The PFII dashboard provides 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 grid display yield and portfolio characteristics of local government investment pools (LGIPs), money market funds and a separately managed model portfolio.
The dashboard covers:
LGIP and Money Market Fund Information
Current net yield information for LGIPs (the PFII LGIP indices) are custom indices of the average net yields of a universe of 20 LGIPs with total assets of approximately $300 billion as compiled by PFII. The individual funds include those sponsored by state treasurers and those that are local-based funds. Funds were included in the index because of their size and transparency/availability of current yield information. All are managed to a stable net asset value. This index is updated weekly.
The current net yield information for institutional government and institutional prime portfolios (the PFII MMF Yield 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. Internal funds used by some fund managers are excluded. Collectively these funds represent approximately $2 trillion in assets. This index is updated weekly.
Portfolio characteristics information (gross yield, weighted average maturity, weighted average life) is for LGIPs as reported by S&P Global for the stable value LGIPs that it rates. S&P reports this with a two-week lag. LGIP expense ratios and the percentage of a portfolio’s assets allocated to governments are derived from this information.
Assets of LGIP stable value funds rated by S&P are reported by S&P with a two-week lag. FitchRatings also reports on a quarterly basis Liquidity Fund (stable value) and Short Term LGIP assets for a universe of funds that it follows.
Portfolio characteristics for money market funds are sourced from the Securities and Exchange Commission ‘s Money Market Fund Statistics report published monthly as of the last day of the month. This is the most comprehensive source of data and includes privately-offerefed prime funds that are not included in some other data sources. The data is released with a lag 3-4 weeks so the yield data is not as current as the PFII MMF Yield Index, but the data series contains additional information on portfolio characteristics not otherwise available.
Separately Management Account and Short-Term Bond Fund Information
The yield, return and portfolio characteristics information for a model separately managed portfolio is based on a model portfolio that consists 60% Treasuries, 30% investment grade corporate bonds and 10% cash-equivalent with 1-3 year maturity limits. 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 weightings and maturity limits. Returns are calculated monthly and are net of management fees of four basis points.
Reference Rates
Reference rates are sourced from the Federal Reserve H.15 release and SOFR Data releases. These are updated weekly. Yields for Treasury bills and commercial paper are reported on a 365-day basis to match the basis for money fund yields.
A Note on Data Quality and Consistency
The money fund yield and portfolio characteristics data are the “Gold Standard” of consistency because they are subject to the requirements of 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, and the S&P Reports 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 distribution of portfolio characteristics information and investors should be aware of this as they seek comparisons of investment alternatives and results.
For further information on how this data is developed and maintained and assistance in interpreting it, please contact us here.
