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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

May 07

The May issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "ICI's PWG Comment Defends MMFs; Crane Celebrates 15th," which excerpts from ICI's comment letter to the SEC; "Big Fund Companies Respond to SEC, PWG Report Reforms," which highlights comment letters from the largest money fund complexes; and, "ICI 2021 Fact Book Shows Money Fund Trends in '20," which reviews ICI's annual statistical work. We also sent out our MFI XLS spreadsheet Friday a.m., and updated our Money Fund Wisdom database query system with 4/30/21 data. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our May Money Fund Portfolio Holdings are scheduled to ship on Tuesday, May 11, and our May Bond Fund Intelligence is scheduled to go out Friday, May 14.

MFI's lead article says, "The big news last month was the submission of comment letters to the SEC ahead of potential changes to money fund regulations. We quote from mutual fund trade association, the Investment Company Institute, who writes, 'Money market funds did not cause the stresses in the short-term funding markets last March. US public institutional and retail prime money market funds accounted for just 19% of the reduction in financial and nonfinancial commercial paper outstanding during the week-ended March 18.... Other market participants accounted for 81% of the decline.... In addition, even at the height of the liquidity crisis, money market funds, including institutional prime money market funds, still had liquidity to meet new redemptions if they had meaningful opportunity to use part of their 30% weekly liquid asset buffers.'"

The ICI continues, "To the extent policymakers seek to mitigate the possibility of future distress in the short-term funding markets, they should prioritize the examination of the activities and behavior of all market participants. Only by doing so will policymakers make progress toward their goal of making the financial system more resilient in the face of a liquidity shock of the nature experienced in March 2020."

Our second article reads, "Following the April 12 deadline, we've been detailing comment letters to the SEC in response to its 'Request for Comment on Potential Money Market Fund Reform Measures in President's Working Group Report.' Below we highlight excerpts of the letters submitted by the largest money fund complexes. (Note: For more, please join us for our webinar, 'Handicapping Money Fund Reforms,' Thursday, May 20 from 2-3pmET.)"

The piece continues, "Fidelity Investments explains, 'While we view the PWG Report as a productive first step in considering potential reform measures, we encourage the SEC to now narrow the range of options under consideration by eliminating those options that have no nexus to the events of 2020 and therefore would not achieve any of the goals for reform stated in the PWG Report. The details of any measures that the SEC wishes to pursue further remain to be considered and, as such, we anticipate having more viewpoints to offer once more of these details are made public."

The "ICI Fact Book" article tells readers, "ICI's new '2021 Investment Company Fact Book' looks at the crazy events of 2020 and the huge inflows into Government money market funds. Overall, money funds assets were $4.333 trillion at year-end 2020, making up 18.1% of the $23.9 trillion in overall mutual fund assets. Retail investors held $1.529 trillion, while institutional investors held $2.804 trillion."

ICI tells us, "In 2020, money market funds received $691 billion in net new cash flows, up from $553 billion in 2019.... Government money market funds received substantial inflows ($835 billion) while prime money market funds and tax-exempt money market funds had outflows of $111 billion and $33 billion, respectively."

MFI also includes the News piece, "MMF Assets Stay Strong in April." It says, "Crane's MFI shows assets rising $62.2 in April to $4.991 trillion, but ICI's weekly "Money Market Fund Assets" report shows MMFs falling $​17.2 billion to $4.512 trillion in the latest week."

An additional News brief, "Powell Hits MMFs on 60 Minutes," tells us, "Federal Reserve Chair Jerome Powell discussed money funds during a recent '60 Minutes.' He comments, "Most parts of the financial system made it through quite a stress test last year, [but] some parts of the financial system had to be bailed out again, places like money market funds ... where we had to step in again and provide liquidity.... There's a structural issue and we know this, and it really is time to address it decisively."

Our May MFI XLS, with April 30 data, shows total assets increased $62.2 billion in April to $4.991 trillion, after jumping $151.0 billion in March, rising $30.8 billion in February and $5.6 billion in January. Assets decreased $6.7 billion in December, $11.7 billion in November, $46.8 billion in October, $121.2 billion in September, $42.3 billion in August, $44.2 billion in July and $113.0 billion in June. Our broad Crane Money Fund Average 7-Day Yield was unchanged at 0.02%, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.02%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both stand at 0.10%. Charged Expenses averaged 0.08% for the Crane MFA and 0.08% for the Crane 100. (We'll revise expenses on Monday once we upload the SEC's Form N-MFP data for 4/30.) The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 40 (down two days from the previous month) and 42 days (down two days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Apr 08

The April issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Thursday morning, features the articles: "Ultra-Short Buckets Ready: Bond Fund Symposium '21," which highlights comments from our recent online event; "BNY Mellon Liquidity Direct's George Maganas on Portals," which profiles one of the largest and oldest online money fund trading portals; and, "Worldwide MFs Rise in Q4'20 Led by China, Ireland, France," which reviews global MMF asset flows. We also sent out our MFI XLS spreadsheet Thursday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our April Money Fund Portfolio Holdings are scheduled to ship on Monday, April 12, and our April Bond Fund Intelligence is scheduled to go out Thursday, April 15.

MFI's lead article says, "We recently hosted Crane's Bond Fund Symposium, an online event focusing on the ultra-short bond fund space. Given the zero rate environment and the potential for more regulations in cash, interest in the sector remains high as ultra-shorts are once again seen as a possible alternative to Prime MMFs. We quote from some of the highlights below. (Attendees and Subscribers may access the recordings and materials via our Bond Fund Symposium 2021 Download Center.)"

It explains, "Our Bond Fund Intelligence shows Ultra-Short Bond Funds up 20.3% (vs. 7.4% for all bond funds) in the year through 2/28/21, the fastest growth of any bond fund category. While Ultra-Short and our tighter Conservative Ultra-Short Bond Fund group together still only account for $201.4 billion of the $3.22 trillion of assets tracked by Crane Data, they should continue to grow briskly. (Short-Term is another $359.0 billion.)"

Our latest "Profile" reads, "This month, MFI interviews BNY Mellon Managing Director and Head of Liquidity Services, George Maganas, who is in charge of the firm's money market fund trading 'portal,' Liquidity Direct. Maganas reviews the history of one of the industry's largest and oldest portals, and BNY's main priorities and biggest challenges going forward. He also discusses the current portal marketplace and how they're working to make 'clients' workflow more efficient.' Our Q&A follows."

MFI says, "Give us a little history about the platform and about yourself." Maganas tells us, "Liquidity Direct was established as an innovator in the money market fund space over 20 years ago. From the start, our focus was on providing efficiencies for our clients, and for their liquidity management and investment processes. We continue to innovate and provide superior performance for our clients globally."

He continues, "Beyond Liquidity Direct, BNY Mellon's affiliate Dreyfus has been in the money fund manufacturing and distribution business for over 50 years, and we really believe that depth and breadth of experience is evident in our product offering. When you combine the manufacturing, asset servicing and distribution capabilities across our investment management business, the Bank platform and Pershing, you can really see that BNYM is a significant participant that plays a critical role in the money fund industry."

Maganus adds, "Personally, I've been involved with Liquidity Direct for the past three years, leading our business development activities. Prior to that, I've been in global markets for over 25 years in various roles, from running electronic trading to operating other platform businesses, such as leading an FCM. Prior to this role, my experience with money market funds has been primarily as an end user at an FCM."

The "Worldwide" article tells readers, "The Investment Company Institute published, 'Worldwide Regulated Open-Fund Assets and Flows, Fourth Quarter 2020,' which shows that money fund assets globally rose by $246.3 billion, or 3.1%, in Q4'20 to $8.314 trillion. The increase was driven by big jumps in Chinese, Irish and French money market fund assets, though U.S. MMFs declined. MMF assets worldwide increased by $1.689 trillion, or 25.5%, in the 12 months through 12/31/20, and money funds in the U.S. now represent 52.1% of worldwide assets."

ICI explains, "The growth rate … in US dollars was increased by US dollar depreciation over the fourth quarter of 2020.... Bond fund assets increased by 6.8% to $13.05 trillion in the fourth quarter.... Money market fund assets increased by 3.1% globally to $8.31 trillion.... Money market fund assets represented 13% of the worldwide total."

MFI also includes the News piece, "MMF Assets Surge Break $4.9T." It says, "Crane Data's MFI XLS shows MMFs up $151.0 billion to $4.934 trillion in March. ICI's latest weekly 'Money Market Fund Assets' series shows MMFs up in 7 of the past 8 weeks. (They fell hard on April 2 though.) MMFs are up $200 billion, or 4.7%, year-to-date in 2021."

An additional News brief, "Comments Hit SEC; Due April 14," tells us, "Comments continue to appear in response to the Securities & Exchange Commission's announcement, 'SEC Requests Comment on Potential Money Market Funds Reform Options Highlighted in President's Working Group Report.'"

Our April MFI XLS, with March 31 data, shows total assets jumped $151.0 billion in March to $4.934 trillion, after rising $30.8 billion in February and $5.6 billion in January. Assets decreased $6.7 billion in December, $11.7 billion in November, $46.8 billion in October, $121.2 billion in September, $42.3 billion in August, $44.2 billion in July and $113.0 billion in June. Assets increased $31.6 billion in May and $417.9 billion in April. Our broad Crane Money Fund Average 7-Day Yield was unchanged at 0.02%, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.02%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both stand at 0.12%. Charged Expenses averaged 0.10% for the Crane MFA and 0.10% for the Crane 100. (We'll revise expenses on Friday once we upload the SEC's Form N-MFP data for 3/31.) The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 42 (down one day from the previous month) and 44 days (down two days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Mar 15

The March issue of our Bond Fund Intelligence, which was sent to subscribers Friday morning, features the lead story, "ICI Says Bond Fund Outflows Measured; No Need for Regs," which quotes from a Viewpoints piece written by Chief Economist Sean Collins; and "BIS Examines Bond ETF Arbitrage; Pros and Cons," which highlights a bond ETF chapter in the Bank For International Settlements' recent Quarterly Review. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund returns and yields fell in February. 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 data, and see below for more on our upcoming Bond Fund Symposium Online, March 25-26.)

BFI's "ICI: Bond Funds" piece reads, "ICI tackles the topic of runs on bond mutual funds in a new paper, 'Bond Mutual Fund Outflows: A Measured Investor Response to a Massive Shock.' Written by Chief Economist Sean Collins, the piece explains, 'In recent months, we have seen many high-profile analyses arguing that bond mutual funds amplified stresses in financial markets during the start of the COVID-19 pandemic in March 2020. These analyses conclude that bond mutual funds therefore may require structural regulatory reforms. But as the information in this ICI Viewpoints and others to follow indicates, policymakers should not jump to that hasty conclusion.'"

BFI quotes ICI, "In a series of posts, we will demonstrate that the evidence about what happened to financial markets in March 2020 is still far too mixed and preliminary to conclude that new regulation is appropriate for bond mutual funds. Given the importance of bond mutual funds to retail investors and to the US and global economies, it is critical that we have all the data and insights—measured and applied correctly—before regulators start considering policy recommendations to reform these funds."

Our BIS Bond ETF article explains, "The Bank For International Settlements' latest BIS Quarterly Review includes a chapter on 'The anatomy of bond ETF arbitrage,' which discusses the differences between bond and stock ETFs and the challenges and risks involved. BIS summarizes, 'Exchange-traded funds (ETFs) allow a wide range of investors to gain exposure to a variety of asset classes. They rely on authorised participants (APs) to perform arbitrage, ie align ETFs’ share prices with the value of the underlying asset holdings. For bond ETFs, prominent albeit understudied features of the arbitrage mechanism are systematic differences between the baskets of bonds used to create and redeem ETF shares, and a low overlap between these baskets and actual asset holdings. These features could reflect the illiquid nature of bond trading, ETFs’ portfolio management and APs' incentives. The decoupling of baskets from holdings weakens arbitrage forces but allows ETFs to absorb shocks on the bond market.'"

The BIS explains, "Recent trends and market developments call for a closer analysis of bond ETFs. First, bond ETFs have been growing steadily over the past few years and now manage more than $1.2 trillion of assets across the globe.... Second, the Federal Reserve's corporate bond purchase programme launched in 2020 involves interventions in the bond market through ETFs. Third, the difference between ETF share prices and [NAVs] of the underlying holdings ... fluctuated more strongly for bond than for equity ETFs during March-April 2020. This highlighted that features specific to the bond market can have an impact on the pricing of bond ETFs."

A News brief, "Returns and Yields Fall in February," tells readers, "Bond fund yields were mostly lower and returns were down last month. Our BFI Total Index fell 0.65% over 1-month but increased 2.74% over 12 months. The BFI 100 fell 0.75% in Feb. but rose 3.16% over 1 year. Our BFI Conservative Ultra-Short Index returned 0.04% over 1-mo and 1.01% over 1-yr; Ultra-Shorts averaged 0.05% in Feb. and 1.20% over 12 mos. Short-Term returned 0.01% and 2.86%, and Intm-Term plunged 1.07% last month but rose 3.06% over 1-year. BFI's Long-Term Index returned -1.66% in Feb. and 3.06% over 1-year. Our High Yield Index gained 0.38% in Feb. and 6.65% over 1-yr."

Another News brief quotes Investment News', "Vanguard's first active bond ETF has 'disruption' written all over it." They tell us, "The upcoming launch of the Vanguard Ultra-Short Bond ETF ... represents a disruptive new competitor in the area of cash-alternative ETFs. The new fund, which is expected to be available within the next four months, is an ETF version of the $16.8 billion Vanguard Ultra-Short-Term Bond Admiral mutual fund (VUSFX), which launched in 2015."

In a third News update, the WSJ writes, "Treasury Rout Pushes Bond Funds Into Risker Assets." They comment, "Optimism about economic recovery has triggered a selloff in U.S. Treasurys that is pushing fixed-income investors to run for cover in some unlikely havens. Fund managers are bulking up on junk bonds, corporate loans, equity-linked bonds and even stocks ... while selling assets that trade more in line with government debt."

Finally, BFI says in a sidebar, "Fidelity Launches Two New Active Bond ETFs." It begins, "Fidelity Expands Active ETF Lineup with Launch of Two Active Bond ETFs,' says a press release. The announcement explains, 'Fidelity Investments today announced the launch of two new active bond exchange-traded funds (ETFs) -- Fidelity Investment Grade Bond ETF (FIGB) and Fidelity Investment Grade Securitized ETF (FSEC). Both funds are available commission-free for individual investors and financial advisors through Fidelity’s online brokerage platforms. The new actively-managed bond ETFs are competitively priced with total expense ratios of 0.36%. With this launch, Fidelity now manages 39 ETFs with more than $25 billion in assets.'"

As a reminder, please join us for Crane's Bond Fund Symposium 2021 (Online), which will be hosted virtually the afternoons of March 25-26, 2021. Bond Fund Symposium offers a concentrated and affordable educational experience for bond fund and fixed-income professionals with a focus on the ultra-short sector of the market. Registrations are $250 and "comp" and sponsor tickets are also available. (Ask us if you'd like more information.)

See the latest agenda and details here. Portfolio managers, analysts, investors, issuers, service providers, and anyone interested in expanding their knowledge of bond funds and fixed-income investing will benefit from our comprehensive program. E-mail us for the brochure and more details. Also, mark your calendars for our "big show," Money Fund Symposium, which has been pushed back to Sept. 21-23, 2021, in Philadelphia.

Mar 05

The March issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Friday morning, features the articles: "Liquidations, Changes Slowly Reshape Manager Landscape," which discusses the flurry of recent fund moves; "Ameriprise's Chris Melin on Brokerage Sweeps, Cash," which profiles the Director of Cash Products; and, "Deposits, Cash Soar in '20, Pause in '21; Banks vs. MMFs," which explores money fund vs. bank deposit growth. We also 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 March Money Fund Portfolio Holdings are scheduled to ship on Tuesday, March 9, and our March Bond Fund Intelligence is scheduled to go out Friday, March 12.

MFI's lead article says, "While the money market fund industry remains surprisingly robust given the myriad challenges it faces, small-scale liquidations and changes continue to gradually remake the space and increase concentration. Over the past month, a number of funds announced or completed liquidations, Wells Fargo announced the sale of its asset management unit, and Dreyfus took additional steps to streamline its fund lineup. In February, Crane Data removed 22 funds from MFI, including over a dozen State Municipal funds. Below, we review the latest batch of changes.

It continues, "SunAmerica is the latest asset manager to exit the money market fund space, which will bring the total of U.​S. MMF managers down to 64. A Prospectus Supplement for its AIG Government Money Market Fund explains, 'SunAmerica Asset Management, the Fund's investment adviser, and Touchstone Advisors, announced that they have entered into a definitive agreement for Touchstone to acquire certain assets related to SunAmerica's retail mutual fund management business.... Certain AIG Funds not covered by the agreement, including the Fund, will be liquidated.'"

Our latest "Profile" reads, "This month, MFI interviews Ameriprise Director of Cash Products, Chris Melin. He details the history of the company in cash, comments on the brokerage sweep marketplace and discusses major challenges, including record low rates. Melin also comments on Ameriprise’s outlook. Our Q&A follows."

MFI says, "Give us a little background," and Melin tells us, "The company was founded back in 1894 with a cash product, a 'face-amount certificate'. Through the Ameriprise Certificate Company, we're still issuing Certificates, which are unique investment products that our advisors can offer to help clients manage their cash. Certificates are guaranteed by the Ameriprise Certificate Company."

He continues, "In a more traditional sense, we've been offering money market funds and cash management accounts for decades. In 2003 we started offering sweep options with brokerage accounts -- offering money market funds, a free credit balance option and a single bank deposit program. It stayed that way until 2007, when we decided to add a multi-bank program. As part of Money Fund Reform in 2016, we elected to change our sweep options to government funds-- not wanting to put clients at risk with institutional and retail funds where there was potential for withdrawal gates and fees. We currently offer a multi-bank sweep deposit program, a single bank sweep deposit program, two US government money funds as sweep options and a free credit balance option."

The "Deposits" article tells readers, "U.S. money fund assets grew by 19.1% in 2020, following a 20.8% gain in 2019. Meanwhile, bank deposits surged by 28.3% last year, following seven years of anemic growth. This is according to the Federal Reserve's H.6 data series. Money funds added $627.5 billion (to $3.933 trillion) and Deposits gained $2.779 trillion (to $12.640 trillion) in 2020, according to the Fed, while Small Time Deposits, or bank CDs, plunged by $324.2 billion to a mere $217.9 billion."

It explains, "Assets of Deposits jumped in 2020 after slowing to a crawl in 2018 and 2019. Meanwhile, money fund assets also jumped in 2020 after a scorching 2019 (when they rose $565.5 billion). Money funds and deposits together rose $1.1 trillion in 2019, and an incredible $3.1 trillion in 2020."

MFI also includes the News piece, "Comments to SEC on PWG Report." It says, "The first letters have appeared following the SEC's request for comment on the PWG Report. See the first real posting here."

An additional News brief, "Morgan Stanley Govt Goes Social," tells us, "A filing for the $9.9 billion Morgan Stanley Institutional Liquidity Funds Government Securities Portfolio (MUIXX) tells us, 'The Adviser will generally seek to place purchase orders for the Fund with broker-dealers that are owned by minorities, women, disabled persons, veterans and members of other recognized diversity and inclusion groups and will place the majority of the aggregate dollar volume of the Fund’s purchase orders for government agency securities obtained via auction or window through such broker-dealers, subject in each case to the Adviser’s duty to seek best execution for the Fund’s orders.'"

Our March MFI XLS, with February 28 data, shows total assets rose by $30.8 billion in February to $4.781 trillion, after rising $5.6 billion in January, decreasing $6.7 billion in December, $11.7 billion in November, $46.8 billion in October, $121.2 billion in September, $42.3 billion in August, $44.2 billion in July and $113.0 billion in June. Assets increased $31.6 billion in May and $417.9 billion in April. Our broad Crane Money Fund Average 7-Day Yield was unchanged at 0.02%, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.02%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA sat at 0.13% while the Crane 100 sat at 0.14%. Charged Expenses averaged 0.12% for the Crane MFA and 0.11% for the Crane 100. (We'll revise expenses on Monday once we upload the SEC's Form N-MFP data for 2/28.) The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 42 (unch.) and 45 days (down a day) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)