Yields on money market funds and rates on brokerage sweep accounts both fell sharply in the week following the Federal Reserve's surprise 50 basis point rate cut, and there's likely a lot more where that came from. Our flagship Crane 100 Money Fund Index fell 13 basis points to 1.29%, according to yesterday's Money Fund Intelligence Daily (with data as of 3/6). (Note: It fell another 6 bps yesterday/Monday to 1.23%.) The Crane 100 is down from 1.46% at the start of the year and down 94 bps from the beginning of 2019 (2.23%). The Crane Brokerage Sweep Index fell to 0.10% (for balances of $100K), down from 0.14% a week ago and down 18 bps from the end of 2018 (0.28%). Our latest Brokerage Sweep Intelligence, with data as of Friday, March 6, shows six out of 11 major brokerages cut rates in the past week. Yields should continue towards zero as markets anticipate yet another emergency Fed rate cut in coming days.
The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 677), shows a 7-day yield of 1.17%, down 12 basis points in the week through Friday, March 6. Prime Inst MFs were down 11 bps to 1.39% in the latest week, while Government Inst MFs fell by 12 bps to 1.26% and Treasury Inst MFs dropped by 13 bps to 1.19%. Treasury Retail MFs currently yield 0.90%, (down 15 bps), Government Retail MFs yield 0.96% (down 11 bps), and Prime Retail MFs yield 1.19% (down 12 bps), Tax-exempt MF 7-day yields increased 0.04% to 0.78%.
Yesterday's Brokerage Sweep Intelligence shows that Fidelity, Merrill Lynch, Morgan Stanley, Charles Schwab and UBS all lowered rates across the board in the past week, while E*Trade dropped their rates on balances of $500K and up. Fidelity cut rates on all tiers by 25 basis points. For $100K balances, they fell from 0.82% to 0.57%.
Merrill Lynch also trimmed rates; their $100K balance tier now pays 0.01%. Morgan Stanley cut its rates; its $100K balance declined from 0.03% to 0.01%. Schwab and UBS also dropped rates for all tiers. Schwab's $100K balance shifted from 0.06% down to 0.01%, while UBS' $100K tier dropped from 0.05% to 0.01%. E*Trade cut rates among its higher tiers, with their $100K balance remaining at 0.01%. No brokerage sweep rates or money fund yields have dropped to zero or gone negative to date, but this could become a distinct possibility in coming weeks or months.
Crane's Brokerage Sweep Index fell four basis points to 0.10% in the week ended March 6 (for balances of $100K.) E*Trade, TD Ameritrade, Merrill Lynch, Morgan Stanley, Schwab and UBS all currently have the lowest rate (0.01%) for balances at the $100K level. Meanwhile, Fidelity continues to have the highest sweep rate (0.57%), though its rate fell by 25 bps on the week. (Fidelity also has a higher-yielding money fund option for new accounts.) Wells Fargo is paying 0.05%, Ameriprise is paying 0.08% and RW Baird is paying 0.33% for balances of $100K.
Our MFI Daily, with data as of March 6, shows money fund assets have risen $69.9 billion over the past week (and month to date) to $4.036 trillion. Crane Data's daily collection totals broke above the $4.0 trillion level for the first time ever late last week, as assets jumped with market volatility. Prime assets were up $9.0 billion, while Government assets jumped by $61.1B. Tax-Exempt MMFs decreased $180 million.
In other news, Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be released later today, and we'll be writing our normal monthly update on the Feb. 29 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, and we posted these to the website yesterday. (We continue to merge the two series, and the N-MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of Feb. 29, 2020, includes holdings information from 1,082 money funds, representing assets of a record $4.031 trillion (unchanged from last month). MMFs totaled over $4.0 trillion for the first time ever in January, according to the SEC's data series. We review the latest N-MFP data below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds totaling $1,326 billion (up from $1,308 billion), or 32.9% of all assets. Treasury holdings total $1,047 billion (up from $1,038 billion), or 26.0%, and Government Agency securities totaled $777.1 billion (down from $787.7 billion), or 19.3%. Holdings of Treasuries, Government agencies and Repo (the vast majority of which is backed by Treasuries and agencies) combined total $3.144 trillion, or 78.0% of all holdings.
Commercial paper (CP) totals $338.2 billion (down from $340.3 billion), or 8.4%, and Certificates of Deposit (CDs) total $292.1 billion (down from $295.3 billion), or 7.2%. The Other category (primarily Time Deposits) totals $156.8 billion (down from $163.9 billion), or 3.9%, and VRDNs account for $94.1 billion (down from $98.2 billion last month), or 2.3%.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $209.9 billion, or 5.2%, in Financial Company Commercial Paper; $63.4 billion or 1.6%, in Asset Backed Commercial Paper; and, $64.9 billion, or 1.6%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($774.0B, or 19.2%), U.S. Govt Agency Repo ($491.2B, or 12.2%) and Other Repo ($60.8B, or 1.5%).
The N-MFP Holdings summary for the 220 Prime Money Market Funds shows: CP holdings of $332.3 billion (down from $334.2 billion), or 30.0%; CD holdings of $292.1 billion (down from $295.3 billion), or 26.4%; Repo holdings of $220.6 billion (up from $213.1 billion), or 19.9%; Other (primarily Time Deposits) holdings of $107.9 billion (down from $113.1 billion), or 9.8%; Treasury holdings of $103.4 billion (up from $91.1 billion), or 9.3%; Government Agency holdings of $45.0 billion (down from $69.1 billion), or 4.1%; and VRDN holdings of $5.2 billion (down from $5.3 billion), or 0.5%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $209.9 billion (down from $226.9 billion), or 19.0% in Financial Company Commercial Paper; $63.4 billion (up from $59.4 billion) or, 5.7% in Asset Backed Commercial Paper; and $59.0 billion (up from $47.9 billion), or 5.3% in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($74.4 billion, or 6.7%), U.S. Govt Agency Repo ($85.6 billion, or 7.7%), and Other Repo ($60.5 billion, or 5.5%).
