Stable Value 2021 06 30 DRAFT v2 - Fidelity Investments
Stable Value
FIXED INCOME
INVESTMENT OBJECTIVE Fidelity Stable Value portfolios seek to achieve preservation of capital, while the secondary objective is to provide a level of income over time that is consistent with the preservation of capital.
INVESTMENT PHILOSOPHY AND APPROACH The investment team employs a dynamic multi-sector approach that leverages the entire opportunity set of U.S. fixed income sectors, with the ability to invest in investment contracts issued by insurance companies, banks, or other financial institutions. Our philosophy and approach:
? Sustains a portfolio structured with underlying quality assets, management of market-to-book volatility, and maintenance of globally wrapped, totally synthetic structure
? Optimizes risk-adjusted returns by continuously evaluating risk based on historical and expected assumptions across sectors and securities
? Maintains adequate liquidity to take advantage of investment opportunities and mitigate downside risk
COMPETITIVE ADVANTAGES ? A disciplined team-based investment approach that drives security selection and sector rotation to help deliver performance within an acceptable level of volatility ? Size and scale to maintain wrap capacity and seek competitive contract terms ? Fidelity's proprietary quantitative risk measurement techniques and internally developed risk technology platform, which may help to deliver competitive results in all markets
FACT SHEET SEPTEMBER 30, 2023
KEY FACTS
Inception date:
1986
Style focus:
Stable Value
Duration emphasis:
Neutral
Expected tracking error (bps): 60?80
Total product assets (USD):
$40.6 Billion
PORTFOLIO MANAGEMENT
Industry Experience
Since
David DeBiase Robert Galusza Julian Potenza
2000 1985 2003
Firm Experience
Since
2006 1987 2007
CONTACT INFORMATION
Sean Walker Institutional Portfolio Manager 603-791-6289 sean.walker@
Chris Lewis Institutional Portfolio Manager 603-791-1588 christopher.lewis@
Benchmark consists of 80% Bloomberg 1-5 Government/Credit A or Better Bond Index and 20% Bloomberg Intermediate Government/Credit A or Better Bond Index. Not FDIC Insured - No Bank Guarantee - May Lose Value
For Institutional Use Only
Stable Value
FIXED INCOME
PHILOSOPHY
We focus our attention on areas of the market where we believe our resources have the greatest competitive advantage, managing sustainable stable value portfolios by adhering to the following principles:
FACT SHEET SEPTEMBER 30, 2023 REPRESENTATIVE ACCOUNT - WRAP ALLOCATION
Wrap
AGL A+/A2
JP Morgan A+/Aa1
Lincoln A+/A1
Met Life AA-/Aa3
Nationwide A+/A1
Pac Life AA-/Aa3
Prudential AA-/Aa3
State Street AA-/Aa2
Trans America A+/A1
Mass Mutual AA+/Aa3
? Primary focus on capital preservation and portfolio liquidity
% of Portfolio
9.68%
14.94% 6.72%
8.26%
9.99%
? Emphasis on sector valuation and security selection
Source: FMR LLC., S&P, and Moody's, as of September 30, 2023.
? Independent, broad-based fundamental
research
? Proprietary quantitative research
PORTFOLIO CHARACTERISTICS
? Disciplined risk management
? Team structure that facilitates
multidimensional investment perspectives
Duration (yrs) Yield (%)
Stable Value Benchmark
2.87
2.76
5.41
5.10
HOW CAN FIDELITY'S STABLE VALUE
QUALITY ALLOCATION (%)*
STRATEGY BENEFIT YOUR PORTFOLIO?
? Be fully invested by our ability to secure
sufficient unbundled synthetic wrap capacity with favorable terms and
U.S. Government
pricing
AAA
? Retain ownership of portfolio assets with AA full fee transparency through the use of A a globally wrapped, fully synthetic, book BBB
value structure
Not Rated/Not Available
Stable Value Benchmark
52.65 12.40 5.90 22.02 5.34
0.96
76.60 4.97 6.32 12.10 0.00
0.01
? Align portfolio liabilities with the appropriate investment and maintain an acceptable range for the portfolio's market-to-book ratio through comprehensive liability analysis
? Emphasis on diversification, credit quality, and duration management via conservative asset management
Cash & Net Other Assets Total
0.73 100.00
0.00 100.00
Ratings are derived using highest of Moody's, S&P & Fitch.
? Maintain a competitive fee structure
7.47% 12.34% 7.11% 14.27%
8.33%
SECTOR ALLOCATION (%)*
Stable Value Benchmark
U.S. Treasury U.S. Agency Other Government Related Corporate MBS Passthrough ABS CMBS CMO Cash & Net Other Assets** Total
44.11 0.00 0.44 33.07 4.57 9.40 3.13 3.58 1.70 100.00
73.99 2.65 6.03 17.32 0.00 0.00 0.00 0.00 0.01 100.00
Benchmark consists of 80% Bloomberg 1-5 Government/Credit A or Better Bond Index and 20% Bloomberg Intermediate Government/Credit A or Better Bond Index. * Due to rounding, the total may not add up to 100%. ** May include Derivatives, Futures, Swaps, Credit Default Swaps, Total Return Swaps, or Currency Contracts. Cash/Other Assets include cash, repurchase agreements, receivables and payables, and may include notional assets/liabilities of certain derivative instruments if held by the portfolio. Representative account information is shown and is based on an account in this strategy's composite that generally reflects the strategy's management and is not based on performance. An individual account's performance will vary due to many factors, including inception dates, portfolio size, account guidelines, and type of investment vehicle.
2 For Institutional Use Only
Stable Value
FIXED INCOME
FACT SHEET SEPTEMBER 30, 2023
Information provided in, and presentation of, this document are for informational and educational purposes only and are not a recommendation to take any particular action, or any action at all, nor an offer or solicitation to buy or sell any securities or services presented. It is not investment advice. Fidelity does not provide legal or tax advice.
Before making any investment decisions, you should consult with your own professional advisers and take into account all of the particular facts and circumstances of your individual situation. Fidelity and its representatives may have a conflict of interest in the products or services mentioned in these materials because they have a financial interest in them, and receive compensation, directly or indirectly, in connection with the management, distribution, and/or servicing of these products or services, including Fidelity funds, certain thirdparty funds and products, and certain investment services.
Fidelity has prepared this material for, and only intends to provide it to, institutional, sophisticated, and/or qualified investors. Do not distribute or reproduce this material.
This information is current as of the date indicated and may change based on market and other conditions.
The value of a strategy's investments will vary in response to many factors, including adverse issuer, political, regulatory, market or economic developments. The value of an individual security or a particular type of security can be more volatile than and perform differently from the market as a whole. Nearly all accounts are subject to volatility in non-U.S. markets, either through direct exposure or indirect effects on U.S. markets from events abroad, including fluctuations in foreign currency exchanges rates and, in the case of less developed markets, currency illiquidity. Developments that disrupt global economies and financial markets, such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions or other events may magnify factors that affect performance. In addition, some countries experience low or negative interest rates, from time to time, which may magnify interest rate risk for the markets as a whole and for the funds or accounts. The discontinuation and replacement of LIBOR (an indicative measure of the average interest rate at which major global banks could borrow from one another) and other benchmark rates may have a significant impact on the financial markets and may adversely impact fund or account performance. Additionally, funds or accounts that pursue debt investments are subject to risks of prepayment or default, as well as changes to bankruptcy or debtor relief laws, which may impede collection efforts or alter timing and amount of collections.
Current performance may substantially differ from, and could be significantly lower than, performance shown due to recent significant market volatility. Please contact FIAM for updated performance numbers after the tenth business day following quarter end.
This strategy's performance will change daily based on changes in interest rates and market conditions and in response to other economic, political or financial developments. Debt securities are sensitive to changes in interest rates depending on their maturity, and may involve the risk that their prices may decline if interest rates rise or, conversely, if interest rates decline, their prices may increase. Debt securities carry the risk of default, prepayment risk, and inflation risk. Changes specific to an issuer, such as its financial condition or its economic environment, can affect the credit quality or value of an issuer's securities. Lower-quality debt securities (those of less than investment-grade quality, also referred to as high-yield debt securities) and certain types of other securities are more volatile, speculative and involve greater risk due to increased sensitivity to adverse issuer, political, regulatory and market developments, especially in periods of general economic difficulty. The value of mortgage securities may change due to shifts in the market's perception of issuers and changes in interest rates, regulatory, or tax changes.
Tracking Error and Information Ratio are provided for illustrative purposes and are not intended to represent performance of the strategy. They are presented gross of any fees and expenses that would apply to an investment in the strategy. Historical risk metrics do not necessarily guarantee future risk profile of the strategy.
Derivatives may be volatile and involve significant risk, including but not limited to credit risk, currency risk, leverage risk, counterparty risk, leverage risk, valuation risk, and liquidity risk. Using derivatives can disproportionately increase losses and reduce opportunities for gains in certain circumstances. Derivatives involve leverage because they can provide investment exposure in an amount exceeding the initial investment. Leverage can magnify investment risks and cause losses to be realized more quickly. A small change in the underlying asset, instrument, or index can lead to a significant loss. Assets segregated to cover these transactions may decline in value and are not available to meet redemptions. Government legislation or regulation could affect the use of these transactions and could limit the ability to pursue such investment strategies.
Stable Value is not a mutual fund. It is a commingled pool of the Fidelity Group Trust for Employee Benefit Plans and managed by Fidelity Management Trust Company, a Massachusetts trust company.
Certain data and other information in this presentation have been supplied by outside sources and are believed to be reliable and current. Data and information from third-party databases, such as eVestment Alliance, Callan, and Morningstar are self-reported by firms that generally pay a subscription fee to use such databases, and the database sponsors do not guarantee or audit the accuracy, timeliness, or completeness of the data and information provided, including any rankings. Rankings or similar data reflect information at the time rankings were retrieved from a third-party database, and such rankings may vary significantly as additional data from managers is reported. Rankings may include a variety of product structures, including some in which certain clients may not be eligible to invest. FIAM and its affiliated advisory entities cannot verify the accuracy of information from outside sources, and potential investors should be aware that such information is subject to change without notice.
Third-party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or its affiliated companies.
Fidelity Brokerage Services LLC, Member NYSE, SIPC, 900 Salem Street, Smithfield, RI 02917 Fidelity Distributors Company LLC, 500 Salem Street, Smithfield, RI 02917
691178.22.1 FIAM-BD 1.9885420.124
3 For Institutional Use Only
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