Press Releases Archives: March, 2016
Crane Data released its March Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Feb. 29, 2016, shows increases in Treasuries, Other (Time Deposits), CDs, Agencies, and Repo. The only sectors that were down were CP and VRDNs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $64.2 billion in February to $2.676 trillion. MMF holdings increased by $6.0 billion in January, but decreased by $2.2 billion in December. Repos remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were in fourth place, followed by Commercial Paper, Other (mainly Time Deposits) securities and VRDNs. Money funds' European-affiliated securities represented 27.6% of holdings, up slightly from the previous month's 27.0%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) increased $4.4 billion (0.8%) to $558.3 billion, or 20.9%, after decreasing $182.2 billion in January and increasing $176.6 billion in December. Treasury securities had the biggest increase, rising $40.9 billion (8.2%) in February to $538.2 billion, or 20.1% of holdings, after falling $3.4 billion in January and $33.2 billion in December. Government Agency Debt increased $5.5 billion (1.1%) to $496.8 billion, or 18.6% of holdings, after increasing $7.5 billion in January and $35 billion in December. The steady rise in Treasuries and Agencies has been driven by the conversion of about $190 billion (so far) of Prime fund assets to Government funds.
Certificates of Deposit (CDs) were up $7.6 billion (1.6%) to $472.5 billion, or 17.7% of holdings, after rising $33.0 billion in January and decreasing $51.8 billion in December. Commercial Paper (CP) was down $1.8 billion (0.5%) to $355.8 billion, or 13.3% of taxable assets, while Other holdings, primarily Time Deposits, jumped $8.1 billion (3.5%) to $239.4 billion, or 8.9% of holdings. VRDNs held by taxable funds decreased by $500 million (3.4%) to $15.2 billion (0.6% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 32.9% (up from 31.0% a month ago), followed by Commercial Paper at 24.7% (down from 26.6%). The CP totals are primarily Financial Company CP (14.5% of total holdings), with Asset-Backed CP making up 6.2% and Other CP (non-financial) making up 4.0%. Prime funds also hold 6.4% in Agencies (down from 7.2%), 5.9% in Treasury Debt (up from 5.2%), 3.3% in Treasury Repo (down from 3.6%), 4.8% in Other Instruments, 5.1% in Other Instruments (Time Deposits), and 6.3% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.439 trillion (up from $1.427 trillion last month), or 53.8% of taxable money fund holdings' total of $2.676 trillion.
Government fund portfolio assets totaled $704 billion, up from $683 billion in January, while Treasury money fund assets totaled $533 billion, up from $502 billion in January. Government money fund portfolios were made up of 57.4% Agency Debt, 20.7% Government Agency Repo, 8.4% Treasury debt, and 13.3% in Treasury Repo. Treasury money funds were comprised of 74.1% Treasury debt, 25.2% in Treasury Repo, and 0.7% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.237 trillion, or 46.2% of all taxable money fund assets.
European-affiliated holdings rose $34.7 billion in February to $739.0 billion among all taxable funds (and including repos); their share of holdings increased to 27.6% from 27.0% the previous month. Eurozone-affiliated holdings increased $24.5 billion to $436.7 billion in February; they now account for 16.3% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $11.3 billion to $274.6 billion (10.3% of the total). Americas related holdings increased $39.0 billion to $1.658 trillion and now represent 62.0% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which dropped $9.0 billion, or 3.2%, to $275.2 billion, or 10.3% of assets; Government Agency Repurchase Agreements (up $9.5 billion to $211.1 billion, or 7.9% of total holdings), and Other Repurchase Agreements ($71.9 billion, or 2.7% of holdings, up $3.9 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $500 million to $209.1 billion, or 7.8% of assets), Asset Backed Commercial Paper (down $3.5 billion to $89.7 billion, or 3.4%), and Other Commercial Paper (up $1.2 billion to $57.0 billion, or 2.1%).
The 20 largest Issuers to taxable money market funds as of Feb. 29, 2016, include: the US Treasury ($438.2 billion, or 20.1%), Federal Home Loan Bank ($349.3B, 13.1%), Wells Fargo ($88.3B, 3.3%), BNP Paribas ($83.0B, 3.1%), Credit Agricole ($81.0B, 3.0%), Federal Reserve Bank of New York ($68.6B, 2.6%), Federal Home Loan Mortgage Co. ($62.0B, 2.3%), Societe Generale ($59.9, 2.2%), RBC ($59.2B, 2.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($56.7B, 2.1%), Bank of Nova Scotia ($55.7B, 2.1%), Federal Farm Credit Bank ($50.7B, 1.9%), JP Morgan ($50.7B, 1.9%), Bank of America ($46.5B, 1.7%), Credit Suisse ($45.6, 1.7%), Natixis ($44.8B, 1.7%), HSBC ($39.3B, 1.5%), DnB NOR Bank ASA ($39.0B, 1.5%), Citi ($37.8B, 1.4%), and Sumitomo Mitsui Banking Co ($36.6B, 1.4%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest repo program with $68.6B, or 12.3% of money fund repo. The 10 largest Fed Repo positions among MMFs on 2/29 include: Fidelity Govt Cash Reserves ($27.6B in Fed RRP), Goldman Sachs FS Govt ($22.6B), JP Morgan US Govt ($20.4B), Morgan Stanley Inst Lq Res ($18.3B), Federated Govt Oblg ($16.4B), Federated Trs Oblig ($14.7B), Fidelity Govt MM ($14.0B), Wells Fargo Govt MMkt ($13.6B), Morgan Stanley Inst Lq Trs ($13.3B), and Northern Trust Trs MMkt ($13.0B).
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 ($68.6B, 12.3%), Wells Fargo ($56.2B, 10.1%), BNP Paribas ($50.8B, 9.1%), Societe Generale ($48.2B, 8.6%), Credit Agricole ($37.6B, 6.7%), Bank of America ($35.6B, 6.4%), Credit Suisse ($30.6B, 5.5%), JP Morgan ($28.9B, 5.2%), RBC ($23.4B, 4.2%), and Bank of Nova Scotia ($22.7B, 4.1%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($43.4B, 4.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($43.2B, 4.5%), DnB NOR Bank ASA ($39.0B, 4.1%), Sumitomo Mitsui Banking Co ($36.6B, 3.9%), RBC ($35.8B, 3.8%), Bank of Nova Scotia ($33.0B, 3.5%), Natixis ($32.9B, 3.5%), BNP Paribas ($32.1B, 3.4%), Wells Fargo ($32.1B, 3.4%), and Skandinaviska Enskilda Banken AB ($30.5B, 3.2%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($29.7B, 6.4%), Sumitomo Mitsui Banking Co ($28.0B, 6.0%), Toronto-Dominion Bank ($25.4B, 5.4%), Wells Fargo ($25.0B, 5.4%), Canadian Imperial Bank of Commerce ($23.7B, 5.1%), Bank of Nova Scotia ($21.6B, 4.6%), Mizuho Corporate Bank Ltd ($20.3B, 4.3%), Bank of Montreal ($19.7B, 4.2%), Sumitomo Mitsui Trust Bank ($18.5B, 4.0%), and RBC ($17.3B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($17.4B, 5.7%), JP Morgan ($17.1B, 5.6%), Commonwealth Bank of Australia ($16.0B, 5.3%), RBC ($15.2B, 5.2%), HSBC ($12.7B, 4.2%), Westpac Banking Co ($12.4B, 4.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($10.9B, 3.6%), Bank of Nova Scotia ($10.4B, 3.4%), Credit Agricole ($10.1B, 3.3%), and ING Bank ($9.3B, 3.1%).
The largest increases among Issuers include: US Treasury (up $40.9B to $538.2B), Wells Fargo (up $9.4B to $88.3B), Natixis (up $8.7B to $44.8B), Canadian Imperial Bank of Commerce (up $8.4B to $29.1B), Federal Home Loan Bank (up $8.2B to $349.3B), DnB NOR Bank ASA (up $5.7B to $39.0B), Credit Agricole (up $5.0B to $81.0B), Societe Generale (up $4.8B to $59.9B), Bank of Nova Scotia (up $4.5B to $55.7B), and Swedbank AB (up $4.2B to $28.0B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: Federal Reserve Bank of New York (down $26.6B to $68.6B), Federal Home Loan Mortgage Co. (down $5.1B to $62.0B), State Street (down $4.7B to $11.6B), Nordea Bank (down $4.5B to $20.2B), Sumitomo Mitsui Banking Co. (down $3.9B to $36.6B), Toronto-Dominion Bank (down $3.7B to $36.5B), Barclays PLC (down $3.4B to $17.7B), Svenska Handelsbanken (down $3.2B to $27.0B), Credit Mutuel (down $2.9B to $20.0B), and Goldman Sachs (down $2.3B to $10.1B).
The United States remained the largest segment of country-affiliations; it represents 53.3% of holdings, or $1.425 trillion (down $29.0B). France remained in second (11.3%, $302.5B), followed by Canada (8.6%, $231.2B) in third. Japan (6.6%, $176.0B) stayed in fourth, while Sweden (4.0%, $105.9B) held fifth. The United Kingdom (3.4%, $91.0B) remained sixth, while Australia (2.9%, $76.5B) stayed in seventh. The Netherlands (2.4%, $65.1B), Switzerland (2.3%, $62.1B), and Germany (2.0%, $52.1B) round out the top 10 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 Feb. 29, 2016, Taxable money funds held 29.4% (up from 27.9%) of their assets in securities maturing Overnight, and another 12.0% maturing in 2-7 days (down from 13.5%). Thus, 41.4% in total matures in 1-7 days. Another 20.6% matures in 8-30 days, while 12.5% matures in 31-60 days. Note that about three-quarters, or 74.5% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 10.5% of taxable securities, while 12.8% matures in 91-180 days, and just 2.2% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Wednesday, and our Tax Exempt MF Holdings and MFI International "offshore" Portfolio Holdings will be released Friday and Monday, respectively. 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.
The March issue of our flagship Money Fund Intelligence newsletter was sent to subscribers Monday morning. It features the articles: "Exodus: Prime & Tax-Exempt MMFs Liquidate En Masse," which reports on the most recent rash of fund conversions and liquidations; "UBS Asset Management's Abed & Sabatino on MMFs," where we profile Joe Abed and Rob Sabatino from UBS; and "Tweaks Keep Coming: JPM, Wells, BlackRock, Dreyfus," which looks at more lineup shuffles and announcements from fund groups. We have also updated our Money Fund Wisdom database query system with Feb. 29, 2016, performance statistics, and sent out our MFI XLS spreadsheet Monday morning. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our February Money Fund Portfolio Holdings are scheduled to ship Wednesday, March 9, and our March Bond Fund Intelligence is scheduled to go out Monday, March 14.
MFI's lead article on the "Exodus," says, "We've documented the massive shift from Prime to Government funds, but the latest fallout from the SEC's MMF reforms is widespread fund liquidations. February was another busy month for both liquidations, especially Tax-Exempt MMFs, and fund conversions. This month's wave of Prime to Government declarations brings our total to $272.0 billion in MMFs "going Government" ($172.4 billion of this has converted to date). The new moves come from BBH, Invesco, MassMutual, PIMCO, PNC, and UBS."
The piece explains, "Among the most recent Prime to Govt conversion announcements, the $1.8 billion BBH Money Market Fund filed to convert to BBH US Govt MMF on April 1. (See our Feb. 16 News.) The $441 million MassMutual Premier MMF will change into MassMutual US Govt Premier MMF on May 1. (See our Feb. 11 Link of the Day.)"
It adds, "Crane Data's Pete Crane tells Fund Action, "For most of these small providers that have under $1bn and use their money fund just as a convenience for their clients, it's a no brainer.... The costs of converting to prime are substantial with the systems issues of dealing with a floating NAV, if they're institutional, or the gates and fees if they're retail or institutional. It's a pain for the systems. Their boards of directors don't want the responsibility of the gates and fees even though it's unlikely to happen."
Our UBS Profile reads, "This month, Money Fund Intelligence profiles the leaders of the money market fund team at UBS Asset Management, Joe Abed, Global Head of Distribution for Liquidity Management, and Rob Sabatino, Global Head of Liquidity Portfolio Management. They discuss how UBS is tackling the changing money fund environment, expanding its fund offerings and increasing its resources. Says Abed, "We're not just committed to the liquidity business, we're growing both our fund family and our distribution and investment team globally."
Responding to the question: What is your top priority right now? Abed says, "[It is] assuring that our menu of offerings continues to meet the needs of our clients -- both in the U.S., with the changes in money market fund regulations, and globally, to serve the liquidity needs of our clients around the world.... And we're adjusting other funds to ensure we continue to serve all of our clients. Outside the U.S. we have an equally long history in the money fund business.... Last year we expanded our fund range, launching additional CNAV, short term money market funds in Euro and Sterling to sit alongside our existing short term US Dollar money market fund. We see a significant opportunity to grow our business outside the U.S., and under the leadership of James Finch, we will continue to expand our liquidity distribution team in Europe."
The "Tweaks Keep Coming" article says, "In addition to the myriad Prime to Govt conversions and fund liquidations (see our lead story), there were a number of other money fund lineup tweaks and changes announced over the past month. Among the most notable, both JP Morgan Asset Management and Wells Fargo Funds revealed multiple strike times for their Prime Inst floating NAV funds, the first managers to declare intraday pricing details. Also, we report new details on the BofA Funds/BlackRock merger, and the latest lineup tweaks by Dreyfus."
We also discuss in a sidebar, "Negative Rates in the News." It says, "Michael Cloherty, Head of US Rates Strategy at RBC Capital Markets, asks, "Why is everyone talking about negative rates? We think this all stems from the Fed's 2016 bank stress tests and the Street echo chamber." We provide an overview of IMMFA's stance on European MMF reforms in the sidebar, "IMMFA on European Regs." Finally, as we do every month, we also review all the important "Money fund News."
Our March MFI XLS, with Feb. 29, 2016, data, shows total assets increasing $37.4 billion in February to $2.698 trillion, after decreasing $22.4 billion in January, increasing $44.2 billion in December, rising $3.5 billion in November, and jumping $56.5 billion in October. Our broad Crane Money Fund Average 7-Day Yield climbed by 2 bps to 0.11% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) increased 3 basis points to 0.21% (7-day).
On a Gross Yield Basis (before expenses were taken out), funds averaged 0.38% (Crane MFA, up 8 basis points) and 0.44% (Crane 100, up 7 bps). Charged Expenses averaged 0.27% (up 6 bps) and 0.24% (up 5 bps) for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 37 days (up 2 days from last month) and for the Crane 100 was 37 days (up 1 day). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
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