How a treasury investment manager finds out what assets are owned by the MMFs he owns.
For treasury investment managers, visibility into the credit and counterparty risks of their portfolios is essential, especially during times of heightened volatility and uncertainty—like the last nine months.
- One member of NeuGroup’s Treasury Investment Managers’ Peer Group 2 told peers at a recent meeting sponsored by DWS that part of his assessment of counterparty risk involves “looking through” money market funds (MMFs) to see their underlying exposures.
Going the extra step. One DWS executive found it intriguing that the member goes beyond examining the credit ratings of MMF managers. “You are taking it to another level,” he said. Many investment managers rely on the work done by the rating agencies, he said.
- In response to a question from a peer, the member explained that he gets the data on the funds’ holdings by using Transparency Plus, a tool that’s part of the ICD money market portal. The data is then put in Excel.
- He said extracting and analyzing hundreds of names is “challenging,” adding that he’d like to know if others “have a better way to do it.”
Not just prime funds. The member does not only look through prime funds that have credit risk, but those of government money market funds which own a lot of repos. “It’s interesting to see who the repo sponsors are,” he said, adding that the investments are “supersafe and over-collateralized.”
Source: Neu Group