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Agenda 05/25/2021 Item #16J 2 (Investment Report Quarter Ended 3/31/21)05/25/2021 EXECUTIVE SUMMARY Report to the Board regarding the investment of County funds as of the quarter ended March 31, 2021. OBJECTIVE: To provide the Board a report regarding the investment of County funds as of the quarter ended March 31, 2021. CONSIDERATIONS: Florida Statute 28.33 provides for the investment of County surplus funds by the Clerk of Courts. The Clerk manages the investment of Board funds in accordance with Florida Statute and the Board of County Commissioners’ lawful adopted investment po licy using best practices and financial advice. The Clerk will continue to provide a monthly summary of investments on the Clerk’s website for public access. Additionally, the Clerk is providing this update as to the status of the Board’s investment portfolio on a quarterly basis at a publicly noticed Board of County Commissioners’ meeting. Attached as exhibits are the investment portfolio inventory, portfolio composition pie chart, along with yield and return graphs as of the end of the second quarter of FY-2021. The total managed portfolio at March 31, 2021 was $1.55B, at par value. For March 2021, Collier’s short and long-term yields exceeded their respective benchmarks by .03% and .57%. Short-term yield exceeded the Standard and Poor’s benchmark primarily due to the performance of funds with the Florida Prime Local Government Investment Pool, FLCLASS and Florida PALM (LGIPs). The Board’s Concentration (Operating) Account has also been included on the chart and bore interest of .25%, .16% over the short-term benchmark, as of March 31, 2021. Only funds necessary to meet current obligations are kept in the Concentration Account. Over the same period, the Collier portfolio’s long-term sector 12-month total return was .06% lower than the Bank of America 1 to 3-year Treasury index’s total return. The spread between the benchmark’s total return and that of the portfolio has narrowed but the benchmark outperformed the portfolio for the month of March 2021 largely due to valuations on three 5-year callable agencies. The current strategy is to utilize overnight LGIPs thus maintaining the flexibility to take advantage of anticipated yield increases with strategic purchases. There is no realized gain or loss of principal associated with the performance to benchmark of the long or short-term portfolio. GROWTH MANAGEMENT IMPACT: None. FISCAL IMPACT: None. LEGAL CONSIDERATIONS: This item has been reviewed by the County Attorney, raises no legal issues and requires majority vote for acceptance of the report. -JAK RECOMMENDATION: The investment report exhibits are provided to the Board as information only, no action is required. Prepared by: Derek M. Johnssen, Finance Director, Office of the Clerk of the Circuit Court and Comptroller 16.J.2 Packet Pg. 1762 05/25/2021 ATTACHMENT(S) 1. Investment Exhibits QTR2 FY 2021 (PDF) 16.J.2 Packet Pg. 1763 05/25/2021 COLLIER COUNTY Board of County Commissioners Item Number: 16.J.2 Doc ID: 15943 Item Summary: Report to the Board regarding the investment of County funds as of the quarter ended March 31, 2021. Meeting Date: 05/25/2021 Prepared by: Title: – Clerk of the Circuit Court Name: Erin Roxberry 05/17/2021 3:26 PM Submitted by: Title: Senior Staff Assistant – Clerk of the Circuit Court Name: Jennifer Milum 05/17/2021 3:26 PM Approved By: Review: Clerk of the Circuit Court Derek Johnssen Additional Reviewer Completed 05/19/2021 12:27 PM Office of Management and Budget Debra Windsor Level 3 OMB Gatekeeper Review Completed 05/19/2021 12:34 PM Budget and Management Office Ed Finn Additional Reviewer Completed 05/19/2021 12:50 PM County Attorney's Office Jeffrey A. Klatzkow Level 3 County Attorney's Office Review Completed 05/19/2021 12:53 PM County Manager's Office Sean Callahan Level 4 County Manager Review Completed 05/19/2021 2:02 PM Board of County Commissioners Geoffrey Willig Meeting Pending 05/25/2021 9:00 AM 16.J.2 Packet Pg. 1764 Collier County Investment Portfolio as of 03/31/2021 A B C D E F G Weighted Weighted Bond Cont. Rate/Bond Cont. Rate/ FNBB Final Years Years O/N Equiv. /Coupon Equiv. /Weighted Settlement First Call Market Amortized Maturity to to First Cont.Coupon Weighted Purchased Purchased Instrument CUSIP Date Call Date Frequency Par Value Value Cost Date Maturity Call/Maturity Rate Rate Yield Yield Yield US Treasury Note 9128285F3 10/15/2018 none N/A 25,000,000.00$ 25,392,575.00$ 24,984,816.96$ 10/15/2021 0.02 0.02 2.88 0.11 2.99 0.12 FFCB 3133EJY60 12/3/2018 none N/A 9,548,000.00 10,080,978.91 9,552,451.18 3/3/2023 0.03 0.03 3.02 0.05 2.99 0.04 US Treasury Note 912828YZ7-1 12/31/2019 none N/A 50,000,000.00 50,597,650.00 49,999,247.05 12/31/2021 0.06 0.06 1.63 0.13 1.63 0.13 US Treasury Note 912828YZ7-2 12/31/2019 none N/A 50,000,000.00 50,597,650.00 49,999,262.66 12/31/2021 0.06 0.06 1.63 0.13 1.63 0.13 FHLMC 3134GW6E1 11/13/2020 11/2/2021 continuously 25,000,000.00 25,023,650.00 25,000,000.00 11/2/2023 0.10 0.02 0.32 0.01 0.32 0.01 FHLMC 3134GXAY0 11/13/2020 5/13/2022 continuously 25,000,000.00 25,002,950.00 24,994,395.60 11/13/2023 0.10 0.04 0.30 0.01 0.31 0.01 FHLB 3130AKFU5 11/24/2020 none N/A 25,000,000.00 24,941,700.00 24,977,486.30 5/24/2024 0.12 0.12 0.35 0.01 0.38 0.01 FHLMC 3134GXCA0 11/24/2020 11/24/2021 quarterly 25,000,000.00 24,987,075.00 25,000,000.00 11/24/2023 0.10 0.03 0.32 0.01 0.32 0.01 FHLMC 3134GXDT8 11/24/2020 5/24/2021 quarterly 25,000,000.00 25,010,650.00 25,000,000.00 11/24/2023 0.10 0.01 0.35 0.01 0.35 0.01 FHLMC 3134GXDM3 12/1/2020 12/1/2021 quarterly 25,000,000.00 24,577,500.00 25,000,000.00 12/1/2025 0.18 0.03 0.62 0.02 0.62 0.02 FHLMC 3134GXEX8 12/4/2020 12/1/2021 quarterly 27,200,000.00 27,199,945.60 27,195,397.79 6/1/2023 0.09 0.03 0.25 0.01 0.26 0.01 FNMA 3135G06J7 12/10/2020 6/10/2021 quarterly 25,000,000.00 24,780,600.00 25,000,000.00 12/10/2025 0.18 0.01 0.65 0.03 0.65 0.03 FHLMC 3134GXGR9 12/11/2020 6/11/2021 quarterly 50,000,000.00 50,010,700.00 50,000,000.00 12/11/2023 0.21 0.02 0.35 0.03 0.35 0.03 FNMA 3135G06M0 12/16/2020 6/16/2021 quarterly 25,000,000.00 25,000,425.00 25,000,000.00 12/16/2024 0.15 0.01 0.50 0.02 0.50 0.02 FHLMC 3134GXFV1 12/17/2020 12/17/2021 N/A 25,000,000.00 24,907,500.00 25,000,000.00 12/17/2025 0.18 0.18 0.63 0.02 0.63 0.02 Bank of America Corp Note 06048WK74 12/21/2020 12/21/2021 quarterly 25,000,000.00 24,886,725.00 25,000,000.00 6/21/2023 0.09 0.03 0.40 0.02 0.40 0.02 CitiGroup Global Markets 17328YK86 1/29/2021 1/29/2022 quarterly 25,000,000.00 24,823,950.00 24,973,972.60 1/29/2024 0.11 0.03 0.40 0.02 0.44 0.02 Bank of America Corp Note 06048WL24 2/25/2021 2/16/2022 quarterly 28,147,000.00 27,943,947.54 28,121,541.21 2/16/2024 0.13 0.04 0.30 0.01 0.38 0.02 FHLB 3130ALJZ8 3/12/2021 4/12/2021 continuously 25,000,000.00 25,004,800.00 25,000,000.00 3/12/2024 0.12 0.00 0.50 0.02 0.50 0.02 FHLB 3130ALJ70 3/12/2021 4/12/2021 continuously 25,000,000.00 25,000,100.00 25,000,000.00 3/12/2024 0.12 0.00 0.40 0.02 0.40 0.02 US Treasury Note 91282CBR1 3/15/2021 none N/A 25,000,000.00 24,970,700.00 24,926,545.47 3/15/2024 0.12 0.12 0.25 0.01 0.35 0.01 FHLB 3130ALKB9 3/17/2021 6/17/2021 continuously 25,000,000.00 24,997,700.00 25,000,000.00 3/17/2026 0.19 0.01 0.75 0.03 0.75 0.03 FHLB 3130ALJW5-1 3/25/2021 6/25/2021 continuously 12,350,000.00 12,348,369.80 12,350,000.00 6/25/2024 0.06 0.00 0.50 0.01 0.50 0.01 FHLB 3130ALJW5-1 3/25/2021 6/25/2021 continuously 12,650,000.00 12,648,330.20 12,650,000.00 6/25/2024 0.06 0.00 0.50 0.01 0.50 0.01 Total long term investments 639,895,000.00$ 640,736,172.05$ 639,725,116.82$ 2.68 0.90 0.75 0.76 Deposit / LGIP Accounts Balance BoCC FFIB Concentration Account 51,913,728.13$ 0.25% BoCC SBA Florida LGIP Account 402,919,064.90$ 0.13% BoCC FLCLASS LGIP Account 285,333,777.20$ 0.11% BoCC FL PALM LGIP Account - Liquidity Fund 104,168,098.93$ 0.08% BoCC FL PALM LGIP Account - Term Investment 61,000,000.00$ 0.17% Total Funds on Deposit 905,334,669.16$ Total managed portfolio 1,545,229,669.16$ A-Weighted Years to Maturity calculation is based on individual par value divided by total long term investment par value multiplied by the remaining number of year(s) to full maturity. B-Weighted Years To First Call/Maturity calculation is based on individual par value divided by total long term investment par value multiplied by the remaining number of year(s) to full maturity, or to the first call date if applicable. When an investment passes the first call date the calculation is adjusted based on date of final maturity. C-An Overnight Contractual Rate is provided for overnight investments (BoCC Concentration Account) pursuant to a contract with First Florida Integrity Bank. Concentration Account Rate is indexed at 95% of the daily Effective Federal Funds Rate with a floor (minimum) rate of .25%. The SBA Florida, FLCLASS, and FL PALM LGIP rates are the current 7-Day Participant Yield as published on the respective LGIP websites. D-Coupon Rate is taken from the respective investment trade tickets. Step coupons, if any, are shown at their current rate. E-Coupon Weighted Yield calculation is based on individual par value divided by total long term investment par value multiplied by the coupon rate. F-Bond Equivalent / Purchased Yield is taken from the respective investment trade tickets. G-Weighted Purchased Yield calculation is based on individual par value divided by total long term investment par value multiplied by the Purchased Yield. 16.J.2.a Packet Pg. 1765 Attachment: Investment Exhibits QTR2 FY 2021 (15943 : QTR 2 Investment Exhibits) US TreasuriesNotes & T‐Bills  $150,000,000.00                     9.7%Bank Deposit Account  $51,913,728.13                   3.4%Federal Agencies / GSE (FHLB,FNMA,FHLMC,FFCB)$411,748,000.0026.6%Corporates$78,147,000.005.1%SBA Florida LGIP$402,919,064.90 26.0%FLCLASS LGIP$285,333,777.20 18.5%FL PALM LGIP, $165,168,098.93 10.7%Collier County Portfolio Composition                                                    as of March 31, 2021 (At Par Value)                                                      $1,545,229,669.16Sector Allowed (%) Current (%)Sector MaximumTotal Cash Based Interest & Gains Fiscal Year to Date$ 2,904,245Bank Deposit Account                 100%                     3.4%   U.S. Treasury Notes & T‐Bills     100%                     9.7%        Federal Agency / GSE                    80%                   26.6%   SBA Florida LGIP 50%                   26.0% Corporates 25%                      5.1%FLCLASS LGIP 25%                   18.5%FL PALM LGIP                                  25%                   10.7%16.J.2.aPacket Pg. 1766Attachment: Investment Exhibits QTR2 FY 2021 (15943 : QTR 2 Investment Exhibits) 0.25%0.12%0.09%0.00%0.25%0.50%0.75%1.00%Apr. 2020 May. 2020 June. 2020 July. 2020 Aug. 2020 Sept. 2020 Oct. 2020 Nov. 2020 Dec. 2020 Jan. 2021 Feb. 2021 Mar. 2021Collier County Short Term Sector YieldsCollier Short Term Portfolio Yield vs.S&P Rated GIP Government Index Concentration Account (FFIB)Collier Short Term Portfolio YieldS&P Rated GIP Government IndexCombined Yield of SBA Florida Prime,FLCLASS, & FL PALM LGIP Accounts 16.J.2.aPacket Pg. 1767Attachment: Investment Exhibits QTR2 FY 2021 (15943 : QTR 2 Investment Exhibits) 0.76%0.19%0.00%0.25%0.50%0.75%1.00%1.25%1.50%1.75%2.00%2.25%2.50%Apr. 2020 May. 2020 June. 2020 July. 2020 Aug. 2020 Sept. 2020 Oct. 2020 Nov. 2020 Dec. 2020 Jan. 2021 Feb. 2021 Mar. 2021Collier County Long Term Sector YieldsCollier Long Term Portfolio Yieldvs.B of A 1‐3 Yr. Treas. Note Yield BenchmarkCollier Long Term Portfolio YieldBank of America 1‐3 Yr Treasury Note Benchmark16.J.2.aPacket Pg. 1768Attachment: Investment Exhibits QTR2 FY 2021 (15943 : QTR 2 Investment Exhibits) 0.24% 0.18% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 4.50% 5.00% 5.50% Apr. 2020 May. 2020 June. 2020 July. 2020 Aug. 2020 Sept. 2020 Oct. 2020 Nov. 2020 Dec. 2020 Jan. 2021 Feb. 2021 Mar. 2021 Collier County Long Term Sector 12 Month Total Return vs. B of A 1-3 US T Index 12 Month Total Return Bank of America 12 Month Return Index Collier County 12 Month Return Note: Total return includes both interest earnings and changes in the market value of the underlying securities. Commentary: Twelve (12) month total return performance to benchmark has narrowed considerably as of March 31, 2021, but Treasuries out -performed the portfolio's mixture of Treasuries and callable agencies for the month of March 2021. 16.J.2.a Packet Pg. 1769 Attachment: Investment Exhibits QTR2 FY 2021 (15943 : QTR 2 Investment Exhibits)