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Florida State Treasury Investments

Florida State Treasury Investments. Total Treasury Investment Portfolio as of November 30, 2007. Sector Distribution as of November 30, 2007. No direct CDO exposure. Treasury Portfolio Maturity Distribution as of November 30, 2007. Effective Duration – 3.59 years.

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Florida State Treasury Investments

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  1. Florida State Treasury Investments

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

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

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

  5. Treasury Portfolio Quality Distributionas of November 30, 2007 S&P Ratings

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

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

  9. Securities Lending PortfolioSIV Breakdown as of November 30, 2007* • Links Finance LLC. • MV: $11,551,484.00 • Sub-Prime: $1,155.15 ABS CDO: $168,651.67 • CC USA Inc. • MV: $53,050,745.74 • Sub-Prime: $0.00 ABS CDO: $100,796.42 • Beta Finance Inc. • MV: $61,223,490.94 • Sub-Prime: $0.00 ABS CDO: $42,856.44 • K2 (USA) LLC • MV: $108,277,564.29 • Sub-Prime and ABS CDO: $0.00 • Liberty Lighthouse US Capital • MV: $95,116,000.00 • Sub-Prime: $0.00 ABS CDO: $1,521,856.00 • Sigma Finance Inc. • MV: $92,611,961.42 • Sub-Prime: $0.00 ABS CDO: $416,753.83 • Five Finance Inc. • MV: $3,711,690.23 • Sub-Prime: $0.00 ABS CDO: $1,855.85 • Tango Finance Corp. • MV: $62,773,759.98 • Sub-Prime: $232,262.91 ABS CDO: $106,715.39 • Dorada Finance Inc • MV: $48,668,195.03 • Sub-Prime: $0 ABS CDO: $73,002.29 • Sedna Finance Inc. • MV: $52,516,640.00 • Sub-Prime and ABS CDO: $0 • Total Market Value: $589,501,531.63 • Total Sub-prime/ABS CDO: $2,665,905.95 *Information obtained through our securities lending vendors and represents a conservative estimate of each holdings unwrapped exposure to the sub-prime market.

  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. 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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