SBA Governanceand Supervision
• Executive Director and CIO• IOG• Participant Local Government
Advisory Council• Board of Trustees• IAC
Stringent Protections at Multiple Levels
Institutional Use Only
8
Money Market Investment Management Team
Legal CounselRule 2a-7 Expertise
Investment Analysis6 Experienced Money Market
Analysts
Trading4 Securities Desk Traders
4 Cash Desk Traders
Portfolio ManagementDeborah A. Cunningham, CFA
Paige M. WilhelmSusan R. Hill, CFAJoseph M. Natoli
FLORIDA LOCAL GOVERNMENT INVESTMENT POOL
Bank Credit and Corporate Credit Committees
Institutional Use Only
9
Stringent Credit Review Process
• Each issuer must have at least two NRSRO ratings
• Quantitative and qualitative analysis
• Rating scale of “1” through “5” with credit ranked as “1” being most favorable
• Committees chaired by Senior Vice President of Investment Research
• Voting members include portfolio managers, senior analyst and dedicated team of money market investment analysts
FLORIDA INVESTED PORTFOLIO
FLORIDA INVESTED PORTFOLIO
Review issuers
and assign internal
Federated credit rating
Develop approved
issuer data-base
and monitor on
an ongoing
basis
Portfolio manageme
nt strategy
and constructi
on
Traders select
securities from
approved issuer
data- base
Bank Credit and Corporate
Credit committees
• Relative value analysis
• Compliance with Rule 2a-7 and other SBA of Florida provisions
• Average duration of 20-60 days
Key decision factors
• Financial analysis
• Industry conferences, publications
• Wall Street and other third party information
• Due diligence meetings
Institutional Use Only
10
Federated Rating System
Federated
Internal
Rating
Equates to Maturity*
HIGHEST
LOWEST
1
2
3
4
5
A-1/P-1
“high” A-1/P-1
“low” A-1/P-1
“high” A-2/P-2
“low” A-2/P-2
397 days
397 days
180 days
90 days
90 days
*Exceptions can be made at analysts’ discretion
Institutional Use Only
11
Rule 2a-7: Risk Control Provisions
• Every security acquired by a money fund must satisfy five
general risk control provisions, which are intended to limit
any deviation between a money fund’s amortized cost value
and its market value:
– The security must be U.S. dollar denominated
– The security must have a maturity of 397 days or less, and
acquisition of the security cannot cause the dollar weighted
average maturity of the money fund’s portfolio to exceed 90
days
– The security must present minimal credit risks
– The security must be an “eligible security”
– Acquisition of the security cannot violate the diversification
requirements of Rule 2a-7
Institutional Use Only
12
Minimal Credit Risks
• The SEC indicates that “minimal credit risk” may not be based solely on
the rating assigned to the portfolio security by an NRSRO
• The SEC indicated that the minimal credit risk determination should be
“based upon an analysis of the issuer’s capacity to repay its short-term
debt”
– cash flow analysis
– assessment of the issuer’s ability to react to future events, including a review of
the issuer’s competitive position, cost structure and capital intensiveness
– assessment of the issuer’s liquidity, including bank lines of credit and
alternative sources of liquidity to support its commercial paper
– “Worst case scenario” evaluation of the issuer’s ability to repay its short-term
debt from cash sources or asset liquidations in the event that the issuer’s back-
up credit facilities are unavailable
Institutional Use Only
13
Eligible Securities
Number of Ratings Ratings Received Tier Under Rule 2a-7
Two NRSROs: P-1/A-1
P-2/A-1
P-3/A-1
First Tier
Second Tier
Not Eligible
Three NRSROs: A-1/F-1/P-3
A-2/F-1/P-3
A-3/F-1/P-3
First Tier
Second Tier
Not Eligible
Four NRSROs: F-1/AMB-1/A-3/P-3
F-2/AMB-1/A-3/P-3
F-3/AMB-1/A-3/P-3
First Tier
Second Tier
Not Eligible
Five NRSROs: R-1/AMB-1/A-3/P-3/F-3
R-2/AMB-1/A-3/P-3/F-3
R-3/AMB-1/A-3/P-3/F-3
First Tier
Second Tier
Not Eligible
Institutional Use Only
14
S&P AAAm Rating: Even More Stringent Controls
• 60 day weighted average maturity
• At least 50% of portfolio rated A-1+; the
remainder no less than A-1
• Weekly surveillance
Institutional Use Only
15
LGIP Portfolio Construction
• Dollar-weighted average maturity not greater than 60 days
• Final maturity of an individual security not greater than 397
days
• 5% individual issuer limit
• 10% limit on illiquid securities/ “limited liquidity securities”
• At least 50% of the LGIP’s securities must be rated A1+;
remainder invested in A-1
• Weekly reporting to Standard & Poor’s
• No derivatives
Institutional Use Only
16
Security Name Security Classification Cpn/Dis Maturity ParCurrent
YieldAmort Cost (2) Mkt Value (1)
Alpine Securitization Corp. CPABS4-2 COMMERCIAL PAPER - ABS- 4(2) 7/23/2009 50,000,000$ 0.48 49,963,056$ 49,955,510$
BNP Paribas SA CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.38 9/8/2009 30,000,000$ 1.40 30,000,000$ 30,083,910$
BNP Paribas SA CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.03 10/20/2009 150,000,000$ 1.04 150,000,000$ 150,319,230$
Banco Bilbao Vizcaya Argentaria SA CP4-2 COMMERCIAL PAPER - 4-2 11/16/2009 50,000,000$ 1.02 49,761,111$ 49,773,295$
Bank of America Corp. CP COMMERCIAL PAPER 6/2/2009 15,000,000$ 0.40 14,999,188$ 14,999,501$
Bank of America N.A., Jun 12, 2009 VARIABLE RATE BANK NOTE 0.38 6/12/2009 40,000,000$ 0.49 39,998,095$ 40,007,000$
Bank of America Triparty Repo Overnight Fixed REPO TRIPARTY OVERNIGHT FIXED 0.19 5/29/2009 396,000,000$ 0.19 396,000,000$ 396,000,000$
Bank of Tokyo-Mitsubishi Ltd. CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.95 7/28/2009 100,000,000$ 0.96 100,000,000$ 100,084,600$
Bank of Tokyo-Mitsubishi Ltd. CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.64 8/11/2009 100,000,000$ 0.65 100,000,000$ 99,997,880$
Bank of Tokyo-Mitsubishi Ltd. CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.60 8/17/2009 50,000,000$ 0.61 50,000,000$ 49,994,365$
Bank of Tokyo-Mitsubishi Ltd. CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.05 7/15/2009 50,000,000$ 1.06 50,000,000$ 50,039,940$
Barclays Bank PLC CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.68 7/8/2009 75,000,000$ 1.60 75,008,468$ 75,104,760$
Barclays Bank PLC CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.33 7/13/2009 100,000,000$ 1.35 100,000,000$ 100,112,090$
Barclays Bank PLC, London CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.35 6/5/2009 100,000,000$ 1.37 100,000,000$ 100,023,310$
Barclays Bank PLC, London CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.95 7/23/2009 30,000,000$ 0.96 30,000,000$ 30,023,298$
Calyon North America, Inc. CP COMMERCIAL PAPER 6/10/2009 90,000,000$ 1.07 89,965,875$ 89,992,917$
Calyon, Paris CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.30 7/9/2009 100,000,000$ 1.32 100,000,000$ 100,110,580$
Calyon, Paris CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.45 9/1/2009 50,000,000$ 0.46 50,000,000$ 50,000,000$
Canadian Imperial Bank of Commerce CDYAN CERTIFICATE OF DEPOSIT - YANKEE 2.55 6/4/2009 300,000,000$ 2.59 300,000,000$ 300,131,040$
Danske Corp., Inc. CP COMMERCIAL PAPER 6/5/2009 200,000,000$ 1.02 199,955,556$ 199,989,280$
Danske Corp., Inc. CP COMMERCIAL PAPER 6/12/2009 20,000,000$ 1.07 19,991,250$ 19,997,916$
Danske Corp., Inc. CP COMMERCIAL PAPER 7/20/2009 75,000,000$ 1.07 74,884,063$ 74,954,400$
Dreyfus Government Cash Management Fund OVNMF OVERNIGHT MUTUAL FUND 0.34 5/29/2009 457,154,502$ 0.34 457,154,502$ 457,154,502$
FHLB Floating Rate Series 2 3/11/2010 FHLB FLOATING RATE NOTE 0.85 3/11/2010 40,000,000$ 0.87 39,995,902$ 40,168,000$
Fifth Third Bank, Cincinnati TDCAY TIME DEPOSIT - CAYMAN 0.16 5/29/2009 156,000,000$ 0.16 156,000,000$ 156,000,000$
General Electric Capital Corp., Aug 31, 2009 VARIABLE MEDIUM TERM NOTE 1.36 8/31/2009 25,000,000$ 5.58 24,737,222$ 24,961,700$
General Electric Capital Corp., Dec 15, 2009 VARIABLE MEDIUM TERM NOTE 1.44 12/15/2009 7,000,000$ 5.34 6,855,582$ 6,917,064$
General Electric Capital Services CP COMMERCIAL PAPER 11/10/2009 50,000,000$ 0.76 49,827,083$ 49,828,695$
LGIP Portfolio Holdings*
*As of May 28, 2009
Institutional Use Only
17
LGIP Portfolio Holdings*Security Name Security Classification Cpn/Dis Maturity Par
Current Yield
Amort Cost (2) Mkt Value (1)
General Electric Capital Services CP COMMERCIAL PAPER 11/23/2009 100,000,000$ 0.66 99,676,806$ 99,608,690$
Landesbank Baden-Wuerttemberg CP COMMERCIAL PAPER 7/14/2009 100,000,000$ 1.17 99,849,861$ 99,938,250$
Lloyds Bank PLC, London CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.83 6/23/2009 50,000,000$ 0.83 50,000,361$ 50,019,125$
Lloyds Bank PLC, London CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.68 7/8/2009 50,000,000$ 1.68 50,001,129$ 50,069,840$
Mizuho Corporate Bank Ltd. CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.00 6/8/2009 200,000,000$ 1.01 200,000,000$ 200,042,740$
Mizuho Corporate Bank Ltd. CDYAN CERTIFICATE OF DEPOSIT - YANKEE 0.95 6/18/2009 90,000,000$ 0.96 90,000,000$ 90,034,092$
Morgan Stanley & Co., Inc. Triparty Repo Overnight Fixed REPO TRIPARTY OVERNIGHT FIXED 0.18 5/29/2009 1,196,000,000$ 0.18 1,196,000,000$ 1,196,000,000$
Mullenix-St. Charles Properties, L.P., Times Centre Apartments Project Series 2004, Jan 01, 2028VARIABLE RATE DEMAND NOTE 0.75 1/1/2028 13,500,000$ 0.75 13,500,000$ 13,500,000$
Newport, KY Industrial Building Revenue Bonds, Series 2007A-1 South Beach #1, LLC, Mar 01, 2032VARIABLE RATE DEMAND NOTE 3.55 3/1/2032 5,480,000$ 3.55 5,480,000$ 5,480,000$
Newport, KY Industrial Building Revenue Bonds, Series 2007A-2, Mar 01, 2032VARIABLE RATE DEMAND NOTE 3.30 3/1/2032 7,685,000$ 3.30 7,685,000$ 7,685,000$
Newport, KY Industrial Building Revenue Bonds, Series 2008 A-5 South Beach #1, LLC, Mar 31, 2032VARIABLE RATE DEMAND NOTE 3.30 3/31/2032 4,865,000$ 3.30 4,865,000$ 4,865,000$
Newport, KY Industrial Building Revenue Bonds, Series 2008A-3, Mar 01, 2032VARIABLE RATE DEMAND NOTE 3.30 3/1/2032 8,145,000$ 3.30 8,145,000$ 8,145,000$
Robert Louis Stevenson School, Series 2007, Aug 01, 2037 VARIABLE RATE DEMAND NOTE 3.75 8/1/2037 6,000,000$ 3.75 6,000,000$ 6,000,000$
Roche Holding AG, Feb 25, 2010 VARIABLE RATE TERM NOTE 1.66 2/25/2010 28,000,000$ 1.68 28,000,000$ 28,021,336$
Salisbury Receivables Company LLC CPABS4-2 COMMERCIAL PAPER - ABS- 4(2) 7/1/2009 64,000,000$ 0.48 63,971,591$ 63,966,029$
Societe Generale North America, Inc. CP COMMERCIAL PAPER 10/21/2009 175,000,000$ 1.07 174,254,792$ 174,342,805$
Societe Generale, Paris CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.00 6/8/2009 100,000,000$ 1.01 100,000,000$ 100,021,370$
Societe Generale, Paris TDCAY TIME DEPOSIT - CAYMAN 0.22 5/29/2009 30,000,000$ 0.22 30,000,000$ 30,000,000$
St. Andrew United Methodist Church, Series 2004, Jul 01, 2029 VARIABLE RATE DEMAND NOTE 0.75 7/1/2029 10,535,000$ 0.75 10,535,000$ 10,535,000$
State Street Bank and Trust Co. CD CERTIFICATE OF DEPOSIT 1.30 7/9/2009 100,000,000$ 1.32 100,000,000$ 100,116,530$
State Street Bank and Trust Co. CD CERTIFICATE OF DEPOSIT 1.15 7/22/2009 175,000,000$ 1.17 175,000,000$ 175,226,993$
State Street Bank and Trust Co. CD CERTIFICATE OF DEPOSIT 1.40 10/13/2009 25,000,000$ 1.42 25,000,000$ 25,061,993$
Svenska Handelsbanken, Stockholm CDYAN CERTIFICATE OF DEPOSIT - YANKEE 1.01 6/12/2009 200,000,000$ 1.01 200,000,831$ 200,059,100$
Toronto Dominion Bank CDYAN CERTIFICATE OF DEPOSIT - YANKEE 2.50 6/2/2009 300,000,000$ 2.54 300,000,000$ 300,097,830$
Yorktown Capital LLC CPABS4-2 COMMERCIAL PAPER - ABS- 4(2) 6/5/2009 99,577,000$ 0.71 99,561,510$ 99,563,278$
3,138,787,000$ 3,137,526,881$ 3,138,400,000$
*As of May 28, 2009
6,044,941,502$ 6,042,623,833$ 6,045,124,783$
Institutional Use Only
18
Fund B Holdings*
Par Value Market Value% Market
Value
Florida West Funding
LLC$273,481,243
$138,606,64
243.4%
Axon Financial Funding
LLC162,472,107 59,206,451 18.5%
Issuer Entity LLC
(Ottimo) 152,109,470 37,441,515 11.7%
Florida East Funding LLC 129,848,104 82,770,431 25.9%
Dreyfus Gov’t Cash
Mgmt Fund 1,616,591 1,616,591 0.5%
TOTAL $719,527,515
$319,641,62
9
100.0%Par Value ― Market Value ≠ Expected Principal Loss*As of May 28, 2009
Institutional Use Only
19
Fund B: Security Description
• Axon and Issuer Entity LLC (Ottimo)
– Each one SIV
– Collateralized by many other bonds
• Florida East and Florida West
– Asset-backed securities held by multiple clients of the SBA
– Collateral seized from KKR Atlantic/Pacific default
– East = 33 bonds
– West = 43 bonds
• Dreyfus
– Money Fund
– Temporary repository for interest and principal payments
Institutional Use Only
20
Florida
East
Florida
WestAxon
Issuer
Entity
LLC
(Ottimo)
Residential Mortgages 100.0 100.0 46.1 100.0
Commercial Mortgages 0.0 0.0 20.3 0.0
Loans by Banks 0.0 0.0 13.8 0.0
Investment Grade Corporate Bonds 0.0 0.0 5.1 0.0
High Yield Corporate Bonds 0.0 0.0 0.9 0.0
Trust Preferred Securities 0.0 0.0 0.4 0.0
Aircraft Leases 0.0 0.0 2.7 0.0
Equipment Leases 0.0 0.0 0.2 0.0
Small Business Loans 0.0 0.0 6.4 0.0
Student Loans 0.0 0.0 0.8 0.0
Other 0.0 0.0 3.3 0.0
TOTAL 100.0% 100.0% 100.0% 100.0%
Fund B: Security Composition by Sector (%)
Institutional Use Only *As of May 28, 2009
21
Fund B: Issues Impacting Recovery ValuesUncertainty regarding:
• Potential expansion of TALF to include residential mortgage-backed bonds
• Further extent of home price declines
• Success of government and private initiatives to mitigate foreclosure problem
(loan modifications)
• Where will unemployment rate peak?
• Impact of potential rating agency downgrades of CMBS on CMBS CDO market
• Can AMBAC and other monoline issuers fulfill obligation to make up any
principal losses?
• Loss modeling assumptions
– Prepayment speeds
– Severities
– Roll rates
Institutional Use Only
22
Florida Local GovernmentInvestment Pool
Professional Investment Management with Full
Transparency
• Comprehensive Credit Analysis• Effective Portfolio Construction
TechniquesRule 2a-7
S&P AAAm Rating
Investment Policy
• Investment Policy with Clarity of Objective
• Florida Statutes
Stringent ComplianceModel in Real Time
• Internal Audit• External Audit• Protective Legislation
SBA Governanceand Supervision
• Executive Director and CIO• IOG• Participant Local Government
Advisory Council• Board of Trustees• IAC
Stringent Protections at Multiple Levels
Institutional Use Only
23
TRADINGPORTFOLIO MANAGEMENT
INVESTMENTANALYSIS
Portfolio Compliance in Real Time
LEGAL COUNSEL CUSTODIANBANK CREDIT AND CORPORATE
CREDIT COMMITTEES
FedPorts
• Average Maturities
• Diversification Rules
• Investment Policy
• Portfolio Parameters
• Rating Agency Compliance
• Investment Oversight Group
Institutional Use Only
24
Compliance Checklist - LGIP
Institutional Use Only
25
Compliance Checklist – Fund B
Institutional Use Only
26
Further Protection Through Legislation; SB 2422
• Highlights– Clarified investment objective– Annual best practice certification– Participant advisory council– Mandatory enrollment materials– Written investment policy– Ethics commitment– Internal controls– Comprehensive frequent reporting– Annual financial audit– Best Practices – gain sharing and penalties
Institutional Use Only
27
99.50%
99.75%
100.00%
100.25%
100.50%
June
August
October
Decem
ber
Febru
ary
AprilJune
August
October
Decem
ber
Febru
ary
AprilJune
Defined Course of Action, Managing Material Events that Impact Liquidity
LGIP Target $1.00 NAV
Institutional Use Only This chart is for illustrative purposes only and represents a hypothetical target NAV.
28
Florida Local GovernmentInvestment Pool
Professional Investment Management with Full
Transparency
• Comprehensive Credit Analysis• Effective Portfolio Construction
TechniquesRule 2a-7
S&P AAAm Rating
SBA Governanceand Supervision
• Executive Director and CIO• IOG• Participant Local Government
Advisory Council• Board of Trustees• IAC
Investment Policy
• Investment Policy with Clarity of Objective
• Florida Statutes
Stringent ComplianceModel in Real Time
• Internal Audit• External Audit• Protective Legislation
Stringent Protections at Multiple Levels
Institutional Use Only
29
BOARD OF TRUSTEES
GovernorChief Financial Officer
Attorney General
AUDIT COMMITTEE INVESTMENT ADVISORY COUNCIL
PARTICIPANT LGIP ADVISORY COUNCIL
Executive Director & Chief Investment
Officer
Supervision and Oversight
Chief of Internal Audit Deputy Executive Director
Inspector General Director of Communications
General Counsel Senior Investment
Policy Officer
Chief Operating Officer
Senior Officer Defined
Contribution Programs
Senior Officer Corporate
Governance
Chief Operating Officer of Florida
Hurricane Catastrophe
Fund
*Executive Director of Florida Prepaid College
Programs *Director of Bond Finance
*Reports to other BoardsInstitutional Use Only
30
Participant Local Government Advisory Council
• MaryEllen Elia, Chair
• Patsy Heffner, Vice Chair
• Roger B. Wishner
• Karen Nicolai
• John Mark Peterson
• Daniel Wolfson
Institutional Use Only
31
Appendix
Institutional Use Only
32
• $23.4 billion in Equity Assets
• $25.7 billion in Fixed Income Assets
• $360.1 billion in Money Market Assets
• 55 Money Market Portfolios
33 Taxable
16 Tax-Free State-Specific*
6 Tax-Free National**
Federated Liquidity Management
More Than $409 Billion in Total Assets Under Management (as of 3/31/09)
• Manage public sector money in all 50 states
• Service 3,500 public entities directly
• Manage nation’s largest money market LGIP relationship
* Income may be subject to the federal alternative minimum tax.
** Income may be subject to the federal alternative minimum tax and state and local taxes.
Institutional Use Only
33
Florida East/Florida West
PROS
• Primarily 2004-2006 loans
• Overcollateralization
• AMBAC guarantee on 9 bonds
• Declining interest rates lower
rate shock for option ARM
borrowers
CONS
• Alt-A borrowers
• Loan concentration in CA and FL
• Weakening economy and rising
unemployment rate
• Some negative amortization
loans
• 56 bonds held indirectly via 2 notes received in KKR restructuring of the original KKR Atlantic and KKR Pacific holdings
• 100% residential mortgage-backed bonds
Institutional Use Only
34
Issuer Entity LLC (Ottimo)
PROS
• Declining interest rates lower
rate shock for ARM borrowers
• Current pay, senior bonds
CONS
• Alt-A borrowers
• Primarily 2006-2007 Loans
• Weakening economy and rising
unemployment rate
• Loan concentration in CA and FL
• 1 security collateralized by 54 bonds
• 100% of collateral residential mortgage-backed bonds
Institutional Use Only
35
Axon
PROS
• Most direct commercial
mortgage-backed bonds very
well protected from losses (9.6%)
• Small Business Administration
Loans/ABS liquidity supported by
government TALF program
• Capital notes provide 10.5%
support to senior notes
CONS
• Very illiquid CDOs (31.3%)
• Subprime mortgage exposure
(10.3%)
• CMBS CDOs at risk for event of
default if underlying CMBS
downgraded
• 1 security collateralized by 247 bonds
• Complex structure
• Diverse range of bond types
Institutional Use Only
36
Disclosure
Standard & Poor’s: AAAm rating by Standard & Poor’s is obtained after S&P evaluates a number of factors, including credit quality, market price exposure and management. This rating, however, is subject to change, and does not remove market risk.An investment in the pool is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the issuer seeks to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in the security.Portfolio holdings are shown as of the date indicated. Since market conditions fluctuate suddenly and frequently, the portfolio holdings may change and this list is not indicative of future portfolio composition. These portfolio holdings are not intended to be and do not constitute recommendations that others buy, sell, or hold any of the securities listed.Past performance is no guarantee of future results.
Institutional Use Only