DTCC Data Services released a statement entitled, "DTCC Now Offers Enhanced CP CD Data Service." It explains, "Three years ago, DTCC launched a solution that provided money market security participants with greater transparency into Commercial Paper (CP) and Institutional Certificates of Deposit (CD), a historically opaque segment of the financial markets. Since then, DTCC's CP and Institutional CD Data Service has been used by firms to help research, trading, strategy, and portfolio managers better understand activity of short term money market instruments." We review their statement and service below, and we also discuss Crane Data's latest Weekly Money Fund Portfolio Holdings data set.
DTCC explains, "As more clients have subscribed to the service, we have heard feedback from users looking for even greater insights into the market. To meet this need, DTCC is offering an enhanced version of our CP and Institutional CD Data Service that not only gives clients the same critical understanding of liquidity and valuation of the market but also provides additional issue and maturity data points. The new issue data elements may help clients answer important questions around characteristics of issuers and more easily compare them to peers, while the maturity enhancements may help users better understand when new issues have come to market and begun to settle, as well as their maturity horizon."
The description of the "Commercial Paper and Institutional Certificates of Deposit Data Service" tells us, "DTCC's Commercial Paper (CP) and Institutional Certificates of Deposit (CD) Data Service provides a single, daily feed of anonymized CP and CD secondary settlement transactions data–excluding primary IPA to dealer–to enhance analysis of this enormous market."
It continues, "The amount of outstanding money market instruments (MMIs) on deposit at DTC is approximately $3.1 trillion, with commercial paper (CP) and institutional certificates of deposit (CD) representing approximately $1.2 trillion and $1.0 trillion, respectively. For the first time, DTCC is providing daily anonymized CP and institutional CD secondary settlement transactions data, excluding primary IPA to dealer, which enables consumers to create benchmarks and indices and analyze trade volumes and rates."
They write, "DTCC's CP/Institutional CD Data Service brings together in a single, streamlined data set a variety of common fields, including but not limited to security ID, security description, product type, issuer name, settlement date, maturity date, principal amount, settlement amount, interest rate and interest rate type."
Finally, the DTCC adds, "The service also offers an enhanced data feed that provides six additional fields: Country code, Sector, Term length (short or long), Duration from issuance to maturity, Calendar days from current date to maturity, and First settlement date of the CUSIP."
In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary yesterday. Our weekly holdings track a shifting subset of our monthly Portfolio Holdings collection, and the latest cut (with data as of April 20) includes Holdings information from 90 money funds (up 23 from 4/13), representing $1.560 trillion (up from $1.172 trillion on 4/13) of the $2.967 (52.6%) in total money fund assets tracked by Crane Data. (For our monthly Holdings recap, see our April 11 News, "April Money Fund Portfolio Holdings: Treasury Now Biggest; Repo Down.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $542.3 billion (up from $390.6 billion a week ago), or 34.8%, Treasury debt totaling $507.0 billion (up from $393.9 billion) or 32.5%, and Government Agency securities totaling $327.9 billion (up from $247.7 billion), or 21.0%. Commercial Paper (CP) totaled $60.5 billion (up from $47.8 billion), or 3.9%, and Certificates of Deposit (CDs) totaled $45.0 billion (up from $37.8 billion), or 2.9%. A total of $38.2 billion or 2.4%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $39.1 billion, or 2.5%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $507.0 billion (32.5% of total holdings), Federal Home Loan Bank with $259.6B (16.6%), BNP Paribas with $85.8 billion (5.5%), Federal Farm Credit Bank with $48.3B (3.1%), RBC with $40.2B (2.6%), Credit Agricole with $33.8B (2.2%), Wells Fargo with $31.5B (2.0%), HSBC with $29.5B (1.9%), Natixis with $28.7B (1.8%), and Sumitomo Mitsui Banking Co with $24.3B (1.6%).
The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($129.6B), Fidelity Inv MM: Govt Port ($103.6B), Goldman Sachs FS Govt ($95.2B), BlackRock Lq FedFund ($93.8B), Federated Govt Oblg ($78.1B), Wells Fargo Govt MMkt ($68.2B), BlackRock Lq T-Fund ($67.0B), Dreyfus Govt Cash Mgmt ($64.2B), State Street Inst US Govt ($56.3B), and Morgan Stanley Inst Liq Govt ($55.1B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)
