The September issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Thursday morning, features the articles: "Short & Shorter: Record Low WAMs, Record High Repo," which discusses how short maturities have gotten; "EFAMA Fact Book Reviews European Money Funds in '21," which reviews statistics on European MMFs; and, "Lobbying Steps Up as SEC Prepares Final MMF Rules," which quotes from a recent ignites piece. We also sent out our MFI XLS spreadsheet earlier, and we've updated our database with 8/31/22 data. Our September Money Fund Portfolio Holdings are scheduled to ship on Monday, Sept. 12, and our September Bond Fund Intelligence is scheduled to go out on Thursday, Sept. 15. (Note: Our MFI, MFI XLS and Crane Index products are all available to subscribers via our Content center.)
MFI's "Short & Shorter" article says, "Weighted average maturities, or WAMs, of money market funds just keep getting shorter. The average WAM for Taxable money funds fell by 3 days to 18 days, down from 36 days at the start of the year and the lowest level ever. The maximum WAM for money funds was originally 120 days until the early 1990s, when it was reduced to 90 days. Then, it was cut to 60 days with the 2014 MMF Reforms. (The WAM measures how long, on average, portfolios turn over and reflect Fed rate hikes or cuts.)"
It continues, "WALs, or weighted average life, are also hitting record lows. Our Crane Money Fund Average for WALs sank to 61 days from 64 days in August, the lowest level since reporting began on this data point in 2014. (The SEC added a mandate that WAL, which doesn't include maturity adjustments for floating rate securities, be a maximum of 120 days.)"
Our "EFAMA Fact Book" piece explains, "A press release entitled, 'EFAMA publishes 2022 Industry Fact Book,' tells us, 'The European Fund and Asset Management Association (EFAMA) has released its 2022 Industry Fact Book. The 2022 Fact Book provides an in-depth analysis of trends in the European fund industry, with an emphasis on what happened in 2021. It also includes an extensive overview of the regulatory developments across 28 European countries and a wealth of data.' (`Note: EFAMA's Federico Cupelli will speak at our upcoming European Money Fund Symposium, which is Sept. 27-28 in Paris, France. We hope to see you there!)"
It also says, "EFAMA Director General Tanguy van de Werve comments, 'Beyond providing in-depth analysis of recent trends in the European investment fund industry, this year's ... Fact Book analyses several issues highly relevant for our industry, including ... some proposals to amend the money market funds regulation.'"
Our "SEC" piece states, "Last week, mutual fund news source ignites brought pending Money Fund Reforms back into the headlines with the piece, 'Shops Step Up Pressure on SEC to Revamp Money Fund Rules.' They explain, 'Industry firms and their trade groups appear to be making a last-ditch effort to convince the Securities and Exchange Commission to change several key parts of its money market fund rule proposal. The agency seeks to put out the final rule in October, according to its regulatory agenda. But some large money fund sponsors have argued that if the proposed rule is adopted in its current form, it would kill institutional prime funds and hurt government money funds.'"
MFI writes, "The ignites update tells us, 'The proposal was first floated in December and comments on it were due in April. On Aug. 10, nearly 30 industry executives met remotely with Securities and Exchange Commission officials about the proposed rule, disclosures show. The shops represented at that meeting included the largest managers of money funds: Fidelity, BlackRock, Vanguard, JPMorgan, Federated Hermes, Schwab and T. Rowe Price. The firms are members of the asset management group of the Securities Industry and Financial Markets Association, which organized the meeting.... The SEC's disclosure about the meeting states only that the money fund rule proposal was discussed, but does not provide details.'"
MFI also includes the News brief, "Money Fund Yield Average Hits 2.0%. Our Crane 100 Money Fund Index (7-Day Yield) rose 41 basis points in August to 2.00%, its highest level since June 2019. Our broader Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 740), rose to 1.84% last month."
Another News brief, "Big Rates Hikes to Continue, Stick Around, Says Powell in Jackson Hole," explains, "Federal Reserve Board Chair Jerome Powell spoke on 'Monetary Policy and Price Stability’ recently in Jackson Hole, Wyoming, and indicated that interest rate hikes will keep coming until inflation is back at 2%. He says, 'The Federal Open Market Committee's (FOMC) overarching focus right now is to bring inflation back down to our 2 percent goal.'"
A third News brief, "MMF Assets Flat, But Prime Grows," says, "Money fund assets inched higher in August, rising $2.3 billion to $5.044 trillon, according to Crane Data. Prime MMFs increased by $44.7 billion to $950.3 billion. ICI's weekly 'Money Market Mutual Fund' assets series shows money fund assets inching lower in the latest week, the 4th decline in the past 5 weeks."
Also, a sidebar, "SEC on MMFs & Treasuries," states, "The Securities & Exchange Commission's Division of Investment Management Analytics Office published, 'Money Market Funds in the Treasury Market,' which reviews Government money market fund investments in Treasuries and repos over the past decade. The authors write, 'This study analyzes portfolio holdings data filed by money market funds (MMFs) on Form N-MFP to gain insights about these funds' activity in the Treasury market. Since March 2020 the MMF industry, including both government and prime MMFs, increased investments in Treasury securities and Treasury repurchase agreements supporting Treasury auctions and repo market functioning. MMFs are also the main investors in the Federal Reserve's reverse repo facility supporting monetary policy implementation.'"
Our September MFI XLS, with August 31 data, shows total assets increased $2.3 billion to $5.044 trillion, after increasing $26.0 billion in July and $31.9 billion in June, but decreasing $10.7 billion in May and $74.3 billion in April. MMFs increased $24.1 billion in March, decreased $34.6 billion in February and decreased $128.1 billion in January. Assets increased $104.6 billion in December, $49.7 billion in November and $20.5 billion October. Our broad Crane Money Fund Average 7-Day Yield was up 41 bps to 1.84%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 38 bps to 2.00% in August.
On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 2.25% and 2.29%, respectively. Charged Expenses averaged 0.41% and 0.29% for the Crane MFA and the Crane 100. (We'll revise expenses on Friday once we upload the SEC's Form N-MFP data for 8/31/22.) The average WAM (weighted average maturity) for the Crane MFA was a record low 19 days (down 3 days from previous month) while the Crane 100 WAM decreased 4 days to 19 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
