Crane Data, which has been tracking money market mutual funds since 2006 and tracking bond funds since 2015, recently officially launched its high-end bond fund product "suite," Bond Fund Wisdom. Like its Money Fund Wisdom counterpart, Bond Fund Wisdom includes our Bond Fund Intelligence newsletter, our BFI XLS monthly performance spreadsheet and indexes, and our new Bond Fund Portfolio Holdings data set. Online access to our historical spreadsheets is included and a database query engine is planned for late 2018. We further describe our latest bond fund information service below. We also review our latest Weekly Money Fund Portfolio Holdings, and quote from a recent update on the ultra-short bond fund marketplace by J.P. Morgan Securities.
Our new Bond Fund Portfolio Holdings collection, which compiles, cleans and "tags" lists of securities held by bond mutual funds, includes data on Ultra-Short and Conservative Ultra-Short bond funds (the latest is as of Sept. 30, 2017). We're also producing a Short-Term bond fund holdings file, and we plan to add Intermediate-Term and other longer-term categories of bond funds in coming months. The release of our latest "live" issue file follows several months of "beta" tests. Our Bond Fund Holdings will be available only to Bond Fund Wisdom subscribers; our Bond Fund Wisdom sells for $2K a year. (Please let us know if you'd like to subscribe, or if you'd like to see our latest data set.)
Note that many bond mutual funds disclose holdings on a rolling quarterly basis, so, unlike our Money Fund Portfolio Holdings, this monthly file contains the most recent updates (and may contain holdings files with different dates -- e.g., many are 9/30 but some are 8/31, 7/31 or earlier). We'll be leaving the old holdings for funds in the file until they post, or until we receive, updated holdings. We'll also be changing this product substantially once the SEC's Form N-PORT disclosure mandates kick in during the summer of 2018. We've started to map the "Issuer" field, but our Category and Country "meta-tagging" are still a work in progress.
In related news, Crane Data also has begun publishing a Summary of our Weekly Money Fund Portfolio Holdings product. Our weekly holdings track a subset of our monthly Portfolio Holdings collection, and the latest cut (with data as of Oct. 20) includes Holdings information from over 90 money funds, representing $1.516 trillion of the $2.943 (51.5%) in total money fund assets tracked by Crane Data. (For our monthly Holdings recap, see our Oct. 11 News, "Oct. Money Fund Portfolio Holdings: Treasuries Rebound, FICC Grows.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $601.5 billion, or 39.7%, Treasury debt totaling $433.5 billion or 28.6%, and Government Agency securities totaling $319.1 billion, or 21.1%. Commercial Paper (CP) totaled $47.2 billion, or 3.1%, and Certificates of Deposit (CDs) totaled $46.9 billion, or 3.1%. A total of $38.4 billion or 2.53%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $28.9 billion, or 1.91%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $433.5 billion, Federal Home Loan Bank with $240.9 billion, BNP Paribas with $88.3 billion, Credit Agricole with $43.8 billion, Federal Farm Credit Bank with $41.7 billion, the Federal Reserve Bank of New York with $40.1 billion, Nomura with $34.4 billion, Societe Generale with $33.9 billion, RBC with $31.2 billion, and Wells Fargo with $30.7 billion.
The Ten Largest Funds tracked in our Weekly include: JP Morgan US Govt ($135.3B), Fidelity Inv MM: Govt Port ($98.7B), Goldman Sachs FS Govt ($87.4B), BlackRock Lq FedFund ($80.5B), Federated Govt Oblg ($70.9B), Wells Fargo Govt MMkt ($70.3B), Dreyfus Govt Cash Mgmt ($69.9B), BlackRock Lq T-Fund ($57.3B), State Street Inst US Govt ($49.8B), and Goldman Sachs FS Trs Instruments ($47.5B).
Returning to ultra-short bond funds, a recent J.P. Morgan "Short Duration Strategy Weekly" featured a "Low duration fund update." The piece explains, "The completion of MMF reform one year ago profoundly changed the structure of money markets for both investors and issuers. As institutional shareholders of MMFs were forced to choose between CNAV government MMF and VNAV prime MMF, there was some question if cash would leave MMF, particularly VNAV funds, and pursue low duration alternatives that offer slightly higher returns."
J.P. Morgan's Alex Roever, Teresa Ho and Ryan Lessing explain, "The data we have analyzed suggest there has not been a post reform move away from MMFs. Through 9/30/17, total taxable MMF outstandings have actually increased by a relatively small amount YTD (about $11bn relative to $2.5tn), although there has been a very modest rotation (about $70bn) from government to prime MMF, prompted by the roughly 30bp net yields advantage of the latter."
According to the update, "While the money fund data doesn't support this liquidity shifting hypothesis, mutual fund data show demand has grown for some low duration mutual funds and ETFs during the past year, and our own discussions with several managers of Separately Managed Liquidity Accounts (SMLAs) indicate demand for this product has also grown. We suspect the noise around MMF reform in recent years prompted liquidity-focused investors to consider other options, and as a consequence, new cash is being deployed to deposits, low duration funds and SMAs."
It continues, "We believe the beginning of Fed interest rate normalization in late 2015 also contributed to demand for these products. Among institutional investors choosing non-deposit alternatives, our conversations with many industry participants lead us to suspect SMLAs have attracted more money in recent years than ETFs or mutual funds, helped by SMLAs' greater ability to be customized and what is typically a lower fee structure. For these reasons we think SMLAs are the low investment vehicle of choice for many large corporations."
JPM's piece tells us, "Even so, the low duration fund space is large and transparent, and because many of the largest fund managers also manage SMAs with similar low-duration mandates, these funds shed light on the relative demand for various short duration asset classes. With roughly $550bn in AUM, low duration funds are now larger than prime MMF ($441bn)."
It says, "At a high level, low duration funds are typically marketed as "ultrashort" or "short term" with the former targeting portfolio duration between 0.5 and 1.5 years, and the latter 1.5 to 3.5 years. There are both ETF and open-end forms of each."
Finally, the piece adds, "At this point we should note that while there may be dozens of funds in each category and style, there are significant manager concentrations in the low duration fund space, with a few large funds tending to dominate each. Consequently, the behavior and composition of these funds can sometimes distort summary statistics. For example, funds and ETFs managed by Vanguard account for about 3% of all ultrashort AUM but 37% of short term AUM. As an aside, since a significant percentage of Vanguard's clients are non-institutional, its scale speaks to the concentration of retail demand in some of these fund categories."
