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Money Market Fund Industry Overview 2010 GIOA Conference March 25, 2010

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.

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Money Market Fund Industry Overview 2010 GIOA Conference March 25, 2010

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  1. Money Market Fund Industry Overview2010 GIOA ConferenceMarch 25, 2010 Deborah A. Cunningham, CFAExecutive Vice PresidentChief Investment Officer 10-34457

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

  3. A Review of 2009

  4. 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

  5. Money Market Yields Source: Bloomberg

  6. Taxable Money Market Yield Curves

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

  8. Outlook

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

  10. 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.

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