Crane Data released its July Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of June 30, 2014, shows a big jump in Repos, and a big drop in Other (Time Deposits), CP and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $18.0 billion in June to $2.370 trillion. Portfolio assets also decreased by $3.7 billion in May, $39.1 billion in April, and $43.0 billion in March. Repos again surpassed CDs as the largest portfolio composition segment among taxable money funds, followed by Treasuries, then by CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings plunged to 23.5% of holdings (down sharply from 30.8% last month), primarily due to a record spike in holdings of the NY Fed's RRP (repo) program. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings jumped by $76.1 billion to $591.5 billion, or 25.0% of fund assets, after rising $32.9 billion in May. (Holdings of Federal Reserve Bank of New York repo rose $148.3 billion to a record $274.5 billion.) Certificates of Deposit (CDs) dropped in June, decreasing $17.4 billion to $550.7 billion, or 23.2% of holdings. Treasury holdings, now the third largest segment, increased by $4.8 billion to $390.6 billion (16.5% of holdings). Commercial Paper (CP), which dropped to the fourth largest segment, decreased by $30.9 billion to $363.0 billion (15.3% of holdings). Government Agency Debt was up $8.5 billion. Agencies now total $322.1 billion (13.6% of assets). Other holdings, which include primarily Time Deposits, dropped sharply (down $55.7 billion) to $120.2 billion (5.1% of assets). VRDNs held by taxable funds decreased by $3.3 billion to $32.3 billion (1.4% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 37.2% (down from 36.5% a month ago), followed by Commercial Paper (24.5%, down from 27.2%). The CP totals are primarily Financial Company CP (14.5% of holdings) with Asset-Backed CP making up 6.0% and Other CP (non-financial) making up 4.0%. Prime funds also hold 5.4% in Agencies (up from 4.9%), 4.2% in Treasury Debt (up from 4.0%), 2.0% in Other Instruments, and 4.8% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.481 trillion (down from $1.505), or 62.5% of taxable money fund holdings' total of $2.370 trillion.
Government fund portfolio assets totaled $431.6 billion, down from $436.8 billion last month, while Treasury money fund assets totaled $457.7 billion, up from from $444.5 billion at the end of May. Government money fund portfolios were made up of 55.4% Agency securities, 20.9% Government Agency Repo, 4.5% Treasury debt, and 18.5% Treasury Repo. Treasury money funds were comprised of 67.7% Treasury debt and 31.4% Treasury Repo.
European-affiliated holdings decreased $175.8 billion in June to $558.0 billion (among all taxable funds and including repos); their share of holdings is now 23.5%. Eurozone-affiliated holdings also fell (down $93.3 billion) to $324.0 billion in June; they now account for 13.7% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $7.5 billion to $291.5 billion (12.3% of the total), while Americas related holdings increased $153.0 billion to $1.520 trillion (64.1% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $93.1 billion to $353.6 billion, or 14.9% of assets), Government Agency Repurchase Agreements (down $16.9 billion to $154.2 billion, or 6.5% of total holdings), and Other Repurchase Agreements (down $142 million to $83.7 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $26.4 billion to $214.4 billion, or 9.0% of assets), Asset Backed Commercial Paper (down $683 million to $89.4 billion, or 3.8%), and Other Commercial Paper (down $3.9 billion to $59.2 billion, or 2.5%).
The 20 largest Issuers to taxable money market funds as of June 30, 2014, include: the US Treasury ($390.6 billion, or 16.5%), Federal Reserve Bank of New York ($274.5B, 11.6%), Federal Home Loan Bank ($196.1B, 8.3%), BNP Paribas ($60.1B, 2.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($59.5B, 2.5%), Bank of Nova Scotia ($57.4B, 2.4%), RBC ($53.0B, 2.2%), JP Morgan ($51.9B, 2.2%), Wells Fargo ($51.3, 2.2%), Sumitomo Mitsui Banking Co ($47.6B, 2.0%), Citi ($46.5B, 2.0%), Credit Agricole ($45.1B, 1.9%), Federal Home Loan Mortgage Co ($44.8B, 1.9%), Credit Suisse ($42.4B, 1.8%), Federal National Mortgage Association ($41.5B, 1.8%), Bank of America ($40.0B, 1.7%), Toronto-Dominion ($39.7B, 1.7%), Federal Farm Credit Bank ($36.7B, 1.6%), Natixis ($35.3B, 1.5%) and Mizuho Corporate Bank Ltd. ($32.9B, 1.4%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program by far with 46.4% of the repo market. The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Federal Reserve Bank of New York ($274.5B, 46.4%), BNP Paribas ($32.7B, 5.5%), Bank of America ($30.1B, 5.1%), RBC ($23.6B, 4.0%), Wells Fargo ($20.2B, 3.4%), JP Morgan ($19.7B, 3.3%), Credit Suisse ($19.6B, 3.3%), Barclays ($19.6B, 3.3%), Citi ($18.3B, 3.1%), and Credit Agricole ($16.9B, 2.9%). Crane Data shows 82 funds participating in the NY Fed repo program with 2 money funds maxing out the Fed program with $10 billion, and 8 more holdings over $7 billion (the previous cap). The largest Fed repo holders include: State Street Inst Lq Res, Western Asset Inst Lq Res, Federated Trs Oblg, Goldman Sachs FS Trs Obl Inst, Dreyfus Tr&Ag Cash Mgmt Inst, Morgan Stanley Inst Liq Trs, JP Morgan Prime MM, Morgan Stanley Inst Lq Gvt, Northern Trust Trs MMkt, and BlackRock Lq T-Fund.
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($41.3B, 7.5%), Sumitomo Mitsui Banking Co ($39.6B, 7.2%), Bank of Nova Scotia ($36.4B, 6.7%), Toronto-Dominion Bank ($33.4B, 6.1%), Mizuho Corporate Bank Ltd ($26.9B, 4.9%), Bank of Montreal ($23.2B, 4.2%), Rabobank ($22.9B, 4.2%), Wells Fargo ($22.6B, 4.1%), Citi ($20.9B, 3.8%), and Natixis ($20.5B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($22.1B, 7.1%), Westpac Banking Co ($16.0B, 5.1%), Commonwealth Bank of Australia ($15.6B, 5.0%), RBC ($11.6B, 3.7%), Skandinaviska Enskilda Banken AB ($10.6B, 3.4%), BNP Paribas ($10.4B, 3.3%), HSBC ($9.8B, 3.2%), FMS Wertmanagement ($9.5B, 3.1%), Australia & New Zealand Banking Group ($9.5B, 3.0%), and National Australia Bank Ltd. ($8.6B, 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $148.3B to $274.5B), Federal Home Loan Bank (up $10.6B to $196.1B), State Street (up $4.6B to $11.3B), US Treasury (up $4.1B to $390.6B), Toronto-Dominion Bank (up $3.9B to $39.7B), and Mizuho Corporate Bank Ltd. (up $2.7B to $47.6B). The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Deutsche Bank AG (down $25.1B to $27.0B), Barclays PLC (down $22.3B to $29.8B), Societe Generale (down $16.5B to $23.9B), DnB NOR Bank ASA (down $16.4B to $12.3B), Credit Agricole (down $13.7B to $45.7B), and BNP Paribas (down $12.1B to $60.1B).
The United States remained the largest segment of country-affiliations; it now represents 54.9% of holdings, or $1.302 trillion. Canada (9.1%, $216.5B) moved into second place ahead of France (7.7%, $183.5B). Japan (7.6%, $180.4B) remained the fourth largest country affiliated with money fund securities. Sweden (3.7%, $87.9B) moved up to fifth place, ahead of Australia (3.5%, $83.7B) and the U.K. (3.2%, $76.1B). The Netherlands (3.1%, $74.9B) ranked 8th while Germany (2.5%, $59.7B) dropped to 9th place. Switzerland (2.4%, $57.4B) was tenth among country affiliations. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)
As of June 30, 2014, Taxable money funds held 25.2% of their assets in securities maturing Overnight, and another 12.1% maturing in 2-7 days (37.3% total in 1-7 days). Another 19.7% matures in 8-30 days, while 25.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.6% of taxable securities, and just 3.6% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, and our MFI International "offshore" Portfolio Holdings will be updated Wednesday (the Tax Exempt MF Holdings will be released late Monday). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Reports Issuer Module.
The July issue of Crane Data's Money Fund Intelligence was sent out to subscribers on Tuesday morning. The latest edition of our flagship monthly newsletter features the articles: MMF Reform Regulations Delayed; Stalemate Part II?," which discusses the delay and possible stalemate of money market reform; "Fidelity's Nancy Prior Says Black Clouds Parting," which summarizes the keynote speech from Fidelity's top money fund leader; and, "State of Money Funds: Highlights of Symposium," which reviews a number of sessions from our recent Money Fund Symposium conference. We also updated our Money Fund Wisdom database query system with June 30, 2014, performance statistics and rankings late Monday night, and will send out our MFI XLS spreadsheet Tuesday a.m. (MFI, MFI XLS and our Crane Index products are available to subscribers at our Content center.) Our June 30 Money Fund Portfolio Holdings data are scheduled to go out on Thursday, July 10.
The latest MFI newsletter's lead article comments, "Though SEC Chair Mary Jo White has repeatedly said Money Market Fund Reforms are coming in the "very near term," recent press reports and discussions among money fund managers and lawyers indicate that it could be months more before we see any final rules. Some are even predicting an indefinite stalemate. We still believe that dropping the floating NAV, or using it only after a threshold is broken, is the only path forward, given the lack of progress with the IRS over 'de minimis' gains issues."
The article explains, "Last month, The Wall Street Journal wrote in "SEC Divided on Money-Market Fund Rules," broke the news that it may be some time before we see money market fund reforms. The Journal article commented, "Six years after money-market mutual funds became a source of vulnerability in the financial crisis, U.S. securities regulators are still hashing out how to limit the risks they pose to the financial system. Tighter rules might not be finalized for several months, according to people familiar with the process.""
Our monthly "profile" piece says, "Nancy Prior, President of Fidelity Investments' Fixed-Income unit, gave the keynote address, entitled, "Money Market Funds: Past and Future," at Crane's Money Fund Symposium, late last month. We excerpt from the text of the speech below. Prior comments, "At long last, it appears we're getting close to the much-anticipated, long-awaited announcement of new money market fund rules from the Securities & Exchange Commission."
She continues, "The skies appear finally to be brightening after what seems like one long, gloomy winter. For the past 5 1/2 years, the money market mutual fund industry has been ... you can pick your metaphor here: Embattled, Under siege, Under a cloud.... Suffice it to say, the past few years have just not been a whole lot of fun. In addition to a very challenging, uncertain regulatory environment, we have had to manage through a prolonged and unprecedented period of extraordinarily low interest rates. Given all of this, it's not surprising that some financial writers predicted that money market mutual funds would not make it through this gauntlet."
The July MFI article on State of Money Funds: Highlights of Symposium explains, "Crane's Money Fund Symposium, held June 23-25 at the Renaissance Boston Waterfront Hotel, featured record attendance with approximately 500 attendees, speakers, and sponsors. It also earned rave reviews for its content, which delved into the major issues on the money fund landscape. Here are some of the highlights."
Crane Data's July MFI with June 30, 2014, data shows total assets decreasing by $13.4 billion (after rising $10.9 billion in May, falling by $59.5 billion in April and $25.9 billion in March) to $2.479 trillion (1,248 funds, down from 1,255 last month). Our broad Crane Money Fund Average 7-Day Yield and 30-Day Yield remained at a record low 0.01% while our Crane 100 Money Fund Index (the 100 largest taxable funds) yielded 0.02% (7-day and 30-day). On a Gross Yield Basis (before expenses were taken out), funds averaged 0.13% (Crane MFA, unchanged) and 0.16% (Crane 100) on an annualized basis for both the 7-day and 30-day yield averages. (Charged Expenses averaged 0.12% and 0.14% for the two main taxable averages.) The average WAM for the Crane MFA and the Crane 100 were 41 and 43 days, respectively, unchanged from the prior month. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
Crane Data's 6th annual Money Fund Symposium starts Monday, June 23 and runs through June 25 at The Renaissance Boston Waterfront. Crane's Money Fund Symposium is the largest gathering of money market mutual fund managers and cash investors in the world. Last summer's event in Baltimore attracted over 450 attendees, and we expect almost 500 to gather in Boston this week. See the agenda and more details on the Symposium website (www.moneyfundsymposium.com). Watch for coverage of the event in coming days and excerpts from Monday's keynote speech by Fidelity Investment's Nancy Prior, "Money Market Funds - Past & Future." (Note: For those that can't make it this week, next year's Symposium will be in Minneapolis, June 24-26. Note also: Registered attendees and subscribers may access the current binder at the bottom of our "Content" page in our "Conference materials" section.) We look forward to seeing you in Boston!
In other news, the Federal Reserve Bank of New York's (FRBNY) daily reverse repurchase agreement (RRP) drove significant shifts in investment allocations by money funds that invest exclusively in Treasury and agency securities, either directly or through repos (government MMFs). Between September 2013 and May 2014, total FRBNY RRP investments by government MMFs (repos) rose by $65 billion, while combined Treasury and agency repo holdings with broker-dealers as counterparties fell by $38 billion, according to a new report by Fitch Ratings, "Reverse Repo Program Gains Influence."
Says Fitch: "This trend likely reflects growing comfort with the operations of the RRP program and more attractive rates. Decreasing reliance on repo funding among dealers also reflected the effects of Basel III regulatory considerations, as banks have been forced to re-assess the economics of short-term wholesale funding."
The report continues: "The RRP program, which may ultimately serve as a primary tool for the Fed to influence short-term interest rates, grew in size as the overnight rate (now 5 bps) and the counterparty allocation limit (now $10 billion) have risen. Growth in participation was evident across the universe of government MMFs, which had Fed RRP holdings totaling $87 billion as of May 31, compared with $21 billion on Sept. 30, 2013. RRP volumes have fallen off markedly since mid-May as repo rates have risen, providing more attractive investment alternatives for money funds. However, the test evidenced the RRP program's ability to "set a floor under money market rates," as FRBNY Chairman William Dudley noted in a May 20 speech. Mr. Dudley pointed out that Treasury repo rates had rarely traded much below the fixed RRP rate, supporting the view that the Fed could use the facility to control short-term rates."
In addition, the report explains, "The growing importance of the Fed's RRP program as a source of money market supply appears to have contributed to the reduction in non-FRBNY repos backed by Treasury and agency securities held by government MMFs over the period of our study. Treasury repo investments with counterparties other than the FRBNY (i.e. dealers) declined by 14% to $120.5 billion from $139.7 billion between Sept. 30, 2013, and May 31, 2014, while agency repo investments fell by 15% over the same period to $104.2 billion from $123.0 billion. Broker-dealers conducting the largest volumes of repo funding with government MMFs as of May 31 included BNP Paribas, Deutsche Bank and Barclays."
Fitch writes, "Several institutions that ranked among the largest government MMF counterparties when the daily RRP program was launched last September had less government MMF repo funding as of end-May. These included Citigroup, Bank of America, Credit Agricole, Goldman Sachs and RBC. Regulatory constraints on large banks' capital positions and trading activities, tied to Basel III (embodied in the Supplementary Leverage Ratio rule approved by U.S. banking regulators in April) and the Volcker Rule, are pushing dealers' securities inventories down, and these changes could cut further into demand for repo funding."
Concerning the increase in FRBNY RRP volumes between September 2013 and May 2014, the report says, "Daily utilization reached a peak of $242 billion on March 31. The most recent month-end volume figure, reported on May 30, was $165 billion. Since mid-May, volumes have trended significantly lower, averaging closer to $100 billion per day during the first half of June. On June 16, RRP volume had fallen to $53 billion."
The Fitch report is based on government MMFs universe with assets totaling $881 billion as of end-May 2014. "Among all fund types, these funds allocate the largest share of total assets under management to Treasury and agency repos. Unlike prime funds, government MMFs have more limited investment alternatives. They therefore provide a window into the potential impact of the Fed’s RRP activity on other fund investments, notably dealer repo agreements backed by Treasury and agency securities."
The Financial Times covered the issue in the story, "New York Federal Reserve Takes on Key Role in Repo Market." "The Fed's decision to quadruple its trading with government money market funds in the repurchase or "repo market" is a sign that the central bank is now engaging more directly with the shadow banking system at the expense of large Wall Street banks."
The FT adds, "Historically, the repo market was where big banks pawned out their securities such as Treasury bonds to lenders including money market funds, insurers and mutual funds, in exchange for short-term financing. Now the Fed is stepping in to trade as well as it prepares to end its current near-zero interest rate policy. Rather than lending to the banks, money market funds have sharply boosted their dealings with the US central bank."
The article goes on, "While the growing presence of the Fed in the market has been welcomed by money market funds keen to transact with the central bank, it comes with risks for the central bank and the broader financial system. Bill Dudley, New York Fed president, warned last month that if use of the repo facility were to grow too quickly it might "result in a large amount of disintermediation out of banks through money market funds and other financial intermediaries into the facility. This could encourage further enlargement of the shadow banking system."
A Wall Street Journal article, entitled, "Firms Find Short is Beautiful," reports on the increase in non-financial commercial paper issuance recently. The piece says, "Apple Inc. and at least a dozen other companies have started borrowing short-term cash at the fastest pace in almost two years, telegraphing economic growth. Last month, companies with the highest credit ratings sold an average of $5.88 billion of commercial paper a day, according to the Federal Reserve. For the first time in about two decades, corporate commercial paper accounts for a quarter of the market, with banks and insurers making up the rest." "Companies are issuing more commercial paper to finance expenses such as growing payrolls, capital spending and mergers and acquisitions," John Lonski of Moody's tells the Journal. "Companies are more optimistic, more confident," he says. "There is a correlation between what happens with private-sector payrolls and commercial paper." The article continues, "This year alone, the amount of commercial paper outstanding issued by nonfinancial companies has jumped $82.5 billion to $278.6 billion, according to Fed data, before adjustment for seasonal factors." It continues, "Fed Chairwoman Janet Yellen has been publicly frank that the central bank will keep short-term interest rates low even as the economy recovers. That's persuaded short-term borrowers they can continue to roll over their debts." "That has encouraged a fair amount of issuance in the CP market. They feel that much more comfortable operating their programs at capacity," Barclays' Christopher Conetta tells the Journal. The piece adds, "Apple, for example, recently began issuing up to $10 billion in paper for the first time in 17 years. The tech giant has paid 0.05% for three-week paper and 0.15% for debt maturing in about six months, according to Peter Crane, president of Crane Data LLC, a money-fund research firm." It explains, "There's strong demand for debt from companies like Apple as yield-starved, short-term investors hunt for higher rates. Three-month commercial paper yields range from about 0.10% for the highest-ranked borrowers to a little over 0.25% for so-called Tier 2 companies, according to the Fed. By contrast, three-month bank certificates of deposit are returning an average 0.09%, according to Bankrate.com." The WSJ quotes Crane, "Demand is insatiable for nonfinancial, plain-vanilla blue chips."
The Wall Street Journal writes "Here's One Set of Potential Losers from the ECB's Rate Move". The Journal can't help itself anymore from spinning negative on anything money fund related, writing, "European money market funds, which have been pushing into riskier strategies to stem outflows, may be among the big losers now that the European Central Bank has cut interest rates to negative territory. Money market funds occupy an unglamorous but crucial part of the financial markets. They provide companies, banks and governments with short-term financing at low rates. For investors, they are typically seen as a low risk way to diversify surplus cash holdings. But they have been buffeted by persistently low interest rates that have seen investors put their money in higher yielding stocks and bonds, or alternative cash-management accounts. What do negative rates mean for the industry? Now, the widely expected ECB moves may contribute to a further decline in rates on the short-term debt that money funds buy.... Continued low yields could constrain the ability of European money market funds to generate income for their investors at a time when they are already struggling to justify their existence." The Journal quotes our Peter Crane, "You're seeing a continued, slow shrinkage of the sector. Historically, money funds took share from banks because of a yield advantage, but as yields compress that advantage is nullified." The piece explains, "Euro-denominated assets in money market funds alone now sit around E80 billion ($108.8 billion), down from E111 billion as of the end of May 2012, according to Crane Data LLC <b:>`_. If yields on short-term debt in the euro-zone turn negative for a protracted period, some funds could be forced to close to new investment."
The June issue of Crane Data's Money Fund Intelligence was sent out to subscribers on Friday morning. The latest edition of our flagship monthly newsletter features the articles: SEC Intensely Focused on MF Reform; Very Near Term?," which reviews SEC Chair Mary Jo Whites latest comments on money market reform; "Stability, Fiduciary Priorities at BlackRock; Eye to Future," which interviews BlackRock's Rich Hoerner and Tom Callahan; and, "ICI Releases 2014 Investment Co. Fact Book," which reviews a number annual MMF facts, stats, and trends. We also updated our Money Fund Wisdom database query system with May 31, 2014, performance statistics and rankings late Thursday night, and sent out our MFI XLS spreadsheet Friday a.m. (MFI, MFI XLS and our Crane Index products are available to subscribers at our Content center.) Our May 31 Money Fund Portfolio Holdings data are scheduled to go out on Tuesday, June 10.
The latest MFI newsletter's lead article comments, "Money market providers and investors continue to await the SEC's final Money Market Fund Reform regulations, but guesses as to when we might see the new rules range from next week to not at all. Most now seem to expect the regs between the end of June and the end of October though, with the heaviest betting now being late July or August. The speculative consensus still also seems to lean toward a combination of floating NAV for Inst MMFs and "gates & fees" for all prime MMFs. But of course, nobody really knows and many of the even minor details could matter greatly."
The article explains, "The most recent official word on the matter was from SEC Chair Mary Jo White, who spoke at the ICI's annual meeting on May 22. White didn't give any indication about what they might look like, but she did reiterate her comments from earlier this year that the rules would arrive in the "very near term." She told the ICI, "[T]he Commissioners ... and the Staff are intensely focused on it [MMF Reform] as we speak, completing the very important rulemaking. I expect it will be completed in the very near term. I won't say what the very near term is, but it's front and center."
Our MFI "profile" says, "This month, we sat down with Rich Hoerner, head of global cash management, and Tom Callahan, deputy head of global cash management, at BlackRock, the 3rd largest manager of money funds globally with approximately $263 billion (3/31/14). They talked about new products, the regulatory environment, and some emerging trends that could reshape the money fund landscape. Our discussion follows."
The piece continues, "MFI: Tell us about your background? Hoerner: I started with PNC in 1987 and joined the money market business, which was then known as Provident Institutional Management Corp., in 1992. In the mid-1990s, PNC bought BlackRock.... I grew up on the portfolio side of the money fund business before taking over as co-head of the cash business at BlackRock about 5 years ago. Callahan: I've been with BlackRock just 8 months. I joined in September of last year from the NYSE where I had been the CEO of their Liffe U.S. futures exchange. Prior to that, I ran Merrill Lynch's money market business for a time.... So I have been in and around the short end of the market for most of my career."
It adds, "Hoerner: The cash business at BlackRock has a long history. TempFund [which celebrated its 40th birthday late last year] was launched in October 1973 by Provident National Bank.... In 1982, Pittsburgh National Bank and Provident National Bank merged to form PNC. Then in 1995, PNC purchased BlackRock, [while BlackRock continued to be managed independently]. In 2006, BlackRock purchased Merrill Lynch Investment Managers.... In December of 2009, BlackRock bought Barclays Global Investors from Barclays Bank.... They also had a money fund business and a sizable securities lending business." (Watch for more excerpts of this interview later this month, or write us to request the full article.)
The June MFI article on ICI Releases 2014 Investment Co. Fact Book explains, "The ICI released its "2014 Investment Company Fact Book" last month at the Institute's annual meeting in Washington. As usual, the "Fact Book" is loaded with useful statistics on money market mutual funds. Under the section, "Demand for Money Market Funds (on page 45)," the Fact Book says, "In 2013, money market funds received a modest $15 billion -- the first annual inflow since 2008. Demand for money market funds was not uniform throughout 2013, however. Various factors, including tax events, rising long term interest rates, and a U.S. debt ceiling standoff, influenced money market fund flows during 2013."
Crane Data's June MFI with May 31, 2014, data shows total assets increasing by $11.9 billion (after falling by $59.5 billion last month and $25.9 billion in March) to $2.500 trillion (1,255 funds, up from 1,238 last month). Our broad Crane Money Fund Average 7-Day Yield and 30-Day Yield remained at a record low 0.01% while our Crane 100 Money Fund Index (the 100 largest taxable funds) yielded 0.02% (7-day and 30-day). On a Gross Yield Basis (before expenses were taken out), funds averaged 0.13% (Crane MFA, unchanged) and 0.16% (Crane 100) on an annualized basis for both the 7-day and 30-day yield averages. (Charged Expenses averaged 0.12% and 0.14% for the two main taxable averages.) The average WAM for the Crane MFA and the Crane 100 were 41 and 43 days, respectively, down one and two days, respectively, from the prior month. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
The preliminary agenda and dates are now set for the largest money fund conference outside of the U.S., Crane's European Money Fund Symposium. Our second annual event will be held Sept. 22-23 at the London Tower Bridge Hilton in London, England. Crane Data's first European event, held last September in Dublin, attracted over 100 attendees, sponsors and speakers, and we expect our London event to be even bigger and better. (Crane Data will host its flagship U.S. event, Money Fund Symposium, a month from today in Boston, June 23-25. Note that the Renaissance and neighboring Seaport Hotel are now sold out for our dates; attendees will have to seek rooms at the Westin Waterfront or elsewhere.)
"European Money Fund Symposium offers European, Asian and "offshore" money market portfolio managers, investors, issuers, dealers and service providers a concentrated and affordable educational experience, as well as an excellent and informal networking venue," says Peter Crane, President & CEO of Crane Data. "Our mission is to deliver the best possible conference content at an affordable price to money market fund professionals."
Attendee registration for our 2014 Crane's European Money Fund Symposium is $1,500 (or 900 GBP). Registration is open and sponsorships are still available. Visit http://www.euromfs.com to register or to see the latest agenda <i:http://www.kinsleymeetings.com/CraneEuropean/agenda.html>`_. Contact us to request the PDF brochure, for Sponsorship pricing and info, and for more details.
The agenda features sessions led by many of the leading authorities on money funds in Europe and worldwide. The Day One Agenda for Crane's European Money Fund Symposium includes: "Welcome to European Money Fund Symposium" by Peter Crane of Crane Data; a "State of MMFs in Europe & IMMFA Update" with Jonathan Curry and Susan Hindle Barone of IMMFA; "Regulations in Europe: Bullet Dodged?" with Dan Morrissey of William Fry and Paul Wilson of SWIP; "Senior Portfolio Manager Perspectives," moderated by Yaron Ernst of Moody's Investors Service and featuring Debbie Cunningham, of Federated Investors, Joe McConnell of J.P. Morgan Asset Management and Jennifer Gillespie of Legal & General I.M.; "MM Securities: New Sources of Supply," with David Hynes, of Northcross Capital LLP, Kieran Davis of Barclays, and Jean-Luc Sinniger of Citi Global Markets; "Portals, Transparency & Investor Issues" with Greg Fortuna, of State Street's Fund Connect, Justin Meadows of MyTreasury, and Maryum Malik of SunGard; "Discussing Domiciles: Tax, Accounting, Servicing" with Pat Wall and Sarah Murphy of PricewaterhouserCoopers Dublin, and Owen McManus of Ernst & Young; and, finally, an "Ireland and IFIA Update" with Kevin Murphy, of Arthur Cox.
The Day Two Agenda includes: "MM Strategists Speak: Rates, Regulations, Risks" with Giuseppe Maraffino of Barclays and Vikram Rai, of Citi; "Distribution: Major Issues & Client Concerns" with Jim Fuell, of J.P. Morgan Asset Management, Kathleen Hughes, of Goldman Sachs A.M., and Kevin Thompson, of SSgA; "Recent Ratings Research: Trends & Issues" presented by Yaron Ernst of Moody's; "State of US Money Funds & Rule 2a-7" with Charlie Cardona, of BNY Mellon CIS, Jane Heinrichs of the Investment Company Institute, and John Hunt of Nutter, McClennen & Fish; "Euro & Sterling MMF Issues with David Callahan of Lombard Odier I.M. and Dennis Gepp of Federated Investors (UK) LLP; "Beyond MMFs: Enhanced Cash Strategies with Jason Granet of Goldman Sachs and Guyna Johnson of Standard & Poor's Ratings; "MMF's in Asia & Emerging Markets" by Peter Crane and Andrew Paranthoiene of Standard & Poor's; and finally, "Offshore Money Fund Data & Statistics" with Peter Crane and Aymeric Poizot of Fitch Ratings.
European Money Fund Symposium will be held at the Hilton London Tower Bridge Hotel. The negotiated conference rate is L261 for a single room and L272 for a double. Reservations can be made either online or by phone. You may call The Hilton London Tower Bridge Hotel directly at +44 203 002 4300. Please identify yourself as attending the Crane's European Money Fund Symposium in order to ensure you receive the negotiated conference rate.
Finally, visit www.moneyfundsymposium.com to learn more about our big U.S. show, Crane's Money Fund Symposium which will be held June 23-25, 2014, in Boston, and www.moneyfunduniversity.com to learn more about our "basic training" event, Crane's Money Fund University, which will take place January 22-23, 2015, in Stamford, Conn. Thanks for your support, and we hope to see you in London!
The agenda is set and final preparations are being made for Crane Data's 6th annual Money Fund Symposium, which will take place June 23-25, 2014 at The Renaissance Boston Waterfront. Money Fund Symposium is the largest gathering of money market fund managers and cash investors in the world. Last summer's event in Baltimore attracted over 450 attendees, and we expect approximately 500 to gather in Boston next month. Participants include money fund managers, marketers and servicers, cash investors, money market securities dealers, issuers, and regulators. See our latest Agenda here and more details on the Symposium website (www.moneyfundsymposium.com). We are still accepting registrations ($750) and hotel reservations (our discounted hotel block expires soon though). Contact us at email@example.com to request the full brochure.
The June 23 opening afternoon agenda includes: "Welcome to Money Fund Symposium 2014" by Peter Crane, President & Publisher of Crane Data; the keynote speech, "Money Market Funds - Past & Future" by Fidelity Investment's Nancy Prior; "Strategists Speak '14: Fed Taper, Repos, Regs" with Brian Smedley of Bank of America Merrill Lynch, Joseph Abate of Barclays , and Garret Sloan of Wells Fargo Securities; a panel entitled, "The Growing Role of Online Trading Portals," moderated by Dave Agostine of Cachematrix and including Greg Fortuna of State Street's Fund Connect, Justin Meadows of MyTreasury, and Jonathan Spirgel of BNY Mellon Liquidity Services; and, a panel, moderated by Fitch Ratings' Roger Merrritt entitled, "Major Money Fund Issues 2013," featuring Charlie Cardona of BNY Mellon CIS/Dreyfus, Andrew Linton of J.P. Morgan A.M., and Steve Meier of State Street. The opening reception will be sponsored by Bank of America Merrill Lynch. (Note: we've also added an opening night reception on Sunday, June 22, sponsored by Rabobank, which will feature the USA vs. Portugal World Cup game.)
Day 2 of Money Fund Symposium features: "The State of The Money Market Fund Industry" with Peter Crane of Crane Data, Debbie Cunningham of Federated Investors, and Alex Roever of J.P. Morgan Securities; "Senior Portfolio Manager Perspectives," moderated by Joel Friedman of Standard & Poor's Ratings and including Rich Mejzak of BlackRock, Rob Sabatino of UBS Global Asset Management, and John Tobin of J.P. Morgan Asset Management; "Government MF Issues & Repo Update," with Andrew Hollenhorst of Citi, Marques Mercier of Invesco, and Mike Bird of Wells Fargo Advantage Funds; and "Treasury Dept. on FRNs & Risk Agenda" with U.S. Department of the Treasury's James Clark.
The afternoon of Day 2 (after a Dreyfus-sponsored lunch) features: "Dealer Panel: Supply Outlook, New Products," moderated by Dave Sylvester of Wells Fargo Funds and featuring Chris Condetta of Barclays, John Kodweis of J.P. Morgan Securities, and Jean-Luc Sinniger of Citi Global Markets; "Accounting Issues, Disclosure & Floating NAVs," with Chris May of PriceWaterhouseCoopers; "Enhanced Cash, ETF & Ultra‐Short Bond Growth," with Alex Roever of J.P. Morgan Securities, Dave Fishman of Goldman Sachs, Jonathan Carlson of BofA Global Capital Management, and Peter Yi of Northern Trust; and, "European & Global Money Fund Outlook" with Jonathon Curry of HSBC Global Asset Management and Dan Morrissey of William Fry. (The Day 2 reception is sponsored by Barclays.)
The third day of Symposium features: "Money Fund Reforms A Look at the Final Rule," with Stephen Keen of Reed Smith and Jack Murphy of Dechert LLP; "Regulatory Roundtable: Discussing New Rules" with Jane Heinrichs of the Investment Company Institute, Kevin Meagher of Fidelity, and Sarah ten Siethoff of the U.S. Securities & Exchange Commission; and, "Corporate Cash Investor Issues & Alternatives, with Tony Carfang of Treasury Strategies, Lance Pan of Capital Advisors, and Jamie Cortas of EMC Corp. Finally, the last session is entitled, "FDIC, Brokerage & Retail MMF Update," and features Rick Holland of Charles Schwab, Ted Hamilton of Promontory Interfinancial Network, and Tim Schiltz of Ameriprise Financial.
We hope you'll join us in Boston next month! Finally, in other conference news, our 2nd annual "offshore" money fund event, European Money Fund Symposium, is scheduled for Sept. 22-23, 2014 in London, England, and our next Crane's Money Fund University "basic training" event is scheduled for Jan. 22-23, 2015, in Stamford, Conn.
The May issue of Crane Data's Money Fund Intelligence will be sent out to subscribers on Wednesday morning. The latest edition of our flagship monthly newsletter features the articles: "Crane Data Celebrates 8 Yrs; MMF Reforms Still Pending," which reviews our company history and the latest on regulations; "Deutsche's Joe Sarbinowski and Benevento Talk MMFs," which interviews Deutsche Asset and Wealth Management's two MDs; and, "Funds Critical of SEC Mini Studies; DERA Misses Mark," which reviews feedback on the SEC's recent "Staff Analysis of Data and Academic Literature Related to Money Market Fund Reform". We also updated our Money Fund Wisdom database query system with April 30, 2014, performance statistics and rankings this morning, and we'll send out our MFI XLS spreadsheet shortly. (MFI, MFI XLS and our Crane Index products are available to subscribers at our Content center.) Our April 30 Money Fund Portfolio Holdings data are scheduled to go out on Friday, May 9.
The latest MFI newsletter's lead article comments, "Crane Data, the publisher of Money Fund Intelligence, celebrates its 8th birthday this month. As we've done in past May issues, we’d like to review our progress and update you on our efforts. We also review the latest regulatory reform news. Crane Data was launched in May 2006 by money fund expert Peter Crane and technology guru Shaun Cutts to bring faster, cheaper and cleaner information to the money fund space. We began with our MFI newsletter and have grown to offer a full range of daily and monthly spreadsheets, database query systems and reports on U.S. and "offshore" money funds and other cash investments."
The article explains, "Crane Data has also become the leader in the money fund conference business. Our 6th annual Money Fund Symposium will take place in Boston, June 23-25, and we expect record attendance once again (as many as 500 attendees). We're also preparing for our second annual European Money Fund Symposium, which will take place in London at the Hilton London Tower Hotel on Sept. 22-23, 2014; it follows our successful entry into the "offshore" money fund marketplace last September with our inaugural event in Dublin. We also run Money Fund University, a "basic training" conference. The next one will be held Jan. 22-23, 2015, in Stamford, Conn."
The "profile" with Deutsche says, "This month, we interview Deutsche Asset & Wealth Management's Joe Sarbinowski, Global Head of Liquidity Management, Global Client Group & Managing Director, and Joe Benevento, Global Head of Cash Management & Managing Director. We discuss the latest developments in the liquidity markets, get an update on the company's Variable NAV Money Fund, and review offshore and other money fund-related issues. Our Q&A follows."
We ask Sarbinowski and Benevento, "MFI: How long have you been involved in the cash markets? Sarbinowski: In August, I will have been at the firm for 25 years, so I can provide the institutional memory. We have been in the liquidity management business since the late 1970's, initially doing private, white-label broker-dealer cash sweeps. In the '80s, we were also running [cash] for our own wealth management trust and securities services custody businesses. So the business has really evolved over that period of time. We cater to a wide spectrum of clients -- everything from wealth management, institutional, and of course sweep clients. We've evolved over the many years and now we are at this point united under one brand, Deutsche Asset & Wealth Management. Benevento: It's been about 23 years in the industry for me." (Watch for excerpts of this interview later this month, or write us to request the full article.)
The May MFI article on Funds Critical of SEC Mini Studies; DERA Misses Mark explains, "Over a dozen letters have been posted recently on the SEC's "Comments on Proposed Rule: Money Market Fund Reform" website, most in response to the SEC's "Staff Analysis of Data and Academic Literature Related to Money Market Fund Reform." Almost all of the commenters all took issue with these "mini" studies, with particular criticism directed at the SEC's "Safe Assets" piece. (Note: SEC Chief Economist and Division of Economic and Risk Analysis (DERA) Director Craig M. Lewis left the agency last week, but we don't believe this was related. The departure, and the negative reactions to these studies, though, could slow the Commission's recent infatuation with "data".)"
Crane Data's May MFI with April 30, 2014 data shows total assets falling by $59.3 billion $25.9 billion (after falling by $25.9 billion last month and $44.9 billion in February) to $2.489 trillion (1,238 funds, the same number as last month). Our broad Crane Money Fund Average 7-Day Yield and 30-Day Yield remained at a record low 0.01% while our Crane 100 Money Fund Index (the 100 largest taxable funds) yielded 0.02% (7-day and 30-day). On a Gross Yield Basis (before expenses were taken out), funds averaged 0.13% (Crane MFA, unchanged) and 0.16% (Crane 100) on an annualized basis for both the 7-day and 30-day yield averages. (Charged Expenses averaged 0.12% and 0.14% for the two main taxable averages.) The average WAM for the Crane MFA and the Crane 100 were 43 and 46 days, respectively, down 2 days and one day, respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
Assets in "offshore" money market mutual funds, U.S.-style funds domiciled in Dublin, Luxemburg or the Cayman Islands, marketed to multinational corporations and subsidiaries outside the U.S. and denominated in USD, Euro and GBP (sterling), rose by $33.7 billion to $712.9 billion in the first quarter of 2014. U.S. Dollar (USD) funds (142) tracked by Crane Data's Money Fund Intelligence International account for over half ($385.9 billion, or 54.1%) of the total, while Euro (EUR) money funds (98) total E72.0 billion (about $99.0 in USD) and Pound Sterling (GBP) funds (95) total L136.8 ($227.9 in USD). Offshore USD MMFs yielded 0.03% on average as of March 31, 2014, while EUR MMFs yielded 0.07% and GBP MMFs yielded 0.28% (our Crane MFII 7-Day Yield Indexes). We review the latest MFI International Money Fund Portfolio Holdings below for the three major currencies, and we also give details on our second annual European Money Fund Symposium (Sept. 22-23 in London). Note: Offshore money market funds are not available for sale to U.S. investors.
The USD funds tracked by MFI International contain, on average 24.6% in Certificates of Deposit (CDs), 24.1% in Commercial Paper (CP), 16.9% in Treasury securities, 15.7% in Other securities (primarily Time Deposits), 14.5% in Repurchase Agreements (Repo), 3.7% in Government Agency securities and 0.5% in VRDNs (Variable-Rate Demand Notes). USD funds have on average 28.5% of their portfolios maturing Overnight, 7.2% maturing in 2-7 Days, 18.1% maturing in 8-30 Days, 24.6% maturing in 31-90 Days, 15.9% maturing in 91-180 Days, and 5.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (32.6%), France (13.8%), Canada (8.7%), Japan (8.4%), Sweden (7.0%), Great Britain (6.0%), Germany (5.6%), Australia (4.8%), Netherlands (4.5%), and Switzerland (2.6%).
The 20 Largest Issuers to "offshore" USD money funds include: the US Treasury with $76.0 billion (16.6% of total portfolio assets), Credit Agricole with $21.4B (4.7%), the Federal Reserve Bank of New York with $18.0B (3.9%), Bank of Tokyo-Mitsubishi UFJ Ltd with $15.2B (3.3%), BNP Paribas with $14.7B (3.2%), Natixis with $12.8B (2.8%), Bank of Nova Scotia with $11.2B (2.4%), Barclays PLC $10.5B (2.3%), Svenska Handelsbanken with $10.4B (2.3%), Skandinaviska Enskilda Banken AB (SEB) with $10.0B (2.2%), `Sumitomo Mitsui Banking Co with $9.2B (2.0%), Rabobank with $8.8B (1.9%), JP Morgan with $8.5B (1.9%), Deutsche Bank AG with $8.2B (1.8%), HSBC with $7.6B (1.7%), RBC with $7.4B (1.6%), Toronto-Dominion Bank with $7.3B (1.6%), Wells Fargo with $7.2B (1.6%), Federal Home Loan Bank with $7.1B (1.5%), and Nordea Bank with $7.0B (1.5%).
The EUR funds tracked by MFI International contain, on average 38.9% in CDs, 24.4% in CP, 17.8% in Other (primarily Time Deposits), 9.8% in Repo, 5.3% in Agency securities, 3.4% in Treasury securities, and 0.3% in VRDNs. Euro funds have on average 25.2% of their portfolios maturing Overnight, 6.7% maturing in 2-7 Days, 19.4% maturing in 8-30 Days, 29.5% maturing in 31-90 Days, 16.0% maturing in 91-180 Days, and 3.3% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.4%), Germany (15.9%), Netherlands (11.8%), Great Britain (9.2%), Japan (6.9%), Sweden (6.7%), US (5.9%), Belgium (2.3%), Finland (2.1%), and Austria (1.4%).
The 15 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E5.3B (7.4%), FMS Wertmanagement with E4.7B (6.5%), Republic of France with E3.5B (4.8%), Rabobank with E3.1B (4.3%), HSBC with E2.8B (3.9%), Societe Generale with E2.6B (3.6%), Credit Agricole with E2.4B (3.3%), Barclays PLC with E2.0B (2.8%), ING Bank with E2.0B (2.8%), Credit Mutuel with E2.0B (2.8%), Svenska Handelsbanken with E1.9B (2.7%), Nordea Bank with E1.7B (2.4%), Bank of Tokyo-Mitsubishi UFJ Ltd with E1.6B (2.2%), Pohjola Bank PLC with E1.5B (2.1%), and JP Morgan with E1.5B (2.1%).
The GBP funds tracked by MFI International contain, on average 32.2% in CP, 29.6% in Other (Time Deposits), 25.5% in CDs, 7.2% in Repo, 2.9% in Treasury, 2.2% in Agency, and 0.4% in VRDNs. Sterling funds have on average 27.1% of their portfolios maturing Overnight, 4.3% maturing in 2-7 Days, 19.7% maturing in 8-30 Days, 31.2% maturing in 31-90 Days, 14.0% maturing in 91-180 Days, and 3.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Great Britain (19.1%), France (16.8%), Germany (10.7%), Netherlands (9.4%), Japan (8.2%), Sweden (8.0%), US (6.2%), Switzerland (4.6%), Australia (4.0%), and Canada (3.7%).
The 15 Largest Issuers to "offshore" GBP money funds include: Lloyds TSB Bank PLC with L5.7B (5.4%), BNP Paribas with L4.8B (4.5%), FMS Wertmanagement with L4.7B (4.5%), Nordea Bank with L4.3B (4.1%), Rabobank with L4.1B (3.9%), Credit Agricole with L4.0B (3.8%), Standard Chartered Bank with L3.6B (3.4%), ING Bank with L3.4B (3.2%), UK Treasury with L3.3B (3.1%), Bank of Tokyo-Mitsubishi UFJ Ltd with L3.3B (3.1%), HSBC with L3.3B (3.1%), Sumitomo Mitsui Banking Co with L3.1B (2.9%), Barclays PLC with L3.0B (2.8%), Oversea-Chinese Banking Co with L2.9B (2.7%), and JP Morgan with L2.9B (2.7%). (E-mail us at firstname.lastname@example.org (or call 508-439-4419) to request a copy of our latest MFI International or MFII Portfolio Holdings.)
Finally, Crane Data has published the preliminary agenda and is now accepting registrations for its second annual European Money Fund Symposium, which will take place Sept. 22-23, 2014, at the London Tower Hilton in London, England. (Visit www.euromfs.com for details.) Our inaugural European event last September in Dublin attracted over 100 money fund professionals, and we expect this year's event to be even bigger and better. Sponsorships and a handful of speaking slots are still available. Contact us for the full brochure and for more details.Archives »