january 2020 - floridatrustonline.com · the day to day fund. portfolio report. january 2020. 3544...

The Day to Day FundPortfolio Report

January 2020

3544 Maclay Boulevard, Tallahassee, FL 32312(850) 577-4610, FAX (850) 205-8262

7 Day Yields 30 Day Yields7 Day Yield 1.68% 30 Day Yield 1.68% 7 Day Gross Yield 1.78% 30 Day Gross Yield 1.79% 7 Day Net Average Yield * 1.75% 1.78% Net Asset Value Info 12 Month Return Net Asset Vale $1.00 12 Month Return 2.24%Days to Maturity Fitch RatingsAvg Maturity 38.55 Days AAAm

SecuritiesOvernight to 30

Days 31 to 90 Days 91 to 180 Days Above 181 Days TotalMoney Market 816,269.76$ -$ -$ -$ 816,269.76$ Repurchase Agreements 241,000,000.00$ -$ -$ -$ 241,000,000.00$ U.S. Treasuries 49,998,458.00$ -$ -$ -$ 49,998,458.00$ U.S. Agencies -$ -$ -$ -$ -$ Asset Backed Securities 4,546,346.71$ 39,443,870.40$ 25,277,421.05$ -$ 69,267,638.16$ Collateralized Mortgage Obligations -$ -$ -$ -$ -$ Commercial Paper 68,762,723.48$ 159,769,060.51$ 26,855,827.40$ -$ 255,387,611.39$ Agency Discount Notes -$ -$ -$ -$ -$ Corporates 42,958,301.98$ 72,821,566.22$ 22,427,393.19$ 6,347,094.39$ 144,554,355.78$ Certificate of Deposit 46,916,628.22$ 31,288,480.63$ -$ 23,589,100.71$ 101,794,209.56$ Supranationals -$ -$ -$ -$ -$ Municipal 13,340,086.40$ 7,499,332.50$ -$ -$ 20,839,418.90$ Govt. Relatd Securities 8,618,276.53$ 187,165.50$ 18,742,152.66$ 15,530,365.35$ 43,077,960.04$

Total: 476,957,091.08$ 311,009,475.76$ 93,302,794.30$ 45,466,560.45$ 926,735,921.59$ % of Portfolio: 51.47% 33.56% 10.07% 4.91% 100.00%

* This is averaged over the last 3 months.

PORTFOLIO SUMMARY

Security DistributionCredit Quality

December 31, 2019 to January 31, 2020

30 Day Net Average Yield *

Day to Day Fund Portfolio Report January 2020 Page 1 of 10

Charts Page January 31, 2020

Repurchase Agreements

26.01%

Commercial Paper

27.56%

Corporates15.60%

Certificate of Deposit10.98% Govt.

Related Securities

4.65% U.S. Treasuries

5.40%

Asset Backed

Securities7.47%

Municipals2.25%

Money Market0.09%CMOs

0.00%

Sector Allocation, January 2020

OverNight

2 to 30Days

31 to90

Days

91 to180

Days

Above181

DaysMaturities 13.14% 38.32% 33.56% 10.07% 4.91%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

45.00%

Maturity Distribution, January 2020


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Yiel

d

Day to Day Fund Net 7-Day SEC Yield Crane Money Fund Average Yield*

Yield Comparison and Performance Summary

Day to Day Fund Net 7-Day SEC Yield, Since Inception vs. Crane Money Fund Average Yield* As of Jan. 31, 2020

*Institutional (government) 7-day yields

New 2a-7 Money Mkt Fund rules take effect

10-16

First round of SEC Reforms target 2a-7

Money Mkt Fund guidelines 01-10

SEC New 2a-7 Money

Mkt Fund rules

announced 07-14

Fed raises rates 25 basis

points, ending 7

years of zero interest rate policy 12-15Fed extends

Operation Twist 06-12

Fed announces QE3, $40B MBS

purchases/mo and low rates through 2015

09-12QE2 Announced,

Fed to purchase

$600B of Tsys 11-10

Quantitative Easing

(“QE1”) Ends 03-10

Fed announces Taper of $10 bn per month 12-13

Fed announces “Operation Twist” -

extends avg maturity of Fed portfolio 09-11

J. Powell named Fed Chair 11-17

Fed cuts interest

rates 7-19, 9-19, 10-

19The Fed

raises ratesInterest rates12-15 – 12-18

Portfolio (gross) 0.37% 0.28% 0.22% 0.33% 0.20% 0.18% 0.23% 0.65% 1.13% 2.09% 2.43% 0.16% 0.66%

Portfolio (net) 0.29% 0.16% 0.12% 0.18% 0.09% 0.08% 0.14% 0.51% 1.04% 1.98% 2.32% 0.14% 0.61%

ICE BofAML 3M US Tsy Bill 0.17% 0.13% 0.08% 0.08% 0.05% 0.04% 0.05% 0.33% 0.86% 1.87% 2.28% 0.13% 0.60%

*Returns under one year are unannualized

FLORIDA TRUST DAY TO DAY FUND & INDEX RETURNS FiscalYTD YTD.

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 9/30)


During January the yield on the two-year U.S. Treasury note fell 26 basis points to

1.31% and the 10-year Treasury fell 41 basis points to 1.51%, compared to levels at

the end of December.

The US economy grew at an annual rate of 2.1% in 2019 Q4. The

unemployment rate was 3.5% in December and firms added 145,000 net, new jobs to

nonfarm payrolls over the month. The FOMC left the target range for the federal

funds rate unchanged at 1.50-1.75% at its January meeting. The meeting was largely

uneventful except for a key wording change to the policy statement. The Fed stated

that monetary policy is appropriate for inflation “returning to” the 2% target rather

than “near” the 2% target. Powell clarified the sentence during the press conference,

stating that the Committee chose to make the change to powerfully convey that 2%

core inflation is NOT a ceiling. Powell emphasized that policymakers are "not

comfortable with inflation persistently below the 2% target." We believe that with

inflation running persistently below the 2% target, monetary policy should remain

easy throughout 2020. If anything, there's scope for policy to become easier should

inflation figures disappoint in 2020.

In January, the coronavirus outbreak was top-of-mind for investors. China moved

quickly to contain the virus (shutting down transportation, closing retail shops and

public events, etc.). The U.S. and China also signed Phase 1 of a trade deal. The

United Kingdom officially left the European Union, but both parties will continue to

negotiate a trade deal. The global manufacturing sector continued to improve, with

the global manufacturing PMI rising from 50.1 to 50.4 on the back of improvement in

eurozone data..

Florida Trust Day to Day FundThe Florida Trust Day to Day Fund posted a total return

of +0.16% in January, versus the benchmark ICE BofA Three-Month Treasury Index return of +0.13%. The net 7-day SECyield of the Day to Day Fund was 1.68% at month end, versus1.72% as of the end of December.

We continue efforts to maximize portfolio yield, while stilladhering to the strict investment guidelines required by Fitch tomaintain the AAA rating. We evaluate high-quality corporatesecurities for the portfolio, and search for value in commercialpaper (“CP”) and corporate notes that enhance yield andadhere to the guidelines of the fund, with a focus on liquidity.Short maturity repurchase agreements backed by US Treasurycollateral are also utilized; the coupon available on reporemains elevated, particularly given supply-demand dynamics.Only highest quality counterparties are used, with repoagreements ranging from overnight to one week in term.

While short-dated credit with low spread durationprovides attractive all-in yield and total return opportunity, weare also focused on high-quality asset-backed securities as acredit diversifier. Asset-backed securities serve as a goodalternative to credit and yields compare favorably to similar-maturity corporates. Floating rate securities in the fundcontinue to benefit from elevated LIBOR levels (28% ofportfolio). We expect to remain active in purchases ofcommercial paper, corporate, and asset-backed securities,while at the same time targeting an extended overall day countfor the portfolio, as the Fed remains on hold. The weighted-average maturity of the portfolio ended the month at 44 days.

The fund remains highly liquid with approximately 39% ofthe portfolio invested in overnight and short-term securities.Additionally, 36% of the portfolio is invested in government orgovernment guaranteed securities, also enhancing liquidity.With net contributions for the month over $86 million, weinvested conservatively given year-end supply constraints.

The fund is assigned Fitch rating agency’s highest MoneyMarket Fund Rating of AAA mmf.


ASSETS 31-Dec-2019 31-Jan-2020 31-Dec-2019 31-Jan-2020Investments INCOME Investments @ Amortized Cost $842,494,698.98 $926,546,709.42 Interest income $812,882.96 $1,064,687.93 Cash ($6,041,147.02) ($10.00) Net realized gain (loss) on investments $2,760.86 $114.53Total Investments $836,453,551.96 $926,546,699.42 Other income $0.00 $0.00

Amortization of securities: discount / (premium) $263,647.65 $306,752.09Receivables Total income $1,079,291.47 $1,371,554.55 Due From Sponsor $0.00 $0.00 Investment Securities Sold $0.00 $0.00 EXPENSES Interest Receivable $1,292,919.87 $1,206,738.82 Audit fees $678.54 $677.66 Capital Shares Sold $0.00 $0.00 Custodian fees $4,182.27 $4,040.23Other Assets $0.00 $0.00 Fund accounting fees $6,398.51 $8,236.31TOTAL ASSETS $837,746,471.83 $927,753,438.24 Investment management fees $47,196.29 $61,245.26

Legal services $841.79 $841.03LIABILITIES Pricing expense $254.82 $249.86Payables Transfer agency fees $2,554.86 $2,542.62 Investment Securities Purchased $0.00 $2,050,000.00 Fitch Rating Service Fee $969.97 $969.37 Dividends Payable $1,017,449.70 $1,292,535.94 Miscellaneous $54.64 $0.00 Accrued Expenses $81,058.23 $93,451.45 Total gross expenses $63,131.69 $78,802.34 Other Payables $0.00 $0.00Other Liabilities $0.00 $0.00 Less reimbursement of expenses by sponsor $0.00 $0.00TOTAL LIABILITIES $1,098,507.93 $3,435,987.39 Total net expenses $63,131.69 $78,802.34

NET ASSETS $836,647,963.90 $924,317,450.85 Net increase in net assets $1,016,159.78 $1,292,752.21

Shares Outstanding: 836,647,963.90 924,317,450.85

Net Asset Value Per Share: 1.0000 1.0000

MONTH-END STATEMENT OF ASSETS & LIABILITIES MONTH-END STATEMENT OF OPERATIONS


ACCOUNT NET ASSET 7 DAYDATE BALANCE VALUE ANN. YIELD*

January 1, 2020 $836,647,963.90 1.0000 1.7250%January 2, 2020 $895,730,830.74 1.0000 1.7113%January 3, 2020 $900,213,895.22 1.0000 1.7061%January 4, 2020 $900,213,895.22 1.0000 1.7008%January 5, 2020 $900,213,895.22 1.0000 1.6955%January 6, 2020 $900,336,239.54 1.0000 1.6912%January 7, 2020 $900,598,791.37 1.0000 1.6891%January 8, 2020 $860,598,791.37 1.0000 1.6887%January 9, 2020 $865,757,100.48 1.0000 1.6963%January 10, 2020 $863,435,294.90 1.0000 1.6975%January 11, 2020 $863,435,294.90 1.0000 1.6987%January 12, 2020 $863,435,294.90 1.0000 1.6999%January 13, 2020 $858,435,294.90 1.0000 1.6997%January 14, 2020 $924,018,771.52 1.0000 1.6987%January 15, 2020 $911,294,110.14 1.0000 1.6933%January 16, 2020 $907,136,669.07 1.0000 1.6905%January 17, 2020 $912,032,638.41 1.0000 1.6871%January 18, 2020 $912,032,638.41 1.0000 1.6837%January 19, 2020 $912,032,638.41 1.0000 1.6803%January 20, 2020 $912,032,638.41 1.0000 1.6781%January 21, 2020 $910,981,208.75 1.0000 1.6757%January 22, 2020 $933,869,361.84 1.0000 1.6768%January 23, 2020 $937,282,513.86 1.0000 1.6743%

Fund Balance and Net Asset Value ReportJanuary 2020


ACCOUNT NET ASSET 7 DAYDATE BALANCE VALUE ANN. YIELD*

January 24, 2020 $932,093,651.15 1.0000 1.6732%January 25, 2020 $932,093,651.15 1.0000 1.6722%January 26, 2020 $932,093,651.15 1.0000 1.6712%January 27, 2020 $931,687,207.49 1.0000 1.6703%January 28, 2020 $936,027,543.85 1.0000 1.6709%January 29, 2020 $936,027,543.85 1.0000 1.6710%January 30, 2020 $919,154,163.02 1.0000 1.6743%January 31, 2020 $924,317,450.85 1.0000 1.6784%

Average : $904,040,665.61

End of Month NAV $1.0000* This is the 30 day yield, annualized.


CUSIP Description Coupon Rate

Maturity Date Fitch Rating S&P Rating Face Amount Market Price Market Value Days to

Mat. PCT

FIGXX FIDELITY MM 0.000 2/1/2020 AAA AAA 816,269.76 100.000 816,269.76 1 0.09%$816,269.76 $816,269.76 0.09%

RPE00O8X9 TRI-PARTY FLORIDA CIBC WORLD MARKETS 1.52 2/5/2020 1.520 2/5/2020 F1 A-1 40,000,000.00 100.000 40,000,000.00 5 4.32%RPEF0NYT8 TRI-PARTY GOLDMAN SACHS 1.52 2/4/2020 1.520 2/4/2020 F1 A-1 40,000,000.00 100.000 40,000,000.00 4 4.32%RPEF0OAA3 TRI-PARTY FLORIDA CITIGROUP REPO 1.57 2/6/2020 1.570 2/6/2020 F1 A-1 40,000,000.00 100.000 40,000,000.00 6 4.32%RPEF0OEU5 TRI-PARTY FLORIDA BANK OF MONTREAL 1.57 2/3/2020 1.570 2/3/2020 F1 A-1 121,000,000.00 100.000 121,000,000.00 3 13.06%

$241,000,000.00 $241,000,000.00 26.01%

9128284K3 TREASURY VAR. T-NOTE 4/30/2020 1.569 02/04/20 AAA AA+ 30,000,000.00 100.006 30,001,917.00 4 3.24%9128285H9 TREASURY VAR. T-NOTE 10/31/2020 1.581 02/04/20 AAA AA+ 10,000,000.00 99.974 9,997,384.00 4 1.08%912828Y53 TREASURY VAR. T-NOTE 7/31/2020 1.579 02/04/20 AAA AA+ 10,000,000.00 99.992 9,999,157.00 4 1.08%

$50,000,000.00 $49,998,458.00 5.40%

14315XAA6 CARMAX AUTO OWNER TRUST MBS 1.776 1/15/2021 1.776 5/8/2020 F1+ A-1+ 6,200,000.00 100.010 6,200,597.06 98 0.67%26208QAA5 DRIVE AUTO RECEIVABLES TRUST 1.743 1/15/2021 1.743 3/30/2020 NR A-1+ 12,340,000.00 100.000 12,340,029.62 59 1.33%34531MAA6 FORD CREDIT AUTO LEASE TRUST MBS 1.728 2/15/2021 1.728 5/14/2020 F1+ A-1+ 6,930,000.00 100.000 6,930,000.00 104 0.75%35105FAA4 MET LIFE GLOB FUNDING I MBS 1.814 2/16/2021 1.814 4/1/2020 F1 A-1 2,050,000.00 100.125 2,052,562.50 61 0.22%36258MAA2 GM FINANCIAL SECURITIZED MBS 1.99 10/16/2020 1.990 2/28/2020 F1+ NR 1,261,008.31 100.134 1,262,703.36 28 0.14%36258NAA0 GM FINANCIAL SECURITIZED TERM MBS 1.766 1/19/2021 1.766 4/17/2020 NR A-1+ 7,980,000.00 100.020 7,981,632.71 77 0.86%40438DAA7 HPEFS EQUIPMENT TRUST MBS 2.15 10/20/2020 2.150 3/22/2020 NR A-1+ 2,378,154.42 100.185 2,382,549.25 51 0.26%41284UAA2 HARLEY-DAVIDSON MOTORCYCLE TRUST MBS 1.726 2/16/20 1.726 4/1/2020 NR A-1+ 7,870,000.00 100.000 7,870,000.00 61 0.85%44935SAA4 HYUNDAI AUTO LEASE SECURITIZATION MBS 1.775 1/15/2 1.990 5/31/2020 NR A-1+ 8,080,000.00 100.021 8,081,733.97 121 0.87%65479NAA2 NISSAN AUTO LEASE TRUST MBS 1.722 2/16/2021 1.722 6/6/2020 NR A-1+ 4,060,000.00 100.125 4,065,090.02 127 0.44%80284NAA6 SANTANDER RETAIL AUTO LEASE MBS 2.144 10/20/2020 2.144 3/29/2020 F1+ NR 1,078,916.95 100.005 1,078,966.80 58 0.12%80286HAA7 SANTANDER DRIVE AUTO RECEIVABL MBS 2.208 8/17/2020 2.208 2/18/2020 NR A-1+ 231,225.17 100.022 231,275.81 18 0.02%92867XAA4 VOLKSWAGEN AUTO LEASE TRUST MBS 2.128 10/20/2020 2.128 4/28/2020 F1+ A-1+ 3,594,592.63 100.181 3,601,088.06 88 0.39%96328DBL7 WHEELS SPV LLC MBS 2.367 6/22/2020 2.367 4/1/2020 F1+ A-1+ 2,135,445.21 100.075 2,137,041.46 61 0.23%98162GAA0 WORLD OMNI AUTOMOBILE LEASE MBS 2.151 8/17/2020 2.151 2/18/2020 F1+ NR 476,503.64 100.008 476,542.71 18 0.05%98163BAA0 WORLD OMNI SELECT AUTO TRUST MBS 2.121 10/15/2020 2.121 2/28/2020 F1+ A-1+ 2,571,954.30 100.150 2,575,824.83 28 0.28%

$69,237,800.63 $69,267,638.16 7.47%

00038BCC3 ABB TREASURY CENTER INC CP 0 3/12/2020 0.000 3/12/2020 F1 A-1 6,850,000.00 99.825 6,837,985.78 41 0.74%00084BCS1 ABN AMRO FUNDING USA DISC CP 0 3/26/2020 0.000 3/26/2020 F1 A-1 3,293,000.00 99.744 3,284,573.21 55 0.35%0020P5KC2 ASB FINANCE LTD LONDON MBS VAR. CORP 7/10/2020 1.874 4/14/2020 F1+ A-1+ 9,380,000.00 100.000 9,380,000.00 74 1.01%00850UD35 AGRICULTURAL BK CHINA LTD N Y CP 0 4/3/2020 0.000 4/3/2020 F1+ A-1 4,000,000.00 99.675 3,987,008.00 63 0.43%00927WDP1 AIRBUS GROUP FINANCE 0 4/23/2020 0.000 4/23/2020 F1 A-1+ 10,000,000.00 99.642 9,964,195.00 83 1.08%01306MCC2 ALBERTA PROV CDA CP 0 3/12/2020 0.000 3/12/2020 F1+ A-1+ 10,000,000.00 99.824 9,982,404.00 41 1.08%05571BD26 BPCE CP DTD 0 4/2/2020 0.000 4/2/2020 F1 A-1 9,000,000.00 99.720 8,974,797.30 62 0.97%05952SEV3 BANCO DE CHILE CP 0 5/29/2020 0.000 5/29/2020 NR A-1 9,000,000.00 99.404 8,946,331.20 119 0.97%05971RC69 BANCO SANTANDER SA CP 0 3/6/2020 0.000 3/6/2020 F1 A-1 4,000,000.00 99.845 3,993,797.20 35 0.43%05971RCP7 BANCO SANTANDER SA CP 0 3/23/2020 0.000 3/23/2020 F1 A-1 4,000,000.00 99.770 3,990,784.40 52 0.43%06119QCG0 BANK OF CHINA LTD. 0 3/16/2020 0.000 3/16/2020 F1+ A-1 4,000,000.00 99.753 3,990,125.20 45 0.43%09659JDU4 BNP PARIBAS SA C/P 0 4/28/2020 0.000 4/28/2020 F1 A-1 6,000,000.00 99.586 5,975,169.60 88 0.64%11070JC24 BRITISH COLUMBIA PROV CDA C/P 0 3/2/2020 0.000 3/2/2020 F1+ A-1+ 6,000,000.00 99.867 5,992,017.60 31 0.65%12509RBU4 CDP FINANCIAL INC DISC C/P 0 2/28/2020 0.000 2/28/2020 F1+ A-1+ 6,000,000.00 99.880 5,992,813.20 28 0.65%12800AE42 CAISSE DES DEPOTS ET 0 5/4/2020 0.000 5/4/2020 F1+ A-1+ 6,000,000.00 99.568 5,974,071.60 94 0.64%13608CHN5 CANADIA IMERIAL BK 0 5/4/2020 1.894 2/4/2020 F1+ A-1 6,500,000.00 100.050 6,503,281.20 4 0.70%16891MDE6 CHINA CONSTRUCTION BK 0 4/14/2020 0.000 4/14/2020 F1 A-1 4,000,000.00 99.631 3,985,257.60 74 0.43%

MONTH-END SCHEDULE OF INVESTMENTSJanuary 31, 2020

Money Market

Sub Total

Repurchase Agreement

Sub Total

Asset Backed Securities

Sub Total

U.S. Treasury Notes

Sub Total

Commercial Paper




Mat. PCT

22533TBJ4 CREDIT AGRICOLE DISC C/P 0 2/18/2020 0.000 2/18/2020 F1 A-1 5,000,000.00 99.922 4,996,080.00 18 0.54%23305DE76 DBS BANK LTD DISC CP 0 5/7/2020 0.000 5/7/2020 F1+ A-1+ 2,000,000.00 99.542 1,990,838.80 97 0.21%29287ADU1 ENGIE CP DTD 0 4/28/2020 0.000 4/28/2020 F1 A-1 8,000,000.00 99.598 7,967,811.20 88 0.86%2960E2CA9 ERSTE FIN DEL LLC CP 0 3/10/2020 0.000 3/10/2020 F1 A-1 9,000,000.00 99.814 8,983,298.70 39 0.97%31428FBA2 FEDERATION DES CAISSES CP 0 2/10/2020 0.000 2/10/2020 F1+ A-1 5,000,000.00 99.957 4,997,833.50 10 0.54%31428FD93 FEDERATION DES CAISSES 0 4/9/2020 0.000 4/9/2020 F1+ A-1 1,200,000.00 99.691 1,196,297.04 69 0.13%45581BCX3 INDUSTRIAL AND COMM BK OF CN CD 0 3/31/2020 0.000 3/31/2020 F1+ A-1 4,000,000.00 99.703 3,988,100.00 60 0.43%48246TBL2 KFW DISC C/P DTD 0 2/20/2020 0.000 2/20/2020 F1+ A-1+ 6,000,000.00 99.913 5,994,783.60 20 0.65%50045VC43 KOMATSU FINANCE AMERICA INC CP 0 3/4/2020 0.000 3/4/2020 NR Moodys-A2 6,000,000.00 99.857 5,991,392.40 33 0.65%55078TBD8 LVMH MOET HENNESSY LOU VUITTON CP 0 2/13/2020 0.000 2/13/2020 NR A-1 4,680,000.00 99.943 4,677,334.74 13 0.50%55607KCA2 MACQUARIE BANK LIMITED CP 0 3/10/2020 0.000 3/10/2020 F1 A-1 7,000,000.00 99.820 6,987,374.10 39 0.75%62939LD14 NRW BK CP 0 4/1/2020 0.000 4/1/2020 F1+ A-1+ 6,000,000.00 99.728 5,983,672.20 61 0.65%63254GKU8 NATL AUSTRALIA BK LTD C/P 2.597 2/7/2020 1.822 2/7/2020 F1+ A-1+ 3,620,000.00 100.006 3,620,209.24 7 0.39%63254GLT0 NATL AUSTRALIA BK LTD C/P 1.909 2/11/2020 1.834 2/11/2020 F1+ A-1+ 3,000,000.00 100.008 3,000,226.20 11 0.32%63763PBJ7 NATIONAL SECS CLEARING C/P 0 2/18/2020 0.000 2/18/2020 NR A-1+ 6,000,000.00 99.922 5,995,323.00 18 0.65%63975UCC4 NEDELANDSE WATERSHCAPSBANK CP 0 3/12/2020 0.000 3/12/2020 NR A-1+ 5,500,000.00 99.818 5,490,009.25 41 0.59%65558JC96 NORDEA BK ABP DTD 0 3/9/2020 0.000 3/9/2020 F1+ A-1+ 4,300,000.00 99.832 4,292,755.79 38 0.46%68217XB69 OMERS FINANCE C/P 0 2/6/2020 0.000 2/6/2020 F1+ NR 4,000,000.00 99.974 3,998,973.20 6 0.43%68217XCC5 OMERS FINANCE C/P 0 3/12/2020 0.000 3/12/2020 F1+ NR 4,000,000.00 99.818 3,992,734.00 41 0.43%68217XD26 OMERS FINANCE C/P 0 4/2/2020 0.000 4/2/2020 F1+ NR 1,623,000.00 99.725 1,618,533.34 62 0.17%68328GEC6 ONTARIO TEACHERS FIANACE TRST CP 0 5/12/2020 0.000 5/12/2020 NR A-1+ 4,000,000.00 99.534 3,981,356.80 102 0.43%69034ACD2 OVERSEA- CHINESE BANKING CP 0 3/13/2020 0.000 3/13/2020 F1+ A-1+ 7,000,000.00 99.801 6,986,075.60 42 0.75%69034CHD3 OVERSEA-CHINESE BANKING VAR. CORP 2/18/2020 1.944 2/18/2020 F1+ A-1+ 2,000,000.00 100.006 2,000,125.40 18 0.22%69370AD84 PSP CAPITAL INC DISC C/P 0 4/8/2020 0.000 4/8/2020 NR A-1+ 10,000,000.00 99.700 9,970,004.00 68 1.08%86563GD25 SUMITOMO TR & BKG CO LTD CP 0 4/2/2020 0.000 4/2/2020 F1 A-1 6,000,000.00 99.715 5,982,888.00 62 0.65%87030JBQ1 SWEDISH EXPORT CREDIT CORP 0 2/24/2020 0.000 2/24/2020 NR A-1+ 7,000,000.00 99.897 6,992,790.00 24 0.75%89152EB49 TOTAL FINA ELF CAP 0 2/4/2020 0.000 2/4/2020 NR A-1 4,000,000.00 99.983 3,999,316.80 4 0.43%91127PBR1 UNITED OVERSEAS BK LTD DISC C/P 0 2/25/2020 0.000 2/25/2020 F1+ A-1+ 6,000,000.00 99.894 5,993,633.40 25 0.65%9612C0F53 WESTPAC BANKING CORP DISC C/P 0 6/5/2020 0.000 6/5/2020 F1+ A-1+ 6,000,000.00 99.387 5,963,229.00 126 0.64%

$255,946,000.00 $255,387,611.39 27.56%

0258M0EF2 AMERICAN EXPRESS CREDIT CORP VAR. CORP 3/3/2020 2.336 3/3/2020 A A- 5,495,000.00 100.000 5,495,000.00 32 0.59%05252ACY5 AUST & NZ BANKING GROUP VAR. CORP 11/9/2020 2.221 2/10/2020 AA- AA- 1,000,000.00 100.230 1,002,297.90 10 0.11%05252EAD5 AUST & NZ BANKING GROUP 2.05 5/27/2020 2.050 5/27/2020 AAA NR 5,350,000.00 100.095 5,355,071.26 117 0.58%05565QDT2 BP CAPITAL MARKETS PLC VAR. CORP 11/24/2020 2.160 2/24/2020 A A- 4,570,000.00 100.214 4,579,762.43 24 0.49%05579HAF9 BNZ INTL FUNDING/LONDON VAR. CORP 2/21/2020 2.595 2/21/2020 NR AA- 5,410,000.00 100.042 5,412,287.89 21 0.58%064255BP6 BK TOKYO-MITSUBISHI UFJ 2.3 3/5/2020 2.300 3/5/2020 NR A 7,520,000.00 100.049 7,523,705.86 34 0.81%136069KL4 CANADIAN IMPERIAL BANK OF COMMERCE 2.25 7/21/2020 2.250 7/21/2020 AAA NR 5,300,000.00 100.255 5,313,530.37 172 0.57%14913Q2U2 CATERPILLAR FINL SERVICE VAR. CORP 8/26/2020 2.167 2/26/2020 A A 2,017,000.00 100.142 2,019,857.69 26 0.22%14913Q2Y4 CATERPILLAR FINL SERVICE VAR. CORP 6/19/2020 2.003 3/19/2020 A A 1,531,000.00 100.024 1,531,364.22 48 0.17%17325FAD0 CITIBANK NA VAR. CORP 6/12/2020 2.387 3/12/2020 A+ A+ 6,812,000.00 100.181 6,824,323.59 41 0.74%233851BR4 DAIMLER FINANCE NA LLC 2.25 3/2/2020 2.250 3/2/2020 A- A- 2,417,000.00 100.037 2,417,889.94 31 0.26%233851DH4 DAIMLER FINANCE NA LLC VAR. CORP 5/4/2020 2.292 2/4/2020 A- A- 4,300,000.00 100.074 4,303,166.95 4 0.46%24422ETP4 JOHN DEERE CAPITAL CORP VAR. CORP 3/13/2020 2.187 3/13/2020 A A 7,500,000.00 100.048 7,503,619.50 42 0.81%44987CAC2 ING BANK NV 2.45 3/16/2020 2.450 3/16/2020 AA- A+ 1,291,000.00 100.083 1,292,065.59 45 0.14%46849LSZ5 JACKSON NATL LIFE FRN 144A VAR. CORP 4/27/2020 2.094 4/27/2020 AA- AA- 5,280,000.00 100.081 5,284,259.90 87 0.57%59217GBP3 MET LIFE GLOB FUNDING I 2 4/14/2020 2.000 4/14/2020 AA- AA- 9,000,000.00 100.067 9,006,048.00 74 0.97%59217GCQ0 MET LIFE GLOB FUNDING I VAR. CORP 9/7/2020 2.150 2/4/2020 AA- AA- 3,110,000.00 100.225 3,116,994.39 4 0.34%6325C0DT5 NATL AUSTRALIA BANK FRN 144A VAR. CORP 1/12/2021 2.198 4/13/2020 NR AA- 6,000,000.00 100.317 6,019,030.20 73 0.65%64952WBY8 NEW YORK LIFE GLOBAL FDG 1.95 2/11/2020 1.950 2/11/2020 AAA AA+ 1,122,000.00 100.001 1,122,015.60 11 0.12%69353RFH6 PNC BANK NA 2.5 1/22/2021 2.500 12/22/2020 A+ A 6,300,000.00 100.748 6,347,094.39 326 0.68%747525AL7 QUALCOMM INC VAR. CORP 5/20/2020 2.449 2/20/2020 NR A- 2,890,000.00 100.145 2,894,181.83 20 0.31%780082AA1 ROYAL BANK OF CANADA 1.875 2/5/2020 1.875 2/5/2020 AAA NR 10,000,000.00 100.000 10,000,004.00 5 1.08%865622CN2 SUMITOMO MITSUI BANKING CORP VAR. CORP 10/16/2020 2.213 4/16/2020 NR A 7,000,000.00 100.225 7,015,779.40 76 0.76%8911453Y8 TORONTO-DOMINION BANK 1.95 4/2/2020 1.950 4/2/2020 NR Moodys-Aaa 10,000,000.00 100.035 10,003,535.00 62 1.08%89152UAD4 TOTAL CAPITAL SA 4.45 6/24/2020 4.450 6/24/2020 AA- A+ 5,000,000.00 100.993 5,049,667.50 145 0.54%

Sub Total

Corporate Bonds




Mat. PCT

902674XF2 UBS AG 2.2 6/8/2020 2.200 5/9/2020 AA- A+ 6,700,000.00 100.136 6,709,124.06 99 0.72%902674XJ4 UBS AG DTD VAR. CORP 12/1/2020 2.387 3/2/2020 AA- A+ 2,897,000.00 100.274 2,904,945.02 31 0.31%94988J5Y9 WELLS FARGO BANK NA VAR. CORP 7/15/2020 1.896 2/18/2020 AA- A+ 8,500,000.00 100.091 8,507,733.30 18 0.92%

$144,312,000.00 $144,554,355.78 15.60%

06370RVJ5 BANK OF MONTREAL VAR. CD 3/5/2020 1.942 3/5/2020 F1+ A-1 3,500,000.00 100.013 3,500,444.50 34 0.38%06370RZZ5 BANK OF MONTREAL C/D VAR. CD 5/8/2020 1.810 2/4/2020 F1+ A-1 3,190,000.00 100.049 3,191,547.47 4 0.34%06417GT40 BANK OF NOVA SCOTIA HOUSE C/D VAR. CD 5/22/2020 2.199 2/24/2020 F1+ A-1 6,150,000.00 100.095 6,155,846.19 24 0.66%06742TLM6 BARCLAYS BANK PLC NY CD VAR. CD 2/7/2020 2.394 2/7/2020 F1 A-1 5,000,000.00 100.002 5,000,089.50 7 0.54%06742TQD1 BARCLAYS BANK PLC NY C/D VAR. CD 10/15/2020 2.281 4/15/2020 F1 A-1 2,880,000.00 100.010 2,880,290.30 75 0.31%0727MAX30 BAYERISCHE LANDESBANK NY CD VAR. CD 1/22/2021 1.994 4/22/2020 NR Moodys-P1 5,000,000.00 100.014 5,000,714.50 82 0.54%21684L3M2 COOPERAT RABOBANK UA/NY C/D VAR. CD 2/7/2020 1.834 2/7/2020 F1+ A-1 2,000,000.00 100.006 2,000,111.80 7 0.22%22532XNH7 CREDIT AGRICOLE CIB NY C/D VAR. CD 5/8/2020 1.902 2/10/2020 F1 A-1 1,000,000.00 100.022 1,000,220.00 10 0.11%22535CKZ3 CREDIT AGRICOLE CRP&IN 1.76 1/25/2021 1.760 1/25/2021 F1 A-1 3,390,000.00 100.054 3,391,822.12 360 0.37%22549LU29 CREDIT SUISSE AG C/D 1.97 11/20/2020 1.970 11/20/2020 F1 A-1 2,000,000.00 100.149 2,002,983.20 294 0.22%22549LWP6 CREDIT SUISSE AG C/D VAR. CD 3/6/2020 1.960 2/4/2020 F1 A-1 2,500,000.00 100.028 2,500,699.25 4 0.27%22549LZD0 PENDING ISSUANCE-INSTITUTIONAL CD 1.8 1/22/2021 1.800 1/22/2021 F1 A-1 4,500,000.00 100.024 4,501,069.20 357 0.49%23341VDM0 DNB BANK ASA/NY C/D 2.121 2/10/2020 2.121 2/10/2020 NR Moodys-Aa2 3,000,000.00 100.006 3,000,170.10 10 0.32%40054PEF8 GOLDMAN SACHS BANK USA C/D VAR. CD 8/21/2020 2.405 2/20/2020 F1+ A-1 7,060,000.00 99.924 7,054,639.34 20 0.76%53947BAC4 LLOYDS BANK CORP MKTS/NY VAR. CD 9/24/2020 2.435 3/24/2020 NR A 6,900,000.00 100.257 6,917,717.82 53 0.75%53947BAE0 LLOYDS BANK CORP MKTS/NY C/D VAR. CD 10/26/2020 2.378 4/9/2020 F1 A-1 3,000,000.00 100.264 3,007,926.30 69 0.32%60683BVX8 MITSUBISHI TST&BK NY C/D VAR. CD 2/21/2020 1.904 2/21/2020 F1 A-1 5,700,000.00 100.014 5,700,825.36 21 0.62%60710AJP8 MIZUHO BANK LTD/NY 1.73 1/22/2021 1.730 1/22/2021 F1 A-1 9,000,000.00 100.033 9,002,934.00 357 0.97%63307UNQ0 NATIONAL BANK CANADA NY C/D VAR. CD 2/14/2020 2.099 2/14/2020 F1 A-1 800,000.00 100.009 800,068.96 14 0.09%63873QDQ4 NATIXIS NEW YORK BRANHC PIDI C/D 1.77 1/22/2021 1.770 1/22/2021 F1 A-1 4,690,000.00 100.006 4,690,292.19 357 0.51%65590AD94 NORDEA BANK AB NEW YORK C/D VAR. NEGOTIABLE CD 2/1 2.059 2/14/2020 F1+ A-1+ 2,000,000.00 100.008 2,000,150.20 14 0.22%83050PEF2 SKANDINAV ENSKILDA BK NY C/D VAR. CD 3/13/2020 1.884 2/13/2020 F1+ A-1 6,000,000.00 100.018 6,001,056.00 13 0.65%83369Y4M5 SOCIETE GENERALE NY C/D VAR. CD 4/24/2020 1.981 4/24/2020 NR A-1 4,050,000.00 100.052 4,052,121.80 84 0.44%86565BT27 SUMITOMO MTSU BK NY C/D VAR. CD 4/2/2020 1.910 2/4/2020 F1 A-1 2,510,000.00 100.048 2,511,204.05 4 0.27%86958JJ26 SVENSKA HANDELSBANKEN NY VAR. CD 6/11/2020 2.188 3/11/2020 F1+ A-1+ 924,000.00 100.107 924,988.31 40 0.10%90275DHH6 UBS AG STAMFORD CT C/D VAR. NEGOTIABLE CD 3/2/2020 2.327 3/2/2020 F1+ A+ 1,000,000.00 100.042 1,000,415.50 31 0.11%96130AES3 WESTPAC BKING CORP NY VAR. CD 12/11/2020 2.037 3/11/2020 F1+ A-1+ 4,000,000.00 100.097 4,003,861.60 40 0.43%

$101,744,000.00 $101,794,209.56 10.98%

13068PDP8 STATE OF CALIFORNIA CP 1.85 2/10/2020 1.850 2/10/2020 F1 A-1+ 5,000,000.00 100.005 5,000,229.50 10 0.54%45130HCC2 IDAHO HSG & FIN ASSN 1.72 3/5/2020 1.720 3/5/2020 F1 NR 7,500,000.00 99.991 7,499,332.50 34 0.81%54531HBA4 LOS ANGELES COUNTY MET CP 1.65 2/13/2020 1.650 2/13/2020 NR A-1 3,000,000.00 99.995 2,999,856.90 13 0.32%976904MZ2 WISCONSIN ST HSG & ECON DEV AUTH VAR. MUNI 5/1 1.600 2/5/2020 NR AA 5,340,000.00 100.000 5,340,000.00 5 0.58%

$20,840,000.00 $20,839,418.90 2.25%

12802DAN6 CAISSE D'AMORT DETTE SOC 1.875 7/28/2020 1.875 7/28/2020 AA NR 2,000,000.00 100.129 2,002,572.20 179 0.22%25214BAU8 DEXIA CREDIT LOCAL Var. Corp 9/4/2020 2.220 9/4/2020 AA- AA 3,000,000.00 100.175 3,005,258.40 217 0.32%471048BN7 JAPAN BK INTL COOPERATION 2.125 11/16/2020 2.125 11/16/2020 NR A+ 4,000,000.00 100.404 4,016,169.20 290 0.43%471048BB3 Japan Bk Intl Cooperation Var. Corp 2/24/2020 2.480 2/24/2020 NR A+ 7,430,000.00 100.044 7,433,246.91 24 0.80%50048MCB4 Kommunalbanken As Var. Corp 6/16/2020 2.224 6/16/2020 NR AAA 6,720,000.00 100.146 6,729,831.36 137 0.73%563469CP8 MANITOBA PROVINCE 9.25 4/1/2020 9.250 4/1/2020 NR A+ 185,000.00 101.171 187,165.50 61 0.02%62630CAJ0 Municipality Finance Plc Var. Corp 2/7/2020 2.064 2/7/2020 NR AA+ 1,185,000.00 100.003 1,185,029.62 7 0.13%748149AP6 PROVINCE OF QUEBEC Var. Corp 9/21/2020 2.058 9/21/2020 AA- AA- 8,500,000.00 100.105 8,508,937.75 234 0.92%FR0013264819 SFIL SA DTD 2 6/30/2020 2.000 6/30/2020 NR AA 10,000,000.00 100.097 10,009,749.10 151 1.08%

$43,020,000.00 $43,077,960.04 4.65%

$926,916,070.39 $926,735,921.59 100.00%

Government Related Securities

Sub Total

Grand Total

Sub Total

Cerificates of Deposit

Sub Total

Municipal Bonds

Sub Total


january 2020 - floridatrustonline.com · the day to day fund. portfolio report. january 2020. 3544...

Documents