News Archives: December, 2018

The December issue of our Bond Fund Intelligence, which was sent out to subscribers Friday afternoon, features the lead story, "Mixed Year for Bond Funds; Short, Ultra Only Havens," which reviews funds' lackluster performance and declining flows in 2018, and the profile, "GMO's Tracey Keenan Talks Short Duration Strategies," our latest Portfolio Manager interview. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund yields rose again in November and returns rebounded from losses in Oct. We excerpt from the new issue below. (Contact us if you'd like to see our Bond Fund Intelligence and BFI XLS spreadsheet, or our Bond Fund Portfolio Holdings dataset, and mark your calendars our 3rd annual Bond Fund Symposium, which will take place March 25-26, 2019 in Philadelphia.)

The lead BFI story says, "Bond fund returns bounced back in November after an ugly October, but outflows continued for the second month in a row. Our BFI Total Index (an average of 632 funds) shows bond funds declined in 5 of 11 months so far in 2018 with an average return of -0.54% year-to-date. In 2018 so far, only Short-Term, Ultra-Short, Conservative Ultra-Short and Muni funds show positive returns."

It continues, "Meanwhile, while bond funds eked out a tiny gain in assets in November (after a big decline in October), asset flows for bond funds have turned decidedly negative after years of strong inflows. Thus, while there remains a little time left in the year, 2018 will likely go down as a mixed year at best. We show the latest monthly flow data below, and we show monthly returns on page 4."

Our "Fund Profile" says, "This month, BFI interviews Tracey Keenan, Portfolio Manager for Short Duration Strategies at GMO. GMO, also known as Grantham, Mayo, & van Otterloo, is a Boston-based institutional investment manager, which manages both mutual funds and separate accounts. We discuss their short-term strategies, and a number of other fixed-income topics, in our Q&A below."

BFI asks Keenan to, "Tell us about your history." She responds, "I've been at GMO since 2002, and GMO has been investing in short term bonds as part of their asset allocation strategies for many years.... In 2014, we started to expand our cash investing to more customizable solutions with dedicated internal portfolio managers."

BFI also says, "Tell us about your strategies." Keenan comments, "We invest in U.S. and non-U.S. governments and agencies, all currency hedged. We focus on high-quality liquid assets, so we really want minimal currency exposure, and tend to run one-year maximum weighted duration with a two-year max maturity."

She adds, "What we found coming out of money market reform in 2016 was that there was a supply and demand issue around Treasury bills because of the [huge demand from] government money market funds. We were basically competing with the government-only money market funds in the same space with limited supply. So there was a lot of supply and demand dynamics in the market that we didn’t really need to compete with. We decided to try and focus outside of that money market space, while maintaining." (Watch for more excerpts from this article later this month, or see the latest issue of BFI.)

Our Bond Fund News includes the brief, "Yields Rise Again, Returns Rebound in November." It explains, "Bond fund yields rose again and returns rebounded last month. The BFI Total Index returned 0.23% for 1-month and -0.14% over 12 months. The BFI 100 returned 0.24% in November and -0.27% over 1 year. The BFI Conservative Ultra-Short Index returned 0.17% over 1 month and 1.69% over 1-year; the BFI Ultra-Short Index averaged 0.15% in Nov. and 1.39% over 12 mos. BFI Short-Term returned 0.12% and 0.58%, and BFI Intm-Term Index returned 0.41% and -1.11% for 1-mo and 1-year. BFI's Long-Term Index returned 0.27% in Nov. and -2.13% for 1-year; BFI's High Yield Index returned -0.67% in Nov. and 0.21% over 1-year."

Another brief, entitled, "BlackRock Blogs 'How the pros use bond ETFs,' which says, "Rising rates and market uncertainty have many people taking a second look at their bond portfolios -- not just sector exposures but the vehicles they use to gain those exposures. More and more, `investors are moving away from individual bonds and turning to exchange trade funds (ETFs) for their simplicity, low cost and diversification. Large institutional investors have been big adopters of bond ETFs. As Greenwich Associates found in their new report, 60% of institutions in the U.S. and Europe have increased their use of bond ETFs in the past three years, with an average allocation of 18% to their fixed income portfolios."

A third News brief, "WSJ Writes, 'Now Loan Investors Are Heading for the Exits.' They explain, "Investors have pulled $5.4 billion from loan-focused mutual funds since mid- October, including $4.1 billion in the past three weeks alone, according to data from Lipper. That's quite the turnaround: Investors had poured nearly $12 billion into loan-focused mutual funds in the year up to mid-October, even as they withdrew more than $22 billion from high-yield bond funds, according to Lipper."

Finally, a sidebar entitled, "Vanguard Breaks $1 Trillion in Bond Funds," comments, "The latest 'Family Rankings' in our Bond Fund Intelligence XLS show Vanguard breaking $1 trillion in bond fund assets for the first time ever. The funds tracked by BFI XLS for the top bond fund manager total $1.010 trillion, up $52.5 billion, or 33.8% over the past 12 months. Vanguard represents over one-third (33.8%) of the $2.986 trillion in bond funds and bond ETF assets in BFI XLS. (Note: Crane Data continues to expand its collection of bond funds, so these numbers may not represent all funds managed and may be inflated by the addition of new funds.)"

Finally, it adds, "BlackRock ranks a distant number 2 in our ranking with $314.4 billion. They've seen assets grow by $13.4 billion, or 4.5%, and represent 10.5% of bond fund assets. PIMCO ranks No. 3 with $267.9 billion (9.0%), while Fidelity ranks No. 4 with $223.4 billion (7.5%). American Funds, JPMorgan, MetWest, DFA, T Rowe and DoubleLine round out the list of the 10 largest bond fund managers."

The Investment Company Institute's latest weekly "Money Market Fund Assets" report shows a huge jump in money fund assets after a big drop last week. (Money funds saw big outflows last Tuesday, 12/4 ahead of the sudden Bush Memorial Holiday, but had even larger inflows on 12/6.) ICI's latest asset series shows MMFs with their biggest gain in over 10 years, breaking above the $3.0 trillion level for the first time since early 2010, and the 7th week of strong gains in the past 8. Government, Prime and Tax Exempt MMFs all increased. Overall assets are now up $165 billion, or 5.8%, YTD, and they've increased by $162 billion, or 5.7%, over 52 weeks. Retail MMFs have increased by $114 billion, or 11.3%, while Inst MMFs are up $51 billion, or 2.8%, YTD. Over 52 weeks, Retail money funds have gained $127 billion, or 12.7%, while Inst money funds are up $35 billion, or 1.9%.

ICI writes, "Total money market fund assets increased by $93.50 billion to $3.00 trillion for the eight-day period ended Wednesday, December 12, the Investment Company Institute reported today. Among taxable money market funds, government funds increased by $81.83 billion and prime funds increased by $10.14 billion. Tax-exempt money market funds increased by $1.53 billion." Total Government MMF assets, which include Treasury funds too, stand at $2.299 trillion (76.6% of all money funds), while Total Prime MMFs stand at $562.4 billion (18.7%). Tax Exempt MMFs total $141.8 billion, or 4.7%.

They explain, "Assets of retail money market funds increased by $11.47 billion to $1.13 trillion. Among retail funds, government money market fund assets increased by $5.78 billion to $664.07 billion, prime money market fund assets increased by $4.22 billion to $330.68 billion, and tax-exempt fund assets increased by $1.47 billion to $133.24 billion." Retail assets account for over a third of total assets, or 37.6%, and Government Retail assets make up 58.9% of all Retail MMFs.

ICI's release adds, "Assets of institutional money market funds increased by $82.03 billion to $1.87 trillion. Among institutional funds, government money market fund assets increased by $76.05 billion to $1.63 trillion, prime money market fund assets increased by $5.92 billion to $231.67 billion, and tax-exempt fund assets increased by $63 million to $8.51 billion." Institutional assets account for 62.4% of all MMF assets, with Government Inst assets making up 87.2% of all Institutional MMFs.

In other news, UBS Asset Management is the latest money fund manager to weigh in on European Money Market Fund Regulation with the paper, "We've got answers." They explain, "In January 2019 new rules governing European Money Market Funds will come into force. These rules will have implications for the structures and features of money market funds (MMFs). We at UBS Asset Management understand that the regulation can cause uncertainty. We have prepared this document to help you understand how the proposed changes impact your investments with us."

UBS asks, "Q. What is this regulation? The official title is Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds, published in the Official Journal of the European Union on 30 June 2017 and entered into force on 20 July 2017. Q. Who does it apply to? The change to regulation applies to all MMFs established or sold in the EU and applies directly in every member state, without needing to be brought into law locally."

They write, "Q. When do MMFs have to comply with the new regulation? Existing funds are required to be compliant by 21 January 2019. Any funds launched after July 2018 were required to be compliant at launch. Q. What does the regulation focus on? The regulation focuses on three main areas: The creation of new sub-categories under Short Term MMFs. Increased liquidity and diversification requirements (applies to all types of MMFs). Implementation of potential redemption fees and gates when the liquidity level of the fund falls below certain minimum thresholds."

UBS's update continues, "Q. What are the different categories of MMFs? As defined by the European Securities and Markets Association (ESMA), MMFs are currently divided into two main categories: Short Term MMFs - These funds are required to adhere to more conservative investment rules than Standard MMFs. The new regulation introduces three sub categories of Short Term MMFs: Public Debt Constant NAV (CNAV), Low Volatility NAV (LVNAV) and Variable NAV (VNAV)."

The other category, they tell us, is: "Standard MMFs - Funds that fall into this category are subject to less restrictive investment rules (such as liquidity requirements) than Short Term MMFs. They must be variably priced and are, therefore, all categorized as Standard VNAV MMFs."

UBS adds, "Q. What do the changes mean to investors? If you are investing in: UBS (Irl) Select Money Market Fund - US Treasury, the fund will continue to be priced using amortized cost accounting for the full portfolio and operate with a constant NAV. It will be categorised as a Public Debt Constant NAV (CNAV) fund. UBS (Irl) Select Money Market Funds (USD, GBP and EUR), these funds will be categorised as Low Volatility NAV (LVNAV) funds."

They explain, "In a normal market environment, units will continue to price at 1 USD/GBP/EUR per unit so long as the shadow market NAV does not deviate by more than 20 basis points (bps). In the unlikely event that the shadow NAV does deviate by more than 20 bps the fund will convert to a Short Term VNAV fund. UBS (Lux) Money Market Funds (USD, GBP, EUR, CHF and AUD), these funds will remain Variable NAV (VNAV) funds."

Finally, they comment, "Q. Will investors have to move to a new fund once the new regulation is fully implemented? No. Your investment will roll in to the new structure automatically with no impact to your unit holdings, value of your units or the way you currently trade the fund. Q. When will UBS Asset Management comply with the regulation? We intend to be compliant with the EMEA Money Market Fund regulation on/or about 14 January 2019 (subject to change)."

Crane Data released its December Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of Nov. 30, 2018, shows big increases in Treasuries, Repo and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $41.7 billion to $3.026 trillion last month, after increasing $61.0 billion in Oct., decreasing by $13.3 billion in Sept. and decreasing $24.1 billion in August. Repo continued to be the largest portfolio segment, breaking over $1.0 in total for the first time, followed by Treasury securities, then Agencies. CP remained fourth ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)

Among taxable money funds, Repurchase Agreements (repo) rose $18.1 billion (1.8%) to $1.001 trillion, or 33.1% of holdings, after rising $17.3 billion in Oct. and $16.0 billion in Sept., but falling $11.3 billion in August. Treasury securities rose $33.5 billion (4.0%) to $863.1 billion, or 28.5% of holdings, after rising $21.7 billion in Oct., falling $29.6 billion in Sept., and rising $22.1 billion in August. Government Agency Debt fell by $8.3 billion (-1.3%) to $634.9 billion, or 21.0% of all holdings, after rising $4.4 billion in Oct., falling $11.5 billion in Sept., falling $24.9 billion in August and rising by $0.9 billion in July. Repo, Treasuries and Agencies total $2.499 trillion, representing a massive 82.6% of all taxable holdings.

Money funds' holdings of CDs increased, and CP and Other (mainly Time Deposits) holding inched lower in November. Commercial Paper (CP) was down $1.7 billion (-0.7%) to $238.4 billion, or 7.9% of holdings, after rising $0.7 billion in Oct., rising $6.1 billion in Sept., and falling $3.2 billion in August. Certificates of Deposits (CDs) rose by $4.1 billion (2.1%) to $196.6 billion, or 6.5% of taxable assets (after rising $15.1 billion in Oct., rising $3.6 billion in Sept., and falling $7.6 billion in August). Other holdings, primarily Time Deposits, fell by $4.0 billion (-4.5%) to $84.4 billion, or 2.8% of holdings. VRDNs increased by $0.0B (0.3%) to $7.8 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately later Thursday.)

Prime money fund assets tracked by Crane Data rose to $748 billion (up from $726 billion last month), or 24.7% (the same as last month) of taxable money fund total taxable holdings of $3.026 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 26.3% (down from 26.5% a month ago), while Commercial Paper accounted for 31.9% (down from 33.0%). The CP totals are comprised of: Financial Company CP, which makes up 20.4% of total holdings, Asset-Backed CP, which accounts for 6.8%, and Non-Financial Company CP, which makes up 4.7%. Prime funds also hold 3.8% in US Govt Agency Debt, 9.8% in US Treasury Debt, 5.2% in US Treasury Repo, 1.6% in Other Instruments, 8.3% in Non-Negotiable Time Deposits, 9.8% in Other Repo, 5.5% in US Government Agency Repo, and 0.8% in VRDNs.

Government money fund portfolios totaled $1.559 trillion (51.5% of all MMF assets), down from $1.542 trillion in Oct., while Treasury money fund assets totaled another $719 billion (23.8%), up from $717 billion the prior month. Government money fund portfolios were made up of 38.9% US Govt Agency Debt, 19.7% US Government Agency Repo, 19.3% US Treasury debt, and 21.9% in US Treasury Repo. Treasury money funds were comprised of 67.9% US Treasury debt, 32.0% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.278 trillion, or 75.3% of all taxable money fund assets.

European-affiliated holdings declined by $30.1 billion in Nov. to $648.3 billion among all taxable funds (and including repos); their share of holdings fell to 21.4% from 21.7% the previous month. Eurozone-affiliated holdings fell $30.0 billion to $409.5 billion in November; they account for 13.5% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $6.8 billion to $268.9 billion (8.9% of the total). Americas related holdings rose $65.9 billion to $2.108 trillion and now represent 69.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $24.6 billion, or 4.2%, to $610.8 billion, or 20.2% of assets); US Government Agency Repurchase Agreements (down $10.7 billion, or -3.0%, to $348.7 billion, or 11.5% of total holdings), and Other Repurchase Agreements (up $4.2 billion from last month to $41.4 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.9 billion to $152.2 billion, or 5.0% of assets), Asset Backed Commercial Paper (up $3.4 billion to $50.9 billion, or 1.7%), and Non-Financial Company Commercial Paper (down $7.0 billion to $35.3 billion, or 1.2%).

The 20 largest Issuers to taxable money market funds as of Nov. 30, 2018, include: the US Treasury ($863.1 billion, or 28.5%), Federal Home Loan Bank ($502.6B, 16.6%), RBC ($113.3B, 3.7%), BNP Paribas ($111.0B, 3.7%), Fixed Income Clearing Co ($83.9B, 2.8%), Federal Farm Credit Bank ($79.6B, 2.6%), Wells Fargo ($65.7B, 2.2%), Barclays ($64.5B, 2.1%), Credit Agricole ($63.5B, 2.1%), Mitsubishi UFJ Financial Group Inc ($54.4B, 1.8%), JP Morgan ($54.2B, 1.8%), HSBC ($47.4B, 1.6%), Natixis ($45.7B, 1.5%), Societe Generale ($45.4B, 1.5%), Mizuho Corporate Bank Ltd ($41.1B, 1.4%), Bank of Montreal ($38.5B, 1.3%), Bank of America ($38.1B, 1.3%), Sumitomo Mitsui Banking Co ($37.9B, 1.3%), Nomura ($32.9B, 1.1%), and Toronto-Dominion Bank ($32.8B, 1.1%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: BNP Paribas ($101.0B, 10.1%), RBC ($91.7B, 9.1%), Fixed Income Clearing Co ($83.9B, 8.4%), Wells Fargo ($54.4B, 5.4%), Barclays PLC ($54.1B, 5.4%), Credit Agricole ($50.3B, 5.0%), JP Morgan ($43.2B, 4.3%), HSBC ($39.2B, 3.9%), Mitsubishi UFJ Financial Group Inc ($38.8B, 3.9%) and Societe Generale ($37.6B, 3.8%). Fed Repo positions among MMFs on 11/30/18 include: Franklin IFT US Govt MM ($2.3B), State Street Inst US Govt ($0.1B) and Western Asset Inst Govt ($0.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($23.2B, 5.2%), RBC ($21.7B, 4.9%), Mizuho Corporate Bank Ltd ($17.6B, 3.9%), Australia & New Zealand Banking Group Ltd ($15.9B, 3.6%), Mitsubishi UFJ Financial Group Inc. ($15.6B, 3.5%), Sumitomo Mitsui Banking Co ($15.2B, 3.4%), Bank of Montreal ($13.7B, 3.1%), Credit Agricole ($13.2B, 3.0%), Bank of Nova Scotia ($12.9B, 2.9%) and Canadian Imperial Bank of Commerce ($12.7B, 2.8%).

The 10 largest CD issuers include: Bank of Montreal ($13.3B, 6.8%), Mitsubishi UFJ Financial Group Inc ($11.6B, 5.9%), Wells Fargo ($11.1B, 5.7%), Mizuho Corporate Bank Ltd ($11.1B, 5.6%), Sumitomo Mitsui Banking Co ($10.9B, 5.5%), RBC ($10.6B, 5.4%), Svenska Handelsbanken ($10.0B, 5.1%), Toronto-Dominion Bank ($8.6B, 4.4%), KBC Group NV ($7.9B, 4.0%) and Sumitomo Mitsui Trust Bank ($7.7B, 3.9%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($13.6B, 6.7%), JPMorgan ($10.9B, 5.3%), RBC ($10.6B, 5.2%), Bank of Nova Scotia ($8.9B, 4.4%), UBS AG ($8.0B, 3.9%), Credit Suisse ($7.7B, 3.8%), Westpac Banking Co ($6.8B, 3.3%), Canadian Imperial Bank of Commerce ($6.5B, 3.2%), Toyota ($6.4B, 3.1%) and BayernLB ($6.3B, 3.1%).

The largest increases among Issuers include: US Treasury (up $33.5B to $863.1B), Bank of Montreal (up $13.3B to $38.5B), RBC (up $11.0B to $113.3B), Fixed Income Clearing Co (up $9.8B to $83.9B), Mizuho Corporate Bank Ltd (up $5.7B to $41.1B), Societe Generale (up $5.2B to $45.4B), Federal Farm Credit Bank (up $4.6B to $79.6B), Barclays PLC (up $3.9B to $64.5B), Wells Fargo (up $3.5B to $65.7B), and Natixis (up $3.1B to $45.7B).

The largest decreases among Issuers of money market securities (including Repo) in Nov. were shown by: BNP Paribas (down $28.9B to $111.0B), Federal Home Loan Bank (down $11.4B to $502.6B), ING Bank (down $6.5B to $30.6B), Sumitomo Mitsui Banking Co (down $6.4B to $37.9B), Credit Agricole (down $5.3B to $63.5B), DNB ASA (down $2.2B to $9.9B), Swedbank AB (down $1.6B to $10.1B), Federal National Mortgage Association (down $1.1B to $18.0B), Lloyds Banking Group (down $0.9B to $12.5B), and RBS (down $0.9B to $13.8B).

The United States remained the largest segment of country-affiliations; it represents 61.1% of holdings, or $1.850 trillion. France (9.2%, $278.1B) remained in the No. 2 spot and Canada (8.5%, $257.3B) remained No. 3. Japan (7.0%, $212.3B) stayed in fourth place, while the United Kingdom (4.9%, $146.7B) remained in fifth place. Germany (2.2%, $65.2B) remained ahead of the Netherlands (1.7%, $51.9B), while Sweden (1.4%, $42.9B) remained in 8th place. Finally, Australia (1.4%, $42.5B) moved ahead of Switzerland (1.3%, $38.9B) to rank 9th and 10th. (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 Nov. 30, 2018, Taxable money funds held 33.4% (down from 34.5%) of their assets in securities maturing Overnight, and another 15.6% maturing in 2-7 days (up from 13.8% last month). Thus, 49.0% in total matures in 1-7 days. Another 20.7% matures in 8-30 days, while 11.5% matures in 31-60 days. Note that over three-quarters, or 81.1% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 10.6% of taxable securities, while 7.0% matures in 91-180 days, and just 1.4% matures beyond 181 days.

Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be published today (Wednesday), and we'll be writing our normal monthly update on the November 30 data tonight for Thursday's News. But we've also been generating a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings. (We continue to merge the two series, and the N-MFP version is now available via Holdings file listings to Money Fund Wisdom subscribers.) Our summary, with data as of November 30, includes holdings information from 1,193 money funds (down from 1,224 on Oct. 31), representing $3.242 trillion (up from $3.191 trillion). We review the latest data below.

Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows that Repurchase Agreement (Repo) holdings in money market funds totaling $1,019.3 billion (up from $1,001.5 billion on Oct. 31, their first month over $1 trillion), or 31.4% of all assets. Treasury holdings total $880.6 billion (up from $846.0 billion) or 27.2%, and Government Agency securities total $656.2 billion (down from $665.3 billion), or 20.2%. Commercial Paper (CP) totals $250.2 billion (up from $250.0 billion), or 7.7%, and Certificates of Deposit (CDs) total $200.2 billion (up from $195.9 billion), or 6.2%. The Other category (primarily Time Deposits) totals $128.4 billion or 4.0%, and VRDNs account for $107.2 billion, or 3.3%.

Broken out into the SEC's more detailed categories, the CP totals were comprised of: $156.4 billion, or 4.8%, in Financial Company Commercial Paper; $51.3 billion or 1.6%, in Asset Backed Commercial Paper; and, $42.4 billion, or 1.3%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($624.8B, or 19.3%), U.S. Govt Agency Repo ($352.5B, or 10.9%), and Other Repo ($42.0B, or 1.3%).

The N-MFP Holdings summary for the 216 Prime Money Market Funds shows: CP holdings of $245.5 billion (the same as $245.5 billion Oct. 31), or 32.0%; CD holdings of $200.2B (up from $195.9B) or 26.1%; Repo holdings of $124.4B (up from $121.4B), or 16.2%; Other (primarily Time Deposits) holdings of $84.8B (down from $88.0B), or 11.0%; Treasury holdings of $77.1B (up from $50.9B), or 10.0%; Government Agency holdings of $29.6B or 3.9%; and VRDN holdings of $6.7B, or 0.9%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $156.4 billion, or 20.4%, in Financial Company Commercial Paper; $51.3 billion, or 6.7%, in Asset Backed Commercial Paper; and, $37.8 billion, or 4.9%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($42.0B, or 5.5%), U.S. Govt Agency Repo ($41.5B, or 5.4%), and Other Repo ($40.8B, or 5.3%).

In other news J.P. Morgan's "Short-Term Market Outlook and Strategy" discusses last week's asset outflow anomaly in the section "What happened to the repo markets?" They write, "US liquidity markets were thrown into a whirlwind this week as a result of the unexpected market closures on Wednesday. The unanticipated holiday led to a series of events which made it difficult to operate in the funding markets. This was most evident in the repo market, where overnight rates jumped 4bp on Tuesday and another 7bp on Thursday." (See our December MFI article, "Asset Whiplash from Wed..")

JPM continues, "Among those events, most notable was the decrease in government MMF balances. On 12/4, the day before the market close on Wednesday, shareholders withdrew about $50bn from government MMFs, making this the single biggest day of outflow since MMF reform.... Given that MMFs were closed on Wednesday, corporates likely wanted their cash on hand to manage any potential liquidity needs they might have that day. Indeed, using Good Friday as a comparison, we find that corporates often withdraw cash the day before a market holiday. And since most of their corporate money resides with government MMFs, it was obvious that these funds were going to be most impacted with redemptions."

They tell us, "This matters of course as government MMFs invest a substantial amount in repo. As of October month-end, they held $866bn in repo exposures, comprising about 38% of their portfolio. Generally, redemptions out of government funds mean there is less cash to lend to dealers. The confluence of these factors ultimately meant repo participants had to scramble to finance their collateral longs on Tuesday given the unexpected turn of events. It did not help that primary dealer balance sheets were already pretty heavy with collateral.... Tacking on the hangover from month-end, the unexpected market closures resulted in some pretty substantial dislocations in the repo markets."

Finally, the brief adds, "That said, we do not expect repo rates to remain elevated as we head into next week. Using Good Friday as a comparison again, we've generally found that institutional investors tend to allocate their cash back into MMFs the day after the holiday. To this end, we did see flows move back into government MMFs on Thursday and will likely make their way back into the repo markets."

Finally, this weekend The Wall Street Journal wrote, "Where to Put Your Money in 2019," and featured a brief segment entitled, "Cash, anyone?" They said, "Even the C-word -- cash -- is making a comeback for recommended asset allocations.... Goldman Sachs strategists, in their outlook for 2019, mentioned the idea of including cash as a reasonable alternative to stocks for the first time in several years. The theory: As the Fed continues to raise rates, parking cash in money-market funds and other similar ultrashort and ultrasafe vehicles could earn investors as much as 3%. In comparison, Goldman Sachs strategists figure the stock market's return on a risk-adjusted basis may be as little as 0.5% in 2019."

They quote financial planner Linda Erickson, "This is the first time I can remember in 10 or 12 years that cash has been a viable asset category." The Journal says, "But in today's volatile equity markets, she is pulling out 2% every quarter from gains in her clients' accounts and holding that as what she refers to as 'strategic cash'.... [S]he is quick to point out that the yield she can collect by investing that cash in ultra-short-term securities is roughly equivalent to the dividend yield on stocks in the S&P 500 index."

The Federal Reserve released its latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (formerly the "Flow of Funds") late last week. Among the 4 tables it includes on money market mutual funds, the Third Quarter, 2018 edition shows that Total MMF Assets increased by $46 billion to $2.867 trillion in Q3. The Household Sector saw assets move higher; it remained the largest investor segment with $1.614 trillion. The next largest segment, Nonfinancial Corporate Businesses also saw assets increase in the third quarter, as did Funding Corporations' (which we believe is primarily securities lending reinvestment cash) holdings of money funds. We review the latest Z.1 stats below.

The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, also show assets inching higher for the Rest of the World and Nonfinancial Noncorporate Business categories in Q3 2018. Property-Casualty Insurance, Life Insurance Companies, Private Pension Funds and State & Local Govt Retirements all saw assets fall slightly in Q3. Over the past 12 months, the Household Sector, Funding Corporations and Nonfinancial Corporate Businesses showed increases in assets, while the State and Local Government Retirement, Life Insurance Companies and Private Pension Funds categories showed decreases.

The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows that total assets increased by $46 billion, or 1.6%, in the third quarter to $2.867 trillion. Over the year through Sept. 30, 2018, assets were up $116 billion, or 4.2%. The largest segment, the Household sector, totals $1.614 trillion, or 56.3% of assets. The Household Sector increased by $28 billion, or 1.8%, in the quarter, after increasing $15 billion in Q2'18. Over the past 12 months through Q3'18, Household assets were up $63 billion, or 4.1%.

Nonfinancial Corporate Businesses, the second largest segment according to the Fed's data series, held $479 billion, or 16.7% of the total. Assets here rose by $8 billion in the quarter, or 1.6%, and they've increased by $17 billion, or 3.8%, over the past year. Funding Corporations were the third largest investor segment with $273 billion, or 9.5% of money fund shares. They rose by $22 billion, or 8.9%, in the latest quarter. Funding Corporations have increased by $35 billion, or 14.7%, over the previous 12 months.

The fourth largest segment, Private Pension Funds held 5.4% of money fund assets ($154 billion) -- down $1 billion, or -0.3%, for the quarter, and down $3 billion, or -1.7%, for the year. Nonfinancial Noncorporate Businesses, which held $110 billion (3.8%), were in 5th place. The Rest Of The World category remained in sixth place in market share among investor segments with 3.4%, or $97 billion, while Life Insurance Companies held $45 billion (1.6%), State and Local Government Retirement Funds held $50 billion (1.7%), State and Local Governments held $24 billion (0.8%) and Property-Casualty Insurance held $21 billion (0.7%), and according to the Fed's Z.1 breakout.

The Fed's "Flow of Funds" Table L.121 shows "Money Market Mutual Funds" largely invested in "Debt Securities," or Credit Market Instruments, with $1.724 trillion, or 60.1% of the total. Debt securities includes: Open market paper ($195 billion, or 6.8%; we assume this is CP), Treasury securities ($767 billion, or 26.8%), Agency and GSE backed securities ($621 billion, or 21.7%), Municipal securities ($131 billion, or 4.6%), and Corporate and foreign bonds ($9 billion, or 0.3%).

Other large holdings positions in the Fed's series include Security repurchase agreements ($920 billion, or 32.1%) and Time and savings deposits ($195 billion, or 6.8%). Money funds also hold minor positions in Foreign deposits ($2 billion, or 0.1%), Miscellaneous assets ($7 billion, or 0.3%), and Checkable deposits and currency ($19 billion, 0.7%). Note: The Fed also lists "Variable Annuity Money Funds;" they currently total $32 billion in the quarter.

During Q3, Debt Securities were up $14 billion. This subtotal included: Open Market Paper (up $21 billion), Treasury Securities (up $114 billion), Agency- and GSE-backed Securities (down $42 billion), Municipal Securities (down $5 billion), and Corporate and Foreign Bonds (up $2 billion). In the third quarter of 2018, Security Repurchase Agreements were up $11 billion, Foreign Deposits were down $1 billion, Checkable Deposits and Currency were up $4 billion, Time and Savings Deposits were up $18 billion, and Miscellaneous Assets were unchanged.

Over the 12 months through 9/30/18, Debt Securities were up $128B, which included Open Market Paper up $57B, Treasury Securities up $114B, Agencies down $46B, Municipal Securities (up $5B), and Corporate and Foreign Bonds (up $2B). Foreign Deposits were down $3B, Checkable Deposits and Currency were down $17B, Time and Savings Deposits were down $4B, Securities repurchase agreements were up $11B, and Miscellaneous Assets were up $1B.

Note that the Federal Reserve changed its numbers related to money market funds substantially in the second quarter of 2018. A statement entitled, "Release Highlights Second Quarter 2018," tells us, "New source data for money market funds from the U.S. Securities and Exchange Commission's (SEC) form N-MFP have been incorporated into the sector's asset holdings (tables F.121 and L.121). Money market funds not available to the public, which are included in the SEC data, are excluded from Financial Accounts' estimates. Data revisions begin 2013:Q1. Holdings of money market fund shares by households and nonprofit organizations, state and local governments, and funding corporations (tables F.206 and L.206) have been revised due to a change in methodology based on detail from the Investment Company Institute. Data revisions begin 1976:Q1."

Crane Data's latest Money Fund Market Share rankings show assets were higher again for most U.S. money fund complexes in November. Money fund assets rose by $79.4 billion, or 2.5%, last month to $3.170 trillion, and assets have risen by $100.6 billion, or 3.3%, over the past 3 months. They have increased by $187.5 billion, or 6.3%, over the past 12 months through Nov. 30, 2018. The biggest increases among the 25 largest managers last month were seen by Fidelity, JPMorgan, Morgan Stanley, Federated and Schwab, who increased assets by $14.2 billion, $14.0B, $10.3B, $9.7B, and $8.4B, respectively. We review the latest market share totals below, and we also look at money fund yields in November.

The only noticeable declines in assets among the largest complexes in November were seen by BlackRock, whose MMFs fell by $5.1 billion, or -1.8% (their BIF money funds were liquidated), Goldman Sachs, whose MMFs fell by $1.3 billion, or -0.7%, and T Rowe Price, whose MMFs fell by $342 million. Our domestic U.S. "Family" rankings are available in our MFI XLS product, our global rankings are available in our MFI International product. The combined "Family & Global Rankings" are available to Money Fund Wisdom subscribers.

Over the past year through Nov. 30, 2018, Fidelity (up $74.4B, or 13.1%), Vanguard (up $45.9B, or 16.0%), JP Morgan (up $38.7B, or 15.0%), Goldman Sachs (up $31.6B, or 18.6%), Federated (up $30.9B, or 16.3%) and UBS (up $12.4B, or 28.0%) were the largest gainers. These complexes were followed by First American (up $9.0B, or 18.4%), Northern (up $4.9B, or 4.7%), and Franklin (up $3.5B, or 17.3%).

Fidelity, JPMorgan, Vanguard, Federated and Morgan Stanley had the largest money fund asset increases over the past 3 months, rising by $37.4B, $26.4B, $18.8B, $16.8B, and $6.5B, respectively. The biggest decliners over 3 months include: BlackRock (down $10.6B, or -3.6%), DWS (down $5.8B, or -20.2%), T Rowe Price (down $5.1B, or -14.3%), Wells Fargo (down $4.2B, or -3.7%), and DFA (down $2.1B, or -9.3%).

Our latest domestic U.S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $643.3 billion, or 20.3% of all assets. They were up $14.2 billion in November, up $37.4 billion over 3 mos., and up $74.4B over 12 months. Vanguard ranked second with $332.8 billion, or 10.5% market share (up $6.3B, up $18.8B, and up $45.9B for the past 1-month, 3-mos. and 12-mos., respectively). JPMorgan was third with $295.8 billion, or 9.3% market share (up $14.0B, up $26.4B, and up $38.7B). BlackRock ranked fourth with $280.0 billion, or 8.8% of assets (down $5.1B, down $10.6B, and down $695M for the past 1-month, 3-mos. and 12-mos., while Federated remained in fifth with $220.3 billion, or 7.0% of assets (up $9.7B, up $16.8B, and up $30.9B).

Goldman Sachs remained in sixth place with $201.1 billion, or 6.3% of assets (down $1.3B, up $1.3B, and up $31.6B), while Dreyfus held seventh place with $169.6 billion, or 5.3% (up $7.3B, down $1.8B, and down $6.4B). Schwab ($137.6B, or 4.3%) was in eighth place (up $8.4, up $9.2B and down $20.8B), followed by Northern, who moved up to ninth place ($109.9B, or 3.5%, up $3.9B, up $3.9B, and up $4.9B). Wells Fargo fell to tenth place ($108.4B, or 3.4%, up $2.0B, down $4.2B, and down $2.6B).

The eleventh through twentieth largest U.S. money fund managers (in order) include: Morgan Stanley ($107.2B, or 3.4%), SSgA ($84.0B, or 2.6%), Invesco ($61.0B, or 1.9%), First American ($58.3B, or 1.8%), UBS ($56.5B, or 1.8%), T Rowe Price ($30.9B, or 1.0%), Franklin ($23.6B, or 0.7%), Western ($23.0B, or 0.7%), DWS ($22.7B, or 0.7%), and DFA ($20.8, or 0.7%). Crane Data currently tracks 70 U.S. MMF managers, down one from last month. (TD liquidated its money funds this past month.)

When European and "offshore" money fund assets -- those domiciled in places like Ireland, Luxembourg, and the Cayman Islands -- are included, the top 10 managers match the U.S. list, except JPMorgan and BlackRock move ahead of Vanguard, Goldman moves ahead of Federated, and Morgan Stanley moves ahead of Wells, Northern and Schwab. Our Global Money Fund Manager Rankings include the combined market share assets of our MFI XLS (domestic U.S.) and our MFI International ("offshore") products.

The largest Global money market fund families include: Fidelity ($652.6 billion), J.P. Morgan ($451.6B), BlackRock ($420.1B), Vanguard ($332.8B), and Goldman Sachs ($305.0B). Federated ($229.3B) was sixth and Dreyfus/BNY Mellon ($185.0B) was in seventh, followed by Morgan Stanley ($139.5B), Schwab ($137.6B), and Northern ($134.8B), which round out the top 10. These totals include "offshore" US Dollar money funds, as well as Euro and Pound Sterling (GBP) funds converted into US dollar totals.

The December issue of our Money Fund Intelligence and MFI XLS, with data as of 11/30/18, shows that yields were up again in November across all of our taxable Crane Money Fund Indexes. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 753), was up 8 bps to 1.88% for the 7-Day Yield (annualized, net) Average, and the 30-Day Yield was up 10 bps to 1.86%. The MFA's Gross 7-Day Yield increased 7 bps to 2.32%, while the Gross 30-Day Yield rose 8 bps to 2.30%.

Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 2.06% (up 5 bps) and an average 30-Day Yield of 2.04% (up 6 bps). The Crane 100 shows a Gross 7-Day Yield of 2.33% (up 5 bps), and a Gross 30-Day Yield of 2.31% (up 6 bps). For the 12 month return through 11/30/18, our Crane MF Average returned 1.38% and our Crane 100 returned 1.55%. The total number of funds, including taxable and tax-exempt, was down 30 funds to 944. There are currently 753 taxable and 191 tax-exempt money funds.

Our Prime Institutional MF Index (7-day) yielded 2.07% (up 7 bps) as of Nov. 30, while the Crane Govt Inst Index was 1.95% (up 7 bps) and the Treasury Inst Index was 1.96% (up 7 bps). Thus, the spread between Prime funds and Treasury funds is 11 basis points, the same as last month, while the spread between Prime funds and Govt funds is 12 basis points, the same as last month. The Crane Prime Retail Index yielded 1.93% (up 9 bps), while the Govt Retail Index yielded 1.64% (up 10 bps) and the Treasury Retail Index was 1.71% (up 8 bps). The Crane Tax Exempt MF Index yield rose in November to 1.24% (up 10 bps).

Gross 7-Day Yields for these indexes in November were: Prime Inst 2.46% (up 7 bps), Govt Inst 2.25% (up 7 bps), Treasury Inst 2.27% (up 6 bps), Prime Retail 2.45% (up 8 bps), Govt Retail 2.25% (up 6 bps), and Treasury Retail 2.28% (up 6 bps). The Crane Tax Exempt Index increased 8 basis points to 1.73%. The Crane 100 MF Index returned on average 0.16% over 1-month, 0.47% over 3-months, 1.45% YTD, 1.55% over the past 1-year, 0.81% over 3-years (annualized), 0.49% over 5-years, and 0.30% over 10-years. (Contact us if you'd like to see our latest MFI XLS, Crane Indexes or Market Share report.)

The December issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers on Friday, features the articles: "Money Funds Beat Bond Funds; First Time in Decade," which looks at returns and asset flows of bonds vs. MMFs; "JPMorgan Live w/European Reform Lineup; New VNAVs," a review of JPMAM's new VNAV fund ratings; and, "Asset Whiplash from Wed.; WAMs at Record Lows in '18," which reviews a huge drop then spike in assets this week, and fund WAMs. We've also updated our Money Fund Wisdom database with Nov. 30 statistics, and sent out our MFI XLS spreadsheet Friday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our December Money Fund Portfolio Holdings are scheduled to ship on Tuesday, December 11, and our Dec. Bond Fund Intelligence is scheduled to go out Friday, December 14.

MFI's "MFs Beat Bond Funds" article says, "While money funds have slowly but surely been enjoying the benefits of higher rates since the end of 2015, it hasn't been until late in 2018 that they've started to benefit from pain in the bond and stock markets. Money funds will likely outperform both bond funds and stock funds in 2018, and many strategists are calling for cash to look even better in 2019."

It continues, "Through Nov. 30, 2018, money funds have returned 1.45% year-to-date and 1.55% over 1-​year, as measured by our Crane 100 Money Fund Index, versus bond fund returns of -0.70% YTD and -0.36% over 12 months, as measured by our Crane 100 Bond Fund Index. ​Our broader Crane Money Fund Average shows returns of 1.29% YTD and 1.38% over 1-​year vs. the Crane BFI Total Index, which shows returns -0.64% and -0.29%, respectively. (Note that our bond fund return numbers aren’t complete, so our preliminary estimates.)"

Our "JPM European Update" reads, "Last weekend, J.P. Morgan became the first major manager of European money market funds become fully compliant with the new European Money Fund Reforms, which go live on Jan. 21, 2019. J.P. Morgan Global Liquidity posted a brief, 'Important announcement for Global Liquidity clients: European Money Market Fund Regulations,' which tells us, 'J.P. Morgan Global Liquidity's implementation of the European Money Market Funds Regulations is now complete on the Luxembourg domiciled Global Liquidity funds. J.P. Morgan Global Liquidity is committed to ensuring that investors have the best experience."

It adds, "As a global leader in the liquidity space, J.P. Morgan Asset Management's Global Liquidity group manages USD 597.6 billion in asset under management (​as of 30 Sept., 2018). The team is made up of 132 dedicated global liquidity professionals with 21 average years of portfolio management and credit research industry experience in 7 countries and 5 global service centers ensuring 24 hour coverage."

MFI's "Shortest Ever" piece says, "Though the Federal Reserve may slow or stop raising interest rates in 2019, money market funds continue to stay super short and liquid. Weighted average maturities, or WAMs, of taxable money funds hit a record low in November. The average WAM for our Crane Money Fund Average, the simple average of the 753 taxable money funds tracked by Crane Data, inched down to 27 days, the lowest level since we started tracking funds in 2006.

It tells us, "Money fund WAMs used to be much longer too, since the SEC reduced the maximum WAM funds could have from 120 days to 90 days in the early 1990's and again reduced the maximum from 90 days to 60 days in 2011."

Also, MFI includes a sidebar, "American Funds Files to Launch Internal MMF," which says "Capital Research and Management Company, manager of the American Funds filed to launch Capital Group Central Cash, an internal money market fund open only to other funds in the American Funds Group. The filing says, 'The fund is an institutional money market fund. The net asset value of the fund'​s shares will 'float,' fluctuating with changes in the value of the fund's portfolio securities. Shares of the fund are primarily purchased by other funds and investment vehicles managed by the fund's investment adviser and its affiliates and are not available to the public."

Our December MFI XLS, with Nov. 30, 2018, data, shows total assets rising $64.3 billion in November to $3.171 trillion, after increasing $34.5 billion in October, $1.6 billion in Sept., and $29.2 billion in August. Our broad Crane Money Fund Average 7-Day Yield rose 8 bps to 1.88% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 5 bps to 2.06% (its highest level since Oct. 2008).

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA rose 7 bps to 2.32% and the Crane 100 rose to 2.33%. Charged Expenses averaged 0.43% (down 2 bps) and 0.27% (unchanged), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 27 and 29 days, respectively (down 1 day). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

The Wall Street Journal writes "Cash Is a Star in Rocky Year for Global Markets," which says, "In a year of anemic returns and wild gyrations across most markets, cash is a star. U.S. cash and cash equivalents are on track to be some of the best-performing assets in 2018, enticing money managers struggling with a rare synchronized downturn in stocks, commodities and bond markets. Rising returns on cash make it more appealing for investors to move out of other investments, risking a turning point for markets as the global economy shows signs of slowing and the Federal Reserve slowly normalizes interest rates." We quote from the Journal and take a look at how cash has done below, and we also review our latest Weekly Portfolio Holdings data.

The Journal tells us, "One popular cash proxy -- the S&P U.S. Treasury Bill 3-6 Month Index, which measures the performance of U.S. Treasury bills maturing within three to six months -- has returned 1.7% so far this year. That comes against a background of lower and even negative returns on most assets this year, including global stocks, high-yield and investment-grade corporate bonds, long-term government debt and a range of commodities."

It adds, "There appears to be room to add more to cash positions: Fund managers' cash levels stood at 4.7% in November -- slightly above the average of the past 10 years, but below the 5.1% levels reached in September and October, according to Bank of America Merrill Lynch."

Finally, they write, "For most of the past decade, holding cash or cash-like instruments such as certificates of deposit or short-dated Treasury bills has failed to pay off. A person who invested $100 in the S&P 500 about 10 years ago would have about $396 by now, compared with roughly $104.50 on the same investment in cash."

Crane Data's December Money Fund Intelligence will be out Friday morning with our 11/30/18 data (we'll also have a story on money funds vs. bond funds). But through 10/31/18, money funds have returned 0.46% year-to-date and 1.30% over 1-year, as measured by our Crane 100 Money Fund Index, versus bond fund returns of -0.84% YTD and -0.56% over 12 months, as measured by our Crane 100 Bond Fund Index. (Our broader Crane Money Fund Average shows returns of 1.14% YTD and 1.28% over 1-year vs. the Crane BFI Total Index shows returns -0.73% and -0.45%, respectively.)

In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary Tuesday, which tracks a shifting subset of our monthly Portfolio Holdings collection. The latest cut, with data as of Nov. 30, includes Holdings information from 59 money funds (down from 73 on Nov. 23), representing $1.127 trillion (down from $1.158 trillion) of the $2.984T (37.8%) in total money fund assets tracked by Crane Data. (For our latest monthly Money Fund Portfolio Holdings numbers, see our Nov. 13 News, "Nov. MF Portfolio Holdings: Treasury, Repo, CDs Up; Fed Repo Near Zero.")

Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $429.1 billion (down from $431.4 billion on Nov. 23), or 38.1% of holdings, Treasury debt totaling $356.7 billion (down from $357.7 billion) or 31.7%, and Government Agency securities totaling $222.8 billion (down from $223.4 billion), or 19.8%. Commercial Paper (CP) totaled $46.6 billion (down from $56.1 billion), or 4.1%, and Certificates of Deposit (CDs) totaled $39.0 billion (down from $40.5 billion), or 3.5%. A total of $16.7 billion or 1.5% was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $16.0 billion, or 1.4%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $356.7 billion (31.7% of total holdings), Federal Home Loan Bank with $168.3B (14.9%), RBC with $46.2 billion (4.1%), BNP Paribas with $45.0B (4.0%), Federal Farm Credit Bank with $39.3B (3.5%), Credit Agricole with $31.6B (2.8%), HSBC with $24.5B (2.2%), Wells Fargo with $24.2B (2.1%), Societe Generale with $24.0B (2.1%), and Fixed Income Clearing Co with $22.0B (2.0%).

The Ten Largest Funds tracked in our latest Weekly Holdings update include: Fidelity Inv MM: Govt Port ($118.1B), Goldman Sachs FS Govt ($99.1B), BlackRock Lq FedFund ($83.3B), Wells Fargo Govt MMkt ($70.5B), BlackRock Lq T-Fund ($70.3B), Goldman Sachs FS Trs Instruments ($58.4B), Dreyfus Govt Cash Mgmt ($56.6B), Morgan Stanley Inst Liq Govt ($51.7B), State Street Inst US Govt ($45.4B), and Fidelity Inv MM: MMkt Port ($42.9B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)

Finally, the ICI released its "Annual Report to Members" last week. Though it had little on money market funds, it did have one mention of fund data. The publication quotes Chief Economist Sean Collins, "One of the biggest challenges we face is collecting increasing amounts of data. The SEC [Securities and Exchange Commission] is going to be collecting more new data through data reports called N-PORT and N-CEN. It's going to be a massive amount of data on all kinds of things that the SEC never had access to previously -- such as funds' monthly portfolio holdings, various risk metrics, liquidity measures. And the SEC is gearing up to analyze and use all these data in its regulatory work."

He adds, "I believe it would be very important for us to have access to the same information so that we can conduct our own research and analysis, verify what the government may produce in terms of summary statistics, help interpret the data, or help provide information to the fund industry and the public about trends in the industry. Historically, this has been of immense importance to our members, and it stands to grow even more important."

Collins explains, "The SEC collection of Form N-MFP data on money market funds is an excellent example of how our research serves the interests of our members in a similar way. Members voluntarily supplied the data to us on the same basis as they gave them to the SEC, and that was really important for us, because it allowed us to do analysis, push back on inappropriate aspects of rules that the SEC was putting in place for money funds, and challenge the notion that the money market fund industry poses financial stability concerns. We hope members will see the value of a similar arrangement with respect to N-PORT data."

Over this past weekend, J.P. Morgan became the first major manager of European money market funds become fully compliant with the new European Money Fund Reforms, which go live on Jan. 21, 2019. J.P. Morgan Global Liquidity posted a brief, "Important announcement for Global Liquidity clients: European Money Market Fund Regulations," which tells us, "J.P. Morgan Global Liquidity's implementation of the European Money Market Funds Regulations is now complete on the Luxembourg domiciled Global Liquidity funds. J.P. Morgan Global Liquidity is committed to ensuring that investors have the best experience. Please reach out to us if we can be of any assistance." (NOTE: Crane Data is closed Wednesday, 12/5, due to the National Day of Mourning honoring President George H. W. Bush. Our News, Link of the Day, and MFI Daily publication will be back tomorrow.)

It adds, "As a global leader in the liquidity space, J.P. Morgan Asset Management's Global Liquidity group manages USD 597.6 billion in asset under management (as of 30 September, 2018). The team is made up of 132 dedicated global liquidity professionals with 21 average years of portfolio management and credit research industry experience in 7 countries and 5 global service centers ensuring 24 hour coverage.... J.P. Morgan Asset Management, with assets under management of USD 1.72 trillion (as of 30 September, 2018), is a global leader in investment management. J.P. Morgan Asset Management's clients include institutions, retail investors and high-net worth individuals in every major market throughout the world."

A related press release, entitled, "Four J.P. Morgan Asset Management Money Market Funds Assigned 'AAAm' Ratings," tells us, "S&P Global Ratings today assigned 'AAAm' principal stability fund ratings (PSFRs) to four Luxembourg-domiciled short-term variable net asset value (VNAV) money market funds sponsored by J.P. Morgan Asset Management (Europe) S.A.R.L (JPMAM). The four VNAV subfunds are part of JPMorgan Liquidity Funds, a Société d'Investissement à Capital Variable structure that also qualifies as an Undertaking for Collective Investments in Transferable Securities (UCITS)."

It explains, "The PSFRs reflect our view of the creditworthiness of the funds' investments and counterparties, their investments' maturity structure, and management's ability and policies to maintain the funds' net asset value. The 'AAAm' demonstrates extremely strong capacity to maintain principal stability and to limit exposure to principal losses due to credit risk. 'AAAm' is the highest PSFR assigned by S&P Global Ratings."

S&P's statement continues, "The four short-term VNAV funds assigned 'AAAm' PSFRs are: JPMorgan Liquidity Funds – EUR Liquidity VNAV Fund; JPMorgan Liquidity Funds – GBP Liquidity VNAV Fund; JPMorgan Liquidity Funds – USD Liquidity VNAV Fund; and, JPMorgan Liquidity Funds – USD Treasury VNAV Fund. The subfunds, which launch today, are part of JPMAM's expanded money market fund product range domiciled in Luxembourg reflective of EU money market fund regulations (Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on Money Market Funds)."

It says, "Within its Luxembourg liquidity funds, JPMAM offers eight credit subfunds across Australian dollars, euro, pound sterling, Singapore dollars, and U.S. dollars. Three of the funds assigned PSFRs today fall into the credit category--EUR Liquidity VNAV Fund, GBP Liquidity VNAV Fund, and USD Liquidity VNAV Fund. The USD Treasury VNAV is a government subfund among five other government subfunds offered in either pound sterling or U.S. dollars."

S&P Global writes, "The subfunds will be managed within JPMAM's global liquidity business, which manages approximately US$600 billion in liquidity and short-duration assets. In our view, as part of a global organization, the global liquidity team is a highly experienced group of investment professionals who incorporate a risk-controlled and value-oriented approach to cash and short-duration fixed-income management. Money market investment practices are conservative, in our view, and supported by rigorous investment research and sound risk management infrastructure reflective of an asset manager overseeing liquidity assets for institutional clients."

They add, "The investment objective of the subfunds is to achieve a return in the reference currency in line with prevailing money market rates while aiming to preserve capital consistent with such rates and maintain a high degree of liquidity. To achieve this objective, the funds will seek to invest in a variety of money market instruments, including asset-backed commercial paper, deposits with credit institutions, and reverse repurchase agreements within a maturity of 397 days, which meets our PSFR final maturity threshold."

Finally, the release comments, "An S&P Global Ratings' PSFR, also known as a "money market fund rating," is a forward-looking opinion about a fixed-income fund's capacity to maintain stable principal and to limit exposure to principal losses due to credit risk. We will monitor the portfolios on a weekly basis as part of our surveillance practices."

For more, see Crane Data's Sept. 5 News, "JPMorgan on European MMF Reforms; Aviva First to Convert to LVNAV," as well as JPMAM's "Proposed fund transition plan: European Money Market Fund Regulations," and "European Money Market Fund Reform Resource Centre."

Kiplinger's Personal Finance's John Waggoner writes on "6 Ways to Improve Your Yield on Cash," which gives a general overview of strategies and tips for retail liquidity investors. The article tells us, "Yields on most savings vehicles, such as bank deposit accounts and money market mutual funds, track the Federal Reserve's federal funds rate. For seven miserable years, from 2008 to 2015, the fed funds rate was tantamount to zero -- and that's about what you got from your savings. As the Fed has raised its benchmark rate, savings rates have risen with it." They quote CFP Jonathan Pond, "This is a huge revelation to my clients.... They are actually earning money on cash."

The piece says, "Although interest rates on savings are still low, they have caught up with inflation and beat the dividend yield of Standard & Poor's 500-stock index. And although cash may not yet be king when it comes to yields, it's important to remember that the income it generates comes with little or no risk -- providing a bit of respite from volatile stock and bond markets."

Kiplinger's explains, "Don't be discouraged if yields on your bank's savings account and money market deposit account are still at rock-bottom. The national average savings account yields a miserly 0.09%, and the average MMDA pays just 0.20%, according to But you can find higher yields by shopping around -- particularly at online banks and credit unions, which have lower overhead than traditional banks and can afford to pay a bit more."

On money market mutual funds, they write, "These mutual funds invest in short-term, high-quality securities, such as certificates of deposit and Treasury bills. Unlike other mutual funds, whose share prices vary daily, money funds keep their share price constant at $1 and pay interest by issuing new shares or fractions of shares. A money fund's yield equals its earnings minus expenses, and it closely tracks short-term interest rates. The funds' average 30-day yield is currently 1.82%, according to iMoneyNet. Most let you write checks on your account."

The primer explains, "Choose funds with low expenses, because anything you pay for fund management comes out of your yield. A favorite: Vanguard Prime Money Market Fund (symbol VMMXX), which charges just 0.16% a year in expenses and currently yields 2.21%. Savers in higher tax brackets should consider tax-free money funds, which invest in extremely short-term municipal IOUs. Because the interest is free from federal income taxes, the yields offered by tax-free money funds are lower than the yields of taxable money funds."

Kiplinger's also discusses CDs, saying, "If you want a bit more interest than you can earn from MMDAs, savings accounts and money funds, consider certificates of deposit. In return for a higher interest rate, you agree to keep your money on deposit for a set amount of time. Typically, the bank will charge three months' interest for early withdrawals from CDs with maturities of one year, and six months' interest for withdrawing from CDs with longer maturities.... Usually, the longer the maturity, the higher the rate. Be careful when choosing maturities."

Finally, they add on ultra-short bond funds, "These funds usually invest in securities that mature within one year. Typical ultrashort funds yield a bit more than money market funds. Unlike with money funds, the share prices of ultrashort funds can and do fluctuate. If you can't stand the thought of losing money, an ultrashort fund isn't for you. Nonetheless, we like Vanguard Ultra-Short-Term Bond (VUBFX)."

In other news, PIMCO posted new blog entry entitled, "Packing for the Holidays: Reducing Risk with Short-Term Bonds." Authors Jerome Schneider, Tina Adatia, and Kenneth Chambers, write "[I]nvestors concerned about rising rates or sudden equity market drops may want to consider lowering risk in their portfolios as part of their preparation for the holiday season. In an aging economic expansion, when changing liquidity conditions and costs can lead to more market volatility, a short-term bond strategy can provide balance for investors: a defensive approach that reduces interest rate risk while tapping into diversified sources of yield at the front end of the bond market."

They comment, "Rising interest rates are a fixture of late-cycle markets. Over the next 12 months, interest rates are likely to grind higher, particularly in the U.S., where economic growth remains above trend. PIMCO forecasts three additional policy rate hikes from the Federal Reserve by the end of 2019.... Short-term bond strategies have low duration, typically one year or less, and therefore can help reduce a portfolio's sensitivity to interest rate changes as the Fed gradually raises rates.... [S]hort-term portfolios can be positioned to benefit from rising rates and higher yields as benchmark rates continue to increase."

This piece too warns about CDs, saying, "CDs are time deposits, requiring specified investment periods, or 'lock-ins,' of anywhere from a month to several years, and withdrawing early usually results in penalties or forfeiting interest earned. We think this can create drawbacks for investors. Depending on the strategy, investors in short-term bonds may have more ready access to their assets."

It adds, "In today’s market, this can mean the flexibility to reinvest as interest rates rise and when prices for other assets, including equities, become attractive -- the very reason that many investors today may be holding high cash and short-term allocations. Furthermore, national average CD rates as of mid-November ranged from 0.56% for one year to 1.20% for five years, according to the FDIC, which are still lower than the fed funds rate and prevailing short-term benchmarks. Actively managed short-term bond strategies can invest in a broader universe of securities and thus aim for higher returns than traditional cash vehicles."