Daily Links Archives: September, 2021

ICI's latest "Money Market Fund Assets" report shows assets declining sharply during the week including the Sept. 15 quarterly tax date, after two weeks of modest declines. Their release says, "Total money market fund assets decreased by $39.69 billion to $4.46 trillion for the week ended Wednesday, September 15, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $34.95 billion and prime funds decreased by $4.35 billion. Tax-exempt money market funds decreased by $395 million." Money fund assets are still up by $167 billion, or 3.9%, year-to-date in 2021. Inst MMFs are up $262 billion (9.5%), while Retail MMFs are down $95 billion (-6.2%). ICI's stats show Institutional MMFs decreasing $39.7 billion and Retail MMFs increasing $2.4 billion in the latest week. Total Government MMF assets, including Treasury funds, were $3.908 trillion (87.5% of all money funds), while Total Prime MMFs were $466.7 billion (10.5%). Tax Exempt MMFs totaled $90.4 billion (2.0%). Over the past 52 weeks, money fund assets have increased by $48 billion, or 1.1%, with Retail MMFs falling by $98 billion (-6.4%) and Inst MMFs rising by $146 billion (5.1%). (Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're almost $400 billion lower than Crane's asset series.) ICI explains, "Assets of retail money market funds increased by $2.37 billion to $1.43 trillion. Among retail funds, government money market fund assets increased by $3.49 billion to $1.14 trillion, prime money market fund assets decreased by $608 million to $216.53 billion, and tax-exempt fund assets decreased by $513 million to $78.99 billion." Retail assets account for just under a third of total assets, or 32.0%, and Government Retail assets make up 79.3% of all Retail MMFs. They add, "Assets of institutional money market funds decreased by $42.06 billion to $3.03 trillion. Among institutional funds, government money market fund assets decreased by $38.44 billion to $2.77 trillion, prime money market fund assets decreased by $3.74 billion to $250.12 billion, and tax-exempt fund assets increased by $118 million to $11.39 billion." Institutional assets accounted for 68.0% of all MMF assets, with Government Institutional assets making up 91.4% of all Institutional MMF totals.

HSBC Asset Management recently posted materials on "Integrating ESG in Liquidity Fund portfolios," which included a brief video on "ESG Integration in money market funds." Barry Harbison tells us, "The term ESG integration is often used when describing how environmental, social and good governance issues are considered as part of an investment strategy. But what does integration mean and where does it fit in the range of ESG investment strategies? Integration is defined by the UN principles and responsible investment as the explicit and systematic inclusion of ESG issues and investment analysis and investment decisions." Jonathan Curry explains, "At HSBC Asset Management, we've integrated ESG factors into our investment processes since 2007 and have been continuously developing our processes to maintain our position as a recognized leader at the forefront of ESG integration." Harbison continues, "ESG factors are integrated across 90 percent of the assets we manage globally, including in the credit analysis of the issuers our money market funds invest in. This helps us to identify and manage risks arising from ESG factors that may impact the financial performance of issuers. As an example, in the past we have removed issuers from our improved credit list based on shortcomings and their governance processes." Curry then says, "ESG integration is clearly an important part of our focus, but we do not believe that relying on ESG integration alone qualifies as investment product to hold itself out as having ESG as part of its investment objective." Harbison comments, "Under the European Sustainable Finance Disclosure Rules, a fund that uses ESG integration alone will likely fall under Article 6, whereas funds that go beyond ESG integration with an investment objective that is actively focused on environmental or social characteristics will fall under Articles 8 or 9." Curry adds, "Our ESG focus money market investment strategy will go beyond ESG integration using ESG scoring and a range of screens to identify the available issues that are better at addressing ESG risk than their peers." For more on ESG and Social MMFs, see these recent Crane Data News stories: "BlackRock Converts Fed Trust to Social MMF; CastleOak Expands Team (9/15/21), "BlackRock Expands ESG Lineup; Files for New Bancroft, Cabrera Shares (8/19/21), "Northern Renames Diversity Shares Siebert Williams; Safened Platform (4/20/21); "Morgan Stanley Files for CastleOak Shares; Bond Fund Symposium Today" (3/25/21); "JP Morgan Launches "Empower" Share Class to Support Minority Banks" (2/24/21); "Invesco Files for Cavu Secs Class" (12/18/20); "ESG and Social MMF Update: Mischler News, Green Deposits, Reg Debate" (12/4/20); "Goldman Launches Social Class; Tiedemann Adds FICA; CS Green ABCP" (1/24/20); "Mischler Financial Joins "Impact" or Social Money Market Investing Wave" (12/5/19); and "Dreyfus Launches "Impact" or Diversity Government Money Market Fund" (11/21/19).

It's been 20 months since Crane Data has hosted a live conference. But that will change next week in Philadelphia, when our Money Fund Symposium conference takes place live, Sept. 21-23. We look forward to seeing many of you at The Loews Philadelphia! We expect virtually all of our attendees to be vaccinated, and we'll of course adhere to whatever health policies the hotel and city have in place. Crane's Money Fund Symposium will take place September 21-23, 2021 at The Loews Hotel, in Philadelphia, Pa. The latest agenda is available and registrations are still being taken. Money Fund Symposium attracts money fund managers, marketers and servicers, cash investors, money market securities dealers, issuers, and regulators. Visit the MF Symposium website at www.moneyfundsymposium.com) for more details. Registration is $750, and hotel reservations are still available. Full refunds will be given for any cancels for any reason, and thanks to our sponsors for their support ... and patience! We hope you'll still join us in Philadelphia next week! (The show will be recorded for those that can't make it, and recordings will be available to Crane Data subscribers the week after the show.) We'd like to encourage attendees, speakers and sponsors not to wait for the last minute to register and make hotel reservations, but we of course understand if you want to wait to monitor conditions. E-mail us at info@cranedata.com to request the full brochure or give us a call if you'd like to discuss the latest attendee list and conditions. Also, register for our virtual (and free) "European Money Fund Symposium, which is scheduled for Oct. 21, 2021, from `9:30am-12:00pm Eastern. (We cancelled our live European MFS in Paris, and have rescheduled this live event to Sept. 27-28, 2022.) Our virtual EMFS session will include a "Welcome to European MF Symposium" from Peter Crane; a "European MMF Update: Ireland, France, UK" with Vanessa Robert of Moody's, Alastair Sewell of Fitch Ratings and Andrew Paranthoiene of S&P Global Ratings; "Regulatory ESG & Ultra-Short Issues" with Patrick Rooney of Irish Funds, James Vincent of Goldman Sachs Asset Mgmt. and Rob Sabatino of UBS Asset Management; and "Senior Portfolio Manager Perspectives," with Deborah Cunningham of Federated Hermes, Joe McConnell of J.P. Morgan Asset Mgmt and Paul Mueller of Invesco. Finally, mark your calendars for our next Money Fund University which is scheduled for Jan. 20-21, 2022, in Boston, Mass and our next Bond Fund Symposium, which is scheduled for Mar. 28-29, 2022 in Newport Beach, California. Let us know if you'd like more details on any of our events, and we hope to see you in Philadelphia in September or in Boston or Newport Beach in 2022!

Federated Hermes Deborah Cunningham writes "No surprises this time," in her latest monthly commentary. She tells us, "Perhaps the most telling part of Powell's speech was the cold water he threw on any optimism the Fed will raise rates soon: 'The timing and pace of the coming reduction in asset purchases will not be intended to carry a direct signal regarding the timing of interest rate liftoff.' The economy, he said, has a 'substantially more stringent test' it must pass for that to happen. But we all knew this, so its characterization by the market as being 'dovish' is misplaced." The Liquidity CIO explains, "The rate move that the Fed has made -- raising the floor on overnight rates -- has continued to help cash managers. With the Reverse Repo Program (RRP) setting the floor at 5 basis points, traditional repo market rates consistently fell between 5 and 6 basis points in August. Usage of the facility remained at record levels. The latter is in part due to the loosening of the criteria to be a participant, with more funds, primary dealers, banks and the like being added. The elevated use also reflects the lack of resolution on the debt limit, which has only made Treasuries more expensive. This should not be an issue, but that's the nature of politics. The markets have begun to speculate on when the Treasury Department's extraordinary measures will run out. Everyone knows a deal will be done, yet it looks like we are in for some bumps in the road. But with every bump comes a potential opportunity." Cunningham also writes, "There's still plenty of work ahead on money market regulations. A week doesn't go by without new comments and speculation. It is our opinion that, despite listening to everyone, regulators truly aren't interested in reforms that would kill entire sectors of the market. The longer the conversations on the topic go, the more likely the outcome is better for the money markets." She adds, "Across the industry in August, government money market funds saw inflows, with prime and tax-free experiencing small outflows. Our liquidity funds stayed in weighted average maturity (WAM) ranges of 35-45 days for government and 40-50 days for prime and municipal."

ICI's latest "Money Market Fund Assets" report shows assets falling for the second week in a row after several weeks of minor gains. The release says, "Total money market fund assets decreased by $5.21 billion to $4.50 trillion for the week ended Wednesday, September 8, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $1.50 billion and prime funds decreased by $3.35 billion. Tax-exempt money market funds decreased by $363 million." Money fund assets are up by $207 billion, or 4.8%, year-to-date in 2021. Inst MMFs are up $305 billion (11.0%), while Retail MMFs are down $97 billion (-6.4%). ICI's stats show Institutional MMFs decreasing $5.9 billion and Retail MMFs increasing $0.7 billion in the latest week. Total Government MMF assets, including Treasury funds, were $3.942 trillion (87.5% of all money funds), while Total Prime MMFs were $471.0 billion (10.5%). Tax Exempt MMFs totaled $90.8 billion (2.0%). Over the past 52 weeks, money fund assets have increased by $36 billion, or 0.8%, with Retail MMFs falling by $102 billion (-6.7%) and Inst MMFs rising by $138 billion (4.7%). (Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're almost $400 billion lower than Crane's asset series.) They explain, "Assets of retail money market funds increased by $682 million to $1.43 trillion. Among retail funds, government money market fund assets increased by $1.43 billion to $1.13 trillion, prime money market fund assets decreased by $746 million to $217.14 billion, and tax-exempt fund assets were unchanged at $79.50 billion." Retail assets account for just under a third of total assets, or 31.7%, and Government Retail assets make up 79.2% of all Retail MMFs. ICI adds, "Assets of institutional money market funds decreased by $5.89 billion to $3.08 trillion. Among institutional funds, government money market fund assets decreased by $2.93 billion to $2.81 trillion, prime money market fund assets decreased by $2.61 billion to $253.86 billion, and tax-exempt fund assets decreased by $358 million to $11.28 billion." Institutional assets accounted for 68.3% of all MMF assets, with Government Institutional assets making up 91.4% of all Institutional MMF totals.

A press release entitled, "BNY Mellon First Bank to Add Agency MBS Cleared Repo to Sponsored Member Program," tells us, "Institutional investors are now able to accept Agency Mortgage-Backed Securities (AMBS) as collateral on overnight cleared repo transactions via Fixed Income Clearing Corporation's (FICC's) new Sponsored General Collateral (GC) Service through BNY Mellon's market-leading sponsored member program (SMP). In a market first, buy-side clients seeking to invest cash via repo facing the central counterparty can now do so using AMBS -- commonly referred to as general collateral (GC) -- enjoying the benefits of central clearing without the requirement of full-service FICC membership." It explains, "While full-service clearing members of FICC were previously able to clear AMBS repo, the expansion of BNY Mellon's SMP represents the first time that sponsored members have been able to access cleared repo backed by these securities, opening up an $11.4 trillion asset class1 and significantly enhancing the collateralized investment financing potential for buy-side investors." Mark Haas, Head of Principal Securities Finance at BNY Mellon, comments, "BNY Mellon has been a market leader in developing US Treasury-backed sponsored cleared repo, so it is fitting that we are one of the first sponsors to offer GC cleared repo to clients via FICC's Sponsored GC Service. Agency MBS is one of the largest fixed-income asset classes in the world, so bringing these securities into the realm of cleared repo is yet another significant enhancement to our sponsored member program, following previous refinements such as dynamic margining, term and forward-settling repo and the ability to access cleared repo via our market-leading LiquidityDirect portal." The release continues, "Beyond its role as a sponsor, BNY Mellon will also provide the underlying clearance infrastructure for the new FICC Sponsored GC Service. All Sponsored GC repo transactions cleared at FICC will settle on BNY Mellon's triparty platform, in a similar fashion to how triparty repo transactions are handled outside of central clearing today. By enabling sponsored members to access FICC through the triparty repo platform, clients will enjoy operational efficiency in clearing their overnight and term repo transactions." Andrea Pfenning, President & COO of BNY Mellon Government Securities Services Corp., tells us, "Triparty sits at the heart of BNY Mellon's collateral management offering, providing operational efficiencies and promoting collateral optimization and mobilization for more than $3.6 trillion in balances on our platform. In addition to our existing settlement role for FICC's Sponsored Service where trades settle bilaterally, BNY Mellon will now provide settlement for FICC's Sponsored GC Service transactions via triparty. We are pleased to be playing an integral role supporting this product for FICC and the broader market." The piece adds, "Since BNY Mellon launched its sponsored member program at FICC in June 2017, the sponsored cleared repo market has gone from strength to strength. As of August 2021, there were 29 sponsors covering over 1,810 FICC-approved counterparts with peak sponsored notional of over $564 billion. Despite the growth in the number of competitors, BNY Mellon retains approximately 30% overall sponsored market share and approximately 45% of sponsored repo market share within the money market fund community." (Note: BNY Mellon Markets' Matt Peabody will speak on "FICC Repo" at our upcoming Money Fund Symposium in Philadelphia, Sept. 21-23.)

Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of Sept. 3, 2021) includes Holdings information from 36 money funds (down from 70 a week ago), which represent $1.297 trillion (down from $2.552 trillion) of the $4.860 trillion (26.7%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.) Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $553.8 billion (down from $1.168 trillion a week ago), or 42.7%, Repurchase Agreements (Repo) totaling $525.8 billion (down from $1.002 trillion a week ago), or 40.5% and Government Agency securities totaling $87.8 billion (down from $184.9 billion), or 6.8%. Commercial Paper (CP) totaled $41.2 billion (down from $68.1 billion), or 3.2%. Certificates of Deposit (CDs) totaled $33.5 billion (down from $42.2 billion), or 2.6%. The Other category accounted for $43.1 billion or 3.3%, while VRDNs accounted for $12.0 billion, or 0.9%. The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $553.8 billion (42.7% of total holdings), Federal Reserve Bank of New York with $241.5B (18.6%), Fixed Income Clearing Corp with $37.7B (2.9%), Federal Home Loan Bank with $33.7B (2.6%), BNP Paribas with $32.8B (2.5%), RBC with $27.4B (2.1%), Societe Generale with $22.4B (1.7%), Federal National Mortgage Association with $22.2B (1.7%), Federal Farm Credit Bank with $22.0B (1.7%) and JP Morgan with $19.9B (1.5%). The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($240.3B), Morgan Stanley Inst Liq Govt ($151.6B), Wells Fargo Govt MM ($141.6B), Dreyfus Govt Cash Mgmt ($118.6B), JPMorgan 100% USTreas ($100.2B), Morgan Stanley Inst Liq Treas Sec ($58.7B), Dreyfus Treas Sec Cash Mg ($47.6B) and Morgan Stanley Inst Liq Treas ($40.4B). (See our August 11 News, "August MF Portfolio Holdings: Treasuries Plunge Again; Repo, TDs Jump" for more, and let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

The New York Times published the piece, "Crypto's Rapid Move Into Banking Elicits Alarm in Washington." They explain, "BlockFi, a fast-growing financial start-up whose headquarters in Jersey City are across the Hudson River from Wall Street, aspires to be the JPMorgan Chase of cryptocurrency. It offers credit cards, loans and interest-generating accounts. But rather than dealing primarily in dollars, BlockFi operates in the rapidly expanding world of digital currencies, one of a new generation of institutions effectively creating an alternative banking system on the frontiers of technology.... But to state and federal regulators and some members of Congress, the entry of crypto into banking is cause for alarm. The technology is disrupting the world of financial services so quickly and unpredictably that regulators are far behind, potentially leaving consumers and financial markets vulnerable." The article comments, "BlockFi has already been targeted by regulators in five states that have accused it of violating local securities laws. Regulators' worries reach to even more experimental offerings by outfits like PancakeSwap, whose 'syrup pools' boast that users can earn up to 91 percent annual return on crypto deposits. Treasury Secretary Janet L. Yellen and Jerome H. Powell, the chair of the Federal Reserve, have also voiced concerns, even as the Fed and other central banks study whether to issue digital currencies of their own. Mr. Powell has pointed to the proliferation of so-called stablecoins, digital currencies whose value is typically pegged to the dollar and are frequently used in digital money transfers and other transactions like lending. 'We have a tradition in this country where, you know, where the public's money is held in what is supposed to be a very safe asset,' Mr. Powell said during congressional testimony in July, adding, 'That doesn't exist really for stablecoins.' The cryptocurrency banking frontier features a wide range of companies. At one end are those that operate on models similar to those of traditional consumer-oriented banks, like BlockFi or Kraken Bank, which has secured a special charter in Wyoming and hopes by the end of this year to take consumers' cryptocurrency deposits -- but without traditional Federal Deposit Insurance Corporation insurance." The Times adds, "BlockFi's business is not dissimilar to that of a regular bank. It takes deposits of cryptocurrencies and pays interest on them. It makes loans in dollars to people who put up cryptocurrency as collateral. And it lends crypto to institutions that need it.... The company also offers interest of up to 8 percent per year on crypto deposits, compared with a national average of 0.06 percent for savings deposits at banks in August. How can BlockFi offer such a high rate? In addition to charging interest on the loans it makes to consumers, it lends cryptocurrency to institutions like Fidelity Investments or Susquehanna International Group that use those assets for quick and sometimes lucrative cryptocurrency arbitrage transactions, passing on high returns to customers. And because BlockFi is not officially a bank, it does not have the large costs associated with maintaining required capital reserves and following other banking regulations.... Industry executives say concerns about the safety and stability of digital assets are overblown, but federal financial regulators are still working to get a handle on the latest developments. DeFi protocols largely rely upon stablecoins, cryptocurrencies that are ostensibly pegged to the United States dollar for a steady value but without guarantees that their value is adequately backed. The overall market of stablecoins has ballooned to $117 billion as of early September from $3.3 billion in January 2019. That has regulators worried. 'These things are effectively treated by users as bank deposits,' said Lee Reiners, a former supervisor at the Federal Reserve Bank of New York. 'But unlike actual deposits, they are not insured by F.D.I.C., and if account holders begin to have concerns that they cannot get money out, they might try and trigger a bank run.'"

State Street Global Advisors also recently submitted a comment letter to the Financial Stability Board in response to the FSB's "Policy proposals to enhance money market fund resilience: Consultation Report". Cash CIO Matthew Steinaway tells the FSB, "The March and April 2020 market turmoil was undoubtedly the first true stress test of global financial markets following the implementation of post Global Financial Crisis ('GFC') reform measures. As the magnitude of the COVID-19 pandemic became more apparent, governments responded by effectively imposing a near-total shutdown of global economic activity. This resulted in an exceptional and unprecedented demand for liquidity, with particularly acute pressure being felt in short-term funding markets. In that context, MMF flows were indicative of a 'flight to safety' rather than, as seen in 2008, a 'flight to quality' i.e. investor flows were driven by their prioritization of access to liquidity rather than as a result of concerns regarding the underlying credit quality of investments in MMFs. However, MMFs were not the cause of the pandemic-related market volatility and did not exacerbate market conditions by disposing of their less liquid assets to meet redemptions. Instead, as their primary purpose is the provision of liquidity and the preservation of principal, this seems entirely logical in light of market events and we believe was reflective of prudent risk management." He explains, "Based on last year's experience, State Street Global Advisors is supportive of efforts being undertaken by policymakers to improve the resilience of short-term funding markets, including money market funds. However, it is important to recognize that the challenges faced by market participants were not limited to MMFs and, as such, an effective solution will not be found through further reforms to MMF regulations alone. In our view, the outcome of the review process and any subsequent reforms should also be targeted at addressing the underlying issues observed during the pandemic-related market stress. In addition, future reforms to MMFs should not undermine their ongoing viability as they continue to play a valuable and crucial role, whether as an investment vehicle for investors, as a source of funding for issuers and the real economy, and as facilitators of liquidity for financial markets more broadly. With regards to MMF-specific reform measures, the FSB considers a wide range of policy options. State Street Global Advisors supports the proposals that seek to improve the usability of a fund's liquidity. In particular, we strongly support the proposal to remove the link between MMF minimum liquidity requirements.... In that context, we would support considering the conditionality for the use of liquidity fees, which should be available for use at the discretion of the fund manager and/or the board when in the best interests of the fund and its investors. However, we do not support the other options considered in the report such as capital buffers, the creation of a liquidity exchange bank ('LEB') or even sponsor support. These options would not be suited to MMFs, make the instrument unviable and, as in the case of sponsor support, would increase the interconnectedness between banks and non-banks." SSGA adds, "We would like to re-emphasize that banks, due to balance sheet restrictions, don't have the capacity to absorb the deposits. This is even more prevalent and relevant in periods of market stress. In addition, investors would be likely to move into short duration strategies/direct investments which would introduce much more risk into the system. As a result, the opposite effect would be achieved, i.e. financial stability would be weakened. Lastly, when considering the policy options ahead of its final report, we strongly recommend that the FSB be guided by the following key principles: 1. Focus on challenges revealed during the market stress: Notably, given it was a market-wide liquidity event, reforms should be focused on addressing liquidity risk. This includes ensuring the usability of the inherent liquidity within an MMF. 2. Address underlying market structure issues: Reforms should not be targeted at MMFs alone but also consider underlying structural issues, in both the short-term funding market and fixed-income markets more broadly, in order for reforms to be truly effective. 3. Ensure the ongoing viability of MMFs: We continue to believe MMFs play a critical and valuable role in financial markets, and that the outcome of the reform process should not deprive investors of a valuable investment vehicle nor issuers of a crucial source of funding. 4. Avoid the need for external support: Reforms should mitigate the potential need for external support, whether that be from the public sector or indeed the fund sponsor and/or its affiliates. However, we believe there should also be recognition that during periods of extreme market stress, or 'black swan' events, normal market functioning may only be restored through policymaker intervention. State Street Global Advisors is keen to continue being an active and constructive participant in this debate, and we remain supportive of efforts to improve the resilience of MMFs, as well as broader short-term funding markets. We look forward to contributing to these discussions with international policymakers."

Wells Fargo Securities latest "Daily Short Stuff," written by Vanessa Hubbard McMichael, discusses the "Fed's RRP and rates" at month-end, and also reviews some recent SOFR statistics. She tells us, "Yesterday, the Fed's RRP reached $1.18 trillion with 82 counterparties participating. Since August 11th, usage at the facility has been at or above $1.0 trillion each trading day. Activity at this facility continues to trend higher and is expected to remain elevated as front-end government supply declines. GCF repo, based on the DTCC Treasury index, ended yesterday a touch on the elevated side considering recent closing levels. This index closed yesterday at 6.1 basis points, which is the highest close since the beginning of August.... Last week, GCF repo levels closed each trading day in a range of 2.2 to 6.0 basis points, with the lower-bound limited to Monday." Wells' strategist writes, "Front-end Treasury rates were unchanged yesterday versus Monday levels and the shortest tenors remain unmoved as we write today. The 2-year Treasury note closed yesterday at 20.9 basis points and the 5-year at 77.7 basis points." She also says, "SOFR issuance continues to hum along," explaining, "Last week concluded with another sub $4.0 billion in total investment grade SOFR issuance. Just $3.3 billion came to market for transactions with at least $50 million in par amount from both GSE and financial issuers. SOFR continues to set at 5 basis points and spreads remain mostly unchanged. The most interesting shift last week was FHLB's flat spread extending out to its 7-month maturity. In recent data, FHLB has priced securities at 6-months or less at SOFR+0 basis points but last week, its 7-month tenor also priced at this level.... FFCB and FHLB were the standing GSE issuers in the SOFR market last week. The Federal Farm Credit Bank priced $800 million across 13-month to 24-month maturities while the Federal Home Loan Bank priced $500 million across a much tighter maturity band of 7-months to 9-months." McMichael adds, "All of the financial SOFR securities in the data from last week were in the form of Yankee CDs spanning a maturity range of 6-months to 13-months. 6-month transactions came to market from Mitsubishi UFJ Trust & Banking Corporation of New York (A1/A/A-), Mizuho Bank, Ltd. of New York (A1/A/A-), and the Commonwealth Bank of Australia of New York (Aa3/AA-/A+) at SOFR+10 basis points, SOFR+9 basis points, and SOFR+7 basis points, respectively. The Bank of China Limited of New York (A1/A/A) priced a $100 million 9-month at SOFR+12 basis points and Credit Agricole Corporate and Investment Bank of New York (Aa3/A+/A+) priced a $450 million 9-month at SOFR+12 basis points. 12-month CDs priced at SOFR+14 basis points from the Bank of Nova Scotia of Houston (Aa2/A+/AA-) and Goldman Sachs Bank USA of New York (A1/A+/A+) at SOFR+16 basis points. Finally, the Bank of Nova Scotia of Houston (Aa2/A+/AA-) priced a $300 million 13-month at SOFR+15 basis points. Week-to-date, SOFR issuance has reached $1.67 billion amongst GSE and financial issuers. FHLB priced a chunky 13-month yesterday, its first $1.0 billion SOFR transaction since early August. During the month of August, FHLB has priced just over $4.0 billion in SOFR securities compared to over $7.0 billion in July."

Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of Aug. 27, 2021) includes Holdings information from 70 money funds (down from 78 a week ago), which represent $2.552 trillion (up from $2.495 trillion) of the $4.860 trillion (52.5%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.) Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $1.168 trillion (up from $1.057 trillion a week ago), or 45.8%, Repurchase Agreements (Repo) totaling $1.002 trillion (up from $1.001 trillion a week ago), or 39.3% and Government Agency securities totaling $184.9 billion (down from $186.8 billion), or 7.2%. Commercial Paper (CP) totaled $68.1 billion (down from $86.2 billion), or 2.7%. Certificates of Deposit (CDs) totaled $42.2 billion (up from $53.7 billion), or 1.7%. The Other category accounted for $62.2 billion or 2.4%, while VRDNs accounted for $23.9 billion, or 0.9%. The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.168 trillion (45.8% of total holdings), Federal Reserve Bank of New York with $456.9B (17.9%), Federal Home Loan Bank with $73.4B (2.9%), BNP Paribas with $72.4B (2.8%), Fixed Income Clearing Corp with $66.6B (2.6%), RBC with $51.5B (2.0%), Federal Farm Credit Bank with $43.9B (1.7%), Federal National Mortgage Association with $42.6B (1.7%), JP Morgan with $33.5B (1.3%) and Societe Generale with $30.4B (1.2%). The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($241.1B), Goldman Sachs FS Govt ($213.9B), BlackRock Lq FedFund ($174.8B), Morgan Stanley Inst Liq Govt ($148.0B), Wells Fargo Govt MM ($146.2B), Fidelity Inv MM: Govt Port ($131.6B), BlackRock Lq T-Fund ($118.7B), Dreyfus Govt Cash Mgmt ($118.0B), BlackRock Lq Treas Tr ($108.2B) and Goldman Sach FS Treas Instr ($98.1B). (See our August 11 News, "August MF Portfolio Holdings: Treasuries Plunge Again; Repo, TDs Jump" for more, and let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)