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Crane Data released its June Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of May 31, 2015, shows jumps in holdings of Other (Time Deposits), CD, Repo, and CP, and drops in holdings of Treasuries and Agencies. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $31.6 billion in May to $2.436 trillion, after dropping $49.3 billion in April, $19.2 billion in March, and $52.1 billion in February. Repos remained the largest portfolio segment, just ahead of CDs. Treasuries stayed in third place, followed by Commercial Paper. Agencies were fifth, followed by Other (mainly Time Deposits), then VRDNs. Money funds' European-affiliated securities represented 28.8% of holdings, down from 29.3% the previous month. Below, we review our latest Money Fund Portfolio Holdings statistics.

Among all taxable money funds, Repurchase agreements (repo) increased $10.7 billion (2.1%) to $527.5 billion, or 21.7% of assets, after decreasing $113.6 billion in April and increasing $98.7 billion in March. Certificates of Deposit (CDs) were up $10.8 billion (2.1%) to $524.1 billion, or 21.5% of assets, after rising $1.7 billion in April and dropping $37.4 billion in March. Treasury holdings decreased $4.2 billion (1.0%) to $408.8 billion, or 16.8% of assets, while Commercial Paper (CP) jumped $4.1 billion (1.1%) to $390.3 billion, or 16.0% of assets. Government Agency Debt decreased $3.2 billion (1.0%) to $331.6 billion, or 13.6% of assets. Other holdings, primarily Time Deposits, jumped $13.7 billion to $230.1 billion, or 9.4% of assets. VRDNs held by taxable funds decreased by $100 million to $23.5 billion (1.0% of assets).

Among Prime money funds, CDs still represent over one-third of holdings at 34.5% (up from 34.4% a month ago), followed by Commercial Paper at 25.7%. The CP totals are primarily Financial Company CP (15.1% of total holdings), with Asset-Backed CP making up 5.5% and Other CP (non-financial) making up 5.1%. Prime funds also hold 6.7% in Agencies (up from 6.5%), 4.2% in Treasury Debt (down from 5.0%), 4.7% in Other Instruments, and 5.8% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.520 trillion (up from $1.492 trillion last month), or 62.4% of taxable money fund holdings' total of $2.436 trillion.

Government fund portfolio assets totaled $441 billion in May, the same as April, while Treasury money fund assets totaled $475 billion in May, down from $472 billion at the end of April. Government money fund portfolios were made up of 52.0% Agency Debt, 25.1% Government Agency Repo, 3.9% Treasury debt, and 18.1% in Treasury Repo. Treasury money funds were comprised of 69.1% Treasury debt, 30.1% Treasury Repo, and 0.8% in Government agency, repo and investment company shares. Government and Treasury funds combined total $916 billion, or 37.6% of all taxable money fund assets.

European-affiliated holdings rose $4.5 billion in May to $702.2 billion (among all taxable funds and including repos); their share of holdings fell to 28.8% from 29.0% the previous month. Eurozone-affiliated holdings decreased $400 million to $378.3 billion in May; they now account for 15.5% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $5.3 billion to $291.4 billion (12.0% of the total). Americas related holdings increased $23.0 billion to $1.440 trillion, and now represent 59.1% of holdings.

The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $20.0 billion to $273.6 billion, or 11.2% of assets), Government Agency Repurchase Agreements (down $9.2 billion to $164.8 billion, or 6.8% of total holdings), and Other Repurchase Agreements ($89.1 billion, or 3.7% of holdings, same as last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $2.8 billion to $228.8 billion, or 9.4% of assets), Asset Backed Commercial Paper (down $800 million to $83.8 billion, or 3.4%), and Other Commercial Paper (up $2.0 billion to $75.7 billion, or 3.2%).

The 20 largest Issuers to taxable money market funds as of May 31, 2015, include: the US Treasury ($408.8 billion, or 18.3%), Federal Home Loan Bank ($208.9B, 9.4%), Federal Reserve Bank of New York ($137.6B, 6.2%), Wells Fargo ($71.8B, 3.2%), Credit Agricole ($70.6B, 3.2%), BNP Paribas ($63.9B, 2.9%), JP Morgan ($60.4B, 2.7%), RBC ($58.8B, 2.6%), Bank of Nova Scotia ($57.4B, 2.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($55.5B, 2.5%), Bank of America ($52.2B, 2.3%), Federal Home Loan Mortgage Co. ($45.1B, 2.0%), Toronto-Dominion Bank ($43.9B, 2.0%), Natixis ($43.2B, 1.9%), Barclays PLC ($42.9B, 1.9%), Sumitomo Mitsui Banking Co ($42.3B, 1.9%), Federal Farm Credit Bank ($42.0B, 1.9%), Credit Suisse ($40.1B, 1.8%), Mizuho Corporate Bank Ltd. ($37.0B, 1.7%), DnB NOR Bank ASA, ($35.4B, 1.6%), and Bank of Montreal ($35.3B, 1.6%).

In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $137.6B, or 26.1%, up from $106.2B a month ago. The 10 largest Fed Repo positions among MMFs on 5/31 include: JP Morgan US Govt ($16.1B), State Street Inst Lq Res ($8.5B), Morgan Stanley Inst Lq Govt ($7.7B), BlackRock Lq T-Fund ($6.4B), UBS Select Treas ($6.1B), JP Morgan US Trs Plus ($5.5B), First American Govt Oblg ($5.0B), Wells Fargo Adv Trs Plus ($4.6B), Schwab Govt MMkt ($4.2B), and Fidelity Cash Central Fund ($4.4B). 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 ($137.6B, 26.1%), Bank of America ($40.8B, 7.7%), BNP Paribas ($38.9B, 7.4%), Wells Fargo ($37.7B, 7.1%), Credit Agricole ($30.7B, 5.8%), JP Morgan ($29.5B, 5.6%), Societe Generale ($24.2B, 4.6%), Barclays PLC ($22.7B, 4.3%), Credit Suisse ($22.1B, 4.2%), and Citi ($21.1B, 4.0%).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($48.3B, 4.8%), Sumitomo Mitsui Banking Co ($42.3B, 4.2%), RBC ($41.5B, 4.1%), Bank of Nova Scotia ($40.1B, 3.9%), Credit Agricole ($39.9B, 3.9%), Toronto Dominion Bank ($37.2B, 3.7%), DnB NOR Bank ASA ($35.4B, 3.5%), Natixis ($35.3B, 3.5%), Wells Fargo ($34.0B, 3.4%), and Skandinaviska Enskilda Banken AB ($32.5B, 3.2%).

The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($37.6B, 7.2%), Sumitomo Mitsui Banking Co ($35.2B, 6.7%), Toronto-Dominion Bank ($33.5B, 6.4%), Mizuho Corporate Bank Ltd ($30.6B, 5.9%), Bank of Montreal ($28.8B, 5.5%), Bank of Nova Scotia ($28.3B, 5.4%), Wells Fargo ($25.1B, 4.8%), RBC ($21.5B, 4.1%), Natixis ($19.2B, 3.7%), and Sumitomo Mitsui Trust Bank ($18.5B, 3.5%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($22.3B, 6.8%), Commonwealth Bank of Australia ($17.2B, 5.3%), Westpac Banking Co ($17.2B, 5.3%), RBC ($15.7B, 4.8%), National Australia Bank Ltd ($12.0B, 3.7%), Lloyds TSB Bank PLC ($12.0B, 3.7%), BNP Paribas ($11.4B, 3.5%), Bank of Nova Scotia ($10.9B, 3.3%), HSBC ($10.6B, 3.3%), and Australia & New Zealand Banking Group Ltd ($9.4B, 2.9%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $31.5B to $137.6B), Skandinaviska Enskilda Banken AB (up $6.2B to $32.5B), ING Bank (up $4.1B to $27.8B), Swedbank AB (up $3.9B to $22.4B), Federal Home Loan Bank (up $3.7B to $208.9B), DnB NOR Bank ASA (up $3.4B to $35.4B), Canadian Imperial Bank of Commerce (up $3.4B to $20.6B), Goldman Sachs (up $2.8B to $14.0B), Lloyds TSB Bank PLC (up $2.8B to $25.1B), and RBC (up $2.6B to $58.8B). The largest decreases among Issuers of money market securities (including Repo) in May were shown by: Barclays PLC (down $7.6B to $42.9B), Bank of America (down $4.7B to $52.2B), Federal Home Loan Mortgage Co. (down $4.4B to $45.1B), US Treasury (down $4.2B to $408.8B), BNP Paribas (down $3.4B to $63.9B), Standard Chartered Bank (down $2.3B to $14.6B), Federal National Mortgage Association (down $2.0B to $32.2B), Citi (down $1.9B to $29.5B), Credit Mutuel (down $1.3B to $19.0B), and FMS Wertmanagement (down $900M to $8.4B).

The United States remained the largest segment of country-affiliations; it represents 49.1% of holdings, or $1.199 trillion (up $13B). France (9.9%, $240.7B) remained in second, followed by Canada (9.8%, $238.8B), and Japan (7.4%, $181.3B). The U.K. (5.1%, $124.2B) moved up to fifth, while Sweden (4.3%, $104.2B) was sixth. Australia (3.6%, $86.8B), The Netherlands (3.1%, $74.7B), Switzerland (2.5%, $60.1B), and Germany (2.0%, $49.4B) 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 May 31, 2015, Taxable money funds held 27.3% of their assets in securities maturing Overnight, and another 13.8% maturing in 2-7 days (41.1% total matures in 1-7 days). Another 22.1% matures in 8-30 days, while 12.2% matures in 31-60 days. Note that three-quarters, or 75.4% 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 11.5% of taxable securities, while 10.5% matures in 91-180 days and just 2.7% matures beyond 180 days.

Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated yesterday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released late this week. 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 or our new "Holdings Reports Funds Module." The new file allows user to choose funds (pick a fund then click its ticker) and show Performance alongside Composition, Country breakout, Largest Holdings and Fund Information.

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Consulting Services News

Jan 14
 

Below, we reprint the article, "Top Money Funds of 2019; 11th Annual MFI Awards," from the January edition of our Money Fund Intelligence.... In this issue, we recognize the top-performing money funds, ranked by total returns, for calendar year 2019, as well as the top funds for the past 5-year and 10-year periods. We present the funds below with our annual Money Fund Intelligence Awards. These are given to the No. 1-ranked funds based on 1-year, 5-year and 10-year returns, through Dec. 31, 2019, in each of our major fund categories -- Prime Institutional, Government Institutional, Treasury Institutional, Prime Retail, Government Retail, Treasury Retail and Tax‐Exempt.

The Top-Performing Prime Institutional fund (and fund overall) was BlackRock Cash Inst MMF SL (BRC01), which returned 2.49% (with 125 funds total), but DWS ESG Liquidity Inst (ESGXX) was first if restricted funds are excluded with a return of 2.41%. For Prime Retail funds, Vanguard Variable Insurance MM Fund (VAN03) ranked No. 1 (2.32%, 81 funds total), but Fidelity Inv MM: MM Port Inst (FNSXX) had the best return in 2019 (2.30%) if restricted funds are excluded.

The Top‐Performing Government Institutional funds in 2019 were Fidelity Flex Govt Money Market Fund (FLGXX) and Fidelity Series Govt Money Market Fund (FGNXX), which both returned 2.27% (144 funds total). AIG Govt MMF Class A (SMAXX) and American Century US Govt MM G (AGGXX) were the Top Government Retail funds over 1‐year with returns of 2.25% (155 funds total).

BlackRock Select Treas Strategies Inst (MLSXX) ranked No. 1 in the Treasury Institutional class with a return of 2.39% (134 funds total). Federated Trust for US Treas Obl IS (TTOXX) was No. 1 among Treasury Retail funds, returning 2.05% (72 funds total).

Top Funds over Past Five Years. For the 5‐year period through Dec. 31, 2019, DWS ESG Liquidity Cap (ESIXX) took top honors for the best performing Prime Institutional money fund with a return of 1.31% (108 funds total). Fidelity Inv MM: MM Port Inst (FNSXX) ranked No. 1 among Prime Retail with an annualized return of 1.23% (62 funds total).

Dreyfus Inst Pref Govt Plus MF (DRF03) ranked No. 1 among Govt Institutional funds with a return of 1.06% (103 funds total), while Vanguard Federal Money Mkt Fund (VMFXX) ranked No. 1 among Govt Retail funds over the past 5 years with a return of 1.01% (137 funds total). BlackRock Select Treas Strategies Inst (MLSXX) ranked No. 1 in 5‐year performance among Treasury Inst money funds with a return of 1.00% (117 funds total). Federated Trust for US Treas Obl IS (TTOXX) ranked No. 1 among Treasury Retail funds with a return of 0.94% (66 funds total).

Best Money Funds of the Decade. The highest performer of the past 10 years and No. 1 among Prime Inst MMFs was BlackRock Cash Inst MMF SL (BRC01) or Morgan Stanley Inst Liq ESG MMP Inst (MPUXX) if you exclude restricted funds. They returned 0.74% and 0.68%, respectively (97 funds total). Fidelity Inv MM: MM Port Inst (FNSXX), which returned 0.71% (62 funds total), was best among Prime Retail.

UBS Liquid Assets Govt Fund (UBS02), which returned 0.60% (99 funds total), (No. 1 among Govt Inst funds); Vanguard Federal Money Mkt Fund (VMFXX) ranked No. 1 among Govt Retail funds, returning 0.51% (132 funds total). BlackRock Select Treas Strategies Inst (MLSXX) returned the most among Treasury Inst funds over the past 10 years at 0.56% (104 funds total). Federated Trust for US Treas Obl IS (TTOXX) ranked No. 1 among Treasury Retail MMFs at 0.47% (104 funds total).

Top Tax‐Exempt Funds. We're also giving out awards for the best‐performing Tax‐Exempt money funds. Fidelity SAI Muni Money Market Fund (FMQXX) ranked No. 1 for the 1‐year period ended Dec. 31, 2019, with a return of 1.55% (88 funds total). Over the last 5 years, Federated Municipal Obligs WS (MOFXX) was the top performer with a return of 0.81% (83 funds total). BMO Tax Free MMF Premier (MFIXX) was the top‐ranked fund for the 10‐year period with a return of 0.48% (78 funds total).

See the MFI Award Winner listings on page 6 of the MFI newsletter, and see our latest MFI XLS for more detailed rankings. The tables on page 6 show the No. 1 ranked money fund for each category based on 1‐year, 5‐year, and 10‐year annualized total returns.

Jan 08
 

The January issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Wednesday morning, features the articles: "Highlights of '19: Assets Grow 20%; Inst, ESG Big Stories," which discusses the biggest cash stories of 2019; "BlackRock's Callahan Talks Cash, Tech, 2020," which profiles BlackRock's Global Head of Cash Management Tom Callahan; and, "Top Money Funds of 2019; 11th Annual MFI Awards," which writes about the top-performing money funds of 2019. We've also updated our Money Fund Wisdom database with Dec. 31 statistics, and sent out our MFI XLS spreadsheet Wednesday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our January Money Fund Portfolio Holdings are scheduled to ship on Friday, Jan. 10, and our Jan. Bond Fund Intelligence is scheduled to go out Wednesday, Jan. 15.

MFI's "Highlights of '19" article says, "Money fund assets jumped by over 20% in 2019, their fastest growth since 2008 (and one of the biggest years ever), even as yields retreated due to three cuts in the Federal funds target rate. Prime funds and retail MMFs continued their recovery, but heavier inflows were seen by Government and Institutional money funds. And unlike in 2018, money funds didn't benefit from declines in stocks and bonds. Below, we take a look at the highlights of 2019, and also provide a brief outlook for 2020."

It continues, "Crane Data's numbers showed assets rose by $707.7 billion, or 22.0%, to end just shy of $4.0 trillion ($3.992 trillion) in 2019. The SEC's MMF statistics collection, which is slightly larger than Crane Data's but released later, will likely show assets breaking $4.0 trillion in 2019. ICI's narrower asset collection settled at $3.632 trillion, up by $584 billion, or 19.2%."

Our "BlackRock" piece reads, "This month, we interview Tom Callahan, BlackRock's Global Head of Cash Management. We discuss a number of issues in the money market fund space, including the outlook for 2020, technology, ESG, European money funds and more. Our Q&A follows."

MFI says, "Give us some history. Callahan responds, "BlackRock's Cash business is actually older than BlackRock itself. You can trace our history back to 1973 when TempFund was launched by Provident National Bank. In '95, when PNC made an investment in BlackRock, they merged their entire fixed income business, including their money funds, into BlackRock. Cash has been a core, critical part of BlackRock’s franchise since the firm was founded."

He continues, "For my own history, I came to BlackRock in 2013, by way of Merrill Lynch and the New York Stock Exchange. When I joined, the Cash management industry was plagued by zero interest rates, outflows and fee waivers. Back then, BlackRock's cash management business had roughly $250 billion. Now, 5 1/2 years later, we have enjoyed terrific growth, much of it organic. As we announced in our last earnings report, in mid-2019 we crossed our long-term goal of $500 billion in total client cash management assets, and we've kept growing! It's been a great run and a lot of fun."

Our "Top Money Funds" piece says, "This issue recognizes the top performing money funds, ranked by total returns, for calendar year 2019, as well as the top funds for the past 5‐year and 10‐year periods. We present the funds below with our annual Money Fund Intelligence Awards. These are given to the No. 1‐ranked funds based on 1‐year, 5‐year and 10‐year returns, through Dec. 31, 2019, in each of our major fund categories -- Prime Institutional, Government Institutional, Treasury Institutional, Prime Retail, Government Retail, Treasury Retail and Tax‐Exempt."

It continues, "The Top-Performing Prime Institutional fund (and fund overall) was BlackRock Cash Inst MMF SL (BRC01), which returned 2.49%, but DWS ESG Liquidity Inst (ESGXX) was first if restricted funds are excluded with a return of 2.41%. For Prime Retail funds, Vanguard Variable Insurance MM Fund (VAN03) ranked No. 1 (2.32%), but Fidelity Inv MM: MM Port Inst (FNSXX) had the best return in 2019 (2.30%) if restricted funds are excluded."

The latest MFI also includes the News brief, "Money Market Yields Flat," which says, "Rates on money market funds, brokerage sweep accounts and bank accounts remained flat in December and early January after falling in the weeks after the Fed’s last (Oct. 30) rate cut."

A second News piece, "SEC Stats: MMF Assets Poised to Break $4.0 Tril, Up 17th Month in a Row," reads, "The Securities and Exchange Commission's separate 'Money Market Fund Statistics' summary shows total money fund assets increased by $45.6 billion in November to a record $3.984 trillion, the 17th straight month of gains for money fund assets overall. Prime MMFs increased $20.2 billion in November to close at $1.122 trillion, their highest level since July 2016, while Govt & Treasury funds rose by $24.2 billion to a record $2.718 trillion. Tax Exempt funds rose by $1.2 billion to $143.8 billion. Yields fell across the board with Prime MMFs, Govt MMFs and Tax-Exempt MMFs all decreasing in November."

Our January MFI XLS, with Dec. 31 data, shows total assets rose by $72.7 billion in December to $3.994 trillion, after rising $40.9 billion in November, $85.2 billion in October and $80.2 billion in September. Our broad Crane Money Fund Average 7-Day Yield fell to 1.31% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 4 basis points to 1.46%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA fell 4 basis points to 1.72% and the Crane 100 fell to 1.73%. Charged Expenses averaged 0.41% (up one basis point from last month) and 0.27% (up one basis point from last month), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 33 (up one day) and 37 days (unchanged), respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Jan 02
 

With the coming of the New Year, Crane Data is ramping up preparations for its 2020 conference calendar and for its big show, Money Fund Symposium. Crane's Money Fund Symposium, the largest gathering of money market fund managers and cash investors in the world, will take place June 24-26, 2020 at The Hyatt Regency Minneapolis, in Minneapolis, Minn. The preliminary agenda is now available and registrations are now being taken. Money Fund Symposium attracts money fund managers, marketers and servicers, cash investors, money market securities dealers, issuers, and regulators. We review our draft agenda (which is still in flux), as well as the rest of Crane Data's 2020 conferences, below.

Our MF Symposium Agenda kicks off on Wednesday, June 24 with a keynote on "Money Funds, Banking & Funding" from Jim Palmer of U.S. Bancorp A.M. (and likely another U.S. Bank speaker). The rest of the Day 1 agenda includes: "Treasury Issuance & Repo Update," with Mark Cabana of Bank of America Merrill Lynch and Tom Katzenbach of the U.S. Treasury; a "Corporate Investor, Portal & ESG MMF Discussion" with Tom Callahan of BlackRock, Tom Hunt of AFP, and Mark Adamson of Wells Fargo Securities; and, a "Major Money Fund Issues 2020" panel with Tracy Hopkins of Dreyfus/BNY Mellon Cash Investment Strategies, Jeff Weaver of Wells Fargo Asset Management and Peter Yi of Northern Trust Asset Management. (The evening's reception is sponsored by Bank of America Merrill Lynch.)

Day 2 of Money Fund Symposium 2020 begins with "The State of the Money Fund Industry," which features Peter Crane of Crane Data and Deborah Cunningham of Federated Investors, followed by a "Senior Portfolio Manager Perspectives" panel, including Linda Klingman of Charles Schwab I.M., Nafis Smith of Vanguard and John Tobin of J.P. Morgan Asset Mgmt. Next up is "Government & Treasury Money Fund Issues," with Mike Bird of Wells Fargo Funds and Geoff Gibbs of DWS. The morning concludes with a "Muni & Tax Exempt Money Fund Update," featuring Colleen Meehan of Dreyfus, John Vetter of Fidelity and Sean Saroya of J.P. Morgan Securities.

The Afternoon of Day 2 (after a Dreyfus-sponsored lunch) features the segments: "Dealer's Choice: Supply, New Securities & CP" with moderator, Jeff Plotnik of U.S. Bancorp Asset Mgmt., Robe Crowe of Citi Global Markets, John Kodweis of J.P. Morgan Securities and Stewart Cutler of Barclays; "Fund Ratings Focus: Governance, Global & LGIPs" with Robert Callagy of Moody's Investors Service, Greg Fayvilevich of Fitch Ratings, and Michael Masih of S&P Global Ratings; "Ultra-Short, ETFs & Alt-Cash Update," with Alex Roever of J.P. Morgan Securities, Laurie Brignac of Invesco and Michael Morin of Fidelity Investments. The day's wrap-up presentation is "Brokerage Sweeps, Bank Deposits & Fin-Tech" involving Chris Melin of Ameriprise Financial and another speaker . (The Day 2 reception is sponsored by Barclays.)

The third day of the Symposium features the sessions: "Strategists Speak '20: Fed & Rates, Repo & SOFR" with Joseph Abate from the Barclays, Priya Misra of the TD Securities and Garret Sloan of Wells Fargo Securities; "Regulatory & Misc. Issues: ESG, ETF, European," with Brenden Carroll of Dechert LLP and Rob Sabatino of UBS Asset Mgmt; an additional session TBD; and, "Money Fund Statistics & Disclosures" with Peter Crane.

Visit the MF Symposium website at www.moneyfundsymposium.com) for more details. Registration is $750, and discounted hotel reservations are available. We hope you'll join us in Minneapolis this June! We'd like to encourage attendees, speakers and sponsors to register and make hotel reservations early. Note that some of our speakers have yet to confirm their participation, and the agenda is still in the process of being finalized, so watch for tweaks in coming weeks. E-mail us at info@cranedata.com to request the full brochure, or click here to see the latest.

In other Crane conference news, we're also making final preparations for Crane's Money Fund University, which will be held January 23-24, 2020 at the Renaissance Providence Downtown Hotel. Our 10th annual Money Fund University will cover the history of money funds, interest rates, regulations (Rule 2a-7), ratings, rankings, money market instruments such as commercial paper, CDs and repo, and portfolio construction and credit analysis. We also include segments on offshore money funds and ultra-short bond funds.

Money Fund University's comprehensive program is good for both beginners and experienced professionals looking for a refresher. The final agenda is available online and we are still accepting registrations. (We're also willing to "comp" tickets for large Crane Data or sponsor clients, so let us know if you're interested.) Register and make your hotel reservations ASAP!

We're also getting ready for our fourth annual Crane's Bond Fund Symposium, which will be held at the Hyatt Regency Boston, March 23-24. (Click here to see the agenda.) Bond Fund Symposium is the only conference devoted entirely to bond mutual funds, bringing together bond fund managers, marketers, and professionals with fixed-income issuers, investors and service providers. The majority of the content is aimed at the growing ultra-short and conservative ultra-short bond fund marketplace.

Crane Data, which recently celebrated the fifth anniversary of its Bond Fund Intelligence publication and BFI XLS bond fund information service and benchmarks, continues to expand its fixed income fund offerings with the recent launch of Bond Fund Wisdom product and Bond Fund Portfolio Holdings dataset. Bond Fund Symposium offers attendees a concentrated and affordable educational experience, as well as an excellent networking venue. Registration for Bond Fund Symposium is $750; exhibit space is $2,000 (includes 2 tickets); and sponsorship opportunities are $3K, $4K, $5K and $6K. Our mission is to deliver the best possible conference content at an affordable price to bond fund professionals and investors.

Finally, we've also set the dates and location for our next European Money Fund Symposium. It is scheduled for Sept. 17-18, 2020, in Paris, France. Let us know if you'd like more details on any of our events, and we hope to see you in Providence, Boston, Minneapolis or Paris in 2020. Happy New Year!

Dec 11
 

Crane Data released its December Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Nov. 30, 2019, shows a big increase in Treasuries and another drop in Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $20.8 billion to $3.786 trillion last month, after increasing $75.8 billion in October, $92.6 billion in September and $93.0 billion in August. Repo continues to be the largest portfolio segment closely 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) fell by $35.2 billion (-3.0%) to $1.158 trillion, or 30.6% of holdings, after decreasing $24.7 billion in October and $76.8 billion in September but increasing $20.5 billion in August. Treasury securities rose $55.3 billion (5.2%) to $1.126 trillion, or 29.7% of holdings, after increasing $30.2 billion in October, $134.7 billion in September and $89.8 billion in August. Government Agency Debt decreased by $19.2 billion (-2.4%) to $765.8 billion, or 20.2% of holdings, after increasing $39.4 billion in October and $39.2 billion in September but decreasing $9.9 billion in August. Repo, Treasuries and Agencies totaled $3.050 trillion, representing a massive 80.6% of all taxable holdings.

Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities all rose in November. Commercial Paper (CP) increased $5.1 billion (1.5%) to $346.9 billion, or 9.2% of holdings, after increasing $13.9 billion in October and $7.4 billion in September but decreasing $15 billion in August. Certificates of Deposit (CDs) rose by $12.6 billion (4.8%) to $275.2 billion, or 7.3% of taxable assets, after increasing $12.6 billion in October, decreasing $7.5 billion in September and increasing $4.5 billion in August. Other holdings, primarily Time Deposits, increased $2.3 billion (2.2%) to $107.0 billion, or 2.8% of holdings, after increasing $5.0 billion in October, decreasing $4.6 billion in September and increasing $3.4 billion in August. VRDNs dropped to $6.7 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Wednesday.)

Prime money fund assets tracked by Crane Data increased $14 billion to $1.093 trillion, or 28.9% of taxable money funds' $3.786 trillion total. Among Prime money funds, CDs represent 25.2% (up from 24.3% a month ago), while Commercial Paper accounted for 31.7% (down from 31.9%). The CP totals are comprised of: Financial Company CP, which makes up 20.2% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 5.7% in US Govt Agency Debt, 10.5% in US Treasury Debt, 6.5% in US Treasury Repo, 1.3% in Other Instruments, 5.9% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 5.4% in US Government Agency Repo and 0.5% in VRDNs.

Government money fund portfolios totaled $1.829 trillion (48.3% of all MMF assets), down $4.0 billion from $1.833 trillion in October, while Treasury money fund assets totaled another $864 billion (22.8%), up from $853 billion the prior month. Government money fund portfolios were made up of 38.5% US Govt Agency Debt, 18.9% US Government Agency Repo, 20.5% US Treasury debt and 21.9% in US Treasury Repo. Treasury money funds were comprised of 73.7% US Treasury debt, 26.2% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.693 trillion, or 71.1% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $17.5 billion in November to $694.0 billion; their share of holdings fell to 18.3% from last month's 18.9%. Eurozone-affiliated holdings fell to $461.4 billion from last month's $488.0 billion; they account for 12.2% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $11.1 billion to $362.9 billion (9.6% of the total). Americas related holdings rose $25.0 billion to $2.724 trillion and now represent 72.0% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $9.1 billion, or 1.3%, to $698.8 billion, or 18.5% of assets); US Government Agency Repurchase Agreements (down $41.4 billion, or -9.2%, to $406.0 billion, or 10.7% of total holdings), and Other Repurchase Agreements (down $3.0 billion, or -5.4%, from last month to $53.3 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.7 billion to $221.2 billion, or 5.8% of assets), Asset Backed Commercial Paper (up $2.6 billion to $71.4 billion, or 1.9%), and Non-Financial Company Commercial Paper (up $3.3 billion to $54.3 billion, or 1.4%).

The 20 largest Issuers to taxable money market funds as of Nov. 30, 2019, include: the US Treasury ($1,126.3 billion, or 29.7%), Federal Home Loan Bank ($596.6B, 15.0%), Fixed Income Clearing Co ($140.2B, 3.7%), RBC ($134.9B, 3.6%), BNP Paribas ($104.7B, 2.8%), Federal Farm Credit Bank ($87.0B, 2.3%), JP Morgan ($83.8B, 2.2%), Mitsubishi UFJ Financial Group Inc ($83.6B, 2.2%), Federal Home Loan Mortgage Co ($80.3B, 2.1%), Credit Agricole ($77.7B, 2.1%), Wells Fargo ($72.5B, 1.9%), Barclays ($66.6B, 1.8%), Sumitomo Mitsui Banking Co ($61.7B, 1.6%), Bank of America ($52.5B, 1.4%), Societe Generale ($52.2B, 1.4%), Natixis ($49.6B, 1.3%), Bank of Montreal ($49.4B, 1.3%), Toronto-Dominion Bank ($46.0B, 1.2%), Canadian Imperial Bank of Commerce ($46.0B, 1.2%) and Bank of Nova Scotia ($44.4B, 1.2%).

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: Fixed Income Clearing Co ($140.2B, 12.1%), RBC ($102.3B, 8.8%), BNP Paribas ($93.3B, 8.1%), JP Morgan ($71.4B, 6.2%), Wells Fargo ($59.1B, 5.1%), Credit Agricole ($56.8B, 4.9%), Barclays ($55.4B, 4.8%), Mitsubishi UFJ Financial Group ($53.7B, 4.6%), Bank of America ($45.7B, 3.9%) and Societe Generale ($42.2B, 3.6%). Fed Repo positions among MMFs on 11/30/19 include just one fund, Goldman Sachs FS Govt ($0.5B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank $33.0B, 5.3%), RBC ($32.5B, 5.2%), Mitsubishi UFJ Financial Group Inc ($29.9B, 4.8%), Credit Suisse ($28.3B, 4.5%), Bank of Nova Scotia ($24.8B, 4.0%), Sumitomo Mitsui Banking Co ($21.8B, 3.5%), Credit Agricole ($20.9B, 3.3%), Canadian Imperial Bank of Commerce ($19.2B, 3.1%), Bank of Montreal ($18.6B, 3.0%) and Australia & New Zealand Banking Group ($18.4B, 2.9%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($22.5B, 8.2%), Sumitomo Mitsui Banking Co ($16.7B, 6.1%), Bank of Montreal ($16.0B, 5.8%), Toronto-Dominion Bank ($14.5B, 5.3%), Mizuho Corporate Bank ($14.0B, 5.1%), Wells Fargo ($13.1B, 4.8%), Credit Suisse ($10.7B, 3.9%), Sumitomo Mitsui Trust Bank ($10.0B, 3.6%), Landesbank Baden-Wurttemberg ($9.8B, 3.6%) and Bank of Nova Scotia ($9.5B, 3.5%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($22.1B, 7.6%), Toronto-Dominion Bank ($17.2B, 5.9%), Credit Suisse ($17.1B, 5.9%), Bank of Nova Scotia ($14.6B, 5.0%), JP Morgan ($12.4B, 4.2%), National Australia Bank Ltd ($9.6B, 3.3%), Toyota ($9.0B, 3.1%), Societe Generale ($8.8B, 3.0%), DBS Bank ($8.5B, 2.9%) and BNP Paribas ($8.2B, 2.8)%.

The largest increases among Issuers include: US Treasury (up $55.3B to $1,126.3B), RBC (up $25.8B to $134.9B), Canadian Imperial Bank of Commerce (up $9.0B to $46.0B), Goldman Sachs (up $6.1B to $24.4B), Mitsubishi UFJ Financial Group (up $5.8B to $83.6B), Bank of Montreal (up $5.4B to $49.4B), Natixis (up $5.1B to $49.6B), Credit Agricole (up $4.9B to $77.7B), Sumitomo Mitsui Banking Co (up $3.7B to $61.7B) and Federal Farm Credit Bank (up $3.6B to $87.0B).

The largest decreases among Issuers of money market securities (including Repo) in Nov. were shown by: BNP Paribas (down $28.0B to $104.7B), Fixed Income Clearing Co (down $25.6B to $140.2B), Federal Home Loan Bank (down $13.3B to $569.6B), Wells Fargo (down $9.4B to $72.5B), Federal Home Loan Mortgage Co (down $5.9B to $80.3B), Societe Generale (down $4.8B to $52.2B), Federal National Mortgage Association (down $3.8B to $23.1B), Citi (down $3.2B to $33.3B), Commonwealth Bank of Australia (down $1.6B to $9.3B) and Daiwa Securities Group (down $1.5B to $10.1B).

The United States remained the largest segment of country-affiliations; it represents 63.0% of holdings, or $2.384 trillion. Canada (9.0%, $339.3B) was number two, and France (8.1%, $306.8B) was third. Japan (7.5%, $281.9B) occupied fourth place. The United Kingdom (3.6%, $134.3B) remained in fifth place. Germany (2.0%, $75.9B) was in sixth place, followed by The Netherlands (1.8%, $67.1B), Australia (1.5%, $56.7B), Sweden (1.1%, $41.3B) and Switzerland (1.1%, $40.4B). (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, 2019, Taxable money funds held 34.0% (down from 36.4%) of their assets in securities maturing Overnight, and another 15.9% maturing in 2-7 days (up from 14.8% last month). Thus, 49.8% in total matures in 1-7 days. Another 15.6% matures in 8-30 days, while 12.4% matures in 31-60 days. Note that over three-quarters, or 77.8% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 9.3% of taxable securities, while 10.2% matures in 91-180 days, and just 2.7% matures beyond 181 days.