Japan’s money market funds (in Japan denominated
“money management funds”) display a remarkable variety of cash-management
strategies. While in general they invest
predominantly in sovereign bonds and short-term commercial paper, the more
liquid part of their portfolios shows a staggering divergence, with one fund
leaning heavily on call loans, one on swaps, one on repos, and occasionally one
that leans on term deposits or certificates of deposit (CDs). Here we will look at detailed data from
securities filings for some of the MMFs authorized in Japan – both domestic (14
in total) and foreign.
N.B.: Although the documents cited below have different
cutoff dates, for reference it is worth noting that at 31 December 2013 the
Bank of Japan’s official exchange rate was USD 1 = JPY 105.37.
Daido MMF
Name in Japanese:
|
大同のＭＭＦ（マネー・マネージメント・ファンド）
|
EDINET*code no.:
|
G01850
|
Total assets (as of date):
|
JPY 18.911 bln (2013-11-30)
|
Weighted average maturity (as of date):
|
36 days
(2014-02-28)
|
Launch date:
|
1992-05-08
|
Country of registration:
|
Japan
|
Fund manager:
|
|
Fund custodian:
|
|
Performance over one year (as of date):
|
+ 0.059%
(2014-02-28)
|
*This is the number used to
identify the fund in the EDINET
online disclosure platform operated by Japan’s Financial Services Agency (金融庁).
As of 30 November 2013 the fund had JPY 18.911 bln in total
assets, with the following composition:
Category
|
Amount (JPY)
|
Percentage
|
Money held in trust (金銭信託)
|
29,448
|
0.00
|
Call loans (コール・ローン)
|
2,108,876,774
|
11.15
|
National government bonds (国債証券)
|
10,399,099,413
|
54.99
|
Local government bonds (地方債証券)
|
100,413,896
|
0.53
|
Special bonds (特殊債券)
|
1,201,938,738
|
6.36
|
Corporate bonds (社債券)
|
0
|
0.00
|
Commercial paper (コマーシャル・ペーパー)
|
0
|
0.00
|
Repurchase agreement transactions (現先取引勘定)
|
5,099,286,000
|
26.97
|
Accrued interest (未収利息)
|
868,411
|
0.00
|
Prepaid expenses (前払費用)
|
196,343
|
0.00
|
Total:
|
18,910,709,023
|
100.00
|
Resona MMF
Name in Japanese:
|
りそなＭＭＦ（マネー･マネージメント・ファンド）
|
EDINET*code no.:
|
G02036
|
Total assets (as of date):
|
JPY 19.009 bln (2013-12-31)
|
Weighted average maturity (as of date):
|
53 days
(2014-02-28)
|
Launch date:
|
1992-06-30 (as “Asahi Tokyo MMF”)
|
Country of registration:
|
Japan
|
Fund manager:
|
|
Fund custodian:
|
|
Performance over one year (as of date):
|
+ 0.05% (2014-02-28)
|
As of 31 December 2013 the fund had JPY 19.009 bln in
total assets, with the following composition:
Category
|
Amount (JPY)
|
Percentage
|
Money held in trust (金銭信託)
|
0
|
0.00
|
Call loans (コール・ローン)
|
2,011,995,726
|
10.58
|
National government bonds (国債証券)
|
12,997,685,215
|
68.38
|
Local government bonds (地方債証券)
|
0
|
0.00
|
Special bonds (特殊債券)
|
0
|
0.00
|
Corporate bonds (社債券)
|
0
|
0.00
|
Commercial paper (コマーシャル・ペーパー)
|
0
|
0.00
|
Repurchase agreement transactions (現先取引勘定)
|
3,999,640,000
|
21.04
|
Accrued interest (未収利息)
|
19,742
|
0.00
|
Prepaid expenses (前払費用)
|
0
|
0.00
|
Total:
|
19,009,340,683
|
100.00
|
Shinko MMF
Name in Japanese:
|
新光ＭＭＦ（マネー・マネージメント・ファンド）
|
EDINET*code no.:
|
G02200
|
Total assets (as of date):
|
JPY 58.207 bln (2013-11-30)
|
Weighted average maturity (as of date):
|
49-57 days
(2014-02-27)
|
Launch date:
|
1992-05-08
|
Country of registration:
|
Japan
|
Fund manager:
|
|
Fund custodian:
|
|
Performance over one year (as of date):
|
+ 0.06%
(2014-02-28)
|
As of 30 November 2013 the fund had JPY 58.207 bln in
total assets, with the following composition:
Category
|
Amount (JPY)
|
Percentage
|
Money held in trust (金銭信託)
|
384,010
|
0.00
|
Call loans (コール・ローン)
|
7,413,000,000
|
12.74
|
National government bonds (国債証券)
|
32,795,980,327
|
56.34
|
Local government bonds (地方債証券)
|
0
|
0.00
|
Special bonds (特殊債券)
|
0
|
0.00
|
Corporate bonds (社債券)
|
0
|
0.00
|
Commercial paper (コマーシャル・ペーパー)
|
17,997,139,338
|
30.92
|
Repurchase agreement transactions (現先取引勘定)
|
0
|
0.00
|
Accrued interest (未収利息)
|
16,028
|
0.00
|
Prepaid expenses (前払費用)
|
0
|
0.00
|
Total:
|
58,206,519,703
|
100.00
|
JA MMF
The “JA” in the fund’s name stands for “Japan
Agriculture”, referring to the Agriculture-Foresty Central Cooperative Bank (農林中央金庫 – nōrin chūō kinko), known in English as
Norinchukin Bank.
Name in Japanese:
|
ＪＡのＭＭＦ（マネー・マネージメント・ファンド）
|
EDINET*code no.:
|
G02614
|
Total assets (as of date):
|
JPY 52.382 bln (2013-08-31)
|
Weighted average maturity (as of date):
|
not published; must be kept below 180 days
|
Launch date:
|
2001-02-28
|
Country of registration:
|
Japan
|
Fund manager:
|
|
Fund custodian:
|
|
Performance over one year (as of date):
|
+ 0.067%
(2014-02-28)
|
As of 31 August 2013 the fund had JPY 52.382 bln in total
assets, with the following composition:
Category
|
Amount (JPY)
|
Percentage
|
Money held in trust (金銭信託)
|
444,834
|
0.00
|
Call loans (コール・ローン)
|
2,755,468,054
|
5.26
|
National government bonds (国債証券)
|
14,998,803,528
|
28.63
|
Local government bonds (地方債証券)
|
0
|
0.00
|
Special bonds (特殊債券)
|
4,112,623,966
|
7.85
|
Corporate bonds (社債券)
|
503,756,786
|
0.96
|
Commercial paper (コマーシャル・ペーパー)
|
10,998,580,000
|
21.00
|
Repurchase agreement transactions (現先取引勘定)
|
18,996,580,000
|
36.27
|
Accrued interest (未収利息)
|
13,091,377
|
0.02
|
Prepaid expenses (前払費用)
|
3,049,447
|
0.01
|
Total:
|
52,382,253,083
|
100.00
|
Daiwa Gaika MMF
Name in Japanese:
|
ダイワ外貨 ＭＭＦ
|
EDINET*code no.:
|
G05809
|
Total assets (as of date):
|
JPY 479.266 bln
(2013-07-31)
|
Weighted average maturity (as of date):
|
USD portfolio:
40 days (2013-06-30)
AUD portfolio:
42 days (2013-06-30)
CAD portfolio:
40 days (2013-06-30)
NZD portfolio:
40 days (2013-06-30)
|
Launch date:
|
1996-07-24
|
Country of registration:
|
Ireland
|
Fund manager:
|
SMT Fund Services (Ireland) Limited, Dublin, Ireland
|
Fund custodian:
|
SMT Trustees (Ireland) Limited, Dublin, Ireland
|
Fund operator:
|
Daiwa Asset Management (Europe) Limited
|
Fund’s principal web page in Japan:
|
|
Performance over one year (as of date):
|
USD portfolio:
+ 0.15319% (2013-07-31)
AUD portfolio:
+ 2.45198% (2013-07-31)
CAD portfolio:
+ 0.62345% (2013-07-31)
NZD portfolio:
+ 1.86607% (2013-07-31)
|
This is a money market fund created and licensed in Ireland by an Irish
subsidiary of a major Japanese firm, but also licensed and sold in Japan. It contains four portfolios: a US dollar
portfolio, an Australian dollar portfolio, a Canadian dollar portfolio (very
small), and a New Zealand dollar portfolio.
US Dollar Portfolio
As of 31 July 2013 the portfolio had USD 3.135 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Government bonds (政府債)
|
France, Austria
|
1.77
|
Corporate bonds (社債)
|
Australia, Canada
|
0.32
|
Commercial paper (コマーシャル・ペーパー)
|
Netherlands, Germany, Australia, Sweden, France,
Norway, Japan, UK, Finland, Canada, Belgium
|
54.69
|
Negotiable CDs (譲渡性預金証書)
|
UK, Japan, Australia
|
27.62
|
Term deposits (定期預金)
|
USA
|
15.60
|
Banker’s acceptances (銀行引き受け手形)
|
0.00
|
|
Cash and other assets (net of liabilities) (現金およびその他の資産(負債控除後))
|
0.00
|
|
Total
|
100.00
|
The largest individual CDs were from Sumitomo Mitsui
Trust in the UK (one CD for USD 120 mln at 0.22%), from Mitsubishi UFJ Trust in
the UK (one for USD 65 mln at 0.24%), from Sumitomo Mitsui Banking in the UK
(one for USD 60 mln at 0.22%, one for USD 55 mln at 0.22%), from Shizuoka Bank
in Japan (one for USD 50 mln at 0.23%, one for USD 45 mln at 0.23%), from
Mizuho Corporate Bank Sydney in Australia (one for USD 50 mln at 0.27%, one for
USD 45 mln at 0.26%), and from Norinchukin Bank in Japan (one for USD 44 mln at
0.24%, one for USD 44 mln at 0.23%).
Australian Dollar Portfolio
As of 31 July 2013 the portfolio had AUD 1.386 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Government bonds (政府債)
|
Australia, Finland
|
2.10
|
Corporate bonds (社債)
|
International entities, Australia, Netherlands,
Germany
|
12.77
|
Commercial paper (コマーシャル・ペーパー)
|
Germany, Australia, France, Netherlands, Norway,
Japan, UK
|
58.89
|
Negotiable CDs (譲渡性預金証書)
|
Australia
|
12.31
|
Term deposits (定期預金)
|
Australia
|
13.63
|
Banker’s acceptances (銀行引き受け手形)
|
0.00
|
|
Cash and other assets (net of liabilities) (現金およびその他の資産(負債控除後))
|
0.32
|
|
Total
|
100.00
|
The largest individual CDs were from Mizuho Corporate
Bank Sydney in Australia (one for AUD 37 mln at 2.77%, one for AUD 31 mln at
2.89%), from Bank of Tokyo Mitsubishi in Australia (one for AUD 35 mln at
2.79%, one for AUD 18 mln at 2.76%, one for AUD 13 mln at 2.79%), and from
Sumitomo Mitsui Financial Group Australia in Australia (one for AUD 22 mln at
2.75%, one for AUD 15 mln at 2.79%).
Canadian Dollar Portfolio
As of 31 July 2013 the portfolio had CAD 0.052 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Government bonds (政府債)
|
Canada
|
32.81
|
Corporate bonds (社債)
|
Australia, Canada
|
10.80
|
Commercial paper (コマーシャル・ペーパー)
|
Germany
|
7.62
|
Negotiable CDs (譲渡性預金証書)
|
Japan
|
5.72
|
Term deposits (定期預金)
|
Canada
|
15.14
|
Banker’s acceptances (銀行引き受け手形)
|
Canada
|
27.42
|
Cash and other assets (net of liabilities) (現金およびその他の資産(負債控除後))
|
0.49
|
|
Total
|
100.00
|
The largest individual CD was from Sumitomo Mitsui
Banking in Japan (CAD 3.0 mln at 1.00%).
The largest individual banker’s acceptances were from Canadian Imperial
Bank (one for CAD 2.8 mln at 1.10%, one for CAD 0.6 mln at 1.09%, one for CAD
0.5 mln at 1.11%), National Bank of Canada (one for CAD 2.3 mln at 1.09%, one
for CAD 1.7 mln at 1.10%), Bank of Nova Scotia (one for CAD 1.9 mln at 1.09%,
one for CAD 0.5 mln at 1.09%), Bank of Montreal (one for CAD 1.8 mln at 1.10%,
one for CAD 1.8 mln at 1.09%, one for CAD 0.5 mln at 1.10%).
New Zealand Dollar Portfolio
As of 31 July 2013 the portfolio had NZD 0.564 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Government bonds (政府債)
|
0.00
|
|
Corporate bonds (社債)
|
UK, USA
|
5.50
|
Commercial paper (コマーシャル・ペーパー)
|
Germany, France, Australia, Netherlands, UK, Norway,
Japan
|
69.99
|
Negotiable CDs (譲渡性預金証書)
|
Australia, UK
|
9.38
|
Term deposits (定期預金)
|
New Zealand
|
15.22
|
Banker’s acceptances (銀行引き受け手形)
|
0.00
|
|
Cash and other assets (net of liabilities) (現金およびその他の資産(負債控除後))
|
-0.09
|
|
Total
|
100.00
|
The largest individual CDs were from Mizuho Corporate
Bank Sydney in Australia (one for NZD 27 mln at 2.62%) and from Sumitomo Mitsui
Banking in the UK (one for NZD 26 mln at 2.70%).
Nikko Money Market Fund
Name in Japanese:
|
ニッコウ・マネー・マーケット・ファンド (not to be confused with
the similarly named Nikko Money Management Fund, 日興ＭＭＦ（マネー・マネージメント・ファンド）),
G04952)
|
EDINET*code no.:
|
G05794
|
Total assets (as of date):
|
JPY 521.063 bln
(2013-07-31)
|
Weighted average maturity (as of date):
|
not published; WAM for equities and certificates in
must be kept below 60 days for each portfolio
|
Launch date:
|
2003-08-28
|
Country of registration:
|
Luxembourg
|
Fund manager:
|
SMBC Nikko Investment Fund Management Company S.A.,
Luxembourg (ＳＭＢＣ日興インベストメント・ファンド・マネジメント・カンパニー・エス・エイ)
|
Fund custodian:
|
|
Fund’s principal web page in Japan:
|
|
Performance over one year (as of date):
|
n.a.
|
As noted in an earlier post, this fund is authorized under
Luxembourg law but has its homepage, documentation, and administration in Japan,
and classifies itself for Japanese investors as “domestic” (国内). Similar to the Daiwa Gaika MMF discussed
above, it contains four portfolios: a US dollar portfolio, an Australian dollar
portfolio, a Canadian dollar portfolio (very small), and a New Zealand dollar
portfolio.
US Dollar Portfolio
As of 31 July 2013 the portfolio had USD 2.663 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Bonds (債権)
|
0.00
|
|
Medium-term notes (中期債権)
|
0.00
|
|
Commercial paper (コマーシャル・ペーパー)
|
France, Sweden, Germany, UK, Finland, Hong Kong,
Norway, Netherlands, Australia, New Zealand
|
65.33
|
Certificates of deposit (預金証書)
|
Australia, UK, France
|
25.41
|
Other assets (net of liabilities) (その他の資産(負債控除後))
|
9.26
|
|
Total
|
100.00
|
As of 30 June 2013 (one month earlier than the above
totals) the negotiable CDs held by the portfolio were from HSBC France (one for
USD 80 mln maturing on 2013-07-10, one for for USD 20 mln maturing 2013-07-22),
Norinchukin Bank (two for USD 50 mln each, one maturing 2013-08-07 and one
maturing 2013-08-23), Bank of Tokyo Mitsubishi (one for USD 50 mln maturing
2013-07-31, one for USD 32 mln maturing 2013-09-11, one for USD 18 mln maturing
2013-07-10), Mizuho Corporate Bank (one for USD 25 mln maturing 2013-07-23, one
for USD 18 mln maturing 2013-08-28), Sumitomo Corporation Capital (one for USD
40 mln maturing 2013-08-08), and Sumitomo Mitsui Bank (one for USD 8 mln
maturing 2013-08-12).
Australian Dollar Portfolio
As of 31 July 2013 the portfolio had AUD 2.166 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Bonds (債権)
|
Luxembourg, Australia, Netherlands
|
13.34
|
Medium-term notes (中期債権)
|
USA, Germany, Netherlands
|
2.16
|
Commercial paper (コマーシャル・ペーパー)
|
France, Germany, Netherlands, UK, Australia, USA
|
72.15
|
Certificates of deposit (預金証書)
|
Australia
|
7.32
|
Other assets (net of liabilities) (その他の資産(負債控除後))
|
5.04
|
|
Total
|
100.00
|
As of 30 June 2013 the negotiable CDs held by the
portfolio were from Sumitomo Mitsui Bank (one for AUD 50 mln maturing
2013-07-08, one for AUD 46 mln maturing 2013-07-02), Mizuho Corporate Bank (one
for AUD 60 mln maturing 2013-09-18), and UOB Australia Ltd (one for AUD 50 mln
maturing 2013-08-28).
Canadian Dollar Portfolio
As of 31 July 2013 the portfolio had CAD 73.3 mln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Bonds (債権)
|
Canada
|
19.15
|
Medium-term notes (中期債権)
|
0.00
|
|
Commercial paper (コマーシャル・ペーパー)
|
Germany, France
|
54.50
|
Certificates of deposit (預金証書)
|
0.00
|
|
Other assets (net of liabilities) (その他の資産(負債控除後))
|
26.35
|
|
Total
|
100.00
|
As of 30 June 2013 the portfolio held no CDs.
New Zealand Dollar Portfolio
As of 31 July 2013 the portfolio had NZD 0.782 bln in
total assets, with the following composition:
Category
|
Countries
|
Percentage
|
Bonds (債権)
|
0.00
|
|
Medium-term notes (中期債権)
|
0.00
|
|
Commercial paper (コマーシャル・ペーパー)
|
France, Netherlands, Australia, UK, New Zealand,
Germany
|
78.23
|
Certificates of deposit (預金証書)
|
0.00
|
|
Other assets (net of liabilities) (その他の資産(負債控除後))
|
21.77
|
|
Total
|
100.00
|
As of 30 June 2013 the portfolio held no CDs.
Goldman Sachs US$ Liquid Reserves Fund
Name in Japanese:
|
ゴールドマン・サックスＵＳ＄リキッド・リザーブズ・ファンド
|
EDINET*code no.:
|
G05912
|
Total assets (as of date):
|
USD 28.829 bln
(2013-06-30)
|
Weighted average maturity (as of date):
|
not published; the funds maintains a WAM of less
than 60 days
|
Launch date:
|
1996-08-01
|
Country of registration:
|
Ireland
|
Fund manager:
|
Goldman Sachs Management (Ireland) Limited, Dublin,
Ireland
|
Fund custodian:
|
BNY Mellon Trust Company (Ireland) Limited, Dublin,
Ireland
|
Performance over one year (as of date):
|
+ 0.09%
(2013-06-30)
|
In Japan the “Goldman Sachs US$ Liquid Reserves Fund”
is treated as a sub-fund of the “Goldman Sachs US$ Money Market Fund” (ゴールドマン・サックス・米ドル・ＭＭＦ), which is the sole component of the master, umbrella
fund “Goldman Sachs Money Market Funds” (ゴールドマン・サックス・ＭＭＦ), established in Ireland in 1994. This master fund is itself a sub-fund of
Goldman Sachs Funds Plc of Dublin, Ireland.
Outside of Japan the “Goldman Sachs US$ Liquid Reserves Fund” is treated
directly as a sub-fund of Goldman Sachs Funds Plc. As of 30 June 2013 the US$ Liquid Reserves
Fund had USD 28.829 bln in total assets, with the following composition:
Category
|
Amount (USD)
|
Percentage
|
Agency securities (政府機関証券)
|
3,808,404,195
|
13.21
|
Corporate bonds (社債) (exclusively from banks)
|
2,360,000,000
|
8.18
|
Government bonds (国債)
|
175,089,563
|
0.61
|
Variable rate obligations (変動利付債)
|
1,500,005,957
|
5.21
|
Certificates of deposit* (譲渡性預金証書)
|
1,254,937,847
|
4.35
|
Commercial paper* (コマーシャル・ペーパー)
|
6,428,031,579
|
22.30
|
Tri-party repurchase agreements* (三者間レポ取引)
|
5,532,000,000
|
19.19
|
Yankee certificates of deposit* (ヤンキー預金証書)
|
3,363,000,999
|
11.66
|
Term deposits (定期預金)
|
4,787,000,000
|
18.79
|
Other assets and liabilities (その他の資産および負債)
|
(378,949,697)
|
(1.31)
|
Total
|
100.00
|
*“Transferable securities other
than those admitted to an official stock exchange listing or traded on a
regulated market” (公認の取引所への上場が認められているまたは規制市場で取引されている以外の譲渡性のある有価証券)
The CDs were from Landesbank Hessen-Thueringen Girozentrale
(one for USD 500 mln at 0.245%, maturing on 2013-08-12), Mizuho Corporate Bank
(one for USD 150 mln at 0.275% maturing on 2013-07-31, one for USD 125 mln at
0.279% maturing on 2013-09-30, one for USD 100 mln at 0.279% maturing on
2013-07-15), Sumitomo Mitsui Trust Bank (three for USD 100 mln each, all at
0.265%, maturing on 2013-07-11, 2013-07-16, and 2013-08-28), and Bank of China
Ltd. (one for USD 60 mln at 0.825% maturing on 2013-09-24, one for USD 20 mln
at 0.825% maturing on 2013-10-09).
The largest individual Yankee CDs were from
Norinchukin Bank (one for USD 545 mln at 0.240% maturing on 2013-09-10), Credit
Suisse (one for USD 500 mln at 0.250% maturing on 2013-08-02), Sumitomo Mitsui
Banking Corp. (one for USD 425 mln at 0.250% maturing on 2013-11-01), Société
Générale (one for USD 418 mln at 0.200% maturing on 2013-07-31), and Mitsubishi
UFJ Trust and Bank Group (one for USD 300 mln at 0.260% maturing on 2013-07-08,
one for USD 300 mln at 0.250% maturing on 2013-07-10).
The term (time) deposits – all of which were to mature
on 1 July 2013 – were with Natixis (USD 1,137 mln at 0.100%), DNB Bank ASA (USD
1,050 mln at 0.030%), Skandinaviska Enskilda Banken AB (USD 1,000 mln at
0.030%), Standard Chartered Bank (USD 500 mln at 0.120%), China Construction
Bank Corp. (one for USD 450 mln and one for USD 400 mln, both at 0.200%), and
U.S. Bank National Association (one for USD 250 mln at 0.100%).
Sources:
Daido
MMF: 大同のＭＭＦ（マネー・マネージメント・ファンド）
- 有価証券報告書－第44期(平成25年6月1日－平成25年11月30日)
(2014-02-28)
Resona
MMF: りそなＭＭＦ（マネー･マネージメント・ファンド）
- 有価証券報告書－第43期(平成25年6月1日－平成25年11月30日)
(2014-02-28)
Shinko
MMF: 新光ＭＭＦ（マネー・マネージメント・ファンド） - 有価証券報告書－第44期(平成25年6月1日－平成25年11月30日) (2014-02-28)
JA MMF: ＪＡのＭＭＦ（マネー・マネージメント・ファンド）-有価証券報告書－第25期(平成25年3月1日－平成25年8月31日) (2013-11-29)
Daiwa Gaika
MMF: ダイワ外貨 MMF - 半期報告書－第17期(平成25年1月1日－平成25年12月31日) (2013-09-27)
Nikko Money
Market Fund: ニッコウ・マネー・マーケット・ファンド - 半期報告書－第22期(平成25年1月1日－平成25年12月31日) (2013-09-30)
Goldman
Sachs US$ Liquid Reserves Fund: ゴールドマン・サックス・ＭＭＦ－ゴールドマン・サックス・米ドル・ＭＭＦ - 訂正有価証券届出書 (2013-09-30)
Mark Pleas
