Money Fund Intelligence XLS

Money Fund Intelligence XLS Sample

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Money Fund Intelligence XLS News

Sep 13
 

Crane Data released its September Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of August 31, 2018, shows an increase Treasuries but declines in other sectors, especially Agencies and Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $24 billion to $2.937 trillion last month, after increasing by $90.0 billion in July, decreasing by $53.8 billion in June, and increasing by $16.7 billion in May. Repo continued to be the largest portfolio segment, 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 $11.3 billion (-1.2%) to $949.6 billion, or 32.3% of holdings, after rising $8.0 billion in July and falling $31.4 billion in June. Treasury securities rose $22.1 billion (2.7%) to $837.5 billion, or 28.5% of holdings, after rising $42.4 billion in July and falling $6.3 billion in June. Government Agency Debt fell by $24.9 billion (-3.7%) to $650.2 billion, or 22.1% of all holdings, after rising by $0.9 billion in July and falling $9.3 billion in June. Repo, Treasuries and Agencies total $2.437 trillion, representing a massive 83.0% of all taxable holdings.

Money funds' holdings of CP and CDs fell, but Other (mainly Time Deposits) holding inched higher in August. Commercial Paper (CP) was down $3.2 billion (-1.4%) to $233.3 billion, or 7.9% of holdings, after rising $22.5 billion in July and falling $10.0 billion in June. Certificates of Deposits (CDs) fell by $7.6 billion (-4.2%) to $173.8 billion, or 5.9% of taxable assets (after rising $12.0 billion in July and rising $1.6 billion in June). Other holdings, primarily Time Deposits, rose by $1.0 billion (1.2%) to $84.4 billion, or 2.9% of holdings. VRDNs fell by $0.3B (-3.4%) to $8.0 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately later today.)

Prime money fund assets tracked by Crane Data jumped to $711 billion (up from $687 billion last month), or 24.2% (up from 23.2%) of taxable money fund total taxable holdings of $2.937 trillion. Among Prime money funds, CDs represent almost a quarter of holdings at 24.4% (down from 26.4% a month ago), while Commercial Paper accounted for 32.8% (down from 34.5%). The CP totals are comprised of: Financial Company CP, which makes up 20.4% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.9%. Prime funds also hold 4.6% in US Govt Agency/ Debt, 11.8% in US Treasury Debt, 4.2% in US Treasury Repo, 1.3% in Other Instruments, 8.8% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 4.9% in US Government Agency Repo, and 0.9% in VRDNs.

Government money fund portfolios totaled $1.544 trillion (52.6% of all MMF assets), down from $1.568 trillion in July, while Treasury money fund assets totaled another $682 billion (23.2%), down from $706 billion the prior month. Government money fund portfolios were made up of 40.0% US Govt Agency Debt, 20.9% US Government Agency Repo, 18.2% US Treasury debt, and 20.6% in US Treasury Repo. Treasury money funds were comprised of 69.4% US Treasury debt, 30.5% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.226 trillion, or 75.8% of all taxable money fund assets.

European-affiliated holdings fell $11.8 billion in August to $669.2 billion among all taxable funds (and including repos); their share of holdings fell to 22.8% from 23.0% the previous month. Eurozone-affiliated holdings fell $18.5 billion to $421.7 billion in August; they account for 14.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $5.5 billion to $259.1 billion (8.8% of the total). Americas related holdings fell $1.8 billion to $2.006 trillion and now represent 68.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $20.2 billion, or -3.5%, to $556.0 billion, or 18.9% of assets); US Government Agency Repurchase Agreements (up $12.0 billion, or 3.5%, to $358.8 billion, or 12.2% of total holdings), and Other Repurchase Agreements (down $3.0 billion from last month to $34.8 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.3 billion to $144.9 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $1.7 billion to $46.2 billion, or 1.6%), and Non-Financial Company Commercial Paper (down $3.6 billion to $42.3 billion, or 1.4%).

The 20 largest Issuers to taxable money market funds as of August 31, 2018, include: the US Treasury ($837.5 billion, or 28.5%), Federal Home Loan Bank ($520.6B, 17.7%), BNP Paribas ($139.8B, 4.8%), RBC ($86.5B, 2.9%), Federal Farm Credit Bank ($74.1B, 2.5%), Barclays ($69.9B, 2.4%), Wells Fargo ($63.3B, 2.2%), Credit Agricole ($59.0B, 2.0%), JP Morgan ($55.4B, 1.9%), Mitsubishi UFJ Financial Group Inc ($49.8B, 1.7%), HSBC ($48.0B, 1.6%), Nomura ($41.2B, 1.4%), Sumito Mitsui Banking Co ($40.9B, 1.4%), Societe Generale ($40.6B, 1.4%), ING Bank ($39.8B, 1.4%), Natixis ($39.7B, 1.4%), Fixed Income Clearing Co ($37.4B, 1.3%), Bank of America ($37.4B, 1.3%), Federal Home Loan Mortgage Co ($35.5B, 1.2%), and Mizuho Corporate Bank Ltd ($35.0B, 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: BNP Paribas ($131.4B, 13.8%), RBC ($67.8B, 7.1%), Barclays PLC ($57.6B, 6.1%), Wells Fargo ($52.0B, 5.5%), Credit Agricole ($45.3B, 4.8%), JP Morgan ($45.2B, 4.8%), Nomura ($41.2B, 4.3%), HSBC ($39.8B, 4.2%), Fixed Income Clearing Co ($37.4B, 3.9%), and Societe Generale ($34.8B, 3.7%). Fed Repo positions among MMFs on 8/31/18 include a record low of just two funds: Columbia Short-Term Cash Fund ($0.4B) and Western Asset Inst Govt ($0.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($20.5B, 5.0%), RBC ($18.7B, 4.5%), Mitsubishi UFJ Financial Group Inc. ($16.5B, 4.0%), Credit Agricole ($13.7B, 3.3%), Sumitomo Mitsui Banking Co ($13.6B, 3.3%), ING Bank ($13.0B, 3.1%), Mizuho Corporate Bank Ltd ($12.8B, 3.1%), Bank of Montreal ($12.8B, 3.1%), Canadian Imperial Bank of Commerce ($12.7B, 3.1%), and Sumitomo Mitsui Trust Bank ($12.6, 3.0%).

The 10 largest CD issuers include: Bank of Montreal ($12.4B, 7.2%), RBC ($11.2B, 6.5%), Wells Fargo ($11.2B, 6.4%), Mitsubishi UFJ Financial Group Inc ($10.9B, 6.3%), Svenska Handelsbanken ($10.3B, 6.0%), Sumitomo Mitsui Banking Co ($8.9B, 5.2%), Sumitomo Mitsui Trust Bank ($8.4B, 4.9%), Mizuho Corporate Bank Ltd ($8.4B, 4.8%), Toronto-Dominion Bank ($6.9B, 4.0%), and Landesbank Baden-Wurttemberg ($6.6B, 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($12.4B, 6.4%), JPMorgan ($10.2B, 5.2%), UBS AG ($7.3B, 3.8%), Toyota ($6.2B, 3.2%), Barclays PLC ($5.9B, 3.0%), RBC ($5.8B, 3.0%), ING Bank ($5.8B, 3.0%), Bank of Nova Scotia ($5.7B, 2.9%), Mitsubishi UFJ Financial Group Inc ($5.6B, 2.9%), and Canadian Imperial Bank of Commerce ($5.5B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $22.1B to $837.5B), Barclays PLC (up $12.4B to $69.9B), JP Morgan (up $9.5B to $55.4B), Mizuho Corporate Bank Ltd (up $6.6B to $35.0B), Bank of Nova Scotia (up $4.0B to $27.2B), ING Bank (up $3.6B to $39.8B), Nordea Bank (up $3.3B to $10.8B), Toronto-Dominion Bank (up $2.7B to $32.4B), Nomura (up $2.1B to $41.2B), and National Australia Bank Ltd (up $1.4B to $8.8B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Home Loan Bank (down $21.1B to $520.6B), BNP Paribas (down $7.8B to $139.8B), Fixed Income Clearing Co (down $6.9B to $37.4B), Wells Fargo (down $5.6B to $63.3B), Citi (down $4.8B to $27.1B), Sumitomo Mitsui Banking Co (down $4.5B to $40.9B), Credit Suisse (down $4.0B to $23.5B), Credit Agricole (down $3.7B to $59.0B), DNB ASA (down $3.3B to $8.2B), and Bank of Montreal (down $2.7B to $33.1B).

The United States remained the largest segment of country-affiliations; it represents 60.9% of holdings, or $1.787 trillion. France (10.0%, $293.1B) remained in the No. 2 spot and Canada (7.4%, $218.1B) remained No. 3. Japan (7.2%, $212.5B) stayed in fourth place, while the United Kingdom (5.1%, $151.1B) remained in fifth place. The Netherlands (2.1%, $61.3B) stayed ahead of Germany (2.0%, $58.5B), while Sweden (1.6%, $46.3B) remained in 8th place. Switzerland (1.4%, $39.6B) stayed ahead of Australia (1.1%, $33.2B) in 9th and 10th place. (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 August 31, 2018, Taxable money funds held 33.6% (up from 31.2%) of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (down from 16.2% last month). Thus, 47.7% in total matures in 1-7 days. Another 24.8% matures in 8-30 days, while 10.0% matures in 31-60 days. Note that over three-quarters, or 82.5% 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 8.9% of taxable securities, while 7.0% matures in 91-180 days, and just 1.6% matures beyond 181 days.

Sep 10
 

The September issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "Ten Years After: Reserve Fund ‘Breaks the Buck’," which discusses the anniversary of the Financial Crisis; "New IMMFA Chair Hochfeld on European MMF Reforms," which profiles Morgan Stanley's Kim Hochfeld; and, "DWS Launches ESG Liquidity, Socially Responsible MMF," which reviews a new fund conversion from DWS. We've also updated our Money Fund Wisdom database with Aug. 31, 2018, statistics, and sent out our MFI XLS spreadsheet Monday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our September Money Fund Portfolio Holdings are scheduled to ship on Wednesday, September 12, and our Sept. Bond Fund Intelligence is scheduled to go out Monday, September 17.

MFI's "Ten Years After" article says, "It was ten years ago this month that the bankruptcy of Lehman Brothers caused Reserve Primary Fund, the first and one of the largest money funds, to "break the buck," or drop below $1.00 per share. The event, following a year of subprime mortgage related tremors and runs on segments of the asset-backed and enhanced cash markets, triggered a full-scale financial meltdown. The week of Sept. 15, 2008, started with the Lehman Brothers bankruptcy, and ended with President George W. Bush stepping in to guarantee money funds and the broader banking system in its entirety. Below, we excerpt from some of our News during that fateful month, and we look back at the events that shook the money fund world."

Our lead piece continues, "On Wed., Sept. 17, 2008, we wrote the story, 'Reserve Primary Fund 'Breaks the Buck' Following Run on Assets.' It says, 'In just the second case of a money market mutual fund 'breaking the buck,' or dropping below the $1.00 a share level, in history, The Reserve Primary Fund cuts its NAV to $0.97 cents on Tuesday. The top-ranked fund, which held $785 million in Lehman Brothers CP and MTNs, was besieged by redemptions over the past two days. Assets of the total portfolio, which is largely institutional but which includes some retail assets, declined a massive $27.3 billion Monday and Tuesday to $35.3 billion.'"

It added, "As we wrote Monday, several other firms have protected their investors from fallout from the Lehman Brothers bankruptcy.... A total of 21 money funds to date have taken action to protect shareholders, but the privately-held Reserve was unable to arrange credit supports in time to prevent a run.... The combination of high yields, hot money and a lack of deep pockets likely will prove fatal to the first, and oldest money market mutual fund. As happened in 1994 with the liquidation of Community Bankers U.S. Government Money Market Fund at $0.96 a share [the only other money fund to ever 'break the buck'], we expect money market funds to soldier on with just a single case of a fund 'breaking the buck.'"

Our IMMFA Profile reads, "This month, Money Fund Intelligence speaks with Kim Hochfeld, the new Chair of IMMFA, the London-based Institutional Money Market Funds Association (www.immfa.org). Hochfeld, who is also Managing Director at Morgan Stanley Investment Management, gives us the latest on European Money Market Fund Reforms and talks about what's next for money funds in Europe. Our Q&A follows. (Note: Hochfeld and IMMFA MD Jane Lowe will keynote our upcoming European Money Fund Symposium in London, Sept. 20-21.)"

MFI asks, "MFI: When did you become Chair? Hochfeld responds, "I was elected chair for a three year term at the beginning of July by members at our Annual General Meeting. Our former Chair, Reyer Kooy, was re-elected to the Board, which is a positive for IMMFA as it allows a level of continuity. Kathleen Hughes from GSAM and Ian Lloyd from LGIM are still on the Board too, and we have been joined by Beccy Milchem from BlackRock, so it’s a team with plenty of experience."

We also query, "What has been IMMFA’s main focus?" Hochfeld tells MFI, "European Money Market Reform has absolutely been a key focus for us, especially over the last 18 months. It has been a long time coming, just trying to build for LVNAV and understand it, and then obviously there are challenges for our members as to how they position their Euro funds. There’s still much work to do, by the vendors, the money fund managers, the transfer agents, the fund administrators, the portal providers, their trading systems, etc., in order to be ready for the coming changes." (Watch for more excerpts in coming weeks, or see the latest issue of MFI for the full "profile".)

MFI's "DWS Launches ESG" piece says, "As we mentioned in our August 13 News, 'DWS Converts Variable NAV to DWS ESG Money Fund, First ESG Offering,' the manager formerly known as Deutsche just converted an existing fund into an “ESG” money market fund. Their press release, entitled, “DWS launches first ESG money market fund in the U.S.,” tells us “DWS Group today announced the launch of DWS ESG Liquidity Fund (ESGXX), the first money market fund available in the U.S. to apply ESG (Environmental, Social and Governance) criteria. The fund will invest in high-quality, short-term, U.S. dollar-denominated money market instruments paying a fixed, variable or floating interest rate while also filtering for various ESG factors using DWS’s proprietary software -- the ESG Engine.”

We quote DWS's Sonelius Kendrick-Smith, Head of Liquidity Solutions, Americas, “As a global asset manager, it is crucial for DWS to enable our clients to invest in a sustainable future by incorporating ESG factors into their global investment process across asset classes. Through the DWS ESG Liquidity Fund, investors will now be able to take advantage of our proprietary ESG Engine software while effectively managing their liquidity.”

Finally, we write in a sidebar, "More Brokerage Sweep Hits," "The hits keep coming for brokerage sweep accounts. Last month, ignites published, 'Rising Rates Give Brokerage Sweep Programs a Run for Their Money,' which discusses the huge rate differential between FDIC-insured sweeps and money funds. They write, 'The fatter margins that bank deposits offer pushed many large brokerages to dump money funds as sweep vehicles in favor of bank products…. But as interest rates rise, money funds are regaining appeal, and the amount brokerages must pay out on deposits … is inching up.'"

Our September MFI XLS, with August 31, 2018, data, shows total assets increased $29.2 billion in August to $3.071 trillion, after increasing $36.3 billion in July, decreasing $49.9 billion in June, and increasing $53.7 billion in May. Our broad Crane Money Fund Average 7-Day Yield rose 3 bps to 1.61% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 4 bps to 1.80% (its highest levels since Oct. 2008).

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA rose 3 bps to 2.06% and the Crane 100 rose to 2.07%. Charged Expenses averaged 0.44% (unchanged) and 0.27% (unch.), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 28 and 29 days, respectively (the former unchanged and the latter up 1 day). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Aug 22
 

This month, Money Fund Intelligence interviews Joe D'Angelo, Managing Director of PGIM Fixed Income, who runs the money market desk, and Chris Nicholson, Vice President of Fixed-Income Product Management at PGIM Investments, the distributor of the PGIM funds. PGIM's funds formerly carried the Prudential moniker, but they changed earlier this summer to synch the fund names with that of their advisor. Our discussion follows. (Note: This article is reprinted from the August issue of our Money Fund Intelligence newsletter. Contact us at inquiry@cranedata.com to request the full issue.)

MFI: How long have you been running cash? D'Angelo: We were running cash before I started here, which was 30 years ago.... PGIM Fixed Income evolved from three internal fixed income groups focused on mutual funds, separate accounts, and proprietary accounts. These three separate groups were each managing money independently in the infant stages of money markets, going back to the early '80s or even late '70's.... Ultimately, all fixed income asset management was brought together. At that time, in roughly 2000, the firm had about $130 billion in assets under management. Now, PGIM Fixed Income is up to 600-plus clients with over $700 billion under management (as of June 2018). I grew up on the issuance side of Prudential, coming here in the late '80s to work under the Treasurer. We were a prominent direct issuer of commercial paper. I moved from the direct issuer desk to securities lending, then jumped to investments around 2000."

Nicholson: I've worked in various roles in financial services for the last 15 years [and] came over to Prudential, or PGIM now, in November of 2014.... I head up the fixed income product management efforts on the mutual fund side of things.

MFI: Tell us about the recent rebranding? Nicholson: This actually goes back a few years. In January 2016, the asset management organization was Prudential Investment Management, and we changed the name to PGIM.... At that time, our affiliated managers had some brand recognition, but the name change united all of Prudential's investment businesses under a single name to be used globally.... In April 2017, we changed the name of the retail distributor to PGIM Investments from Prudential Investments. We already were operating as PGIM Investments outside of the U.S. with our UCITS platform.

In January, we announced the renaming of all mutual fund and closed-end fund names, and that became effective June 11 of this year. All funds were updated to reflect PGIM and no longer Prudential in the name.... Renaming the funds more closely aligned them to the firm [and] helped to accelerate the brand-awareness around PGIM, now the global investment management business of Prudential Financial.

From a high-level perspective, we're constantly reviewing the structure of our investment vehicles, including the money market fund lineup. That includes looking at things like industry trends, client needs, and new regulation. Back in 2016, after a thorough analysis of all those factors, we felt that changing the retail money market fund over to a government money market fund was really in the best interests of fund shareholders.

D'Angelo: Basically, there's about $75 billion under management across our three money market segments, run by me and my team. We have government and agency-only type mandates, 2a-7 and 2a-7-like mandates, ultrashort, custom, and enhanced cash mandates. The enhanced programs are largely the reinvestment vehicles for securities lending.

Nicholson: We also have a couple billion in ... government 2a-7 mutual funds, and we have another Pru institutional money market fund [which is] $15-16 billion. That's predominantly being used as an internal vehicle for reinvestment of securities lending proceeds. Our "Core" money market fund used to be a 2a-7 fund, but we moved it outside of 2a-7 and [now] call it an ultrashort bond fund. It has similar guidelines as 2a-7 ... but it's an ultrashort. We did that [mainly] because ... the NAIC classification of money market funds [changed following the MMF reforms], thereby requiring pretty substantive capital charges.... Then, we have some other enhanced funds. The latest of which is this ultrashort ETF, and that's maybe another $3-4 billion.

MFI: What's your biggest challenge? D'Angelo: We've been managing money markets for a long time, and two of our senior portfolio managers, Doug Smith and Bob Browne, have been here with me for 25 years-plus. So, we've seen a lot, and lived through a lot, including the turmoil of the financial crisis and subsequent rebuilding of the market. I think where we sit now ... there's some misperceptions.... The SEC tried to change the rules in such a way to that the market wouldn't just crumble again. But by creating this notion of a floating NAV and potential gates and fees ... about $1 trillion moved out of prime money market products. It went into government money market funds, and now there is $2 trillion-plus in these products. So asset managers are competing heavily for the same inventory.

Then, with the prime product now, portfolio managers may be worried about NAVs ultimately floating. So, some may be giving up yield for the sake of liquidity and preservation of capital. Those are good things, don't get me wrong. But it effectively squeezes managers of those products into the same little space, too. Given the post-financial crisis regulations, there is less ability to differentiate products, which can be a challenge. There is also less front-end presence from the broker-dealer community. You don't have the Goldmans and the Morgan Stanleys willing to buy paper.

It's also important to keep an eye on the handful of dominant money market managers left standing post crisis. If there's a sea change in how they look at the market, you don't want to be left in a game of musical chairs holding a CD, for example, that they don't want to buy anymore. So, it's important to know where other managers reside in terms of sectors, names, and maturities. Is it one year, six months, nine months? Since the regulations changed, I like to say, 'Six months is the new one year.'

Going back to 2008-2009, our competitors were other front-end buyers. Now we find a lot of corporate money is being managed internally, and they [have] a different style to asset management. Separately, we see more long-end managers, especially now that rates have gotten off zero, creeping back into the ultrashort world.... It's a totally different set of buyers that you're trying to handicap. The 2a-7 folks are doing one thing. But the ultrashort folks ... they're doing a different thing.

MFI: What are you buying now? D'Angelo: With $700 billion under management, PGIM Fixed Income has a presence across all fixed income markets. We look at all sectors at the front end of the market, supported by experienced research and trading professionals working in a collaborative environment. We don't avoid sectors, and we don't double down on anything. Obviously, we buy banks, everybody in 2a-7 has to buy banks. In the ultrashort world, we favor A2/P2 commercial paper in a lot of mandates outside of 2a-7. We can buy CMBS and other structured products. We can buy investment-grade bonds, and some of our mandates are up to three years average life, or even longer."

MFI: Is there flexibility in Govt funds? D'Angelo: Less than we would like. Given new money market regulations, the government universe has become fairly 'plain vanilla' and is highly competitive. Asset managers are tripping over each other to buy Home Loan paper. At PGIM Fixed Income, we're very conservative with respect to our posture and position towards repos. We do overnight repos when available and also try to find value in bills and agencies.

MFI: Any concerns with any sectors? D'Angelo: Knock on wood, no sectors or issuers in our space have had a credit issue for some time. From a broader perspective, evaluating overall macro and market trends may be more critical at this time. If you're investing in our world, you may be happy because rates are finally off zero. From that perspective, everyone's kind of pleasantly surprised how quickly rates have risen. The other trend that we see is the spread advantage of LIBOR versus the cost to borrow money via securities lending. That's been a positive for securities lending income.

MFI: Does PGIM offer other ultrashorts? Nicholson: In April, we launched PGIM Ultra Short Bond ETF (PULS), an actively managed ultrashort ETF. It's our first entry in the ETF space.... Now that we've moved away from zero and front-end rates are moving up ... that area of the market has been getting a lot of flows.... Broadly speaking from an ETF perspective, we want to be vehicle-agnostic. We want to offer our best investment strategies ... in whatever vehicle our clients want. We've seen that ETFs are certainly a space that is going to continue to grow, and we want to be a part of that.

MFI: What about your outlook? D'Angelo: With respect to products, sectors, and spreads, we get a taste of everything in ultrashort mandates and securities lending mandates. We're also carefully watching forward-looking liquidity. So far, it's been good.

Aug 10
 

Crane Data released its August Money Fund Portfolio Holdings Thursday, and our most recent collection of taxable money market securities, with data as of July 31, 2018, shows increases across all composition segments with big jumps in Treasuries, CP and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $90.0 billion to $2.961 trillion last month, after decreasing by $53.8 billion in June, but increasing by $16.7 billion in May and $46.4 billion in April. Repo continued to be the largest portfolio segment, followed by Treasury securities, then Agencies. CP remained fourth ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)

Among taxable money funds, Repurchase Agreements (repo) rose $8.0 billion (0.8%) to $960.8 billion, or 32.5% of holdings, after falling $31.4 billion in June but jumping $67.1 billion in May. Treasury securities rose $42.4 billion (5.5%) to $815.4 billion, or 27.5% of holdings, after falling $6.3 billion in June and falling $50.9 billion in May. Government Agency Debt rose by $0.9 billion (0.1%) to $675.1 billion, or 22.8% of all holdings, after falling $9.3 billion in June, but rising by $5.5 billion in May. Repo, Treasuries and Agencies total $2.451 trillion, representing a massive 82.8% of all taxable holdings.

Money funds' holdings of CP, CD, and Other (mainly Time Deposits) securities all rose strongly in July. Commercial Paper (CP) was up $22.5 billion (10.5%) to $236.5 billion, or 8.0% of holdings, after falling $10.0 billion in June and rising $13.2 billion in May. Certificates of Deposits (CDs) rose by $12.0 billion (7.1%) to $181.4 billion, or 6.1% of taxable assets (after rising $1.6 billion in June but dropping by $1.2 billion in May). Other holdings, primarily Time Deposits, rose by $4.1 billion (5.1%) to $83.3 billion, or 2.8% of holdings. VRDNs were relatively flat, falling $0.0B (-0.4%) to $8.3 billion, or 0.3% of assets.

Prime money fund assets tracked by Crane Data jumped to $687 billion (up from $651 billion last month), or 23.2% (up from 22.7%) of taxable money fund total taxable holdings of $2.961 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 26.4% (up from 26.0% a month ago), while Commercial Paper accounted for 34.5% (up from 33.0%). The CP totals are comprised of: Financial Company CP, which makes up 21.3% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 6.7%. Prime funds also hold 5.7% in US Govt Agency/ Debt, 9.1% in US Treasury Debt, 2.9% in US Treasury Repo, 1.4% in Other Instruments, 8.6% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 3.9% in US Government Agency Repo, and 1.0% in VRDNs.

Government money fund portfolios totaled $1.568 trillion (53.0% of all MMF assets), up from $1.539 trillion in June, while Treasury money fund assets totaled another $706 billion (23.8%), up from $681 billion the prior month. Government money fund portfolios were made up of 40.6% US Govt Agency Debt, 20.4% US Government Agency Repo, 17.1% US Treasury debt, and 21.6% in US Treasury Repo. Treasury money funds were comprised of 68.8% US Treasury debt, 30.8% in US Treasury Repo, and 0.5% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.274 trillion, or 77.0% of all taxable money fund assets.

European-affiliated holdings rose $140.0 billion in July to $681.0 billion among all taxable funds (and including repos); their share of holdings rose to 23.0% from 18.8% the previous month. Eurozone-affiliated holdings rose $102.9 billion to $440.2 billion in July; they account for 14.9% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $8.8 billion to $253.6 billion (8.6% of the total). Americas related holdings fell $59.6 billion to $2.024 trillion and now represent 68.4% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $14.8 billion, or -2.5%, to $576.2 billion, or 19.5% of assets); US Government Agency Repurchase Agreements (up $18.8 billion, or 5.7%, to $346.8 billion, or 11.7% of total holdings), and Other Repurchase Agreements (up $4.1 billion from last month to $37.8 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $6.6 billion to $146.1 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $2.3 billion to $44.5 billion, or 1.5%), and Non-Financial Company Commercial Paper (up $13.6 billion to $45.9 billion, or 1.5%).

The 20 largest Issuers to taxable money market funds as of July 31, 2018, include: the US Treasury ($815.4 billion, or 27.5%), Federal Home Loan Bank ($541.7B, 18.3%), BNP Paribas ($147.6B, 5.0%), RBC ($87.3B, 3.0%), Federal Farm Credit Bank $75.4B, 2.5%), Wells Fargo $68.9B, 2.3%), Credit Agricole ($62.7B, 2.1%), Barclays PLC ($57.4B, 1.9%), Mitsubishi UFJ Financial Group Inc ($51.2B, 1.7%), HSBC ($48.6B, 1.6%), JP Morgan ($45.9B, 1.5%), Sumito Mitsui Banking Co ($45.4B, 1.5%), Fixed Income Clearing Co ($44.3B, 1.5%), Societe Generale ($42.2B, 1.4%), Natixis ($42.0B, 1.4%), Nomura ($39.1B, 1.3%), Bank of America ($36.8B, 1.2%), ING Bank ($36.3B, 1.2%), Federal Home Loan Mortgage Co ($35.8B, 1.2%), and Bank of Montreal ($35.8B, 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: BNP Paribas ($136.5B, 14.2%), RBC ($66.7B, 6.9%), Wells Fargo ($55.8B, 5.8%), Credit Agricole ($47.3B, 4.9%), Barclays PLC ($46.8B, 4.9%), Fixed Income Clearing Co ($44.3B, 4.6%), HSBC ($40.2B, 4.2%), Nomura ($39.1B, 4.1%), Societe General ($36.5B, 3.8%), and JP Morgan ($36.3B, 3.8%).

The 10 largest Fed Repo positions among MMFs on 7/31/18 include: JP Morgan US Govt ($2.0B in Fed Repo), Northern Trust Trs MMkt ($0.9B), BlackRock Cash Treas ($0.6B), Dreyfus Inst Pref Govt ($0.4B), Northern Inst Govt ($0.4B), Columbia Short-Term Cash Fund ($1.0B), Franklin IFT US Govt MM ($1.7B), Northern Inst Govt Select ($0.8B), State Street Inst US Govt ($0.7B), and Morgan Stanley Inst Liq Govt Sec ($0.6B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($20.7B, 4.9%), Toronto-Dominion Bank ($17.1B, 4.1%), Mitsubishi UFJ Financial Group Inc. ($16.7B, 4.0%), Credit Agricole ($15.4B, 3.7%), Swedbank AB ($14.8B, 3.5%), Sumitomo Mitsui Banking Co ($14.2B, 3.4%), Canadian Imperial Bank of Commerce ($13.6B, 3.2%), Wells Fargo ($13.1B, 3.1%), Sumitomo Mitsui Trust Bank ($12.8B, 3.1%), and Bank of Montreal ($12.3, 2.9%).

The 10 largest CD issuers include: Wells Fargo ($13.0B, 7.2%), Bank of Montreal ($11.6B, 6.4%), RBC ($11.0, 6.1%), Mitsubishi UFJ Financial Group Inc ($10.3B, 5.7%), Svenska Handelsbanken ($10.0B, 5.5%), Sumitomo Mitsui Trust Bank ($9.6B, 5.3%), Swedbank AB ($8.3B, 4.6%), Sumitomo Mitsui Banking Co ($8.2B, 4.6%), Mizuho Corporate Bank Ltd ($7.4B, 4.1%), and Canadian Imperial Bank of Commerce ($7.0B, 3.9%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($11.0B, 5.6%), JPMorgan ($9.5B, 4.8%), UBS AG ($7.1B, 3.6%), Commonwealth Bank of Australia ($6.4B, 3.2%), Mitsubishi UFJ Financial Group Inc ($6.3B, 3.2%), Bank Nederlandse Gemeenten ($6.3B, 3.2%), Canadian Imperial Bank of Commerce ($5.8B, 2.9%), Sumitomo Mitsui Banking Co ($5.7B, 2.9%), Australia & New Zealand Banking Group Ltd ($5.7B, 2.9%), and RBC ($5.6B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $42.4B to $815.4B), Credit Agricole (up $38.3B to $62.7B), Barclays PLC (up $20.7B to $57.4B), Credit Suisse (up $16.3B to $27.5B), Deutsche Bank AG (up $14.6B to $21.8B), Natixis (up $14.0B to $42.0B), Mizuho Corporate Bank Ltd (up $10.7B to $28.4B), ING Bank (up $7.9B to $36.3B), Societe Generale (up $6.0B to $42.2B), and Federal Home Loan Mortgage Co (up $5.9B to $35.8B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the Federal Reserve Bank of New York (down $79.6B to $9.0B), RBC (down $8.2B to $87.3B), Federal Home Loan Bank (down $7.4B to $541.7B), Fixed Income Clearing Co (down $6.7B to $44.3B), Bank of Montreal (down $5.8B to $35.8B), Goldman Sachs (down $4.6B to $13.2B), Toronto-Dominion Bank (down $4.0B to $29.7B), National Australia Bank Ltd (down $3.8B to $7.4B), Canadian Imperial Bank of Commerce (down $2.7B to $26.4B), and HSBC (down $2.5B to $48.6B).

The United States remained the largest segment of country-affiliations; it represents 61.1% of holdings, or $1.810 trillion. France (10.4%, $307.1B) remained in the No. 2 spot and Canada (7.2%, $213.9B) remained No. 3. Japan (7.0%, $208.2B) stayed in fourth place, while the United Kingdom (4.7%, $139.1B) remained in fifth place. The Netherlands (2.1%, $63.0B) moved ahead of Germany (2.1%, $62.0B) to reclaim sixth place. Sweden (1.5%, $43.9B) ranked 8th while Switzerland (1.5%, $42.9B) moved back ahead of Australia (1.1%, $32.0B) into 9th place. (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 July 31, 2018, Taxable money funds held 31.2% (down from 31.8%) of their assets in securities maturing Overnight, and another 16.2% maturing in 2-7 days (same as last month). Thus, 47.4% in total matures in 1-7 days. Another 24.2% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that over three-quarters, or 82.8% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 8.4% of taxable securities, while 7.2% matures in 91-180 days, and just 1.6% matures beyond 181 days.