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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.)
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!