The September issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Thursday, features the articles: "Liquidity, Liquidity & Liquidations: Reform Deadline Nears," which reviews the latest Prime and Tax Exempt changes and liquidations; "Western Asset's Green, Bonczek & Rose on MMFs," which profiles Zak Green, John Bonczek and Justin Rose; and "MFI International Review: LVNAV Coming Soon; Sterling," which reviews the latest on European and "offshore" money funds. We have updated our Money Fund Wisdom database query system with August 31, 2016, performance statistics, and also sent out our MFI XLS spreadsheet Thursday. (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 Monday, Sept. 12, and our Sept. Bond Fund Intelligence is scheduled to go out Thursday, Sept. 15.
MFI's lead "Liquidity" article says, "With just over a month to go until the SEC's major Money Fund Reforms go live, Prime and Municipal outflows and liquidations have accelerated. WAMs fell sharply and liquidity jumped in August. We discuss the liquidity focus and latest round of liquidations and fund changes below."
It adds, "The number of money funds tracked by Crane Data fell by 40 in the latest month to 998, the first time the number of MMFs has fallen below 1,000 in the 10 years Crane Data has been publishing. Over the past 12 months, we've deleted 218 funds, or 17.9%. Tax Exempt MMFs have declined by 65 to 120 over this period, a drop of 35.1%."
Our latest fund interview reads, "This month, MFI interviews several the key members of Western Asset Management's Liquidity Business, including Client Service Executives John Bonczek and Zak Green, and Head of Liquidity Justin Rose. The three discuss the current cash environment, both in the U.S. and "offshore," and recent changes at Western, which is owned by Legg Mason. Our Q&A follows."
The article says, "Give us a little bit of history. Green: Western has been involved in running cash in various products since its inception in 1971. We acquired Citi Asset Management in December 2005, which ... we still manage today largely with the same team. Those funds date back to around 1990. Bonczek: We always like to point out that for the most part, the investment and credit research team has been in place from the Citigroup days. [They have] an average tenure of 22 years."
The "MFI International" article explains, "The European money market fund industry continues to await new regulations which should establish LVNAV, or limited volatility funds at some point in the next couple of years. Euro MMFs also soldier on through negative rates, while Sterling funds are seeing a surprising surge in assets. With Crane's 4th annual European Money Fund Symposium taking place later this month (Sept. 20-21) in London, we thought it would again be a good time to take a look at the latest trends in Ireland and Luxembourg-domiciled funds -- including assets, largest funds and fund managers, and yields. The two big themes continue to be negative yields and pending regulatory changes."
In a sidebar, we discuss, "LIBOR Spike Gets Attention." This brief says, "J.P. Morgan Securities summed up the flurry of commentary and interest, writing, "Focus in the short-term fixed income markets was centered on Libor's ascent.... Though the pace of increase slowed somewhat relative to prior weeks, it continued to make new multi-year highs." We also do a sidebar on "CME, CFTC Ban Prime MFs," which says, "CME Clearing, a division of the CME Group that clears futures, options and swaps, released a statement entitled, "IEF2 Impact Due to Recent CFTC Staff Interpretation on Prime Money Market Funds" late last month. (See our August 25 News.)"
Our September MFI XLS, with August 31, 2016, data, shows total assets increased $19.3 billion in August to $2.643 trillion after increasing $11.6 billion in July, decreasing $13.8 billion in June, $9.9 billon in May, and $42.0 billion in April. Our broad Crane Money Fund Average 7-Day Yield was flat at 0.12% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.23% (7-day).
On a Gross Yield Basis (before expenses were taken out), the Crane MFA inched up to 0.45% and the Crane 100 was flat at 0.48%. Charged Expenses averaged 0.32% and 0.25% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 30 days (down 1 day from last month) and for the Crane 100 was 29 days (down 2 days). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
