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Fidelity Investments Overview: NCCMT Cash and Term Portfolios

Fidelity Investments Overview: NCCMT Cash and Term Portfolios. July 2013. Michael Morin, CFA® Director of Institutional Portfolio Management. For Institutional Client Use Only. Agenda. Investment Overview Current Market Conditions Regulatory Reform Overview Portfolio Construction

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Fidelity Investments Overview: NCCMT Cash and Term Portfolios

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  1. Fidelity Investments Overview:NCCMT Cash and Term Portfolios July 2013 Michael Morin, CFA® Director of Institutional Portfolio Management For Institutional Client Use Only

  2. Agenda • Investment Overview • Current Market Conditions • Regulatory Reform Overview • Portfolio Construction • Investment Strategy and Outlook For Institutional Client Use Only

  3. Money Market Portfolio Management Objectives Prioritization Safety 1 Liquidity 2 Return 3 For Institutional Client Use Only

  4. Multi-Dimensional ApproachBottom-up, fundamental investment platform complemented by top-down inputs, results in a robust and durable process • BOTTOM UP FOUNDATION • Fundamental Analysis • 100+ research professionals • Fundamental foundation • Relative value assessment • Quantitative Analysis • Proprietary risk modeling • Security and portfolio level • Structured Analysis • Capital structure analysis • Complements fundamentals • Value-Added Trading • Relative value assessment • Across curve and structure • Macro trends/technicals • TOP-DOWN PERSPECTIVES • Macroeconomic Inputs • Federal Reserve expectations • Sovereign landscape • Tail risk/scenario modeling • Sector • Basis call: transparency • Fundamental and relative value • Yield Curve • Breakeven analysis • Slope and volatility • Relative value opportunities • Interest Rate • Duration views • Volatility perspectives Objective: Consistent,Value-added Results Portfolio Positioning Scenario Expectations Return Attribution For illustrative purposes only. For Institutional Client Use Only

  5. Credit Research Team: Intensive Sector Coverage 1 2 3 4 5 • Finance Team • 8 Analysts • 7 Associates • U.S. banks • European banks • Asian banks • Canadian banks • Broker/dealers • Asset managers • Finance companies • Life insurance • Property & casualty insurance • Financial guarantors • GSEs/government agencies • ABCP • Industrials Team • 10 Analysts • 8 Associates • Airline/aerospace • Automotive • Railroads • Manufacturing/tech • Paper/chemicals • Pharmaceuticals • Metals/mining • Energy/pipelines • Utilities • Media/entertainment • Telecom/cable • Food and beverage • Tobacco • Retail/supermarkets • Consumer goods • Healthcare • Municipal Team • 11 Analysts • 6 Associates • Tax-Backed Analysis • States • Cities • Counties • School Districts • Special Tax-Credits • Higher Ed - Public • Revenue • Healthcare • Industrial Dev. • Resource Recovery • Transportation • Utilities • Water & Sewer • Tobacco • Macro/Structured • 8 Analysts • 4 Associates • Sovereign debt analysis • Macroeconomic analysis • Central bank watch • Legal Team • 6 Attorneys • 2 Paralegals • Structured Review • Legal Protection • Documentation • Covenant Analysis • Taxability Determination 4 Managing Directors l 37 Credit Analysts* l 25 Associates* * Includes Fidelity London staff Source: FMR as of 3/31/13 For Institutional Client Use Only

  6. Elements of Minimal Credit Risk Analysis Minimal Credit Risk Determination For Institutional Client Use Only

  7. Breakdown of the Fidelity Money Market Approved List STRONGEST CREDIT QUALITY ISSUERS REPRESENT HIGHEST CREDIT CONCENTRATION AND LONGEST CREDIT EXPOSURE Approved List is Diversified across Sector and Credit Quality *Dollar and Maturity Guidelines are used for representative purposes and may not represent actual limits Source: FMR as of 6/30/13 For Institutional Client Use Only

  8. Current Market Conditions For Institutional Client Use Only

  9. Fed Taper Talk Signals Unwind Process May Begin in 2014 Federal Reserve Board Rate Expectations Appropriate Pace of Policy Firming (June 2013) Appropriate Timing of Policy Firming Source: Federal Reserve as of 6/19/13 For Institutional Client Use Only

  10. Source: Huyck/Miller? Unprecedented Fed Actions Drive Market Conditions FEDERAL RESERVE HOLDINGS OF TREASURIES AND AGENCIES To be updated QE2 QE3 QE1 QE1 Expanded Twist ($Trillions) Source: Federal Reserve as of 6/19/13 Stock prices Bond yields Mortgage rates Trade weighted dollar Collateral availability Repo rates For Institutional Client Use Only

  11. Fed Shifts From Date-Based to Threshold-Based Guidance Fed Shifts From Date-Based to Threshold-Based Guidance Futures 12/31/12 Source: Bloomberg as of 6/30/13 *Targets set during the 12/12/12 Fed meeting 10 For Institutional Client Use Only

  12. Recent Move in Rates Did Not Directly Impact Money Markets Source: Bloomberg, as of 6/30/13 For Institutional Client Use Only

  13. Recent Move in Rates Did Not Directly Impact Money Markets Following Bernanke’s May 22 Testimony Source: Bloomberg, as of 6/30/13 For Institutional Client Use Only

  14. Tax Receipts Reduce Bill Supply – Repo Remains Subdued Sources: FMR, Bloomberg, and Wrightson ICAP as of 5/31/13 For Institutional Client Use Only

  15. Short-Term Credit Spreads Stabilize 3-MONTH LIBOR VS. 3-MONTH TREASURIES TED Spread High: 10/10/08: 464 bps TED Spread Low: 3/16/10: 11 bps TED Spread Current: 6/30/13: 24 bps Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance is not meant to represent that of any Fidelity mutual fund. Source: Bloomberg as of 6/30/13 For Institutional Client Use Only

  16. Long-Term Spread Sectors Underperformed Relative to Short-End Source: Barclays as of 6/30/13 *TIPS return is calculated by taking the difference of the absolute returns from Barclays US Treasury Index and Barclays US TIPS Index

  17. Credit Concerns Remain in Eurozone 10 YEAR BOND YIELDS OF SELECT EUROZONE COUNTRIES Source: Bloomberg as of 6/30/13 Due to lack of availability, CDS was used in place of the 10 year bond yield for Cyprus. For Institutional Client Use Only

  18. Money Market Fund Reform Key Events (2012-2014) SEC Chairman Shapiro does not have the votes to push through MMF reform FSOC proposal comment deadline(extended from Jan 18) SEC rule proposal issued FSOC proposes additional MMF reform Schapiro steps down as SEC Chairman SEC comment deadline Final Rule Adopted Jan 24 Sept 27 Nov 30 Feb / Mar Jun Q1 2014 August 2012 Mary Jo White confirmed as SEC Chairman Obama names Mary Jo White as SEC Chairman Expect Walters and Paredes to be replaced 2013 2014 Feb 15 Apr SEC MMF study released Aug 22 Nov 13 Dec 14 Sep Geithner writes letter to FSOC encouraging additional MMF reform Source: iMoneyNet and Fidelity as of 6/30/13 17 For Institutional Client Use Only

  19. Overview of SEC Rule Proposal • Alternative 1: • Prime & municipal funds float unless such fund restricts each shareholder daily redemption to $1m • Treasury and Government funds exempt • Implementation period: 2 years • Alternative 2: • When weekly liquidity of all prime and municipal funds 15% or less • 2% redemption fee unless board chooses lower or no fee • Board may gate redemptions for up to 30 days and may also lift gate • Treasury & Government funds exempt – can voluntarily opt in • Implementation period: 1 year • Alternative 3: • Combination of both proposals For Institutional Client Use Only

  20. Portfolio Composition For Institutional Client Use Only

  21. Focus on High Quality Issuers NCCMT Cash Portfolio June 30, 2013 June 30, 2012 Sub-Title Line: 2.32 Top: 2.16 Left: 3.65 Right: 3.50 Bottom: 1.43 Portfolio diversification is presented to illustrate examples of the securities that each fund has bought and may not be representative of a fund’s current or future investments. Each fund’s investments may change at any time. Percentages may not add up to 100 due to rounding.Source: FMR as of 6/30/13 For Institutional Client Use Only

  22. Foreign Bank Exposure Geographically Diversified FOREIGN BANK HOLDINGS: NCCMT CASH PORTFOLIO Source: FMR as of 6/30/13 For Institutional Client Use Only

  23. Fund Holdings Primarily Short-Term NCCMT CASH PORTFOLIO MATURITY SCHEDULE Source: FMR as of 6/30/13 For Institutional Client Use Only

  24. Focus on High Quality Issuers NCCMT Term Portfolio June 30, 2013 June 30, 2012 Sub-Title Line: 2.32 Top: 2.16 Left: 3.65 Right: 3.50 Bottom: 1.43 Portfolio diversification is presented to illustrate examples of the securities that each fund has bought and may not be representative of a fund’s current or future investments. Each fund’s investments may change at any time. Percentages may not add up to 100 due to rounding.Source: FMR as of 6/30/13 For Institutional Client Use Only

  25. 3rd Quarter Investment Strategy and Outlook • Investment Strategy • Focus on highest quality issuers, maintaining high degree of liquidity • Maintain flexibility within portfolios amid potential market volatility stemming from Europe, changes to Federal Reserve policy, the U.S. fiscal situation and additional bank rating downgrades • Limit eurozone exposure to national champions in core countries • Limit issuer maturity tenors and credits to reflect fundamental, rating and macro risks • Maintain longer portfolio weighted average maturities (WAM) than peers • Outlook • Europe will remain a source of volatility • Economic imbalances continue to provide sovereign financial stress, headline risk and volatility • Potential for additional ratings actions • US outlook improved but will continue to be tested • Federal Reserve anticipated to taper bond purchases amid improving economic data • Congress resolved the fiscal cliff but will again approach the debt ceiling • Central Banks around the world are expected to maintain interest rates at extraordinarily low levels to encourage economic growth • Supply dynamics could keep rates lower in the months ahead • Final rules on additional regulatory reform expected in 2014 For Institutional Client Use Only

  26. Important Information • Not NCUA or NCUSIF insured. May lose value. No credit union guarantee. • Lipper Analytical Services, Inc., is a nationally recognized organization that ranks the performance of mutual funds. • The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund. • Past performance is no guarantee of future results. Investment return will fluctuate, therefore you may have a gain or loss when you sell shares. • Diversification does not ensure a profit or guarantee against a loss. • An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund. Interest rate increases can cause the price of money market securities to decrease. • Before investing, have your client consider the funds’ investment objectives, risks, charges, and expenses. Contact Fidelity for a prospectus or, if available, a summary prospectus containing this information. Have your client read it carefully. • For Institutional Investor Use only. • Fidelity Investments & Pyramid Design is a registered service mark of FMR LLC. • Fidelity Investments Institutional Services Company, Inc.,100 Salem Street, Smithfield, RI 02917 Not FDIC insured. May lose value. No bank guarantee. 620891.1.0 For Institutional Client Use Only

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