About Our Data
We provide investment information, including yield and portfolio characteristics, to help public funds investment officials manage portfolios, monitor markets, follow industry trends, and benchmark portfolio performance. The charts and tables on our Home page display yield and portfolio characteristics of local government investment pools (LGIPs), money market funds, and collateralized deposits. We also track a separately managed model portfolio, short-term investment benchmarks and yields on active Treasury issues.
The data covers:
- LGIPs managed to achieve a stable net asset value classified as either government-oriented or prime.
- Institutional money market funds, also classified as government-oriented or prime.
- Rates on collateralized bank deposits.
- A model short-term portfolio that is broadly representative of individual portfolios managed by or available to public funds investors. The model also can be used as a benchmark for short-term bond fund type LGIP portfolios.
- Total returns for an index of corporate bonds rated A or better and for constant maturity Treasuries maturing in 12-months to 10-years.
LGIP and Money Market Yields
Net yield information for LGIPs (the PFII LGIP indices) are custom indices of the average net yields of a universe of 20 LGIPs as compiled by PFII. The funds include those sponsored by state treasurers and those that are local based. Funds are included in an index because of their size and transparency/availability of current yield information. These funds are managed to a stable net asset value. This index is updated weekly.
Net yield information for institutional government and institutional prime money market fund portfolios (the PFII MMF indices) is the average of the seven-day net yield reported by money market funds for the ten largest institutional government funds and the ten largest prime institutional funds offered to the public. Collectively these funds represent approximately $2 trillion in assets. This index is updated weekly.
Rates for collateralized deposits are compiled from bids received by state treasurers for non-negotiable CDs and/or time deposits. The rates are on a 365-day basis. Eleven states currently are part of the survey. The total of outstanding time deposits in the survey is approximately $3 billion.
Separately Management Account and Short-Term Bond Fund Information
The yield and return information for a model separately managed portfolio is based on a model portfolio that consists of 60% Treasuries, 30% investment grade corporate bonds rated A or better with 1—3 year maturity limits and 10% cash-equivalent that is invested in a government money market fund. The portfolio is based on the market capitalization of the Treasury and investment grade corporate bond markets. It is constructed using widely held ETFs and is re-balanced monthly to maintain the overall weight and maturity limits. Returns are calculated monthly and are net of fund management fees. The overall fee level is approximately five basis points.
Treasury Yields
Yields on benchmark Treasuries with maturities of three months to 10 years and three-month commercial paper are provided for reference. Rates are sourced from the Federal Reserve H.15 release and Bloomberg LP. These are updated weekly. Yields for Treasury bills and commercial paper are reported on a 365-day basis to match the basis for money funds.
Data Downloads
Data can also be downloaded in Excel or CSV format to support custom analysis.
A Note on Data Quality and Consistency
The money fund yield data are the “Gold Standard” of consistency because they are subject to the requirements of SEC Rule 2a-7 which specifies how calculations are to be done. LGIPs are not required to follow Rule 2a-7 or any other accounting standard with regard to the calculation of portfolio yield and other characteristics. While it is believed the information that comprises the PFII Indices is generally consistent with calculation requirements of Rule 2a-7, there could be minor variations/discrepancies. Some LGIPs are more transparent than others in their calculation and presentation of portfolio characteristics information and investors should be aware of this as they make comparisons of investment alternatives and results.
For further information on this data and assistance in interpreting it, please contact us here.