Press Releases Archives: October, 2017

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."

Crane Data released its October Money Fund Portfolio Holdings Tuesday, and our latest collection of taxable money market securities, with data as of Sept. 30, 2017, shows a strong rebound in Treasuries (after a big drop last month), but most other segments were flat. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $8.5 billion to $2.759 trillion last month, after increasing $58.6 billion in August and $61.5 billion in July. Repo remained the largest portfolio segment, while Treasuries reclaimed the No. 2 spot from Agencies. CDs remained in fourth place, followed by Commercial Paper, 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 if you'd like to see a sample of our latest Money Fund Portfolio Holdings reports.)

Among all taxable money funds, Repurchase Agreements (repo) decreased $4.4 billion (-0.5%) to $959.5 billion, or 34.8% of holdings, after increasing $65.1 billion in August, falling $55.6 billion in July, and rising $12.4 billion in June. Treasury securities rose $27.8 billion (4.3%) to $673.3 billion, or 24.4% of holdings, after falling $32.7 billion in August and rising $36.7 billion in July. Government Agency Debt increased $1.2 billion (0.2%) to $667.0 billion, or 24.2% of all holdings, after falling $11.2 billion in August and increasing $48.4 billion in July. Repo, Treasuries and Agencies total $2.300 trillion, representing a massive 83.3% of all taxable holdings.

CDs and CPs decreased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposits (CDs) decreased $7.3 billion (-4.1%) to $170.5 billion, or 6.2% of taxable assets, after increasing $3.4 billion in August, after increasing $13.6 billion in July. Commercial Paper (CP) was down $4.4 billion (-2.4%) to $178.5 billion, or 6.5% of holdings (after increasing $16.2 in August and $8.0 billion in July. Other holdings, primarily Time Deposits, fell by $5.5 billion (-5.2%) to $100.8 billion, or 3.7% of holdings. VRDNs held by taxable funds increased by $1.1 billion (12.2%) to $9.8 billion (0.4% of assets).

Prime money fund assets tracked by Crane Data increased to $625 billion (up from $610 billion last month), or 22.7% (up from 22.2%) of taxable money fund holdings' total of $2.759 trillion. Among Prime money funds, CDs represent just under a third of holdings at 27.3% (down from 29.2% a month ago), followed by Commercial Paper at 28.6% (down from 29.9%). The CP totals are comprised of: Financial Company CP, which makes up 17.8% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 4.7%. Prime funds also hold 4.8% in US Govt Agency Debt, 6.4% in US Treasury Debt, 8.0% in US Treasury Repo, 1.8% in Other Instruments, 13.3% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 1.8% in US Government Agency Repo, and 1.1% in VRDNs.

Government money fund portfolios totaled $1.498 trillion (54.3% of all MMF assets), up from $1.497 trillion in August, while Treasury money fund assets totaled another $636 billion (23.1%), up from $644 billion the prior month. Government money fund portfolios were made up of 43.0% US Govt Agency Debt, 18.1% US Government Agency Repo, 12.7% US Treasury debt, and 26.0% in US Treasury Repo. Treasury money funds were comprised of 69.8% US Treasury debt, 29.9% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.134 trillion, or 77.3% of all taxable money fund assets, down from 77.8% last month.

European-affiliated holdings decreased $101.2 billion in September to $491.0 billion among all taxable funds (and including repos); their share of holdings decreased to 17.8% from 21.5% the previous month. Eurozone-affiliated holdings decreased $76.3 billion to $325.1 billion in September; they account for 11.8% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $7.8 billion to $210 billion (7.6% of the total). Americas related holdings increased $115 billion to $2.055 trillion and now represent 74.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $12.5 billion, or -2.0%, to $628.7 billion, or 22.8% of assets; US Government Agency Repurchase Agreements (up $10.1 billion to $303.5 billion, or 11.0% of total holdings), and Other Repurchase Agreements ($27.4 billion, or 1.0% of holdings, down $1.9 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.4 billion to $111.0 billion, or 4.0% of assets), Asset Backed Commercial Paper (down $2.8 billion to $38.1 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $0.1 billion to $29.4 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2017, include: the US Treasury ($673.3 billion, or 24.4%), Federal Home Loan Bank ($520.7B, 18.9%), Federal Reserve Bank of New York ($294.3B, 10.7%), BNP Paribas ($115.6B, 4.2%), RBC ($68.9B, 2.5%), Federal Farm Credit Bank ($64.9B, 2.4%), Wells Fargo ($54.5B, 2.0%), Nomura ($44.4B, 1.6%), Mitsubishi UFJ Financial Group Inc ($39.7B, 1.4%), Societe Generale ($38.1B, 1.4%), Bank of America ($35.3B, 1.3%), Bank of Nova Scotia ($33.2B, 1.2%), HSBC ($33.1B, 1.2%), Bank of Montreal ($32.8B, 1.2%), Credit Agricole ($32.4B, 1.2%), Toronto-Dominion Bank ($31.1B, 1.1%), Barclays PLC ($29.4B, 1.1%), Citi ($28.0B, 1.0%), and Federal National Mortgage Association ($27.8B, 1.0%).

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: Federal Reserve Bank of New York ($294.3B, 30.7%), BNP Paribas ($99.5B, 10.4%), RBC ($50.2B, 5.2%), Nomura ($44.4B, 4.6%), Wells Fargo ($42.0B, 4.4%), Societe Generale ($33.4B, 3.5%), Bank of America ($29.9B, 3.1%), HSBC ($27.7B, 2.9%), Mitsubishi UFJ Financial Group Inc ($24.1B, 2.5%), and Citi ($22.0B, 2.3%).

The 10 largest Fed Repo positions among MMFs on 9/30 include: JP Morgan US Govt ($30.0B in Fed Repo), Fidelity Cash Central Fund ($21.4B), Goldman Sachs FS Gvt ($16.9B), Northern Trust Trs MMkt ($15.1B), Federated Govt Oblg ($13.0B), Vanguard Market Liquidity Fund ($12.8B), Fidelity Sec Lending Cash Central ($11.4B), Morgan Stanley Inst Lq Govt ($10.3B), Vanguard Prime MMkt Fund ($9.9B), and BlackRock Lq T-Fund ($9.7B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($18.7B, 4.8%), BNP Paribas ($16.1B, 4.1%), Mitsubishi UFJ Financial Group Inc. ($15.7B, 4.0%), Skandinaviska Enskilda Banken AB ($15.4B, 3.9%), Toronto-Dominion Bank ($15.1B, 3.9%), Canadian Imperial Bank of Commerce ($14.4B, 3.7%), Svenska Handelsbanken ($13.3B, 3.4%), Bank of Montreal ($12.9, 3.3%), Wells Fargo ($12.4B, 3.2%), and Sumitomo Mitsui Banking Co ($12.4B, 3.2%).

The 10 largest CD issuers include: Bank of Montreal ($12.4B, 7.3%), Wells Fargo ($12.4B, 7.3%), Mitsubishi UFJ Financial Group Inc ($11.2B, 6.6%), Sumitomo Mitsui Banking Co ($11.1B, 6.5%), Toronto-Dominion Bank ($10.9B, 6.5%), RBC ($10.4B, 6.1%), Sumitomo Mitsui Trust Bank ($8.7B, 5.1%), Mizuho Corporate Bank Ltd ($7.2B, 4.3%), Canadian Imperial Bank of Commerce ($7.2B, 4.3%), and Landesbank Baden-Wurttemberg ($6.3B, 3.7%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($8.4B, 5.4%), Westpac Banking Co ($7.9B, 5.1%), BNP Paribas ($7.2B, 4.6%), JP Morgan ($7.0B, 4.5%), Bank Nederlandse Gemeenten ($6.5B, 4.2%), Bank of Nova Scotia ($6.0B, 3.9%), National Australia Bank Ltd ($6.0B, 3.9%), RBC ($5.5B, 3.6%) UBS AG ($5.0B, 3.3%), and Australia & New Zealand Banking Group Ltd ($4.7B, 3.0%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $93.3B to $294.3B), US Treasury (up $27.8B to $673.3B), Fixed Income Clearing Co (up $5.9B to $15.6B), RBC (up $5.4B to $68.9B), Svenska Handelsbanken (up $3.4B to $13.3B), Canadian Imperial Bank of Commerce (up $3.3B to $26.3B), Skandinaviska Enskilda Banken AB (up $3.2B to $15.4B), Federal Home Loan Mortgage Co (up $2.8B to $48.2B), and Norinchukin Bank (up $2.4B to $11.1B).

The largest decreases among Issuers of money market securities (including Repo) in September were shown by: Credit Agricole (down $36.9B to $32.4B), Credit Suisse (down $15.2B to $9.4B), Natixis (down $11.2B to $21.2B), Nomura (down $10.9B to $44.4B), JP Morgan (down $10.2B to $24.7B), Barclays PLC (down $8.5B to $29.4B), Societe Generale (down $8.1B to $31.1B), ING Bank (down $7.8B to $25.1B), HSBC (down $7.3B to $33.1B), and Mizuho Corporate Bank Ltd (down $4.5B to $14.9B).

The United States remained the largest segment of country-affiliations; it represents 67.2% of holdings, or $1.854 trillion. France (7.9%, $217.4B) remained in second place ahead of Canada (7.3%, $200.7B) in third. Japan (5.5%, $152.8B) stayed in fourth, while the United Kingdom (3.0%, $83.6B) remained in fifth place. The Netherlands (1.9%, $51.4B) remained in sixth place ahead of Germany (1.8%, $48.7B), while Sweden (1.7%, $48.0B) remained ahead of Australia (1.6%, $43.3B). Switzerland (0.8%, $21.2B) ranked tenth. (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 Sept. 30, 2017, Taxable money funds held 35.3% (up from 33.8%) of their assets in securities maturing Overnight, and another 15.1% maturing in 2-7 days (down from 16.2%). Thus, 50.4% in total matures in 1-7 days. Another 19.4% matures in 8-30 days, while 11.0% matures in 31-60 days. Note that over three-quarters, or 80.8% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 9.9% of taxable securities, while 8.2% matures in 91-180 days, and just 1.2% matures beyond 181 days.