Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be published Tuesday, April 9, and we'll be writing our normal monthly update on the March 31 data for Wednesday's News. But we also generate a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings. (We continue to merge the two series, and the N-MFP version is now available via Holdings file listings to Money Fund Wisdom subscribers.) Our summary, with data as of March 31, 2019, includes holdings information from 1,184 money funds (the same number as last month), representing assets of $3.526 trillion (up from $3.439 trillion). We review the latest data below, and we also quote from a Wall Street Journal article on Ultrashort Bond Funds.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds totaling $1,034 billion (down from $1,092.9 billion on Feb. 28), or 29.3% of all assets. Treasury holdings total $1,010 billion (up from $918.0), or 28.7%, and Government Agency securities total $712.8 billion (up from $683.0 billion), or 20.2%. Commercial Paper (CP) totals $312.6 billion (up from $275.9 billion), or 8.9%, and Certificates of Deposit (CDs) total $226.9 billion (down from $232.6 billion), or 6.4%. The Other category (primarily Time Deposits) totals $123.7 billion (down from $131.2 billion), or 3.5%, and VRDNs account for $105.6 billion (unchanged from last month), or 3.0%.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $186.9 billion, or 5.3%, in Financial Company Commercial Paper; $57.2 billion or 1.6%, in Asset Backed Commercial Paper; and, $68.5 billion, or 1.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($595.1B, or 16.9%), U.S. Govt Agency Repo ($402.1B, or 11.4%), and Other Repo ($37.0B, or 1.0%).
The N-MFP Holdings summary for the 217 Prime Money Market Funds shows: CP holdings of $307.5 billion (up from $270.8 billion), or 31.6%; CD holdings of $226.9 billion (down from $232.6B), or 23.3%; Repo holdings of $138.7 billion (down from $144.5B), or 14.3%; Other (primarily Time Deposits) holdings of $80.2 billion (down from $87.0B), or 8.3%; Treasury holdings of $160.1 billion (unchanged), or 16.5%; Government Agency holdings of $52.1 billion (up from $36.7B), or 5.4%; and VRDN holdings of $6.4B (down from $6.8B), or 0.7%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $186.9 billion (up from $167.8 billion), or 19.2%, in Financial Company Commercial Paper; $57.2 billion, or 5.9%, in Asset Backed Commercial Paper; and, $63.4 billion, or 6.5%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($47.3B, or 4.9%), U.S. Govt Agency Repo ($54.5B, or 5.6%), and Other Repo ($36.9B, or 3.8%).
In other news, The Wall Street Journal writes on "The Current Allure of 'Ultrashort' Bond Funds." They say, "A Federal Reserve policy shift that has created uncertainty over interest rates, is generating renewed interest in ultrashort-term bond funds. Slowing economic growth and quiescent inflation -- the same factors that led the central bank to pause its interest-rate increases earlier this year -- have left short-term and long-term interest rates at about the same level."
The piece continues, "That's good for ultrashort bond funds, which typically invest in high-grade paper with duration of less than a year. Ultrashort funds have yields that aren't far from longer-term funds, and their short durations make them less vulnerable to rising market interest rates. Duration is a measure of the sensitivity of a bond's price to a change in interest rates. When rates rise, bonds with longer durations fall more in price than those with shorter durations."
The Journal explains, "As of Feb. 28, ultrashort mutual funds and exchange-traded funds yielded 2.67% on average, versus 2.99% for intermediate-term funds, which typically have durations of 3.5 to six years, according to fund researcher Morningstar Inc."
They comment, "The volatility that has kicked up in the market amid the uncertainty over Fed policy also is making ultrashort funds more alluring now, as they generally are less volatile than longer-term funds, says Mary Ellen Stanek, chief investment officer at Baird Advisors. 'Why take risks in this part of your portfolio,' she says, when investors generally hold bonds for safety and stability. A net total of $1.46 billion flowed into ultrashort bond mutual funds and exchange-traded funds in the year ended Feb. 28, according to Morningstar."
The WSJ piece tells us, "Two ultrashort-term bond funds that are highly rated by Morningstar are Fidelity Conservative Income Bond Fund (FCONX) and DFA One-Year Fixed Income Portfolio (DFIHX), both of which have low fees, according to analysts. The Fidelity fund's annual expense ratio is 0.35%, while the DFA fund's ratio is 0.17%."
Finally, it adds, "Through March, the Fidelity fund had annualized returns of 2.36% for one year, 1.58% for three years and 1.08% for five years, according to Morningstar. Its trailing 12-month yield is 2.33%.... Through March, the DFA fund had annualized returns of 2.53% for one year, 1.33% for three years and 0.97% for five years, according to Morningstar. Its trailing 12-month yield is 2.01%." (See also, yesterday's "Link of the Day," "Barron's on Ultra-Short Alternatives," and let us know if you'd like to see our latest Bond Fund Intelligence newsletter.)
