Our February Money Fund Market Share, with data as of Jan. 31, 2016, shows asset decreases for about half of the largest US money fund complexes in the latest month and increases for most money fund complexes over the past 3 months. Assets decreased by $21.8 billion overall, or 0.8%, in January, but rose by $26.0 billion, or 1.0%, over the past 3 months. For the past 12 months through Jan. 31, total assets are up $61.4 billion, or 2.4%. The biggest gainers in January were Northern, UBS, Fidelity, Schwab, Vanguard and Invesco, rising by $5.8 billion, $3.0B, $2.5B, $2.1B, $1.5B, and $1.3B, respectively. Fidelity, Goldman Sachs, Northern, Schwab, and Morgan Stanley had the largest increases over the 3 months through Jan. 31, 2016, rising by $26.4 billion, $19.4B, $10.2B, $7.0B, and $6.8B, respectively. (Our domestic U.S. "Family" rankings are available in our MFI XLS product, our global rankings are available in our MFI International product, and the combined "Family & Global Rankings" are available to our Money Fund Wisdom subscribers.)
Over the past year through Jan. 31, 2015, Fidelity showed the largest asset increase (up $43.1B, or 10.6%), followed by Morgan Stanley (up $22.2B, or 20.3%), Goldman Sachs (up $14.7B, or 9.7%), SSGA (up $9.2B, or 11.1%), and Vanguard (up $8.7B, or 5.1%). Other asset gainers for the past year include: Northern (up $8.6B, 10.4%), BofA (up $4.3B, or 8.9%), Franklin ($4.2B, 22.6%), BlackRock (up $2.0B, 9.3%), and Wells Fargo (up $2.3B, or 2.0%). The biggest decliners over 12 months include: JP Morgan (down $26.4B, or -10.3%), Invesco (down $7.9B, or -13.0%), Western (down $6.8B, or -15.1%), Dreyfus (down $4.1B, or -2.5%), and Deutsche (down $3.8B, or -11.8%). (Note that money fund assets are volatile month to month.)
Our latest domestic U.S. money fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $448.0 billion, or 16.8% of all assets (up $2.5 billion in January, up $26.4B over 3 mos., and up $43.1B over 12 months). Fidelity was followed by JPMorgan with $229.6 billion, or 8.6% market share (down $4.5B, down $9.9B, and down $14.8B for the past 1-month, 3-mos. and 12-mos., respectively). BlackRock remained the third largest MMF manager with $225.1 billion, or 8.4% of assets (down $9.3B, up $8.0B, and up $3.2B). Federated Investors was fourth with $211.9 billion, or 7.9% of assets (up $7.2B, up $5.7B, and down $4.0B). Vanguard remained in fifth place with $179.3 billion, or 6.7%, (up $2.1B, up $3.5B, and up $5.7B).
Goldman Sachs moved ahead of Schwab and Dreyfus to become the sixth largest MMF managers, with $167.8 (6.3%) billion in total, while Schwab ($164.5B, 6.1%) stayed in seventh place. Dreyfus fell to eighth place with $163.0B (6.1%). Also, Morgan Stanley moved up a spot to ninth place with $131.0B (4.9%), dropping Wells Fargo to tenth place with $122.8B (4.6%). The eleventh through twentieth largest U.S. money fund managers (in order) include: SSgA ($95.7B, or 3.6%), Northern ($85.3B, or 3.2%), BofA ($51.7B, or 1.9%), which moved ahead of Invesco ($51.6B, or 1.9%), Western Asset ($44.0B, or 1.6%), First American ($40.0B, or 1.5%), UBS ($36.8B, or 1.4%), Deutsche ($30.5B, or 1.1%), Franklin ($23.6B, or 0.9%), and RBC ($16.1B, or 0.6%), which displaced American Funds from the top 20. Crane Data currently tracks 65 U.S. MMF managers, the same number as last month.
When European and "offshore" money fund assets -- those domiciled in places like Dublin, Luxembourg, and the Cayman Islands -- are included, the top 10 managers match the U.S. list, except for Goldman moving up to No. 4 (dropping Vanguard to 7). Looking at the largest Global Money Fund Manager Rankings, the combined market share assets of our MFI XLS (domestic U.S.) and our MFI International ("offshore"), the largest money market fund families are: Fidelity ($454.3 billion), JPMorgan ($352.2 billion), BlackRock ($318.1 billion), Goldman Sachs ($254.7 billion), and Federated ($220.0 billion). Dreyfus/BNY Mellon ($187.6B), Vanguard ($180.8B), Schwab ($166.5B), Morgan Stanley ($153.8B), and Wells Fargo ($118.8B) round out the top 10. These totals include offshore US Dollar money funds, as well as Euro and Pound Sterling (GBP) funds converted into US dollar totals.
Finally, our February Money Fund Intelligence and MFI XLS show that both net and gross yields increased in January after jumping in December on the Fed hike. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 815), rose 3 basis points to 0.09% for the 7-Day Yield (annualized, net) Average, while the 30-Day Yield also went up 3 basis points 0.08%. The Gross 7-Day Yield was 0.30% (up 4 basis points), while the Gross 30-Day Yield was 0.29% (up 5 basis points). Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 0.18 (up 5 basis points) and an average 30-Day Yield of 0.16% (up from 0.10%). The Crane 100 shows a Gross 7-Day Yield of 0.37% (up 5 basis points), and a Gross 30-Day Yield of 0.35% (up 6 basis points). For the 12 month return through 1/31/16, our Crane MF Average returned 0.03% (and our Crane 100 returned 0.05%. The number of funds rose to 1,167, up one from last month.
Our Prime Institutional MF Index (7-day) yielded 0.20% (up 2 bps) as of Jan. 31, while the Crane Govt Inst Index was 0.10% (up 4 basis points) and the Treasury Inst Index was 0.07% (up 3 bps). The Crane Prime Retail Index yielded 0.05% (up 2 bps), while the Govt Retail Index yielded 0.03% (up 2 bps) and the Treasury Retail Index was 0.02% (up 1 bps). The Crane Tax Exempt MF Index yielded 0.01% (unchanged). The Gross 7-Day Yields for these indexes were: Prime Inst 0.45% (up 6 basis points from last month), Govt Inst 0.29% (up 6 bps), Treasury Inst 0.21% (up 4 bps), and Tax Exempt 0.11% (up 1 bp) in January. The Crane 100 MF Index returned on average 0.01% for 1-month, 0.02% for 3-month, 0.01% for YTD, 0.05% for 1-year, 0.03% for 3-years (annualized), 0.04% for 5-year, and 1.24% for 10-years. (Contact us if you'd like to see our latest MFI XLS, Crane Indexes file or market share numbers.)
In other news, Barclays money market strategist Joseph Abate discusses GCF Settlement and T-Bill supply in his latest "US Weekly Money Market Update." He writes, "The largely arcane trade settlement details in the blind, brokered inter-dealer GCF repo market have suddenly become a hot topic. Recall that the GCF market is a centrally cleared platform, with the Fixed Income Clearing Corporation (FICC) acting as the counterparty to every sale and purchase. Since trades are with a single, central counterparty, sales and purchases of the same collateral type net. Volume in the market -- term and overnight -- is about $300bn/day and is concentrated in Treasuries and MBS. Mechanically, trades in the GCF market are settled via tri-party. Cash and collateral are exchanged in accounts belonging to the FICC at one of the two clearing banks. Until recently, all trades in tri-party required copious amounts of intra-day credit from the clearing banks. The Federal Reserve has pushed the tri-party market to reduce its reliance on intra-day credit provided by the clearing banks. By mid-2015, intra-day credit was practically eliminated."
He adds, "However, it has proven much harder to remove intra-day credit from a subsector of the tri-party market: trades between GCF members that clear through different clearing banks. These trades account for approximately $45bn of the $300bn daily volume on GCF. Without dwelling too deeply on the finer points of securities clones and the daily unwind process, the removal of intra-day credit here seems intractable given the technological expense and time required. As a result, the FICC will suspend GCF repo clearing across different clearing banks in mid-July 2016."
Finally, Abate says, "The Treasury reduced coupon issuance in order to make room for additional bill supply. We look for bill issuance to increase by $250bn this year. The Treasury will likely increase bill supply by $135bn in February and March to reach its quarter-end cash target of $320bn.... We expect the extra bill supply in February and March to keep the GCF and fed funds rate trading heavy. At the same time, this should reduce money fund demand for the RRP. The Treasury was a bit more hesitant to introduce a new 2m bill maturity than we expected. While the Treasury can increase bill supply by $250bn with its current mix of bill maturities, accomplishing this might be easier if it sold $25bn/week in 2m bills. Our sense is that the Treasury's uncertainty about the scale of the increased demand for government safe assets this year may be keeping it cautious about introducing a new maturity."
