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Fidelity Investments Overview:NCCMT Cash and Term Portfolios
July 2013
Michael Morin, CFA®Director of Institutional Portfolio Management
Not FDIC insured. May lose value. No bank guarantee.
For Institutional Client Use Only
2
1. Investment Overview
2. Current Market Conditions
3. Regulatory Reform Overview
4. Portfolio Construction
5. Investment Strategy and Outlook
Agenda
For Institutional Client Use Only
Prioritization
Money Market Portfolio Management Objectives
3 For Institutional Client Use Only
1 Safety
2 Liquidity
3 Return
4
Multi-Dimensional ApproachBottom-up, fundamental investment platform complemented by top-down inputs, results in a robust and durable process
For illustrative purposes only.
Portfolio Positioning
Return Attribution
Scenario Expectation
s
Objective:
Consistent,Value-added
Results
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
For Institutional Client Use Only
Credit Research Team: Intensive Sector Coverage
1
Finance Team8 Analysts7 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 Team10 Analysts8 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 Team11 Analysts6 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/Structured8 Analysts4 Associates
• Sovereign debt analysis
• Macroeconomic analysis
• Central bank watch
Legal Team6 Attorneys2 Paralegals
• Structured Review
• Legal Protection
• Documentation
• Covenant Analysis
• Taxability Determination
3 52 4
* Includes Fidelity London staffSource: FMR as of 3/31/13
5
4 Managing Directors l 37 Credit Analysts* l 25 Associates*
For Institutional Client Use Only
Elements of Minimal Credit Risk Analysis
Liquidity Determination
Credit and Cash Flow Analysis
Management Review
Macroeconomic Analysis
LegalReview
In a short-term payment horizon, internal and alternative sources of liquidity are critical
Revenue streams, capital intensiveness, fiscal spending, debt load, interest rate sensitivity, quality of assets, and nature of liabilities
Accessibility to management, quality and sophistication of management team, financial statements, disclosure, compensation, and governance practices
Operating environment, industry dynamics, competitive positioning, economic climate
Legal analysis of structural features and covenants associated at issuer, program and security levels to ensure structure delivers intended exposure
Minimal Credit Risk Determination
6 For Institutional Client Use Only
Breakdown of the Fidelity Money Market Approved List
M-Score Approved Issuers
M1 25
M2 81
M3 125
M4 123
M5 28
Total: 382
Approved List is Diversified across Sector and Credit Quality
Main Categories Approved Issuers
Yankee Banks 40%
Repo Counterparties 17%
Industrials 11%
U.S. Banks 9%
Municipalities 7%
US Gov’t Agencies 5%
Utilities 5%
Asset Backed 3%
Other (2 categories under 2%) 3%
STRONGEST CREDIT QUALITY ISSUERS REPRESENT HIGHEST CREDIT CONCENTRATION AND LONGEST CREDIT EXPOSURE
M-Score Credit QualityMaximumMaturityLimit*
MaximumDollar Limit ($Millions)*
M1 Multiple offsets to buffer possible blows to financial strength 397 ~$25,000
M2 397
M3 397
M3 187
M4 187
M4 97
M5 67
M5 Fewer layers of credit/liquidity provided via Banks/Guarantors 30 ~$1,000
*Dollar and Maturity Guidelines are used for representative purposes and may not represent actual limitsSource: FMR as of 6/30/13
7 For Institutional Client Use Only
Current Market Conditions
For Institutional Client Use Only
9
Source: Federal Reserve as of 6/19/13
Fed Taper Talk Signals Unwind Process May Begin in 2014
Federal Reserve Board Rate Expectations
Appropriate Timing of Policy Firming Appropriate Pace of Policy Firming (June 2013)
For Institutional Client Use Only
2013 2014 2015 20160
2
4
6
8
10
12
14
1
4
13
11
3
14
1
Mar-2013 Jun-2013
Nu
mb
er o
f P
arti
cip
ants
Dec
-07
Mar
-08
Jul-0
8
Oct
-08
Jan-
09
Apr
-09
Jul-0
9
Oct
-09
Jan-
10
Apr
-10
Jul-1
0
Oct
-10
Jan-
11
Apr
-11
Jul-1
1
Oct
-11
Jan-
12
Apr
-12
Jul-1
2
Oct
-12
Jan-
13
Apr
-13
0.0
500,000.0
1,000,000.0
1,500,000.0
2,000,000.0
2,500,000.0
3,000,000.0
3,500,000.0
Agencies and Mortgages Treasuries
Unprecedented Fed Actions Drive Market Conditions
10
Stock prices
Bond yields
Mortgage rates
Trade weighted dollar
Collateral availability
Repo rates
($T
rillio
ns)
TwistQE1 QE1 Expanded QE2 QE3
FEDERAL RESERVE HOLDINGS OF TREASURIES AND AGENCIES
For Institutional Client Use Only
Source: Federal Reserve as of 6/19/13
Jun-09 Aug-09 Oct-09 Dec-09 Mar-10 May-10Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14
0.00
0.25
0.50
0.75
1.00
1.25
-2.5
0.0
2.5
5.0
7.5
10.0
Fed Funds Futures Levels (LHS) vs. Economic Indicators (RHS)
(%)
(%)
Futures 12/31/08
Core PCE Deflator
Unemployment Rate
Futures 12/31/11
Futures 6/30/13
Unemployment Rate Target*
Inflation Threshold*
Fed Shifts From Date-Based to Threshold-Based Guidance
11
Source: Bloomberg as of 6/30/13*Targets set during the 12/12/12 Fed meeting
Fed Shifts From Date-Based to Threshold-Based Guidance
Futures 12/31/12
For Institutional Client Use Only
12
Recent Move in Rates Did Not Directly Impact Money Markets
Source: Bloomberg, as of 6/30/13
0 2 5 10 300.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Treasury Rates
4/30/13 6/30/13
Years
Yie
ld (
%)
0 3 6 9 12 15 18 21 24
0.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35
0.40
4/30/13 6/30/13
Months
Yie
ld (
%)
For Institutional Client Use Only
Dec-12 Jan-13 Mar-13 Apr-13 May-13 Jun-130.0
0.1
0.2
0.3
0.4
0.5Overnight Index Swap Rates
1 Yr OIS 1 Yr 1 Yr Forward OIS
Yie
ld (
%)
13
Recent Move in Rates Did Not Directly Impact Money Markets
Source: Bloomberg, as of 6/30/13
Following Bernanke’s May 22 Testimony
For Institutional Client Use Only
Tax Receipts Reduce Bill Supply – Repo Remains Subdued
Jan
'11
Feb
'11
Mar
'11
Apr
'11
May
'11
Jun
'11
Jul '
11
Aug
'11
Sep
t '1
1
Oct
'11
Nov
'11
Dec
'11
Jan
'12
Feb
'12
Mar
'12
Apr
'12
May
'12
Jun
'12
Jul '
12
Aug
'12
Sep
t '1
2
Oct
'12
Nov
'12
Dec
'12
Jan
'13
Feb
'13
Mar
'13
Apr
'13
May
'13
Jun
'130.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35
0.40
0.45
0.50
1,300
1,350
1,400
1,450
1,500
1,550
1,600
1,650
1,700
1,750
1,800
Treasury Bill Supply vs. Short-Term Rates
6 Mth Bill Rate (Auction Stop) 1 Year Bill Rate (Auction Stop)
O/N TSY Repo Bills Outstanding (Billions) RHS
Bil
l R
ates
Bills O
utstan
din
g (B
illion
s)
14
Sources: FMR, Bloomberg, and Wrightson ICAP as of 5/31/13
For Institutional Client Use Only
3-MONTH LIBOR VS. 3-MONTH TREASURIES
15
Short-Term Credit Spreads Stabilize
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
TED Spread Low:3/16/10: 11 bps
TED Spread High:10/10/08: 464 bps
TED Spread Current:6/30/13: 24 bps
Sep
-08
Dec
-08
Mar
-09
Jun-
09
Sep
-09
Dec
-09
Mar
-10
Jun-
10
Sep
-10
Dec
-10
Mar
-11
Jun-
11
Sep
-11
Dec
-11
Mar
-12
Jun-
12
Sep
-12
Dec
-12
Mar
-13
Jun-
13
0.0
1.0
2.0
3.0
4.0
5.0
3 Month LIBOR 3 Month Treasury
Yie
ld (
%)
For Institutional Client Use Only
Long-Term Spread Sectors Underperformed Relative to Short-End
16
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
Agg
rega
te
CM
BS
AB
S
MB
S
Age
ncy
Cre
dit
TIP
S*
HY
Cor
pora
te
EM
D
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
(0.34)
0.50
(0.03)
(0.38) (0.56) (0.73)
(5.13)
0.14
(2.34)
Broad Sector Excess Returns
Q2 '13 Excess Return
%
Tec
hnol
ogy
Com
mun
icat
ions
Ene
rgy
Tra
nspo
rtat
ion
Cyc
lical
s
Bro
kera
ge
Cap
Goo
ds
Insu
ranc
e
Ele
ctric
Util
ity
Non
-Cyc
lical
s
Nat
Gas
Ban
king
RE
ITs
Fin
ance
Cos
.
Bas
ic
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
0.02
(0.06) (0.13)
(0.21) (0.31)
(0.40) (0.41) (0.42) (0.51)
(0.58) (0.63) (0.67) (0.74) (0.76)
(2.20)
Corporate Sector Excess Returns
Q2'13 Excess Return
%
17
Credit Concerns Remain in Eurozone
Source: Bloomberg as of 6/30/13Due to lack of availability, CDS was used in place of the 10 year bond yield for Cyprus.
10 YEAR BOND YIELDS OF SELECT EUROZONE COUNTRIES
For Institutional Client Use Only
Jun-
11
Jul-1
1
Aug-1
1
Sep-1
1
Oct-1
1
Nov-1
1
Dec-1
1
Jan-
12
Mar
-12
Apr-1
2
May
-12
Jun-
12
Jul-1
2
Aug-1
2
Sep-1
2
Oct-1
2
Nov-1
2
Dec-1
2
Jan-
13
Feb-1
3
Mar
-13
Apr-1
3
May
-13
Jun-
130
5
10
15
20
25
30
35
40
45
0
200
400
600
800
1000
1200
1400
1600
1800
Greece Portugal Ireland Spain
Italy France Germany Cyprus (RHS)
Yie
ld (
%)
5yr CD
S (b
ps)
Q1
2014
Au
gust
201
2
Source: iMoneyNet and Fidelity as of 6/30/13
2013Aug 22
Sept 27
$2,500
$2,600
$2,700
$2,800
$2,900
$3,000
Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13
($B
illio
ns)
Money Market Mutual Fund Industry Assets Under Management
SEC Chairman Shapiro does not have the votes to push through MMF reform
Geithner writes letter to FSOC encouraging additional MMF reform
FSOC proposes additional MMF reform
Nov 13
18 For Institutional Client Use Only
Nov 30
SEC MMF study released
SEC rule proposal issued
Dec 14
Schapiro steps down as SEC Chairman
FSOC proposal comment deadline(extended from Jan 18)
Apr
Jan 24 Feb / Mar
SEC comment deadline
Sep 2014
Final Rule AdoptedJun
Expect Walters and Paredes to be replaced
Obama names Mary Jo White as SEC Chairman
Feb 15 Mary Jo White confirmed as SEC Chairman
Money Market Fund Reform Key Events (2012-2014)
18
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
19 For Institutional Client Use Only
Portfolio Composition
For Institutional Client Use Only
Portfolio diversification is presented to illustrate examples of the securities that each fundhas 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
21
NCCMT Cash Portfolio
June 30, 2013 June 30, 2012
For Institutional Client Use Only
9%
16%
3%
13%
2%
14%
8%
28%
8%
North American Banks
Asian/Australian Banks
Eurozone
Nordic/Swiss Banks
UK Banks
Asset Backed CP
Other Corp/VRDN
Government/Repo
Finance Companies
8%
12%
14%
3%
21%
6%
30%
7%
Focus on High Quality Issuers
22
Foreign Bank Exposure Geographically Diversified
Source: FMR as of 6/30/13
FOREIGN BANK HOLDINGS: NCCMT CASH PORTFOLIO
For Institutional Client Use Only
Jun-
12
Jul-1
2
Aug
-12
Sep
-12
Oct
-12
Nov
-12
Dec
-12
Jan-
13
Feb
-13
Mar
-13
Apr
-13
May
-13
Jun-
13
0
10
20
30
40
50
60
Germany
Norway
UK
France
Switzerland
Canada
Australia
Japan
Singapore
Sweden
% o
f F
un
ds
23
Fund Holdings Primarily Short-Term
Source: FMR as of 6/30/13
NCCMT CASH PORTFOLIO MATURITY SCHEDULE
For Institutional Client Use Only
Jul-1
3
Aug
-13
Sep
-13
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb
-14
Mar
-14
Apr
-14
May
-14
Jun-
14
1-2
Yea
rs
0
5
10
15
20
25
30
35
40
UK Banks
Eurozone
Other Corp/VRDN
Finance Companies
North American Banks
Nordic/Swiss Banks
Asset Backed CP
Asian/Australian Banks
Government/Repo
% o
f N
et A
sset
s
Portfolio diversification is presented to illustrate examples of the securities that each fundhas 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
24
NCCMT Term Portfolio
June 30, 2013 June 30, 2012
For Institutional Client Use Only
9%
20%
24%
24%
12%
6%4%1%
North American Banks
Asian/Australian Banks
Eurozone
Nordic/Swiss Banks
UK Banks
Asset Backed CP
Other Corp/VRDN
Government/Repo
Finance Companies
3%
16%
21%
24%
9%
14%
2%
7%2%
Focus on High Quality Issuers
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
25 For Institutional Client Use Only
26
Important Information
Not FDIC insured. May lose value. No bank guarantee.
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
For Institutional Client Use Only
620891.1.0