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Money Fund Yields Surge on Higher CP, ABCP Levels, Treasury Bounce. August's credit crisis in sectors of the asset-backed commercial paper market and wild swings in Treasury yields are now being reflected in money market mutual fund rankings and averages. Our Crane 100 Money Fund Index, the average 7-day current yield of the 100 largest money funds, fell from 5.01% to 4.89% from August 10 through August 24, but then surged 15 bps to 5.04% in the week ended 8/31. A recovery in Treasury and government yields, coupled with a surge in LIBOR (used to price some floating rate notes) and some near 6.0% yields on selected ABCP securities, has pushed fund yields higher across the board and has caused rare movement in the top-rankings tables. The top-ranked funds are yielding over 1/4% more than they were prior to the crisis. (See daily "Top 5" above). While expenses normally account for over half of the difference in money fund returns, recent volatility has allowed the swift and the bold to outperform their competitors. Expect to see more movement in coming days too, as these yields continue to work their way through fund portfolios, which have an average maturity profile of 33 days.
