Money Market Fund Industry Overview GIOA Conference March 25, 2010

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Presentation transcript:

Money Market Fund Industry Overview 2010 GIOA Conference March 25, 2010 Deborah A. Cunningham, CFA Executive Vice President Chief Investment Officer 10-34457

Money Market Overview A Review of 2009 Sectors / Regulatory Changes Money Market Funds Taxable Tax-Exempt Offshore Outlook

A Review of 2009

Money Market Industry Focus 2007 Liquidity Issues – SIV’s 2008 Credit Issues – Lehman Brothers 2009 Zero Yield – 0-.25% Target FF Rate 2010 Regulatory Changes – Supply Constraints

Money Market Yields Source: Bloomberg

Taxable Money Market Yield Curves

Fed Funds Target Rate Chart (1/2/04 – 12/31/09 )

Outlook

Outlook ON rates increasing Additional supply FRB Reverse Repo Yield Curve begins to steepen Eventual Fed tightening Gradual, well-telegraphed Regulatory Changes

Key Changes to Rule 2a-7 Should have a maximum WAM of 60 days; Should have a maximum WAL of 120 days; Should hold a minimum of 10% in cash, U.S. Treasury securities or securities that convert into cash within one day; Should hold a minimum of 30% in securities that mature within one week; Must operate “know your investor” procedures to enable reasonably foreseeable redemption requests to be met; Must conduct periodic stress testing; Must disclose portfolio holdings on a monthly basis; and Must make available to the public the shadow NAV of the fund on a monthly basis, but with a 60 day delay.