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Today, we excerpt from the March issue of Crane Data's new publication, Bond Fund Intelligence, which tracks the bond fund marketplace with a focus on the ultra-short and most conservative segments. Our latest monthly "profile" follows.... This month, Bond Fund Intelligence interviews Managing Director & Portfolio Manager Dave Martucci and Managed Reserves Investment Policy Committee Chairman and Risk Manager Saad Rehman from JPMorgan Asset Management. Martucci runs the $6 billion JPMorgan Managed Income Fund, which is the largest fund we currently track in our Conservative Ultra Short Bond Fund category, and Rehman has been instrumental in the creation of our new "Conservative" category. We discuss risk management, the growing demand for short-term products, and conservative ultra short’s place within a cash segmentation strategy, below.
BFI: How long have you been involved in the conservative ultra short bond space? Martucci: JPMorgan Chase & Co. has been managing money for corporations, governments, endowments, foundations, and individuals worldwide for well over a century. Currently, J.P. Morgan Asset Management has $1.7 trillion in AUM, around 25% of which is in our Global Liquidity business, which we've been in for over 30 years. Within the Global Liquidity business we manage cash and money market fund portfolios, as well as our conservative ultra short bond fund offering, which we call the Managed Reserves strategy.
The strategy dates back to 2004 and currently has $43 billion in AUM. Of that, around $9B is in mutual funds and the remainder is in separately managed accounts. Within the Managed Reserves strategy is the JPMorgan Managed Income Fund (JMGIX), which was launched in 2010 and now has $6B, an all-time high. I'm the lead portfolio manager and head of our Managed Reserves trading desk. I have 15 years of experience running liquidity strategies, and I've also been a portfolio manager for short duration and intermediate portfolios.
Rehman: I am a Risk Manager and Chairman of the Managed Reserves Investment Policy Committee, which formulates and approves investment policies and procedures as they relate to credit, market, and other risks applicable to the investment management of these funds and accounts. I've worked at JPM for 10 years.
BFI: How has the fund been received? Martucci: We've seen a significant amount of interest recently, as clients continue to be challenged by the Fed's zero interest rate policy. Additionally, they now face the prospect of floating NAVs on the short end and rising rates on the long end. These clients are looking for some incremental return over money market funds, but they still want a conservative approach. Rehman: In the wake of the financial crisis, a lot of clients built up large cash positions on their balance sheets. This excess cash, combined with an effective segmentation strategy, has been driving growth in this space. A natural place to put a strategic cash position to work is in a conservative solution that offers an incremental return over money funds.
Martucci: This is where the Managed Reserves strategy comes in, as it was a natural extension of our well-established money market fund platform, leveraging the best practices and procedures that we employ in that platform. For instance, an approved credit list that you typically find in a money market fund has been built upon and expanded, serving as a key piece of our Managed Reserves strategy. Since the strategy launched, these conservative foundations have enabled Managed Reserves to provide a strong track record of consistent returns over money market funds, with very limited volatility. Since inception, the Managed Reserves composite has had no period of rolling three-month losses. Fund assets are at an all-time high.
BFI: What are the biggest challenges for funds in the conservative space? Martucci: The main issue that we see is the variability of funds in this category. The issue comes from trying to define what that conservative ultra short space is. We're happy that industry leaders such as Crane and others are starting to focus on this and trying to establish it as a category of its own. Clearly, the space is somewhere between money market funds and short duration. We believe that the conservative ultra short space is not determined solely by interest rate duration, but also by spread duration, credit selection, the type of securities these funds can and do choose to hold and, most importantly, the volatility of performance. We address all these factors through robust risk management.
Rehman: What clients are looking for in this space is not just returns, but the risk associated with those returns. We have seen a period of low volatility over the past few years, which we think is masking some of the potential downside. We expect to see more volatility, potentially due to diverging central bank actions, regulations for money market funds and banks, as well as geopolitical risk. With volatility, we expect that we'll start to see divergence in performance for these conservative ultra short funds. One of the factors driving that divergence will be credit selection in these funds. For example, some funds in the ultra short space actively participate in below investment grade credit while others, like JPMorgan Managed Income, do not.
There are many ways you can analyze the risk and returns of funds in the ultra short space. For example, when you look at the average monthly returns of these funds they are somewhat clustered tightly around a mean -- whereas there's a much wider range when you look at the volatility of those returns. Another way to get a general sense of how risky a fund's returns are is to compare the percentage of negative monthly returns over a period, such as the past 12 or 36 months. You can see that the percentage for some funds is almost double that of others in the space. (Note: Watch for more excerpts from our latest BFI "profile" in coming days, or contact us to see the full issue of our new Bond Fund Intelligence.)
Crane's 5th Annual Money Fund University, a two-day crash course in money market mutual funds, attracted nearly 100 attendees to the Stamford Marriott in Stamford, Conn., late last week. Our Day 1 recap features coverage of the History of Money Funds, the Federal Reserve, Interest Rates and Money Fund Math, and Fund Ratings, as well as sessions explaining the various Instruments of the Money Markets (including Repurchase Agreements, Commercial Paper, CDs, Tax-Exempt/VRDNs, CDs, Treasurys, and Time Deposits). Day 2, which we will report on in coming days (and in our February MFI), focused exclusively on Money Fund Regulations. "A day and a half is really not enough time to learn about a space as big as the money fund sector, but we're going to give you a crash course and try," said Peter Crane, President, Crane Data, as well as host and MC for the event. He opened the conference leading a session called "History and Current State of Money Funds. (Note: Crane Data's next conference will be our flagship Money Fund Symposium, June 24-26 in Minneapolis. The next European Money Fund Symposium will be Sept. 17-18 in Dublin and our next MF University will be Jan. 21-22, 2016, in Boston.)
"In 1994, when I started writing about money funds and when the Community Bankers Fund 'broke the buck,' the space was only about $500 billion. Money market funds were not this behemoth that they were when the Reserve Fund broke the buck in 2008 and almost took down the world economy with it. Money funds peaked at $3.9 trillion in January 2009 after Reserve broke the buck; money was still pouring in because money funds lagged the money markets." Since that time, money fund assets declined precipitously over the next few years, dropping by about 15% per year in 2010 and 2011, he explained. But then the last 3 years in a row, money fund assets have clawed higher despite a near zero interest rate environment. "The fact that money fund assets have gone up fractionally the last 3 years in a row is just mind boggling," he said, testament to the safety and stability of the funds, which were made even safer by recent reforms.
On the other hand, there is the question of how recent reforms will impact money funds going forward, particularly Prime Institutional, which will be subject to a floating NAV in October 2016. "Institutional investors say they are going to leave, but as Churchill said about America, institutional investors will do the right thing, and stay in prime institutional money funds, after they've exhausted every other possibility," quipped Crane. He believes that any outflows we do see from Prime Institutional MMFs will be "dwarfed by inflows from bank deposits and perhaps from bond funds as well."
In the session that followed, two of the leading strategists in the space discussed "The Federal Reserve and US Money Markets." Brian Smedley, US Rates Strategist at BofA Merrill Lynch Global Research, shared his thoughts on when interest rates will rise. "Our expectation is that the Fed will start to shift up the Fed Funds target range starting in September of this year and from there we see hikes proceeding every other meeting, so half as fast as what they pursued last time." He expects it will go up to the 0.25-0.50% range in September, then to 0.50-0.75% in December 2015. By December 2016, rates will reach the 1.50-1.75% range, he said.
"There's an old proverb that says, "May you live in interesting times," and I think that's a fairly accurate description of financial market conditions, certainly in money markets at the moment," said Joseph Abate, Senior Vice President, Liquid Market Research at Barclays Capital. He focused on 4 topics; 1) the ongoing shortage of government safe assets in the financial sector and how that effects behavior in money markets, 2) how the repo market is changing largely because of dynamics related to the Fed and regulation, 3) the Federal Reserves arsenal of tools, namely reverse repo and term deposits, and 4) market liquidity, especially in prime assets. Going forward, he said, "The next battle, if you will, is not going to show up on this front, it's going to come from somewhere else, and I think it's going to be liquidity."
In her overview of the "Instruments of the Money Markets," J.P. Morgan Securities' Teresa Ho, Vice President, Short Duration Strategy, talked about challenges related to supply. "At its peak (in 2007) total money market supply was around $11.5 trillion. If you exclude Treasurys, the peak was about $9.5 trillion" she said. "Fast forward to today, and that has fallen to $5.5 trillion (excluding Treasurys) so we've seen a drop of about $4 trillion in the sector. As you might expect, a lot of it was driven by banks.
Case in point, the commercial paper market peaked at about $2 trillion at the end of 2006; half of that was in ABCP, or asset-backed commercial paper. This was a very popular way back in the day for banks to fund on a short-term basis on behalf of their clients. This particular product has really fallen by the wayside. The economics for banks to participate in this market has really waned. So right now the ABCP market is at its all-time low, at $230 billion, and it is our expectation that this sector will continue to decline going forward because of other regulatory headwinds." Another sector that has declined is the repo sector. "This is a market that has also suffered from the liquidity crisis. It has shrunk almost by half since 2007 and will continue to shrink if you look at all the regulations out there.
On the other hand, investors still see money market funds as a good way to invest their cash on a short-term basis, so demand is strong. "When you think about what has happened with supply over the last couple of years and factor that in to what's happened with demand -- you have a situation where there's too much cash chasing too few assets. There's a huge gap between supply and demand, and it's the reason why we see the competition for assets right now.... [It's] so intense that's its driving rates very, very low in the front end market. There's a real concern that a lot of money will move out of bank deposits into money market funds because of regulations.... If indeed that is the case and cash moves from bank deposits to money market funds, then this supply/demand imbalance becomes even more acute in the absence of additional supply."
There are some bright spots, however. One is Collateralized CP, which is a small but growing sector of the market at about $30-$35 billion. "Investors have been very attracted to this product." (Rob Crowe, Director, Institutional Clients Group, and Jean Luc Sinniger, Director, Money Markets, both of Citi Global Markets, took a deeper dive into CP in their session later in the day on "Instruments: Commercial Paper and ABCP.") Another glimmer of hope is in the Treasury Bill market.
Ho commented, "We have heard from the U.S. Department of the Treasury that they intend to increase their operating cash balances. Right now they run an average of about $60 billion; the expectation is that that they want to raise it to $500 billion. I suspect if they do that, a lot of it would be funded in the bill [market]. If that is the case, we'll see about $400-$450B in T-Bill supply." She said in closing, "Regulations are going to alter and fundamentally change the landscape, but the markets will adapt and they will evolve and meet whatever needs are out there."
Finally, Day 1 ended with a session led by Adam Ackerman, Vice President and Portfolio Manager at J.P. Morgan Asset Management on "Portfolio Management & Credit Analysis." Ackerman said, "My presentation is about taking everything you've seen today and bringing it all together to give you some insight into how portfolio managers think -- how we assess risk and model a portfolio for our fundamental goal, which is to provide liquidity." He said his primary goal is the preservation of capital. After that, his goals are to provide adequate liquidity and competitive yield, in that order. "Yield is important but it doesn't drive our decision making as portfolio managers, primarily."
He added, "We are in the business of providing liquidity; cash right now. We need to provide any type of liquidity that's demanded, whether it's billions or millions. We need to manage well enough so that we can manage any type of flow risk at any time." In terms of credit analysis, "Generally, the way we think about it is, the higher the credit rating, the higher the liquidity. The better the credit quality, the more concentration I'm comfortable with. Conversely, with lower credit quality, you want to lower your risk through lower concentrations." J.P. Morgan employs a rigorous credit selection process that includes their own internal analysis, he explained. Finally, he said, the ultimate measure of success is how well you meet investors' demands of preservation of capital, liquidity, managing risk, and yield. Do that well, and the assets will come.... Stay tuned for coverage of Day 2 in coming days.
Crane Data published its latest Money Fund Intelligence Family & Global Rankings earlier this week, which rank the asset totals and market share of managers of money market mutual funds in the U.S. and globally. The January edition, with data as of Dec. 31, 2014, shows asset increases for a majority of money fund complexes in the latest month, with the largest players leading the way. Gains have also been solid over the past three months. Assets jumped by $86.2 billon, or 3.3%, in December; over the last 3 months, assets are up $115.4 billion, or 4.6%. For 2014, total assets inched up $25.7 billion, or 1.0%. Below, we review the latest market share changes and figures. These "Family" rankings are available to our Money Fund Wisdom subscribers. (Note: We also wanted to give readers a final reminder about next week's Crane's Money Fund University, which will take place Jan. 22-23 in Stamford, Conn. Registrations are still being accepted for our "basic training" event (see the agenda here), and we hope to see some of you in Stamford next week!)
Goldman Sachs, BlackRock, JP Morgan, Federated, and Fidelity, were the biggest gainers in December, rising by $14.7 billion, $12.9 billion, $11.3 billion, $10.9 billion, and $8.5 billion, respectively. BlackRock, JP Morgan, Goldman Sachs, Wells Fargo, and Federated led the increases over the 3 months through Dec. 31, 2014, rising by $30.5B, $21.4B, $17.1B, $10.1B, and $9.5B billion, respectively. The only complexes among the 25 largest seeing declines in December were: Invesco, RBC, T. Rowe Price, Reich & Tang, and BofA (according to our Money Fund Intelligence XLS).
Our latest domestic U.S. money fund Family Rankings show that Fidelity Investments remained the largest money fund manager with $413.9 billion, or 15.7% of all assets (up $8.5 billion in December, up $9.1B over 3 mos. and down $14.4B over 12 months), followed by JPMorgan's $259.5 billion, or 9.8% (up $11.3B, up $21.4B, and up $7.7B for the past 1-month, 3-months and 12-months, respectively). BlackRock remained in third with $221.9 billion, or 8.4% of assets (up $12.9B, up $30.5B, and up $13.7B). Federated Investors was fourth with $215.9 billion, or 8.2% of assets (up $10.9B, up $9.5B, and down $13.1B), and Vanguard ranks fifth with $173.7 billion, or 6.6% (up $1.3B, up $1.4B, and down $2.0B).
The sixth through tenth largest U.S. managers include: Dreyfus ($169.9B, or 6.4%), Schwab ($166.3B, 6.3%), Goldman Sachs ($160.4B, or 6.1%), Wells Fargo ($119.7B, or 4.5%), and Morgan Stanley ($107.3B, or 4.1%). The eleventh through twentieth largest U.S. money fund managers (in order) include: SSgA ($82.0B, or 3.1%), Northern ($80.5B, or 3.1%), Invesco ($59.9B, or 2.3%), BofA ($50.6B, or 1.9%), Western Asset ($46.6B, or 1.8%), First American ($42.4B, or 1.6%), UBS ($37.7B, or 1.4%), Deutsche ($34.5B, or 1.3%), Franklin ($21.5B, or 0.8%), and RBC ($17.1B, or 0.6%). Crane Data currently tracks 72 managers, the same number as last month.
Over the past year, calendar year 2014, Goldman Sachs showed the largest asset increase (up $18.7B, or 13.2%; followed by BlackRock (up $13.7B, or 6.6%), Morgan Stanley (up $10.3B, or 10.6%), JP Morgan (up $7.7B, or 3.1%), and Northern (up $5.5B, or 6.8%) <b:>`_. Other asset gainers in 2014 include: Western (up $4.6B, or 10.9%), First American (up $4.4B, or 11.6%), American Funds (up $2.8B, or 20.7%), Franklin (up $2.7B, or 14.3%), and SSgA (up $2.2B, or 2.8%). The biggest decliners over 12 months include: Fidelity (down $14.4B, or -3.4%), Federated (down $13.1B, or -5.7%), UBS (down $6.9B, or -15.5%), Invesco (down $6.9B, or -5.5%), and Wells Fargo (down $3.6B, or -2.9%). (Note that money fund assets are very volatile month to month.)
When European and "offshore" money fund assets -- those domiciled in places like Dublin, Luxembourg, and the Cayman Islands -- are included, the top 10 managers match the U.S. list, except for Goldman moving up to No. 4, and Western Asset appearing on the list at No. 9. (displacing Wells Fargo from the Top 10). Looking at the largest Global Money Fund Manager Rankings, the combined market share assets of our MFI XLS (domestic U.S.) and our MFI International ("offshore"), the largest money market fund families are: Fidelity ($420.2 billion), JPMorgan ($388.8 billion), BlackRock ($343.7 billion), Goldman Sachs ($244.6 billion), and Federated ($225.4 billion). Dreyfus ($196.7B), Vanguard ($173.7B), Schwab ($166.3B), Western ($137.5B), and Morgan Stanley ($125.7B) round out the top 10. These totals include offshore US Dollar funds, as well as Euro and Pound Sterling (GBP) funds converted into US dollar totals.
Also, our January 2015 Money Fund Intelligence and MFI XLS show that yields continue to inch up for the second straight month in December. Our Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 838), remained at 0.02% for the 7-Day Yield, but moved up a tick to 0.02% for the 30-Day Yield (annualized, net) Average. (The Gross 7-Day Yield was unchanged at 0.13%.) Our Crane 100 Money Fund Index shows an average 7-Day Yield of 0.03%, same as last month, but the 30-Day Yield went up to 0.03% from 0.02% last month. (The Gross 7- and 30-Day Yields for the Crane 100 also inched up to 0.17%, from 0.16%.) For the 12 month return through 12/31/14, our Crane MF Average returned a record low of 0.01% and our Crane 100 returned 0.02%.
Our Prime Institutional MF Index yielded 0.03% (7-day), while the Crane Govt Inst Index moved back down to 0.01% (from 0.02%). The Crane Treasury Inst, Treasury Retail, Govt Retail and Prime Retail Indexes all yielded 0.01%. The Crane Tax Exempt MF Index also yielded 0.01%. (The Gross Yields for these indexes were: Prime 0.20% (up from 0.19%), Govt 0.10% (up from 0.09%), Treasury 0.06%, and Tax Exempt 0.11% in December.) The Crane 100 MF Index returned on average 0.00% for 1-month, 0.00% for 3-month, 0.02% for YTD, 0.02% for 1-year, 0.04% for 3-years (annualized), 0.05% for 5-year, and 1.56% for 10-years.
Crane Data released its January Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Dec. 31, 2014, shows a jump in Repo, Treasuries, and Agencies, and drops in Other (Time Deposits), Commercial Paper, and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $68.3 billion in December to $2.519 trillion, after rising $11.5 billion in November, $4.7 billion in October, $42.4 billion in September, and $28.2 billion in August. With a huge increase in Fed repo at year-end, Repo became the largest portfolio segment among taxable money market funds, once again moving ahead of CDs. Treasuries ranked as the third largest segment, followed by Agencies, which moved ahead of CP. These were followed by Other (Time Deposits), then VRDNs. Money funds' European-affiliated holdings fell precipitously to 20.0%, from 28.1% the previous month, while the Americas increased its market share to 67.9%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings increased by a whopping $140.3 billion (26.9%) to $662.4 billion, or 26.3% of assets, after increasing $10.8 billion in November, decreasing $85.3 billion in October, and increasing $84.4 billion in September. Certificates of Deposit (CDs) were down $34.8 billion (6.2%) in December to $528.4 billion, or 21.0%, after increasing $11.3 billion in November, increasing $5.6 billion in October, and dropping $20.1 billion in September. Treasury holdings, the third largest segment, increased by $56.0 billion (14.5%) to $441.9 billion (17.5% of holdings), after decreasing $3.0 billion in November. Government Agency Debt moved up to the fourth largest segment, jumping $19.9 billion (5.7%) to $367.2 billion, or 14.6% of assets, while Commercial Paper (CP) fell to fifth, decreasing $26.2 billion (6.9%) to $353.9 billion, or 14.0% of assets. Other holdings, which include primarily Time Deposits, decreased sharply, down $86.1 billion to $140.9 billion (5.6% of assets). VRDNs held by taxable funds decreased by $0.8 billion to $24.5 billion (1.0% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 34.7% (down from 36.9% a month ago), followed by Commercial Paper (23.2%). The CP totals are primarily Financial Company CP (13.5% of holdings) with Asset-Backed CP making up 5.9% and Other CP (non-financial) making up 3.8%. Prime funds also hold 5.6% in Agencies (same as last month), 4.8% in Treasury Debt (up from 3.6%), 3.8% in Other Instruments, and 5.2% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.523 trillion (down from $1.526 trillion last month), or 60.5% of taxable money fund holdings' total of $2.519 trillion.
Government fund portfolio assets totaled $482 billion in December, up from $461 billion in November, while Treasury money fund assets totaled $514 billion, up from $466 billion at the end of November. Government money fund portfolios were made up of 57.7% Agency Debt, 15.7% Government Agency Repo, 3.2% Treasury debt, and 22.8% in Treasury Repo. Treasury money funds were comprised of 68.9% Treasury debt, 30.2% Treasury Repo, and 1.0% in Government agency, repo and investment company shares.
European-affiliated holdings plunged a massive $184.1 billion in December to $504.4 billion (among all taxable funds and including repos); their share of holdings fell to 20.9% from 28.1% the previous month. Eurozone-affiliated holdings also fell sharply, down $82.8 billion to $276.8 billion in December; they now account for 11.0% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $5.8 billion to $302.8 billion (12.0% of the total). Americas related holdings skyrocketed $258.3 billion to $1.711 trillion, thanks to a year-end spike in Fed Repo, and now represent 67.9% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $176.7 billion to $441.1 billion, or 17.5% of assets), Government Agency Repurchase Agreements (down $21.7 billion to $131.3 billion, or 5.2% of total holdings), and Other Repurchase Agreements (remained flat at $90.0 billion, or 3.6% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $21 billion to $205.1 billion, or 8.1% of assets), Asset Backed Commercial Paper (up $3.2 billion to $90.5 billion, or 3.6%), and Other Commercial Paper (down $8.3 billion to $58.3 billion, or 2.3%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2014, include: the US Treasury ($442.7 billion, or 17.6%), Federal Reserve Bank of New York ($352.6B, 14.0%), Federal Home Loan Bank ($215.7B, 8.6%), JP Morgan ($62.9B, 2.5%), Federal Home Loan Mortgage Co ($60.8B, 2.4%), Wells Fargo ($58.0, 2.3%), Bank of Tokyo-Mitsubishi UFJ Ltd ($55.8B, 2.2%), BNP Paribas ($55.4B, 2.2%), RBC ($54.8B, 2.2%), Bank of Nova Scotia ($51.7B, 2.1%), Bank of America ($47.0B, 1.9%), Federal National Mortgage Association ($46.6B, 1.8%), Toronto-Dominion ($46.2B, 1.8%), Sumitomo Mitsui Banking Co ($44.3B, 1.8%), Federal Farm Credit Bank ($41.0B, 1.6%), Citi ($40.8B, 1.6%), Bank of Montreal ($38.8B, 1.5%), Credit Agricole ($38.4B, 1.5%), Credit Suisse ($38.0B, 1.5%), and Mizuho Corporate Bank Ltd ($35.2B, 1.4%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $352.6B, or 53.2% of the repo market, up from 27.6% one month ago. Of the $352.6B, $201.1B was in the Fed’s temporary Term Repo, while $151.4B was in Overnight Repo. 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 ($352.6B, 53.2%), Bank of America ($38.6B, 5.8%), BNP Paribas ($28.3B, 4.3%), JP Morgan ($27.0B, 4.1%), Wells Fargo ($23.9B, 3.6%), Citi ($18.9B, 2.9%), Credit Suisse ($18.7B, 2.8%), RBC ($18.1B, 2.7%), Credit Agricole ($16.7B, 2.5%), and Bank of Nova Scotia ($16.2B, 2.4%).
The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($49.7B, 5.5%), Sumitomo Mitsui Banking Co ($44.3B, 4.9%), Toronto-Dominion Bank ($40.7B, 4.5%), RBC ($36.7B, 4.0%), Bank of Nova Scotia ($35.5B, 3.9%), JP Morgan ($35.4B, 3.9%), Wells Fargo ($34.1B, 3.7%), Bank of Montreal ($31.7B, 3.5%), Mizuho Corporate Bank Ltd ($31.6B, 3.5%), and Svenska Handelsbanken ($30.7B, 3.4%).
The 10 largest CD issuers include: Toronto-Dominion Bank ($40.1B, 7.7%), Bank of Tokyo-Mitsubishi UFJ Ltd ($37.2B, 7.1%), Sumitomo Mitsui Banking Co ($37.2B, 7.1%), Bank of Montreal ($29.9B, 5.7%), Bank of Nova Scotia ($29.5B, 5.6%), Mizuho Corporate Bank Ltd ($29.1B, 5.6%), Wells Fargo ($25.3B, 4.8%), Rabobank ($24.4B, 4.7%), RBC ($18.4B, 3.5%), and Sumitomo Mitsui Trust Bank ($17.8B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($24.3B, 8.0%), Commonwealth Bank of Australia ($17.6B, 5.8%), Westpac Banking Co ($16.8B, 5.6%), RBC ($14.1B, 4.7%), BNP Paribas ($10.6B, 3.5%), Australia & New Zealand Banking Group ($10.4B, 3.4%), Toyota ($9.3B, 3.1%), DnB NOR Bank ASA ($9.1B, 3.0%), Bank of Tokyo-Mitsubishi UFJ Ltd ($8.2B, 2.7%), and FMS Wertmanagement ($7.7B, 2.6%).
The largest increases among Issuers include: Federal Reserve Bank of NY (up $208.4B to $352.6B), US Treasury (up $56.5B to $442.7B), Federal Home Loan Mortgage Co. (up $8.7B to $60.8B), Federal Home Loan Bank (up $8.3B to $215.7B), JP Morgan (up $4.9B to $62.9B), Toronto-Dominion Bank (up $3.4B to $46.2B), Sumitomo Mitsui Trust Bank (up $2.2B to $19.5B), Standard Chartered Bank (up $2.2B to $19.6B), Federal Farm Credit Bank (up $2.1B to $41.0B), and Svenska Handelsbanken (up $1.3B to $30.7B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Credit Agricole (down $21.8B to $38.4B), DnB Norbank ASA (down $19.2B to $15.5B), Barclays PLC (down $18.8B to $25.4B), Swedbank AB (down $17.1B to $12.5B), Skandinaviska Enskilda Banken AB (down $14.9B to $15.1B), Societe Generale (down $12.7B to $21.3BBNP Baribas (down $8.3B to $55.4B), Natixis (down $6.8B to $34.2B), ING Bank (down $3.7B to $22.2B), and Bank of America (down $3.6B to $47.0B).
The United States remained the largest segment of country-affiliations; it represents 58.7% of holdings, or $1.478 trillion (up $260B). Canada (9.1%, $229.7B) remained in second, while Japan (7.2%, $181.8B) jumped into third, moving ahead of France (6.6%, $165.8B). Australia (3.5%, $88.5B) moved into fifth, followed by the U.K. (3.3%, $83.2B) in sixth place. Sweden (3.1%, $78.7B) was in seventh place, followed by the The Netherlands (2.5%, $63.0B), and Switzerland (2.0%, $49.7B). Germany (1.6%, $40.0B) held 10th place 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 Dec. 31, 2014, Taxable money funds held 20.8% of their assets in securities maturing Overnight, and another 18.1% maturing in 2-7 days (38.9% total in 1-7 days). Another 20.3% matures in 8-30 days, 15.3% matures in 31-60 days, and 10.2% matures in the 61-90 day period. (Note that almost ¾, or 74.5% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under the new pending SEC regulations.) The next bucket, 91-180 days, holds 11.1% of taxable securities, and just 4.2% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Monday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released later this week. 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.