News Archives: November, 2014

Money fund assets increased for the sixth straight week this week and increased for the fourth straight month in November, according to the latest statistics from the Investment Company Institute and Crane Data. ICI released its latest weekly "Money Market Fund Assets" report Wednesday (instead of its normal Thursday) and its latest monthly "Trends" report for October on Tuesday. Both show assets increasing, while Crane's Money Fund Intelligence Daily shows assets rising by $27.4 billion month-to-date in November (through Nov. 25). Below, we review recent asset flows, ICI's latest Trends report, and ICI's monthly Portfolio Composition figures.

Over the past 6 weeks, money fund assets have increased by $53.0 billion, or 2.0%, and they've increased by $97.0 billion, or 3.8%, since July 23, when the SEC passed its latest round of Money Market Fund Reforms. ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets increased by $8.43 billion to $2.66 trillion for the six-day period ended Tuesday, November 25, the Investment Company Institute reported today. Among taxable money market funds, Treasury funds (including agency and repo) increased by $6.29 billion and prime funds increased by $3.88 billion. Tax-exempt money market funds decreased by $1.75 billion." Year-to-date, ICI's weekly asset series shows money fund assets down by $56 billion, or 2.1%.

ICI's weekly adds, "Assets of retail money market funds decreased by $2.70 billion to $897.12 billion. Among retail funds, Treasury money market fund assets decreased by $790 million to $198.50 billion, prime money market fund assets decreased by $1.44 billion to $514.59 billion, and tax-exempt fund assets decreased by $470 million to $184.04 billion. Assets of institutional money market funds increased by $11.13 billion to $1.77 trillion. Among institutional funds, Treasury money market fund assets increased by $7.08 billion to $773.99 billion, prime money market fund assets increased by $5.33 billion to $922.80 billion (34.7% of all assets), and tax-exempt fund assets decreased by $1.28 billion to $68.40 billion."

ICI's latest "Trends in Mutual Fund Investing, October 2014" shows that total money fund assets increased by $19.1 billion in October to $2.623 trillion. ICI's monthly statistics show that MMF assets increased by $22.7B in September, and $34.0 billion in August, but decreased by $16.1 billion in July and $17 billion in June. Year-to-date through Sept. 30, ICI's monthly series shows money fund assets nearly flat, down by just $45.6 billion, or 0.7%.

ICI's Trends" release says, "The combined assets of the nation's mutual funds increased by $196.67 billion, or 1.3 percent, to $15.76 trillion in October, according to the Investment Company Institute's official survey of the mutual fund industry. In the survey, mutual fund companies report actual assets, sales, and redemptions to ICI. Bond funds had an outflow of $6.17 billion in October, compared with an outflow of $19.37 billion in September."

ICI adds, "Money market funds had an inflow of $19.07 billion in October, compared with an inflow of $22.35 billion in September. In October funds offered primarily to institutions had an inflow of $19.87 billion and funds offered primarily to individuals had an outflow of $800 million." Money funds represent 16.7% of all mutual fund assets while bond funds represent 22.2%.

Our MFI Daily also indicates that November will be the fourth straight month of asset increases for money funds, with assets up by $27.4 billion through Nov. 25. It shows that Prime Institutional money fund assets, which should be the most impacted by the SEC's recent reforms, have increased by $21.7 billion month-to-date to $851.3 billion after rising $23.8 billion in October and $5.3 billion in September. Prime Institutional assets have increased by $54.5 billion since July 23, when assets stood at $796.8 billion, belying predictions of outflows accompanying the new rules.

ICI also released its latest "Month-End Portfolio Holdings of Taxable Money Funds," which showed sizable increases in CDs and Commercial Paper in October. (See Crane Data's Nov. 12 News, "Nov. Port. Holdings Show Spike in Time Deposits, CP; Drop in Repo.") ICI's latest Portfolio Holdings summary shows that Holdings of CDs (including Eurodollar) increased by $78.9 billion, or 14.1%, in October to $638.0 billion, (after dropping $53.5 billion in September, rising by $7.2 billion in August and $71.9 billion in July). They represent 26.9% of assets and replace Repos as the largest composition segment. Repos decreased $73.3 billion, or 12.5%, in October (after increasing by $75.1 billion in September, $11.5 billion in August, and $59.9 billion in July) to $512.1 billion (or 21.6% of taxable MMF holdings).

Treasury Bills & Securities, which decreased by $18.1 billion, or 4.5%, remained the third largest segment. Treasury holdings totaled $380.0 billion (16.0% of assets). Commercial Paper moved up to the fourth largest segment, jumping ahead of US Government Agency Securities. Commercial Paper increased by $12.1 billion, or 3.6%, (after dropping $19.8 billion in September, $3.0 billion in August, and $16.7 billion in July) to $349.2 billion. They represent 14.7% of assets. U.S. Government Agency Securities fell to fifth place, decreasing by $9.3 billion, (2.6%) in October to $343.0 billion (14.5% of assets). Notes (including Corporate and Bank) grew by $3.6 billion, or 5%, to $75.9 billion (3.2% of assets), and Other holdings increased by $2.1 billion to $51.0 billion (2.2% of assets).

The Number of Accounts Outstanding in ICI's Holdings series for taxable money funds decreased by 105.4 thousand to 23.548 million, while the Number of Funds decreased by 3 to 366. Over the past 12 months, the number of accounts fell by 574.7 thousand and the number of funds declined by 20. The Average Maturity of Portfolios increased by 2 days to 47 days October. Over the past 12 months, WAMs of Taxable money funds declined by 2 days.

Note: Crane Data updated its November MFI XLS to reflect the 10/31/14 composition data and maturity breakouts for our entire fund universe last week. Note again too that we are now producing a "Holdings Reports Issuer Module," which allows subscribers to choose a series of Portfolio Holdings and Issuers and to see a full listing of which money funds own this paper. (Visit our Content Center and the latest Money Fund Portfolio Holdings download page to access the latest version of this new file.)

Below, we reprint from our most recent MFI monthly fund "profile". Crane Data sat down with Lu Ann Katz, Head of Global Liquidity at Invesco, the 13th largest U.S. money fund manager with $67 billion in assets (as of 10/31/14). She spoke about money fund reforms, the company's veteran 60‐day maturity money fund, new fund launches, global and European issues, and the space beyond money market funds. Our interview -- which originally appeared in the November issue of Money Fund Intelligence -- follows.

MFI: How long has Invesco been involved in money funds? Katz: We have deep roots in this industry and launched our first money market fund in 1980. That portfolio is called the Invesco STIC Prime Portfolio [previously AIM STIC Prime] and was launched as an institutionally priced product with a 60‐day maximum maturity. Invesco STIC Prime is still in existence today [and maintains its 60‐day maturity limit]. We have nearly 35 years managing prime, U.S. Treasury, government, and municipal funds, as well as separately managed accounts. We also manage offshore assets in multiple currencies.

MFI: What is your background? Katz: I came to Invesco in 1992 as a senior analyst after having worked in research and commercial banking. I've been in portfolio management and research for 35 years. I have primarily worked in the U.S., but did spend four years in London overseeing our global investment grade research efforts as well as our offshore fixed income products. In late 2012, I began overseeing what was then our Cash Management business. We have since changed our name to Invesco Global Liquidity as we saw the changing environment and our investor's desire for more comprehensive liquidity management solutions.

Additionally, we experienced demand for longer maturity portfolios in Europe as well as in the U.S., so we really felt the market was beginning to move in that direction. We also saw liquidity management going more global -- the disintermediation of money across boundaries. So we brought together all of Invesco's money fund businesses except for certain joint ventures. Invesco currently manages money funds in nine currencies, including three renminbi money funds in China and rupee money funds in India through our joint ventures. We've expanded our product line up to include private placements as well as SMAs, retail, and institutional. People view us as institutional, but we manage across an array of asset classes, currencies, and product types.

MFI: What are your biggest priorities? Katz: The biggest priority, despite many outside regulatory distractions, has always been and will continue to be our fiduciary responsibility to investors. Our mantra is 'safety, liquidity and yield', in that order, so credit risk and portfolio structure are really important to us on the safety side. Our conservative investment philosophy was validated during the financial crisis in 2007 and 2008. We honored all redemptions, we never had any securities downgraded, so our conservative approach really paid off.

MFI: Are you working on anything new? Katz: As it is with all money market managers in the U.S., our major focus right now is preparing for implementation of money market fund reform which was announced in July. In preparation for these changes, several years ago Invesco established a cross‐functional committee of over 50 people to deal with implementing money market reform on a global basis.... We are well prepared for the changes as a result of all that pre-work we did. We also created a world class fixed income investment hub in Atlanta. Our fixed income business is about 30% of Invesco's assets, and Global Liquidity is about 10% of Invesco's total assets. Our objective was to create new solutions together in the common location, and that's already borne fruit. We really feel it's a better way to serve our investors because we can leverage all of our resources across maturities, sectors, and currencies. By bringing a majority of Invesco's fixed income professionals together in a core location, our team members engage more often, exchange ideas, and share best practices.

MFI: What are your key challenges? Katz: Clearly, regulations are an issue, across the board, for asset managers as well as banks. With Basel III rules coming into play in 2015, banks are shrinking their balance sheets which will impact money markets. Many money market funds already have heavy concentrations in financial institutions, so making sure we have diversified counterparties while maintaining liquidity is clearly one of the challenges we're all going to face.

MFI: Does it help being a mid‐tier player? Can you do things that the giants can't? Katz: We actually consider ourselves as a major player as we have consistently ranked in the top 15 money fund managers. We provide scale and diversification for our counterparties. Our relationships with the top dealers are longstanding and they often want us to be available to provide funding to them. For investors, Invesco offers a long history focused on safety, liquidity, and yield. Our senior team has been together for more than twenty years. I think that positioning is quite good for Invesco as we move forward into this new world of liquidity constraints.

MFI: What are the issues/concerns that you hear from customers? Katz: I think the biggest concern for investors is low yields and how much longer are we going to have them. We're actively watching the Fed, we speak with investors as much as possible, but the likely probability is that rates are going to be lower for longer. In response to low money market yields, we introduced the Invesco Conservative Income Fund in July, which is a conservative ultra-short bond fund. It has about a half year duration, which should keep volatility relatively low compared to short‐term bond fund alternatives. We're starting to see interest in that fund. We basically employed a multi-sector allocation that included money market securities, investment grade credit, and asset-backed securities. This is what I was talking about in terms of our location -- we work jointly with our teams that manage investment grade and structured securities to leverage idea generation and trading opportunities. For investors, the Conservative Income Fund fills the void between money market funds and short‐term bond funds.

MFI: What impact have fee waivers had? Katz: Fee waivers are definitely impacting asset managers and intermediaries. Global Liquidity is a major business for Invesco and we consider this just part of the cycle, albeit a longer cycle, that you would normally go through in the business. It's just a fact of life that we have adapted to and live with today.

MFI: What are your thoughts on the SEC reforms? Katz: The fact that it was a 3‐2 vote is evidence of disagreement, or at least lack of consensus on what should or shouldn't have been done. However, the outcome wasn't any more stringent than we had expected. We were pleased that the industry preserved CNAV funds in the retail and Treasury and government space. We also worked jointly with other asset managers to encourage the SEC to use the natural person definition for retail, so we're really pleased that they did. Can we live with the new rules? Absolutely. We have been through reform before and we are taking these changes no differently. We plan to be consistent with our best practices to adapt current products to new regulation while providing new solutions to meet changing demand across all of the asset classes.

MFI: How are your funds positioned for the reforms? Katz: We have existing Treasury and Agency funds and expect to see demand in those products over time, but have not yet seen movement -- investors are sitting tight. Also, we believe our Invesco STIC Prime Fund, which has a 60‐day maximum maturity and a long, long track record, is perfectly positioned in the market. Invesco STIC Prime is priced at amortized cost so it will trade at $1 yet will be acknowledged as a VNAV fund. The volatility is, as you can imagine, extremely low. While other fund complexes are rushing to establish similar funds, we don't have to go to the SEC to move that forward, and we see this fund as a real feather in the cap of Invesco's product lineup.

MFI: What is your outlook for regulations in Europe? Katz: We are actively working with the ICI, with IMMFA, speaking to members of Parliament, attaches, and council members on the pros and cons. We support actively the continuance of CNAV. We have no problem with fees and gates, or not allowing money market funds to be rated, and we have no problem with requirements that we do our own credit research. But the fact that more recently they've raised the issue of capital, is very disturbing -- for a number of reasons. It's going to potentially cause disintermediation of money out of European money funds and we just think there's a more practical way to move the business forward. We think they should work to harmonize global policies in the U.S. and Europe. Out of our London office, Invesco has two VNAV reserve funds that we manage more like CNAV money funds. We could probably see a change in those funds at some point.

MFI: What is your outlook for the coming year? Katz: We are watching the Fed, we are watching the ECB, we are watching what's happening in all markets. While it has been difficult to peg a lift off date for the Fed, we believe we are getting closer to that point in time. However, we still think we're probably going to be lower for a little longer. Rates will be going up at some point and we'll be prepared for that, and we'll be delighted when rates do go up, as will our investors. In Europe, negative rates have really had an impact on investor flows and the maturity selection of managers. This is likely to continue into 2015.

MFI: How do you view the money fund business long‐term? Katz: You hear these Draconian comments about what's going to happen to money market funds, but we believe the market is going to need money market funds. You are going to need liquidity products, because there's always going to be demand for managing cash -- even more so now because of bank regulation and the immense amount of cash out there. Banks are likely to limit their deposits, so the money has to go somewhere. This business is very important because it's an established and proven business for Invesco. We are definitely committed as also evidenced by our name, Invesco Global Liquidity. We think of liquidity management on a global scale. From retail investors across countries to multinational corporations with multiple currency and strategy needs, this is where the market is moving. It's definitely a core business for Invesco.

A new report by Moody's Investors Service says the interest in Chinese RMB money market funds of among global asset managers is growing; however, hurdles remain in this still developing market. Also in the news, Vanguard has joined the list of money managers launching ultra-short bond funds. The Moody's report, "Global Asset Managers Tap Growth of China Money Market Funds," states, "Over the past decade, firms including JPMorgan Asset Management, HSBC Global Asset Management, BNP Paribas Investment, Invesco, and Deutsche Asset Management have formed joint ventures with local Chinese money market fund (MMF) managers. These international joint ventures are providing an alternative for Chinese companies and multinational corporations with Chinese operations seeking to invest cash across different types of investments beyond bank deposits. In the process, global asset managers are gaining access to a larger pool of potential clients," writes Soo Shin-Kobberstad, vice president, senior analyst at Moody’s, who wrote the report along with Evangelia Gkeka, analyst.

The report explains, "A rising tide of institutional cash in China is driving demand for Renminbi (RMB) money-market funds as treasurers seek alternatives to simple bank deposits. The surge of growth in multinational corporations in China over the past decade has fuelled demand for short-term investments, as companies look for safe instruments to hold their increased liquidity. While there is limited availability of granular data about joint-ventured Chinese MMFs, it is clear the industry has grown substantially since it was started 10 years ago, and assets under management held in more than 100 MMFs totaled almost 900 billion Renminbi (RMB) as of January 2014."

Note: See Crane Data's Oct. 6 News article, "Worldwide MF Assets Drop Slightly in 2Q; China, India Show Big Jumps," says "China continued its dramatic money fund growth in Q2 of 2014. The 6th largest money fund country saw assets jump again. China now reports $256.7B in total, up $22.3B (9.5%) in Q2 and up a massive $207.2 billion (418.6%) over the last 12 months."

Moody's adds, "Until recently, exchange controls restricted cross-border flows in and out of China, leading to large amounts of cash building up in multinational corporations' local subsidiaries. The recent liberalization of trade and capital flows and growing internationalization of the RMB have not only raised the volume of RMB trades but also bolstered investor confidence in the domestic capital market, leading more multinational corporations to manage their liquidity and strategic cash locally."

The commentary continues, "Global asset managers will benefit from experience in global money markets and brand reputation among multinational companies. International firms, which operate their Chinese MMFs through joint ventures with local firms, have benefited from international recognition that has helped them attract more assets. JPMorgan Asset Management's MMF, which is operated through its China Investment Fund Management Company, Ltd. (CIFM), provides a clear example of the sector's rapid growth, having nearly tripled its AUM between 2011 and 2013 to approximately RMB 35 billion. For global asset managers, MMFs offer cross-selling opportunities. JPMorgan and Invesco are leveraging their access to MMF clients to offer longer-duration fixed income funds and other investment products, while HSBC is cross-selling corporate banking and treasury management services in addition to asset management products."

Further, "China’s MMF market remains underdeveloped, which will constrain international firms' ability to manage risks fluidly. At present, China's MMF market structure does not offer the same degree of diversification and credit quality that investors can find in the US or Europe. Key challenges include the limited diversity of issuers, comparatively high price volatility and shallow liquidity of underlying securities. This has created an opportunity for global asset managers to import international standards and best practices. At the same time, international asset managers will face the challenges of managing MMFs given relatively riskier domestic market features."

In other news, Vanguard is launching a new fund in the ultra-short bond fund space. In recent months, both Invesco and Western Asset have also come out with new ultra short bond funds. (See our Oct. 14 News "UBS Brokerage Latest to Push Enhanced Cash, Ultra Short Bond Options".) Vanguard's press release says, "The new actively managed fund will round out Vanguard's taxable bond fund lineup, which comprises 10 active funds and 12 index funds covering the broad quality and duration spectrum. The fund will invest in high-quality bonds, including a combination of money market, government, and investment-grade corporate securities with an expected average rating of Aa and duration of approximately one year." (Note: Crane Data will be releasing the first "beta" issue of its new Bond Fund Intelligence, which will track the ultra-short bond sector, later today.)

Vanguard CEO Bill McNabb comments, "Vanguard Ultra-Short-Term Bond Fund is a low-cost and diversified option for investors seeking to augment the bond component of a balanced portfolio. It will afford investors the opportunity for further duration diversification. The new fund, however, should not be used as a money market fund substitute, as it will subject investors to some level of principal risk."

The release continues, "The fund, which is expected to be available in the first quarter of 2015, will offer low-cost Investor Shares and Admiral Shares. Investor Shares, with an estimated expense ratio of 0.20%, will require a minimum initial investment of $3,000. Admiral Shares, with an estimated expense ratio of 0.12%, will require a minimum initial investment of $50,000. Gregory S. Nassour, CFA and David Van Ommeren, principals and senior portfolio managers in Vanguard Fixed Income Group, will co-manage the new fund."

"The Independent Adviser for Vanguard Investors" newsletter, run by Daniel Wiener, also reported on the news. Wiener writes, "What's most interesting about this new option is not that Vanguard is finally offering a low-risk way of dealing with rising interest rates, but that it has argued for some time that risks of investing in short-term or even intermediate-term bond funds are mitigated by the value of rising monthly distributions -- particularly when they are reinvested. The appeal of an ultra-short bond fund will probably be for those investors taking income distributions out of their holdings rather than reinvesting. Price moves will be small and yields should rise at a decent rate as interest rates rise."

Last week, we listened in on two webinars that addressed the difficulties corporate and money market investors are having in this overly oppressive regulatory and rate environment. GT News, a publication of the Association of Financial Professionals, hosted a free webinar with experts from SSgA offering their insights on cash management strategies. The webinar, "Cash Management in 2015 -- A Trinity of Challenges," was sponsored by SSgA and featured Yeng Butler, Head, US Cash Management as moderator, along with SSgA's Steven Meier, CIO-Global Fixed Income, Cash and Currency, and Tom Connelley, Head, Short Duration Solutions. "In the years since the global financial crisis we have seen sweeping changes in the operating environment for cash," said Butler. "Going into 2015, cash investors are faced with what we refer to as a trinity of challenges -- first, new landmark regulatory reforms, second, historically low interest rates, and finally, a shortage of high quality short-term securities in the market."

On his expectations for the cash market in 2015, Meier says, "Certainly the global cash markets have been interesting and somewhat challenging since the outset of the global financial crisis. We've seen an unprecedented amount of central bank innovation to support growth and address inflationary pressures; we've seen regulatory adjustments on a scale not experienced in our lifetime; and we've endured an extended period of global market repair which is ongoing and is in different phases around the world."

Looking ahead, he comments, "Our outlook for the cash markets around the world is a balance of both optimism and reality. We like to think of ourselves as optimistic for continued economic improvement and eventual rate normalization across the globe. We're also realistic in recognizing the process of repair is ongoing and there are a number of events that could certainly derail the global or local economic recoveries. The recovery in global markets today is still very fragile."

However, he does expect to see some divergence in the U.S. "We're part of an integrated global economy. But we're a pretty sizable market so I do think you'll see divergence in terms of decoupling of both the US and the UK market from the pace and policy that we see in say Europe and Japan. We do see a strengthening US market, a strengthening UK markets, and we don't see that carrying over into Europe and Japan -- we're at different stages of economic repair. Economic policy will ultimately drive monetary policy-- which is why we focus on this divergence."

In terms of trends in 2015, Meier explained, "I still think we need to adhere to the three core objectives -- the safety of principal, liquidity, and yield relative to the mandate and relative to risk tolerance. From a credit quality standpoint, only buy strong credits. It's interesting to note that the regulatory changes and issuer preferences have pushed investors into marginal credits to find yield and capacity. We certainly resist that at all costs."

He added, "We think that rates will move higher in the latter part of 2015. I think those hikes will be well telegraphed, well priced in, and very gradual in nature, so I don't think you need to be so concerned about the amount of interest rate sensitivity in portfolios." He continued, "I'd say the sweet spot for short end investors now is in that ultra-short bond fund space at 1-3 years where there's product availability associated with yield as well."

On the impact of money market reforms, Meier said, "I do think, as we move closer to money market reform [implementation is October 14, 2016], we'll see the potential for outflows from prime institutional funds ... perhaps 25-30% outflows into government only and Treasury funds. I do think credit will cheapen up -- there will probably be decent demand inside of 3 months but a little further out on the curve you'll see credit spreads widen and an opportunity for yield pickup for investors."

Connelley talked about some cash management challenges. "Due to regulatory factors, there's currently a very high cost of liquidity in the extreme front end of the yield curve with this supply and demand imbalance where short high quality assets trade at extremely low yields." He said, "It's getting very hard to find high quality bank liabilities for money funds inside of three months."

He continued, "We urge cash investors to take a good look at their liquidity needs in order to minimize the yield drag that is associated with the access to 2a-7 style liquidity." In terms of adding return, Connelley said it may be necessary to take thoughtful and moderate risk. "In most environments, the extension of duration and maturity will help investors realize increased yield."

The push-pull that Basel III and money market reforms will have on corporate treasurers was among the topics discussed during a webinar held by SunGard Financial Systems last Tuesday. The webinar took a deep dive into the results of its fourth annual "Corporate Cash Investment Study," which we covered in our Nov. 5 News, "SunGard: Lack of Suitable Cash Repositories Biggest Concern of Corps." The survey found that 31% said the "Lack of suitable repositories for cash" was the greatest concern, while about 62% said it was one of the top 3 concerns. In terms of asset allocation trends, "Deposits remain the most commonly used instrument, noted by 80 percent of respondents, an increase of 7 percent since 2013, while CNAV MMFs were second used by about 47%. During the 45-minute webinar, host Maryum Malik, director of SunGard's global trading business, and guest speaker Helen Sanders, director of Asymmetric Solutions Limited, shared insights on how managers can improve their short-term cash investment strategies.

Sanders said that while treasurers haven't really changed the instruments they use to invest cash, they are thinking ahead and starting to adapt new policies and investment strategies given the shifting landscape. "Regulations will have a major impact over the next year or two on cash investment policy and I don't think that's yet reflected in these figures," she said.

"More important than the money market fund regulation is Basel III. The implications of Basel III can't be underestimated. As they start to take effect over the course of the next year or so. The main reason, certainly looking from a cash investment perspective is, as we've already noted, 80% of respondents are using deposits as their primary cash investment instrument. Looking ahead, because of the LCR, banks are not going to be particularly interested in deposits of less than around 90 days. It will be a major change. They are not necessarily going to take them, so companies are going to need to find an alternative," said Sanders.

Combined with MMF regulations, there is an interesting dynamic going on, she added. "Then you have money market fund regulations, which in some respects might push some companies away from money market funds while Basel III does the opposite simply because deposits are going to be less attractive to banks than they have been in the past. There's slightly contrasting implications of money market fund reform on one side and Basel III, perhaps more importantly on the other."

The Investment Company Institute released its 2014 Annual Report earlier this week, which included a recap of a landmark year for money market funds as sweeping reforms were passed by the SEC. The most notable statistic from the report revealed that nearly 80% of U.S. MMF assets will retain a stable net asset value once reforms are implemented in October 2016. This is much higher than current categorizations of "Prime Institutional" due to the new definition of retail funds and marks a major win for the industry. We excerpt the money fund related comments and section below.

The 60-page report begins with a letter from ICI Chairman William MacNabb, the chairman and CEO of Vanguard. He comments, "In July, we saw the resolution of the six-year-long debate over how to make money market funds more resilient with adoption of new reforms by the Securities and Exchange Commission (SEC). The changes are sweeping and yet nuanced. Retail investors -- including those who invest through retirement plans and omnibus accounts -- will still have access to stable‑value prime, tax-exempt, and government money market funds. Institutions can choose to invest in stable-value government funds or floating value prime funds. The SEC rejected such harmful ideas as capital requirements or holdbacks on redemptions. In this balanced outcome, I can see clearly the impact of ICI's dedicated work. We can take pride in the rigor of ICI's research, the industry's creativity in proposing solutions, and our ability to rally our members and other constituents. These factors -- combined with the Institute's reputation for fact-based policy analysis and advocacy -- helped policymakers create a package of reforms that will largely preserve the benefits of money market funds for investors, issuers, and the economy."

ICI President and CEO Paul Schott Stevens reiterated MacNabb's remarks and looked forward. He writes, "The outcome of that debate has preserved money market funds as viable investment vehicles for individuals and institutions alike -- a result by no means clearly foreseeable during the long gestation of the new rules. ICI and its members will focus over the next two years on how best to implement these new SEC rules. At the same time, we will continue to work with regulators in the European Union to ensure that they learn from the U.S. debate -- by appropriately recognizing, for example, the differences among money market instruments, funds, and investors. As in the United States, the aim in the European Union should be to craft targeted regulations that address identifiable risks to financial stability while preserving the benefits that money market funds provide to investors, issuers, and the growth of the European economy."

The bulk of the MMF related commentary focused on reforms as an entire section of the report was devoted to it, called "Preserving Money Market Funds' Value to Investors and the Economy." It reads, "Almost six years after the worst week of the financial crisis, the Securities and Exchange Commission voted on July 23 to adopt sweeping changes to the rule that governs money market funds. The vote capped a long and intense period of study, analysis, and commentary involving a wide range of parties, both in the United States and abroad. Throughout this six-year debate, the Investment Company Institute played a leading role. ICI pursued two primary objectives: increasing the resiliency of money market funds in even the most extreme circumstances, while preserving the value of these funds for investors, issuers, and the economy. The new reforms build upon the significant changes to money market fund regulation adopted by the SEC in 2010 and tested during the European and U.S. debt crises of 2011. Notably, the SEC crafted its new rules to address those funds that showed the greatest susceptibility to heavy redemptions during times of market stress, such as that experienced in September 2008."

ICI recapped the adopted reforms, writing, "When the new rules are fully implemented in October 2016: Treasury and government money market funds will continue to offer a stable net asset value (NAV) for investors; Prime and tax-exempt money market funds offered to retail investors (defined in the rule as natural persons) also will have the ability to maintain a stable NAV; Institutional prime and tax-exempt money market funds will be required to price their shares to four decimal places ($1.0000 for a share offered at $1), making it likely that their NAVs will "float"; All money market funds -- like other funds -- will be allowed under most circumstances to use amortized cost to value securities with remaining maturities of 60 days or less; All nongovernment money market funds will be required to impose a 1 percent liquidity fee on redemptions if a fund's weekly liquid assets fall below 10 percent of total assets, unless the fund's board determines that such a fee would not be in the best interests of shareholders. All money market funds will be permitted to impose fees of up to 2 percent on redemptions if weekly liquid assets fall below 30 percent of total assets; and All money market funds will be allowed to suspend redemptions for up to 10 days under the liquidity circumstances that would trigger a redemption fee. The new rules also increase disclosure of liquidity, flows, and NAVs; tighten diversification requirements; and enhance stress testing for money market funds. In conjunction with the SEC rule, the Internal Revenue Service and Treasury Department issued significant guidance addressing the tax implications of floating NAVs."

A key finding details how stable value MMFs will remain largely preserved by the reforms. "The 2014 reforms will allow investors of all types continued access to stable NAV cash management funds, whether through the retail exemption, government funds, or non-registered funds for institutional investors. ICI research estimates that more than three‑quarters of U.S. money market fund assets are in funds that can continue to offer a stable NAV." ICI produced a chart that finds that "nearly 80% of U.S. money market fund assets are held in funds that will retain a stable net asset value." Specifically, citing year-end 2013 numbers, ICI breaks the money fund universe down like this using the new definition for retail: 36% prime retail; 35% government fund; and 8% tax-exempt retail. All three sectors will retain the stable NAV post-reforms. ICI then estimates 19% in prime institutional and 2% in tax-exempt institutional -- both of these sectors must adopt a floating NAV.

ICI's footnotes explain, "Money market funds held $2.7 trillion in assets at year-end 2013. Institutional accounts include financial and nonfinancial businesses, nonprofits, state and local governments, and other unclassified accounts. Accounts held by fiduciaries, retirement plans, and 529 plans are considered to be retail accounts." These projections for Prime Institutional MMF assets differ markedly from current classifications (Crane Data shows 32% of the money fund universe as "Prime Inst").

The report went on to look at other implications of the reforms. It says, "The SEC also rejected capital requirements, NAV buffers, and permanent "minimum balance at risk" holdbacks on redemptions, dismissing the latter as creating "a more complex instrument whose valuation may become more difficult for investors to understand." The new reforms also allow fund boards significant discretion in deciding whether and how to impose redemption gates and fees in extreme market circumstances. Fund managers can avoid such gates and fees entirely by carefully maintaining liquidity within their funds. The design of the new rules reflects a deliberate and constructive effort by the SEC to understand and address issues revealed by the financial crisis, without exaggerating risks or ignoring the value of money market funds to investors and issuers. That effort was aided by the research and insights provided by money market fund sponsors, investors and issuers in the money markets (including corporate and municipal treasurers), and ICI."

The study expounds on ICI's role in reform process, adding, "For the Institute, that work began immediately after the unprecedented events of September 2008, when ICI created the Money Market Working Group to "make recommendations to minimize risks and help assure the orderly functioning of this vitally important market." The Report of the Money Market Working Group and its recommendations -- adopted unanimously by ICI's Board of Governors in March 2009 -- became the foundation of the SEC's substantial reforms of January 2010. That report stands out as the most conspicuous example of an industry, in the aftermath of the financial crisis, spearheading reforms for the benefit of markets and investors. When bank regulators and the SEC's leadership at the time persisted in demanding further structural changes in money market funds after the 2010 reforms, ICI stepped up its research and advocacy."

They tell us, "In conjunction with the Institute's leadership and members, ICI engaged with policymakers at all levels, weighed every serious proposal, and marshaled research, legal, and operational expertise to inform the regulatory process. Any number of proposals -- including those ultimately rejected by the SEC in its final rule -- surfaced, usually with strong support among bank regulators. By contrast, those most familiar with money market funds and the markets in which they invest lined up solidly against such ideas. Those included fund sponsors, investors, and issuers -- and ultimately a majority of the SEC, the agency that has successfully regulated money market funds for the past 40 years."

ICI also discussed the road ahead. They state, "Though the SEC rule is now complete, ICI and its members must devote considerable effort and resources to its implementation over the next two years. Fund sponsors must reorganize their prime and tax-exempt funds to provide separate funds for retail and institutional investors. Sponsors and intermediaries must redesign systems to accommodate floating NAVs and redemption fees and gates. And investors may need to reconsider their approach to cash management in light of the changing money market fund landscape. The new U.S. rules also will be closely studied in Europe, where a pending proposal by the European Union would require all money market funds and similar products to adopt either a floating NAV or a 3 percent capital requirement. ICI Global has reached out to European policymakers to help them understand the balanced approach adopted by the SEC and to encourage greater flexibility, in hopes that the eventual EU rule will preserve a viable stable NAV money market fund product to benefit investors and the European economy. U.S. money market fund reform was a critical policy struggle for the Institute and its members."

"Over the course of almost six years, ICI did not flag or falter in pursuit of the twin goals we had identified from the outset -- strengthening money funds against the most adverse market conditions, while preserving their manifold benefits," ICI President and CEO Paul Schott Stevens wrote in a report to independent directors. "We can take great pride in the intellectual rigor and substance we brought to what was at times a fraught policy debate." Look for more coverage of the annual report, including a list of major events in money market fund history, next week and in the December issue of our Money Fund Intelligence newsletter.

Dave Sylvester, senior portfolio manager and head of money market funds at Wells Fargo Capital Management, will retire on March 31, 2015, capping a 35-year career with the company. Wells Fargo announced the news in a "Product Alert" posted Wednesday afternoon. The Alert says, "We thank Mr. Sylvester for his significant contributions to the success of our money market funds, which he has managed since their inception, and for building a deep and talented investment team. Under Mr. Sylvester's leadership, the Wells Fargo Advantage Money Market Funds have consistently provided a stable investment option for investor assets through innumerable credit cycles, some of which were the most challenging of the modern era. We have thoroughly enjoyed working with Mr. Sylvester and wish him great success in the future." (Note: Crane Data would like to second these sentiments and thank Dave for his support, assistance and years of service to the money fund industry. We'll miss him!)

Wells' statement continues, "Jeffrey L. Weaver, CFA, head of Wells Capital Management's short-duration team, will also become head of the money market fund team effective January 1, 2015. In his new role, Mr. Weaver will provide strategic oversight to our money market fund strategy, enabling an integrated approach to the broad range of liquidity products managed by Wells Capital Management, including the Wells Fargo Advantage Money Market Funds. Consistent with our long-planned transition process, Senior Portfolio Managers Laurie R. White; Michael C. Bird, CFA; and James C. Randazzo will continue in their leadership roles in the day-to-day management of our prime, government, and municipal money market funds, working closely with Mr. Weaver <b:>`_. Matthew A. Grimes, CFA, will continue to lead the money market credit research team."

It explains, "Wells Fargo's money market investment philosophy and commitment to shareholders will remain unchanged. Our money market security selection process has long emphasized conservative investment choices, and all of the Wells Fargo Advantage Money Market Funds will continue to maintain an approach that seeks to prioritize preservation of capital, liquidity, and high-quality investments, driven by our own independent, fundamental credit research and risk management."

A "Q&A" explains the plan going forward. "Q: Can you tell me more about the Wells Fargo Advantage Money Market Funds team? The Wells Fargo Advantage Money Market Funds are subadvised by Wells Capital Management's money market fund team, which consists of 12 portfolio managers and traders as well as 14 credit analysts, using an array of proprietary and rigorous portfolio and credit research systems. As of September 30, 2014, the money market fund team managed $125 billion in assets under management. Portfolio Managers Ms. White, Mr. Bird, and Mr. Randazzo have worked closely with Mr. Sylvester for many years, and much of the day-to-day management of the Wells Fargo Advantage Money Market Funds has been led by them for some time."

It continues, "Q: What is the timeline for the transition of Mr. Sylvester's responsibilities? Mr. Sylvester will remain in his current role as senior portfolio manager until December 31, 2014. He will then serve as a senior portfolio advisor to the team until March 31, 2015, helping Mr. Weaver with the transition process. Mr. Weaver assumes his new role as head of the money market fund team and short-duration team on January 1, 2015, and will work closely with Portfolio Managers Ms. White, Mr. Bird, and Mr. Randazzo in the management of the Wells Fargo Advantage Money Market Funds."

Wells update asks, "Q: What can you tell me about Jeffrey Weaver, the new head of the money market fund team? Mr. Weaver has more than 23 years of investment experience. After initially working as a money market fund portfolio manager, he has been a portfolio manager for Wells Capital Management's short-duration fixed-income products for the past 20 years. Since 2002, he has served as the leader of the 11-person short-duration fixed-income team, which manages more than $40 billion in taxable and tax-advantaged short-duration strategies for institutional clients. During this time, he has worked closely with Mr. Sylvester on the provision of liquidity alternatives to our clients and with Mr. Grimes as a primary credit research resource."

The Alert says, "Q: What can you tell me about Portfolio Managers White, Bird, and Randazzo? Each of these individuals has worked closely with Mr. Sylvester for many years and will continue to implement the same investment approach and adhere to the same investment philosophy that investors have come to know with the Wells Fargo Advantage Money Market Funds. Laurie R. White will continue in her role as senior portfolio manager with an emphasis on prime money market investments. Ms. White is a 23-year veteran of Wells Capital Management, spending the entire time co-managing money market funds and other short-term assets with Mr. Sylvester.... Michael C. Bird joined Wells Capital Management as a senior portfolio manager in 2005, where he became responsible for U.S. government money market funds with Mr. Sylvester. Mr. Bird began his investment industry career in 1993 and has experience managing both taxable and tax-exempt money market portfolios.... James C. Randazzo leads the team that manages U.S. municipal money market investments. Mr. Randazzo joined Wells Capital Management in 2008, when Wells Fargo acquired the parent company of Evergreen Investments, Wachovia Bank."

It continues, "Q: What can you tell me about Matthew Grimes, head of taxable money market credit research? Matthew A. Grimes heads the taxable money market credit research team, providing in-depth analysis and research of money market securities. Since joining the firm in 1991, Mr. Grimes has developed the proprietary credit research process used by Wells Capital Management for money market fund and short-duration mandates that require top-tier credit ratings."

Finally, the piece adds, "Q: Are the money market fund team and short-duration team being merged? The money market fund team and short-duration team will continue to operate as distinct entities with separate trading desks. Wells Capital Management will continue to have a team dedicated to the management of money market funds and will not change its emphasis on principal preservation and liquidity. While the teams will remain separate entities, combining their leadership under one person responsible for the full spectrum of liquidity products will ensure the development of the full range of alternatives desired by liquidity investors in a changing environment."

The Investment Company Institute released its "Money Market Fund Holdings" report for October, which summarizes the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds (as of Oct. 31, 2014). ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets" table shows Prime Money Market Funds' Daily liquid assets at 26.4% as of October 31, 2014, up from 25.4% on September 30. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 22.3% (vs. 21.4% last month) and "Other treasury securities," which added 4.1% (up from 4.0% last month). Prime funds' Weekly liquid assets totaled 38.4% (vs. 37.3% last month), which was made up of "All securities maturing within 5 days" (33.5% vs. 31.5% in September), Other treasury securities (4.1% vs. 4.0% in September), and Other agency securities (0.9% vs. 1.9% a month ago). (See also Crane Data's Nov. 12 News, "Nov. Port. Holdings Show Spike in Time Deposits, CP; Drop in Repo.")

Government Money Market Funds' Daily liquid assets total 60.5% as of October 31 vs. 63.7% in September. All securities maturing within 1 day totaled 26.2% vs. 27.4% last month. Other treasury securities added 34.2% (vs. 36.3% in September). Weekly liquid assets totaled 77.3% (vs. 81.3%), which was comprised of All securities maturing within 5 days (37.3% vs. 37.1%), Other treasury securities (32.8% vs. 33.7%), and Other agency securities (7.2% vs. 10.5%).

ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 41.2% in the Americas (vs. 48.5% last month), 20.5% in Asia Pacific (vs. 20.4%), 38.0% in Europe (vs. 30.7%), and 0.3% in Other and Supranational (same as last month). Government Money Market Funds held 86.6% in the Americas (vs. 91.1% last month), 0.9% in Asia Pacific (vs. 0.4%), 12.5% in Europe (vs. 8.4%), and 0.0% in Supranational (vs. 0.1%).

The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 46 days as of October 31 vs. 46 days in September. WALs were at 79 days, up from 78 last month. Government MMFs' WAMs were at 48 days, up from 44 days last month, while WALs jumped to 77 days from 72 days.

ICI's release explains, "Each month, ICI reports numbers based on the Securities and Exchange Commission's Form N-MFP data, which many fund sponsors provide directly to the Institute. ICI's data report for October covers funds holding 94 percent of taxable money market fund assets." Note: ICI doesn't publish individual fund holdings.

Wells Fargo Securities' money market strategist Garrett Sloan also weighs in on the latest Money Fund Portfolio Holdings data with an eye toward recent European bank stress tests. In a new "Money Market Monitor" report, he writes, "Results from the recent stress tests conducted by the European Banking Authority (EBA) were compiled and published in October. Currently, U.S. taxable money market funds have aggregate exposure to European banks and related assets (i.e. ABCP) in excess of $660 billion (excluding supported VRDNs). After removing Treasury and Government-related repo, European bank holdings are currently closer to $509 billion."

He continues, "Reviewing the holdings of money market funds at October month-end, we found 31 European bank-related issuers (BPCE and Natixis were counted as one issuer) that were reviewed in the European Banking Authority stress tests.... The CET1 [Common Equity Tier 1 Capital Ratios] ratios of banks held by money market funds currently run the gamete. Of the 123 banks included in the stress tests, the top two performing banks: Nederlandse Waterschapsbank and NRW.Bank, each of which is government-related, are currently held by U.S. money market funds. Holdings fall to the low-end of the rankings as well. The lowest ranked bank, as measured by baseline CET1 ratios, currently held by money market funds is DZ Bank."

Further, Sloan explains, "Based on the 2016 adverse scenario, the lowest ranked banks held by U.S. money market funds are 103rd ranked Dexia NV, and 110th ranked AXA Bank. In the case of Dexia, while the company went through the stress test exercise, it is currently being wound down under a resolution plan approved by the European Union, and holdings by U.S. money market funds represent only that portion guaranteed by the governments of Belgium, France and Luxembourg.... Other poor-performing European bank exposures currently held by U.S. money market funds under the adverse scenario include DZ Bank (98th), Lloyds Bank (94th), Royal Bank of Scotland (91st), Groupe BPCE (84th), and Barclays (83rd). While we would reiterate that the EBA stress tests represent only one metric for credit risk analysis, the tests have created benchmarks against which investors may assess progress towards stated regulatory capital objectives."

He says, "With the July 23 re-proposal to remove NRSRO ratings from money market fund eligibility criteria, fund managers may look to increase the usage of stress test results in their credit-risk modeling frameworks. In such a context, one might question whether regulators would criticize the eligibility of certain banks in the current list of money market fund holdings based on their CET1 rankings."

Finally, Sloan adds, "The data suggest that money market fund managers are using duration as a risk mitigation tool as it pertains to money market fund holdings. Longer-dated assets that went through the EBA stress tests either performed well or contain some type of explicit government support, while issuers that ranked lower in the CET1 stress tests are primarily being funded on a short-term basis."

Last week we reported on the Federal Reserve Bank of New York's decision to expand its list of Reverse Repo counterparties. (See Crane Data's Nov. 13 News, "New York Federal Reserve Looks to Expand RRP Repo Counterparties".) Since then, several money market strategists have also offered their take, explaining how the involvement of Government Sponsored Entities, particularly the Federal Home Loan Banks (FHLBs) could impact the Fed funds and repo rates. (We noted that all of the 25 largest money fund managers are already counterparties, with the exceptions of: Franklin, American Funds, SEI, HSBC and Reich & Tang.)

In his November 13 commentary, Garrett Sloan, fixed income market strategist at Wells Fargo Securities, says "Judging from the current counterparty list it would appear that there is one sub-group from whom they would like to see more RRP activity, specifically the GSEs. Why is that? Well, when it comes to trading in the Fed funds market, the GSEs are the last issuers standing, with most banks opting to park cash at the Fed. Given that the FOMC has said it would like to continue using the Fed funds rate as its primary tool for monetary policy transmission, the level of the Fed funds rate is quite important. Without more GSE participation in the reverse repo program, the Fed funds rate could remain stubbornly sticky even as the Fed increases RRP and IOER policy rates."

He adds, "As such, more RRP participation is important if the Fed wishes to keep the Fed funds rate moving in a stable range along with the RRP and IOER. If there is not more GSE participation, the soft floor being set by the RRP will have less of an impact on the Fed funds rate, as the alternative for non-participating GSEs would be 0 basis points. Currently, only the FHLBs of Boston, Chicago, Cincinnati, and Des Moines, along with Fannie Mae and Freddie Mac are participants. Non-participants include Farm Credit along with the FHLBs of San Francisco, Seattle, Topeka, Dallas, Atlanta, Indianapolis, Pittsburgh, and New York. Recently, the Fed lowered the RRP rate to 3 basis points, and on Monday it [increased] the rate to 7 basis points, then 10 basis points on December 1 through December 12. GSE applications for RRP participation are due November 24, one week before the Fed tests the RRP at 10 basis points. Even though the latest wave of counterparties will not be added until Q1 2015, we could see the Fed funds rate push higher from the current 9-basis point level as the RRP moves to 10."

Barclays money market strategist Joseph Abate in his "Weekly Money Market Update," comments, "In effect, the Fed is telling potential counterparties to join now or lose the opportunity forever, as the Fed plans to terminate the program once it is no longer needed to control the fed funds rate. We do not think that there are many eligible non-participants left to take up the Fed's invitation. That said, including some of those that are some of those that are left may have a significant effect on the effective fed funds rate."

Abate explained, "Currently, these institutions must choose between leaving their cash uninvested at the Federal Reserve to earn 0% or selling it into the Fed funds market for a slightly higher rate. Their ability to sell cash into the fed funds market, however, is limited by the fact that buyers in this market (banks) are already long cash and have little need for additional funding.... With few alternative investments for their cash, the FHLBs have become price takers in the fed funds market. From the perspective of policymakers, however, their ability to establish a hard interest rate floor under the policy rate is constrained to the extent that the FHLBs are selling cash into the market at rates below the RRP rate but above 0%."

Further, he comments, "Markets initially interpreted the expansion of the RRP counterparty list to mean that the eight remaining FHLBs would abandon the Fed funds market completely for the RRP program. And this would have two significant effects. First, it would (obviously) shrink the size of the fed funds market dramatically, and second, it would remove nearly all of the highest quality/low rate borrowers from the market. All things equal, both effects would bias the effective funds rate higher. We think the second of these effects is particularly significant because of the distribution of borrowers in the fed funds market."

Abate continues, "By giving the FHLBs the chance to earn roughly the same amount of yield in a riskless trade with the Fed at the RRP rate as opposed to taking on unsecured bank risk, the Fed should theoretically remove their willingness to sell cash in the fed funds market at or below the RRP rate. In effect, the Fed could harden the interest rate floor under the RRP rate, but at the cost of a significant reduction in volume in the market of its principal policy lever. Although we generally agree with this line of reasoning, it not entirely obvious that all of the remaining eight FHLBs would prefer the RRP program to the fed funds market. In fact, the FHLBs have a longstanding aversion to tri-party repo that stems from when the cash from unwinding the trade is returned to their coffers. Unlike the fed funds market, which allows for the early return of cash, in the tri-party repo market, cash is typically not returned until 3.30pm or so.... Thus, the key decision that the FHLBs will need to make will be to figure out what spread between the Fed funds that they sell and the RRP rate (which is a tri-party transaction) they will need to earn to compensate for the absence of early-return cash."

He tells us, "Indeed, it is possible that the current fed funds clearing rates that they face with large money center banks of between 4 and, say, 6 to 7bp leave them indifferent to the Fed RRP facility. In that case, the volume of fed funds transactions might not decline and, importantly, the bulk of the market volume would continue to be transacted at the lower end of the rate distribution."

And how would this impact the repo market? Finally, Abate says, "The outlook for repo rates is less clear. On the one hand, it is possible that hardening the floor under the fed funds rate (and potentially even increasing it if volumes traded decline) might drag repo rates higher.... But on the other hand, it is possible that collateral rate could decline. As a result, while we generally think the inclusion of the eight non-participating FHLBs in the RRP will harden the floor under the fed funds rate, it is not obvious how much higher the effective fed funds rate might trade. Likewise, while we expect that repo rates might be biased lower, this effect, too, is not clear cut."

Finally, in his recent "Short End Notes” commentary, Citi Research money market strategist Andrew Hollenhorst concludes, "Based on filings from Q3 2014 it looks like at least 5 or 6 of the remaining FHLBs have been maintaining $1bln in cash in repo, one of the requirements for these institutions to become RRP counterparties. The addition of these FHLBs to RRP is most significant for the Fed funds market as the majority of activity in this market consists of FHLBs, which do not earn 25bp IOER, lending cash at low rates to banks that do earn IOER. To the extent FHLBs shift this cash to Fed RRP, the fed funds effective average rate will move higher as it will incorporate less low rate transactions."

Along with the Prime Institutional sector, Tax-Exempt institutional money funds stand to be the most impacted by the SEC Money Market Fund Reforms as they will also be required to have a floating net asset value. We take a closer look at the current state of Tax-Exempt MMFs, or "munis," and feature expert commentary on the sector from Colleen Meehan, senior portfolio manager at Dreyfus. "The tax-exempt note market continues to experience strong demand for securities issued by municipalities. Issuance continues to decline as issuers' need for short-term financing has decreased as tax receipts continue to remain strong and have supported better financial conditions for many municipalities. The yields on newly issued money-market-eligible securities continue to post historical low levels. The one-year note index is 0.14%," writes Meehan in her "Tax Exempt Money Market Commentary for November, 2014." (Note: Meehan and Dreyfus' Rebecca Glen are scheduled to speak at our upcoming Crane's Money Fund University, Jan. 22-23, 2015, in Stamford, Conn. on "Instruments of the Money Markets: Tax-Exempt Securities, VRDNs, TOBs & Muni Bonds.")

She continues, "Robust investor demand and continued decreasing supply has kept yields on variable-rate demand notes (VRDNs) at historical lows. The SIFMA index, a weekly high-grade market index comprised of seven-day tax-exempt VRDNs produced by Municipal Market Data Group, has averaged 0.05% for 2014. We continue to maintain high levels of liquidity and weighted average maturities within the industry averages. In general, municipal credit quality has continued to improve as most states and many local governments have recovered slowly from the recession."

Meehan adds, "In particular, state general funds have shown consecutive quarters of growth in personal income tax and sales tax revenue, both important sources of revenue. Careful and well-researched credit selection remains key. State general obligation bonds, essential-service revenue bonds issued by water, sewer and electric enterprises, certain local credits with strong financial positions and stable tax bases, and various healthcare and education issuers should remain stable credits."

Meehan also discusses the impacts of a high-profile bankruptcy. "The City of Detroit filed for Chapter 9 bankruptcy in 2013, the largest municipal bankruptcy on record. This action by the city was not unexpected, as it was the culmination of years of population declines, property tax base erosion and tax revenue stagnation. Fiscal distress was exacerbated by rising pension and retiree health benefit obligations. While the tax-exempt money market sector was not immediately impacted by the filing, the entire municipal market has been monitoring the case closely since the city has taken the unprecedented measure of viewing its general obligation bonds as unsecured debt."

She writes, "By doing this, the city is seeking to diminish the value of outstanding tax-supported bonds, an obligation the municipal market has long viewed as unacceptable. The ultimate conclusion of the bankruptcy case, which may take a lengthy amount of time to conclude, may establish precedent for future filings. Additionally, the Commonwealth of Puerto Rico has experienced economic stagnation, budget difficulties and rising pension obligations, which have led to negative ratings outlooks and declines in bond prices."

While the Crane Money Fund Average, which tracks all taxable MMFs, has grown by $93.0 billion since the SEC approved reforms on July 23rd, the Tax Exempt market has gone in the other direction. To date, our Crane Tax-Exempt Index has dropped $4.1 billion to $248.5 billion since the reforms were approved. Year-to-date through November 13, Tax Exempt MMF assets are down $16.4 billion. Going back almost 5 years to January 1, 2010, assets in this sector are down $143.8 billion or 36.7%. The Crane Tax-Exempt Institutional sector, which represents 2.1% of all MMF assets, has also declined. At the end of October, the Tax-Exempt Institutional sector had $53.4 billion, down $2.1 billion over the last three months and $4.1 billion since January 1, 2014. Conversely, the Crane Prime Institutional MMF market has grown by $20.8 billion since the SEC approved reforms on July 23rd.

Though Tax Exempt Institutional money funds won't be exempted from the pending floating NAV reforms (due to take effect in October 2016), Dreyfus fought hard for their exclusion. In a comment letter sent to the SEC on March 5, 2014, Dreyfus President J. Charles Cardona urged the SEC to exclude municipal money market funds from the floating NAV requirements. He wrote: "Survey evidence supports the assertion that Municipal MMFs are not used solely by individual investors. To the contrary, Institutional investors regularly invest in Municipal MMFs.... We believe the Commission should recognize that Municipal MMFs do not pose systemic risk concerns and should be treated like Government MMFs."

Crane Data shows the largest money fund manager in the Tax Exempt sector as Fidelity with $70.7 billion in assets, followed by Vanguard with $27.5B, and Schwab with $22.1B. Fourth is JP Morgan with $22.3B, followed by Federated with $17.4B, Morgan Stanley with $13.1B, Northern with $11.7B, BlackRock with $8.6B, Dreyfus with $6.1B, and Goldman Sachs with $6.1B. JP Morgan has the most Tax Exempt Institutional Assets with $12.8B, followed by Federated at $7.0B and Goldman Sachs at $5.6B.

As of October 31, our Money Fund Intelligence XLS tracked 112 Tax-Exempt Retail MMFs and 80 Tax Exempt Institutional money funds. The largest T-E Retail fund is Fidelity Municipal Money Market Fund with $28.6B in assets, followed by Vanguard Tax Exempt MMF with $17.4B, Schwab Municipal Money Fund Sweep with $10.9B, Fidelity Tax Free MMF with $9.2B, and Morgan Stanley Active Assets Tax Free with $8.0B. The largest T-E Institutional fund is JP Morgan Tax Free MM Institutional with $10.0B, followed by Federated Tax Free Obligations Institutional with $5.3B, Goldman Sachs FSq T-F MMF Inst with $5.1B, Northern Institutional Muni MM Sh with $4.7B, and BofA Tax-Exempt Res Trust with $2.6B. The largest State Tax Exempt MMF is Fidelity CA Municipal MM with $6.8B, followed by Fidelity MA Municipal MM with $6.3B, Schwab CA Municipal MF Sweep with $6.0B, Fidelity NY Municipal MM with $5.4B, and Fidelity NJ Municipal MMF with $2.4B.

In its European MMF Quarterly report, Fitch Ratings says, "Euro-denominated money market funds are moving closer to negative yields, on average, as declining short-term market rates have turned negative for most high quality money market issuers." We excerpt from their release below, and we also look at assets, yields and fund changes in Crane Data's latest Money Fund Intelligence International and our the latest MFI International Money Fund Portfolio Holdings data. (Note: Our MFI International products track USD, Euro and Sterling money funds domiciled in Dublin and Luxembourg. Crane Data will be releasing its latest "offshore" money fund holdings data later today.)

"Euro MMFs saw their yields fall to 3bp, on average, at the end of September," Fitch's report states. "As higher yielding assets mature, funds are reinvesting at lower, often negative rates, which is expected to push euro MMF yields into negative territory." Fitch adds, "Negative euro MMF yields or the resulting use of unit cancellations to maintain a stable fund asset value, in and of itself, would not be a negative rating factor. It remains however untested how investors may react."

Fitch comments, "In Q314, Euro MMFs increased their allocation to sovereigns, supranationals and government agencies (SSA) by more than 200bp to a two-year high of 12.4%. Portfolio weighted average maturities increased in euro MMFs. They remained relatively stable for sterling MMFs and declined in US dollar funds." The release adds, "Overnight and one-week portfolio liquidity levels remain high at 27% and 39% on average, stable over the quarter."

Euro money fund assets have increased of late, however. Since June 11, when the European Central Bank decision to cut the interest rate on the deposit facility to -0.10% became effective, assets of euro-denominated MMFs have increased by E13.3 billion to E91.5 billion (as of Nov. 12, 2014), according to the Crane EUR MMF Index. Since the ECB decreased the deposit rate even further to -0.20%, effective September 10, euro MMFs assets have jumped E3.8 billion.

However, there has been some fund consolidation. Going back to June 4, the date the ECB decided to approve the negative rate, Crane tracked 98 Euro MMFs; today, we track 91. Among the liquidated funds were several RBS Euro funds, which were acquired by Goldman Sachs. This month, Northern Trust liquidated its Euro MMF and launched a new Euro VNAV money market fund, the Euro Liquidity Fund (see our Nov. 6 "Link of the Day," "Northern's New Euro VNAV MMF").

As Bloomberg noted in September (see "`BlackRock Money-Market Fund Prepares for Negative Yields), BlackRock switched on a "Reverse Distribution Mechanism" for its ICS Europe Government Liquidity Fund. As we wrote in our Sept. 15 "Link of the Day", the move follows the ECB's decision to cut the deposit rate to -0.20%. Crane Data President Peter Crane was quoted in a Bloomberg as saying, "To most people, whether you have 100 shares at 99 cents or 99 shares at a dollar doesn't matter, but in money fund land, it raises the specter of breaking the buck -- anything that implies that you're losing money becomes a big deal.... They would much rather find a way to keep the value of the shares stable and yet to cover those negative yields."

BlackRock remains the largest manager of euro MMFs with E22.6 billion in assets under management as of November 12, according to Crane Data's MFII. JP Morgan is next with E15.3B, followed by Goldman Sachs with E15.2B. BNP Paribas Insticash is fourth with E10.3B, followed by Deutsche (E6.8B), HSBC (E4.3B), SSgA (E4.0B), Morgan Stanley (E3.6B), Amundi (E2.9B), Aviva (E1.4B), and Fidelity (E1.2B).

Our last MFII Portfolio Holdings report shows the 10 largest issuers of securities to Euro-denominated MMFs as: Republic of France (E6.3B, 6.3%), BNP Paribas (E6.0B, 6.5%), FMS Wertmanagement (E4.2B, 4.6%), Nordea Bank (E3.6B, 3.9%), Bank of Tokyo-Mitsubishi UFJ Ltd (E3.3B, 3.6%), Rabobank (E3.3B, 3.6%), Credit Mutuel (E3.1B, 3.4%), HSBC (E3.1B, 3.4%), Barclays PLC (E2.9B, 3.1%), and JP Morgan (E2.9B, 3.1%). Euro MMFs held 36% in CP, 32% in CDs, 17% in Other (primarily Time Deposits), 15% in Repo, 7% in Treasuries, and 3% in Agencies. About 30.2% came from France, 11.1% from Germany, 9.8% from Japan, 9.4% from Great Britain, 9.4% from the US, 6.9% from Sweden, 5.8% from The Netherlands, and 3.7% from Belgium.

In contrast, the 10 largest issuers for USD denominated European (or "offshore") money market funds include: US Treasury ($75 billion, 16.2%), Federal Reserve Bank of New York ($27.5B, 5.9%), Credit Agricole ($19B, 4.1%), Bank of Tokyo-Mitsubishi UFJ ($16.3B, 3.5%), BNP Paribas ($14.4B, 3.1%), Bank of Nova Scotia ($10.7B, 2.3%), Sumitomo Mitsui Banking Co., ($10.4B, 2.2%), JP Morgan ($8.9B, 1.9%), Natixis ($8.8B, 1.9%), and Nordea Bank ($8.8B, 1.9%). As of Sept. 30, European-domiciled USD money funds held an average of 27% in CDs, 24% in CP, 16% in Treasuries, 15% in Repo, 14% in Other, and 4% in Agencies. Roughly 35.1% of issuers were from the US, 12.5% from France, 10.3% from Japan, 9.1% from Canada, 6.4% from Sweden, 5.3% from Great Britain, 5.0% from The Netherland, and 4.8% from Australia.

Finally, in contrast, the 10 largest issuers to GBP-denominated MMFs are: Lloyds TSB Bank PLC (L6.3B, 6.1%), Rabobank (L4.4B, 4.2%), Nordea Bank (L3.8B, 3.7%), FMS Wertmanagement (L3.8B, 3.6%),Sumitomo Mitsui Banking Co (L3.7B, 3.6%), Barclays PLC (L3.7B, 3.6%), Standard Chartered Bank (L3.6B, 3.5%), HSBC (L3.6B, 3.5%), BNP Paribas (L3.4B, 3.3%), and the UK Treasury (L3.2B, 3.1%). GBP MMFs held an average of 34% in CP, 31% in Other, 21% in CDs, 9% in Repo, 3% in Treasuries, and 1% in Agencies. Approximately 21.0% of issuers were from Great Britain, 12.8% from France, 10.1% from Japan, 8.7% from Germany, 8.4% from The Netherlands, 6.0% from Singapore, 6.0% from Sweden, 5.3% from the US, and 5.0% from Australia.

Wanted: Counterparties to participate in the Federal Reserve Bank of New York's Reverse Repo Program. That was the message sent out by the NY Fed yesterday in a "Statement Regarding Reverse Repurchase Transaction Counterparty Applications." The statement reads: "Effective today, the New York Fed is accepting applications from firms interested in becoming a counterparty eligible to participate in RRP transactions with the New York Fed. The RRP counterparty eligibility criteria for all entity types (banks, government-sponsored enterprises, and money market funds) have substantially remained the same as those announced on August 16, 2012. Applications for banks and government-sponsored enterprises are due on November 24, 2014. For money funds, part I of the application is due on November 24, 2014 and part II is due on December 8, 2014." This represents the second expansion of the RRP program in as many weeks (see Oct. 30 "Link of the Day," "NY Fed to Test Other Rates on RRP, Offer Additional $​300 Billion in Term Repo") following a previous period of restraint and warnings from Fed officials.

The New York Fed first announced its plan to expand its counterparties for conducting reverse repo agreement transactions on March 8, 2010. It explained, "The expansion of counterparties was intended to enhance the capacity of such operations to drain reserves beyond what could likely be conducted through the New York Fed's traditional counterparties, namely, Primary Dealers. Over the course of the period from March 8, 2010, to August 16, 2012, the New York Fed adjusted the eligibility criteria in order to accept a broader set of expanded counterparties. Since September 23, 2013, this expanded counterparty list has also been used to conduct overnight RRP transactions. This program to expand counterparties for the conduct of RRP transactions is a matter of prudent advance planning, and no inference should be drawn about the timing of any prospective monetary policy operation."

Going forward, the NY Fed explains, "As the ON RRP operations to date have been consistent with a significant degree of control over the federal funds rate, it is therefore anticipated that this will be the last wave of applications accepted. Further, applicants should note that the ON RRP operations currently conducted with expanded reverse repo counterparties will be phased out when no longer needed to help control the federal funds rate. After this last wave of expanded reverse repo counterparties is added, likely at some point in the first quarter of 2015, firms that meet the above-mentioned eligibility criteria will be allowed to submit applications, but these applications will be considered only if the addition of new counterparties is deemed necessary to support the effective implementation of monetary policy. Currently, the New York Fed does not anticipate increasing the total number of expanded reverse repo counterparties after those added from the last wave of applications.

The current list of the Investment Managers on the Fed's Reverse Repo Counterparties list includes: BlackRock Advisors, BlackRock Fund Advisors, BofA Advisors, Charles Schwab Investment Management, Deutsche Investment Management Americas, The Dreyfus Corporation, Federated Investment Management Company, Fidelity Investments Money Management, Fidelity Management & Research Company, Goldman Sachs Asset Management, Invesco Advisers, J. P. Morgan Investment Management, Legg Mason Partners Fund Advisor, Morgan Stanley Investment Management, Northern Trust Investments, Passport Research, Prudential Investments, RBC Global Asset Management (U.S.), SSgA Funds Management, T. Rowe Price Associates, UBS Global Asset Management (Americas), U.S. Bancorp Asset Management, The Vanguard Group, and Wells Fargo Funds Management. (All of the 25 largest money fund managers, which represent 96.3% of all assets, are included on this list, with the exceptions of: Franklin, American Funds, SEI, HSBC and Reich & Tang.)

The list of Banks on the RRP Counterparties list includes: Bank of Montreal (Chicago Branch); The Bank of New York Mellon; Barclays Bank PLC - New York Branch; Citibank, N.A.; Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., Rabobank Nederland, New York Branch; Credit Agricole Corporate and Investment Bank; Credit Suisse AG, New York Branch; Deutsche Bank AG NY; Discover Bank; HSBC Bank USA; National Association; JPMorgan Chase Bank, N.A.; Mizuho Bank, Ltd.; Morgan Stanley Bank, N.A.; Royal Bank of Canada; Societe Generale New York Branch; State Street Bank and Trust Company; Svenska Handelsbanken AB New York Branch; and Wells Fargo Bank, NA.

Government sponsored enterprises include: Federal Home Loan Bank of Boston; Federal Home Loan Bank of Chicago; Federal Home Loan Bank of Cincinnati; Federal Home Loan Bank of Des Moines; Federal Home Loan Mortgage Corporation (Freddie Mac); Federal National Mortgage Association (Fannie Mae). These counterparties are in addition to the existing set of Primary Dealer counterparties with whom the Federal Reserve can already conduct reverse repurchase agreements.

Reuters' explains in "N.Y. Fed accepts applications to expand reverse repo participants", which says, "The New York Federal Reserve said on Wednesday it is accepting applications from firms to participate in the U.S. central bank's fixed-rate reverse repurchase agreement program, which is a critical tool to control short-term interest rates when it decides tighten policy. Right now, there are 140 reverse repo counterparties, including 94 of the largest money market funds, six government-sponsored enterprises (Fannie Mae, Freddie Mac, and four Federal Home Loan Banks), 18 banks, and 22 primary dealers that are the top Wall Street firms that do business directly with the Fed. This last wave of expanded RRP counterparties will likely be added in first quarter of 2015, the New York Fed in a statement."

As we wrote in our recent recap of November Money Fund Portfolio Holdings, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) plunged following quarter-end, but it remained the largest program with 28.3% of the repo market ($144.7 billion). The NY Fed's issuance has skyrocketed in the past year. In October 2013, it issued just $8.8 billion to money market funds tracked by Crane Data. It spiked to $139.2 billion in December 2013, $203.1 billion in March 2014, $274.5 billion in June 2014, $287.3 billion in September 2014.

Crane Data shows 61 funds (up from 55 last month) and 18 fund complexes participating in the NY Fed repo program with just 4 money funds holding over $7 billion (the previous cap). The largest Fed repo holders include: JP Morgan US Govt ($15.3B), Goldman Sachs FS Trs Obl Inst ($10.7B), Morgan Stanley Inst Liq Trs ($9.5B), State Street Inst Lq Res ($7.7B), Dreyfus Tr&Ag Cash Mgmt Inst ($6.5B), JP Morgan US Trs Plus ($6.2B), UBS Select Treas ($5.5B), Federated Gvt Oblg ($4.7B), Schwab Gvt MMkt ($4.3B), Federated Trs Oblg ($4.3B), Western Asset Inst Gvt ($4.2B), Fidelity Inst MMkt Gvt ($4.1B), First American Trs Oblg ($4.1B), Fidelity Inst MM MMkt ($4.0B), First American Gvt Oblg ($3.5B), Goldman Sachs FS Gvt ($3.5B), Fidelity Inst MM Prm ($3.4B), BlackRock Lq T-Fund ($3.0B), Morgan Stanley Inst Lq Gvt ($3.0B), and Dreyfus Govt Cash Mngt ($2.9B).

As we also mentioned previously, Fitch Ratings released a report on Tuesday that says Treasury Funds have become heavily reliant on the RRP. (See our `Nov. 11 "Link of the Day," "Fitch: Treasury Funds Reliant on RRP.) "Eligible treasury money funds allocated an average of 39% of their assets to the RRP at the end of the quarter, far outpacing eligible government and prime funds, which allocated 19% and 10% on average, respectively, according to data from Crane Data," wrote Fitch. They added, "Constrained by a limited supply of eligible investments, money funds have consistently been the largest participants in the RRP, comprising over 95% of its total investment on Sept. 30."

Crane Data released its November Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Oct. 31, 2014, shows jumps in Other (Time Deposits), Commercial Paper, and CDs, and a big drop in (Fed) Repo. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $4.2 billion in October to $2.439 trillion. Portfolio assets increased by $42.4 billion in September and $28.2 billion in August, after decreasing by $6.2 billion in July and $18.0 billion in June. CDs became the largest portfolio composition segment among taxable money funds, once again surpassing Repos. In third were Treasuries, just ahead of CP. These were followed by Agencies, Other (Time Deposits), and VRDNs. Money funds' European-affiliated holdings increased sharply to 28.1% up from 22.1% last month. Below, we review our latest Money Fund Portfolio Holdings statistics.

Among all taxable money funds, Certificates of Deposit (CDs) were up 1.0% in October, increasing $5.6 billion to $546.4 billion, or 22.4% of holdings, after dropping $20.1 billion September, rising $1.6 billion in August and $14.2 billion in July. Repurchase agreement (repo) holdings decreased by $85.3 billion to $511.3 billion, or 21.0% of fund assets, after increasing $84.4 billion in September, rising $4.3 billion in August, and dropping $83.6 billion in July. Treasury holdings, the third largest segment, decreased by $24.5 billion to $388.9 billion (15.9% of holdings). Commercial Paper (CP), the fourth largest segment, increased by $10.9 billion to $379.3 billion (15.5% of holdings). Government Agency Debt was down $9.2 billion. Agencies now total $335.6 billion (13.8% of assets). Other holdings, which include primarily Time Deposits, increased sharply up $110.8 billion) to $245.1 billion (10.0% of assets). VRDNs held by taxable funds decreased by $3.5 billion to $27.2 billion (1.1% of assets).

Among Prime money funds, CDs still represent over one-third of holdings with 36.3% (down from 36.5% a month ago), followed by Commercial Paper (24.8%). The CP totals are primarily Financial Company CP (14.7% of holdings) with Asset-Backed CP making up 5.6% and Other CP (non-financial) making up 4.5%. Prime funds also hold 4.9% in Agencies (down from 5.7%), 3.9% in Treasury Debt (same as last month), 5.2% in Other Instruments, and 6.2% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.522 trillion (up from $1.497), or 62.4% of taxable money fund holdings' total of $2.435 trillion.

Government fund portfolio assets totaled $452.0 billion in October, up from $443.0 billion last month, while Treasury money fund assets totaled $466.0 billion, down from $495.1 billion at the end of September. Government money fund portfolios were made up of 57.1% Agency Debt securities, 23.8% Government Agency Repo, 2.9% Treasury debt, and 15.6% in Treasury Repo. Treasury money funds were comprised of 67.7% Treasury debt, 31.3% Treasury Repo, and 1.0% made up of Government agency, repo and investment company shares.

European-affiliated holdings increased $148.2 billion in October to $686.1 billion in October (among all taxable funds and including repos); their share of holdings is now 28.1%. Eurozone-affiliated holdings also increased (up $60.7 billion) to $350.1 billion in October; they now account for 14.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $7.0 billion to $307.6 billion (12.6% of the total), while Americas related holdings decreased $151.0 billion to $1.443 trillion (59.2% of holdings).

The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $105.9 billion to $261.3 billion, or 10.7% of assets), Government Agency Repurchase Agreements (up $22.5 billion to $166.2 billion, or 6.8% of total holdings), and Other Repurchase Agreements (down $1.9 billion to $83.8 billion, or 3.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $16.2 billion to $224.2 billion, or 9.2% of assets), Asset Backed Commercial Paper (down $2.6 billion to $85.9 billion, or 3.5%), and Other Commercial Paper (down $2.6 billion to $69.2 billion, or 2.8%).

The 20 largest Issuers to taxable money market funds as of Oct. 31, 2014, include: the US Treasury ($388.9 billion, or 15.9%), Federal Home Loan Bank ($204.5B, 8.4%), Federal Reserve Bank of New York ($144.7B, 5.9%), Credit Agricole ($62.8B, 2.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($61.4B, 2.5%), BNP Paribas ($60.9B, 2.5%), JP Morgan ($58.3B, 2.4%), Wells Fargo ($57.7, 2.4%), Bank of Nova Scotia ($54.5B, 2.2%), Citi ($52.2B, 2.1%), Federal Home Loan Mortgage Co ($47.8B, 2.0%), RBC ($47.7B, 2.0%), Bank of America ($47.4B, 1.9%), Sumitomo Mitsui Banking Co ($44.6B, 1.8%), ` DnB NOR Bank ASA <b:>`_ ($42.9B, 1.8%), Federal National Mortgage Association ($42.8B, 1.8%), Toronto-Dominion ($41.5B, 1.7%), Barclays PLC ($41.3B, 1.7%), Natixis ($40.0B, 1.6%), and ` Credit Suisse <b:>`_ ($39.9B, 1.6%).

In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) plunged following quarter-end, but it remained the largest program with 28.3% of the repo market. The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Federal Reserve Bank of New York ($144.7B, 28.3%), Bank of America ($38.8B, 7.6%), BNP Paribas ($37.1B, 7.3%), Barclays ($27.9B, 5.5%), Societe Generale ($27.0B, 5.3%), Credit Agricole ($26.5B, 5.2%), JP Morgan ($25.6B, 5.0%), Citi ($25.3B, 4.9%), Wells Fargo ($22.5B, 4.4%), and Credit Suisse ($20.2B, 3.9%).

Crane Data shows 61 funds (up from 55 last month) and 18 fund complexes participating in the NY Fed repo program with just 4 money funds holding over $7 billion (the previous cap). The largest Fed repo holders include: JP Morgan US Govt ($15.3B), Goldman Sachs FS Trs Obl Inst ($10.7B), Morgan Stanley Inst Liq Trs ($9.5B), State Street Inst Lq Res ($7.7B), Dreyfus Tr&Ag Cash Mgmt Inst ($6.5B), JP Morgan US Trs Plus ($6.2B), UBS Select Treas ($5.5B), Federated Gvt Oblg ($4.7B), Schwab Gvt MMkt ($4.3B), Federated Trs Oblg ($4.3B), Western Asset Inst Gvt ($4.2B), Fidelity Inst MMkt Gvt ($4.1B), First American Trs Oblg ($4.1B), Fidelity Inst MM MMkt ($4.0B), First American Gvt Oblg ($3.5B), Goldman Sachs FS Gvt ($3.5B), Fidelity Inst MM Prm ($3.4B), BlackRock Lq T-Fund ($3.0B), Morgan Stanley Inst Lq Gvt ($3.0B), and Dreyfus Govt Cash Mngt ($2.9B).

The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($49.5B, 4.7%), Sumitomo Mitsui Banking Co ($44.6B, 4.3%), DnB NOR Bank ASA ($42.9B, 4.1%) Bank of Nova Scotia ($37.5B, 3.6%), Toronto-Dominion Bank ($36.8B, 3.5%), Credit Agricole ($36.4B, 3.5%), Natixis ($36.0B, 3.4%), Wells Fargo ($35.2B, 3.4%), Swedbank AB ($33.5B, 3.2%), and Skandinaviska Enskilda Banken AB ($32.5B, 3.1%).

The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($39.1B, 7.2%), Sumitomo Mitsui Banking Co ($38.9B, 7.1%), Toronto-Dominion Bank ($36.3B, 6.6%), Bank of Nova Scotia ($31.7B, 5.8%), Mizuho Corporate Bank Ltd ($26.8B, 4.9%), Wells Fargo ($26.3B, 4.8%), Bank of Montreal ($25.8B, 4.7%), Rabobank ($20.4B, 3.7%), Natixis ($20.2B, 3.7%), and Citi ($16.9B, 3.1%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.8B, 7.5%), Commonwealth Bank of Australia ($16.3B, 5.1%), Westpac Banking Co ($16.3B, 5.1%), Lloyds TSB Bank PLC ($13.0B, 4.1%), RBC ($12.5B, 4.0%), BNP Paribas ($10.7B, 3.4%), Australia & New Zealand Banking Group ($9.7B, 3.1%), DnB NOR Bank ASA ($9.4B, 3.0%), General Electric ($8.9B, 2.8%), and National Australia Bank Ltd ($8.8B, 2.8%).

The largest increases among Issuers include: DnB NOR Bank ASA (up $31.7B to $42.9B), Societe Generale (up $18.7B to $36.0B, Lloyds TSB Bank PLC (up $18.0B to $26.3B), Credit Agricole (up $17.9B to $62.8B), Swedbank AB (up $15.3B to $33.5B), Barclays PLC (up $12.0B to $41.3B), Credit Mutuel (up $9.5B to $17.1B), Natixis (up 8.7B to $40.0B), JP Morgan (up $8.3B to $58.3B), Australia and New Zealand Banking Group (up $6.9B to $20.6B), Nordea Bank (up $5.5 to $25.5B), BNP Paribas (up $5.2B to $60.9B), Bank of America (up 4.9B to $47.4B), and Citi (up $4.5B to $52.2B).

The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of NY (down $142.6B to $144.7B), US Treasury (down $24.5B to $388.9B), Federal Home Loan (down $9.6B to $204.5B), RBC (down $5.7B to $47.7B), Bank of Montreal (down $3.8B to $29.3B), Sumitomo Mitsui Banking Co. (down $2.7B to $44.6B), Bank of Nova Scotia (down $2.3B to $54.5B), UBS AG (down $2.2B to $12.3B), Canadian Imperial Bank of Commerce (down $2.2B to $15.3B), and Rabobank (down $2.4B to $26.5 B).

The United States remained the largest segment of country-affiliations; it represents 50.6% of holdings, or $1.234 trillion. France (9.3%, $227.6B) moved up to second from fourth place ahead of third place Canada (8.5%, $207.4B) and Japan (7.5%, $183.2B). Sweden (4.9%, $118.8B) held on to fifth place, followed by the U.K. (4.8%, $117.9B), Australia (3.7%, $94.3B), The Netherlands (2.7%, $65.3B), and Switzerland (2.3%, $56.0B). Germany (1.8%, $43.8B) held 10th place among country affiliations. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)

As of Oct. 31, 2014, Taxable money funds held 26.8% of their assets in securities maturing Overnight, and another 12.7% maturing in 2-7 days (39.5% total in 1-7 days). Another 19.2% matures in 8-30 days, while 22.1% matures in the 31-90 day period. The next bucket, 91-180 days, holds 15.4% of taxable securities, and just 3.9% matures beyond 180 days.

Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Tuesday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released later this week. Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Reports Issuer Module.

Crane Data published its latest Money Fund Intelligence Family & Global Rankings Tuesday, which rank the asset totals and market share of managers of money market mutual funds in the U.S. and globally. The November edition, with data as of October 31, shows asset increases for about half of money fund complexes in the latest month, as well as modest gains over the past three months. After a sizable increase in overall assets in September, assets flattened out in October, increasing only slightly. Over the last 12 months, assets overall are relatively flat, down 1.4%. Below, we review the latest market share changes and figures. (These "Family" rankings are available to our Money Fund Wisdom subscribers.)

J.P. Morgan, BlackRock, BofA, Wells Fargo, Northern, and First American were the biggest gainers in October, rising by $8.4 billion, $5.8 billion, $3.7 billion, $1.8 billion, $1.1 billion, and $1.1 billion respectively. BlackRock, J.P. Morgan, Federated, Goldman Sachs, Dreyfus, Morgan Stanley, and BofA led the increases over the 3 months through October 31, 2014, rising by $15.6B, $15.2B, $10.5B, $7.9B, $7.8B, $7.5B, and $6.4 billion, respectively. Money fund assets overall jumped by $10.2 billion in October, increased by $80.0 billion over the last three months, and decreased by $34.8 billion over the past 12 months (according to our Money Fund Intelligence XLS).

Our latest domestic U.S. money fund Family Rankings show that Fidelity Investments remained the largest money fund manager with $403.9 billion, or 15.9% of all assets (down $808 million in October, down $743M over 3 mos. and down $24.3B over 12 months), followed by JPMorgan's $246.5 billion, or 9.7% (up $8.4B, up $15.2B, and down $5.6B for the past 1-month, 3-months and 12-months, respectively). Federated Investors ranks third with $207.4 billion, or 8.2% of assets (up $922M, up $10.5B, and down $13.1B), BlackRock ranks fourth with $197.1 billion, or 7.8% of assets (up $5.8B, up $15.6B, and up $5.7B), and Vanguard ranks fifth with $172.2 billion, or 6.8% (down $97M, up $812M, and down $3.2B).

The sixth through tenth largest U.S. managers include: Schwab ($163.6B, 6.4%), which moved ahead of Dreyfus ($161.1B, or 6.3%), followed by Goldman Sachs ($142.9B, or 5.6%), Wells Fargo ($111.4B, or 4.4%), and Morgan Stanley ($108.9B, or 4.3%). The eleventh through twentieth largest U.S. money fund managers (in order) include: SSgA ($80.5B, or 3.2%), Northern ($75.9B, or 3.0%), Invesco ($58.7B, or 2.3%), BofA ($54.7B, or 2.2%), Western Asset ($44.1B, or 1.7%), First American ($39.0B, or 1.5%), UBS ($36.4B, or 1.4%), Deutsche ($32.4B, or 1.3%), Franklin ($21.1B, or 0.8%), and RBC ($17.8B, or 0.7%). Crane Data currently tracks 72 managers, one less than last month.

Over the past year, Goldman Sachs showed the largest asset increase (up $12.5B, or 9.7%; followed by Morgan Stanley (up $11.8B, or 12.0%), BofA (up $6.3B, or 13.7%), and BlackRock (up $5.7B, or 3.9%). Other gainers since October 31, 2013, include: American Funds (up $2.9B, or 21.5%), Franklin (up $2.9B, or 16.2%), First American (up $2.8B, or 7.6%), Western (up $2.4B, or 5.9%), and Schwab (up $1.7B, or 1.0%). The biggest declines over 12 months include: Fidelity (down $24.3B, or -5.6%), Federated (down $13.1B, or -5.8%), Wells Fargo (down $9.0B, or -7.4%), UBS (down $8.7B, or -19.2%), and Invesco (down $6.6B, or -10.1%). (Note that money fund assets are very volatile month to month.)

When European and "offshore" money fund assets -- those domiciled in places like Dublin, Luxembourg, and the Cayman Islands -- are included, the top 10 managers match the U.S. list, except for BlackRock moving up to No. 3, Goldman moving up to No. 4, and Western Asset appearing on the list at No. 9. (displacing Wells Fargo from the Top 10). Looking at these largest Global Money Fund Manager Rankings, the combined market share assets of our MFI XLS (domestic U.S.) and our MFI International ("offshore"), we show these largest families: Fidelity ($411.0 billion), JPMorgan ($378.0 billion), BlackRock ($324.3 billion), Goldman Sachs ($227.7 billion), and Federated ($216.3 billion). Dreyfus ($184.4B), Vanguard ($172.2B), Schwab ($163.6B), Western ($138.4B), and Morgan Stanley ($127.7B) round out the top 10. These totals include offshore US Dollar funds, as well as Euro and Pound Sterling (GBP) funds converted into US dollar totals.

In other news, our November 2014 Money Fund Intelligence and MFI XLS show that both net and gross yields remained at record lows for the month ended October 31, 2014. Our Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 845), remained at a record low of 0.01% for both the 7-Day and 30-Day Yield (annualized, net) averages. (The Gross 7-Day Yield was also unchanged at 0.13%.) Our Crane 100 Money Fund Index shows an average yield (7-Day and 30-Day) of 0.02%, also a record low. (The Gross 7- and 30-Day Yields for the Crane 100 remained unchanged at 0.16%.) For the 12 month return through 10/31/14, our Crane MF Average returned a record low of 0.01% and our Crane 100 returned 0.02%.

Our Prime Institutional MF Index yielded 0.03% (7-day), the Crane Govt Inst Index, Crane Treasury Inst, Treasury Retail, Govt Retail and Prime Retail Indexes all yielded 0.01%. The Crane Tax Exempt MF Index also yielded 0.01%. (The Gross Yields for these indexes were: Prime 0.19%, Govt 0.10%, Treasury 0.06%, and Tax Exempt 0.11% in October.) The Crane 100 MF Index returned on average 0.00% for 1-month, 0.00% for 3-month, 0.02% for YTD, 0.02% for 1-year, 0.04% for 3-years (annualized), 0.05% for 5-year, and 1.59% for 10-years.

"Never have so many worked so hard for so little," said Crane Data President Peter Crane, talking about corporate treasurer's cash investing and near-zero interest rates last week at a Bank of America luncheon accompanying the AFP Annual Conference in Washington. The event, normally the largest gathering of treasury professionals, attracts almost every provider of institutional money market funds and cash investing services, and always sparks a rash of discussions on issues facing the largest corporations. Below, we review and excerpt from several articles and reports on the cash conundrum impacting corporate treasurers. Not only is there uncertainty with money market funds, but bank deposits are also facing their own regulatory challenges, leaving treasurers wondering what to do with their cash.

Recently, Financial News published a story on "How to Solve the Puzzle of Holding Lots of Money." The European-oriented publication reported, "Corporate treasurers have their work cut out. Short-term investment options are fading just at a time when they have plenty of cash ready to place in safe but liquid schemes. Increased regulation of the banking sector under Basel III regulation is expected to see short-term corporate deposits lose favour with banks seeking to ensure greater stability in the assets on their balance sheets. Meanwhile, upcoming money market fund regulation on both sides of the Atlantic looks set to impede the appeal of such short-term investment vehicles."

The article elaborates on the challenges facing bank deposits, which represent the bulk (about 50%) of the $10 trillion cash management business. "Fred Berretta, head of global liquidity investment solutions at Bank of America Merrill Lynch, said the attractiveness of "volatile" corporate deposits (large deposits that can be withdrawn at short notice) has declined for banks because of "the ramifications of holding such highly liquid assets on their balance sheets." He said: "Under Basel III regulations, bank appetite to hold non-operating deposits is likely to wane and this is already happening. It might not be that big an issue for operational cash, which is still attractive to banks, but is the case with 'strategic' cash that corporates may suddenly need to take out for business investment reasons." The article goes on, "As a result, Berretta believes that there will be a drive back into other traditional short-term investment options such as the fixed income markets, money market instruments and commercial paper. "Short-term corporate bonds are also likely to come to the fore," he said."

Regarding money market funds, Financial News wrote, "In the US, MMF regulations, signed off in July by the Securities and Exchange Commission, come into full effect in 2016 and are expected to make institutional funds less attractive with new rules allowing these funds to charge fees for redemptions (liquidity fees) and disallow redemptions for up to 10 business days (redemption gates). Berretta said this could lead corporates to "re-examine where they invest their spare cash." But he added that new structures would be likely to emerge in which corporate cash could be invested as the markets reacted to these changes. "New investment alternatives will be designed by existing players in the market -- for example, we may see new types of funds being launched and new types of short-term money market instruments." The piece quotes Berretta, on "a definite trend among corporates since the credit crisis towards stockpiling cash," "The priority has nevertheless most certainly been security and risk management - and this focus on risk management is continuing."

Through it all, corporate treasurers are continuing to stockpile their cash reserves. This is illuminated in a recent survey by SunGard Financial Systems, which found that 49% of corporate treasurers increased their cash balances in 2014, up from 43% in 2013. However, the survey found that 31% said the "Lack of suitable repositories for cash" was the greatest concern, while about 62% said it was one of the top 3 concerns. For more on the survey, see our Nov. 5 News, "SunGard: Lack of Suitable Cash Repositories Biggest Concern of Corps."

Vipal Monga at The Wall Street Journal's CFO Journal also tackled this issue in his story, "New Rules, New Corporate Puzzle: Where to Steer Cash?" He wrote, "Companies keep hoarding cash. Where will they put it all? That's an increasingly tough question for corporate finance chiefs and treasurers to answer. Persistently low interest rates and new rules for banks and money-market funds are complicating the task of managing the almost $2 trillion on corporate balance sheets, setting off a scramble to find new parking places for that cash.... Corporate coffers have continued to swell. Nonfinancial companies held $1.88 trillion of cash at the end of June, up more than 8% from a year earlier, according to the most recent data from the Federal Reserve."

The article goes on, "Companies used to be content to put much of their cash into deposit accounts or money-market funds. Finance chiefs were prepared to sacrifice yields to ensure the safety of the money that would need amid the next financial crunch. But international banking regulators recently updated their rules, designating "excess" cash deposits as high risk, because they were more likely to fly out a bank's door during a crisis. As a result, regulators are demanding that banks hold more capital against those deposits, making then a costlier source of lending funds."

The WSJ story continued, "Another complication: in a bid to spur lending, the European Central Bank recently slashed interest rates to a historic minus 0.20% on overnight bank deposits. Some banks, in turn, are passing on the cost by charging customers fees, instead of paying interest, on euro deposits. While Europe's negative rates are mainly pinching hedge funds and mutual funds so far, companies are bracing for the impact. For the first time, Wolters Kluwer NV, an information-services company based in the Netherlands, is considering investing in European money-market funds to reduce its exposure to bank deposits. "It doesn't feel right when you put some money to a bank and get less back," said George Dessing, the company's treasurer."

CFO Magazine also addresses money fund and cash investing issues in their story, "Flight Risk." Vincent Ryan wrote, "When trying to judge whether corporate treasurers will flee for the exits when money market fund reforms take effect, one thing becomes clear: U.S. monetary policy may wind up resuscitating what financial services regulators have tried to kill. The "what," of course, are prime money market funds, defined as funds that invest in things like floating-rate debt, commercial paper, and securities of U.S. government agencies. The Securities and Exchange Commission didn't really try to kill prime funds, but it did adopt structural and operational reforms in July, after years of debate and squabbling."

It continued, "Jerry Klein, managing director at HighTower Treasury Partners, predicts there will be outflows of corporate cash from prime funds. Treasurers still believe the prime objective of short-term cash investing is preservation of principal. Although NAV fluctuations will most likely be minimal, "treasurers will not be comfortable with the potential for small losses when they redeem their shares," Klein says." It concludes, "The spread between the interest paid on bank deposits and money fund rates could also increase." "Many of our clients have already had meetings with their banks, and [due to rules like the liquidity coverage ratio] banks are less interested in nonoperational short-term deposits," Klein says. "If banks are going to continue to accept them, the interest rates banks pay will likely decrease."

As our Peter Crane also commented at the abovementioned BofA lunch, again paraphrasing Churchill, "Corporate treasurers, like America, will also do the right thing [and invest in floating NAV Prime Institutional funds] ... after exhausting every other possibility."

The November issue of Crane Data's Money Fund Intelligence was sent out to subscribers Friday morning. The latest edition of our flagship monthly newsletter features the articles: "Assets Up 3rd Straight Month; New Products for New Rules?," a look at recent MMF fund flows and the post-reform product landscape; "Invesco's Katz on Adapting to a Changing Liquidity Market," an interview with Invesco's Head of Global Liquidity, Lu Ann Katz; and, "Ultra-Short Bond Funds Attracting Interest, Not Assets," which explores trends and looks at the largest funds in the ultra-short bond fund universe. We also updated our Money Fund Wisdom database query system with October 31, 2014, performance statistics, and sent out our MFI XLS spreadsheet early this morning. (MFI, MFI XLS and our Crane Index products are available to subscribers via our Content center.) Our October Money Fund Portfolio Holdings are scheduled to go out on Tuesday, Nov. 11.

The latest MFI newsletter's "Assets Up 3rd Straight Month; New Products for New Rules?" article comments, "Money market fund reform became "effective" on October 14, which means that funds may now begin to start complying with the new rules before the major stipulations take effect on Oct. 14, 2016. It's the beginning of what will be a period of change in the industry as money fund companies begin exploring, and introducing, new products that will not only comply with the new rules, but thrive in the new environment."

It continues, "Surprisingly, interest in money market funds has not waned since the SEC approved the new rules on July 23. In fact, MMF assets have steadily increased over the last few months. In October, assets increased for the third straight month, rising by $10.2 billion to $2.539 trillion. In September, assets climbed $29.0 billion, after jumping $40.9 billion in August. In the 3 months since the SEC approved its Money Fund Reforms on July 23, assets have increased by $80.0 billion, 3.3%."

In our monthly MFI profile, we discussed a range of topics with Invesco's Lu Ann Katz. She spoke about money fund reforms, the company's veteran 60-day maturity money fund, new fund launches, global and European issues, and the space beyond money market funds. On Invesco's experience managing money funds, she said, "We have deep roots in this industry and launched our first money market fund in 1980. That portfolio is called the Invesco STIC Prime Portfolio [previously AIM STIC Prime] and was launched as an institutionally priced product with a 60-day maximum maturity. Invesco STIC Prime is still in existence today [and maintains its 60-day maturity limit]. We have nearly 35 years managing prime, U.S. Treasury, government, and municipal funds, as well as separately managed accounts. We also manage offshore assets in multiple currencies."

On her background, Katz said, "I came to Invesco in 1992 as a senior analyst after having worked in research and commercial banking. I've been in portfolio management and research for 35 years. I have primarily worked in the U.S., but did spend four years in London overseeing our global investment grade research efforts as well as our offshore fixed income products. In late 2012, I began overseeing what was then our Cash Management business. We have since changed our name to Invesco Global Liquidity as we saw the changing environment and our investor's desire for more comprehensive liquidity management solutions. Additionally, we experienced demand for longer maturity portfolios in Europe as well as in the U.S., so we really felt the market was beginning to move in that direction. We also saw liquidity management going more global -- the disintermediation of money across boundaries. Invesco currently manages fund in nine currencies including three renminbi money funds in China and rupee money funds in India through our joint ventures."

The November MFI article on ultra-short bond funds says, "Ultra-short bond funds have gotten a lot of press over the last few years as investors search for any yield in the near zero interest rate environment, but the buzz continues to outstrip actual asset growth. In the first half of 2014, ultra short bond funds saw net inflows of a mere $2.5 billion, according to a recent article in The Wall Street Journal. That's after inflows of just $10.7 billion in 2013 and $9.5 billion in 2012 (according to Morningstar data)."

It explains, "Given the lack of standardization in the space beyond money funds' strict Rule 2a-7 definitions, the differences among various ultra-short bond funds, and even among "enhanced cash" vehicles, are immense. Though the changing landscape created by money fund reform may lead to faster growth in this space, the threat of rising rates later in 2015 could also cause an untimely end to the ultra-short sector.... While it remains to be seen whether there will be substantial demand for ultra-short products, we've nonetheless decided to expand our coverage beyond MMFs. We plan to track ultra-short bond funds and ETFs first, but hope to add separate account information in coming months. We currently estimate the ultra-short bond fund market to be around $100 billion (when you include ultra-short ETFs) and the separately managed account market to be over $300 billion."

Crane Data's November MFI with October 31, 2014, data shows total assets increasing for the third straight month in October, rising $10.2 billion after jumping $27.5 billion in September and climbing $34 billion in August. As of October 31, total money market fund assets stood at $2.538 trillion with 1,235 funds, 12 less than last month. Our broad Crane Money Fund Average 7-Day Yield and 30-Day Yield remained at a record low 0.01% while our Crane 100 Money Fund Index (the 100 largest taxable funds) yielded 0.02% (7-day and 30-day). On a Gross Yield Basis (before expenses were taken out), funds averaged 0.13% (Crane MFA, unchanged) and 0.16% (Crane 100) on an annualized basis for both the 7-day and 30-day yield averages. (Charged Expenses averaged 0.12% and 0.14% for the two main taxable averages.) The average WAM for the Crane MFA and the Crane 100 were 44 and 47 days, respectively. The Crane MFA WAM is up 3 days from last month while the Crane 100 WAM is up 2 days from the prior month. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Eric Rosengren, president and CEO of the Federal Reserve Bank of Boston, spoke in Lima, Peru, yesterday about "Short Term Wholesale Funding Risks." He argues that greater disclosure of repurchase agreements could help mitigate the type of run risks that occurred during the financial crisis. States Rosengren, "In terms of preparing better for possible stress conditions, supervisors have made significant progress with organizations focused on traditional deposit-taking and lending activities. However, there is more work to be done with financial organizations -- firms that engage in bank-like activities outside the conventional banking system -- that have less traditional business models, especially in their sources of funding. Particular concern has been raised by Federal Reserve officials on the reliance by some financial institutions on short-term wholesale funding."

He says, "Short-term wholesale funding has been particularly important for firms with large broker-dealer activities. Given their role in making markets, broker-dealers hold an inventory of securities. These securities holdings frequently are financed by collateralized borrowing commonly called repurchase agreements or "repos." A repo, in this context, would involve a broker-dealer (the cash borrower) selling a security (the collateral) to an investor (the cash provider) with an agreement to repurchase the security at a later time. Prior to the recent financial crisis, many had assumed that repurchase agreements would be stable during stressful conditions because they are collateralized with a margin to cushion possible fluctuations in the price of the underlying collateral. Unfortunately, a lesson learned from the financial crisis was that this important form of short-term wholesale funding was actually not nearly as stable as many had expected."

Regarding the financial crisis, he explained, "The assets of broker-dealers grew quite dramatically during the period leading up to the financial crisis, as did broker-dealers' use of repurchase agreements to finance those assets.... Between 2000 and 2007, both broker-dealer assets and the use of repurchase agreements increased by over 150 percent. While broker-dealer assets increased rapidly over the seven-year period, the decline in the wake of the Lehman Brothers failure was precipitous. What is clear is that the events of 2008 present ample reason to have concerns about short-term wholesale funding."

Rosengren tells us, "The problems caused by reduced financing extend well beyond broker-dealers. Faced with funding problems, many broker-dealers sold securities under duress at fire-sale prices -- causing collateral problems for other buyers and sellers of securities. During the crisis, the largest U.S broker-dealers (i.e., those affiliated with investment banks) either became bank holding companies or were acquired by bank holding companies. Additionally, many of the other largest broker-dealers are owned by foreign bank holding companies, and soon will be required to form intermediate bank holding companies. Only a few remaining large broker-dealers are not part of either a domestic or foreign bank holding company. During the financial crisis, many nonbank affiliates of bank holding companies and nonbank financial institutions had significant liquidity problems."

And along came Dodd-Frank. "While lending facilities made available to broker-dealers significantly mitigated problems with broker-dealer financing flows that were contributing to the crisis, such funding authority is now subject to additional limitations. In particular, the Dodd-Frank Act now requires that Federal Reserve facilities or lending programs have broad-based eligibility and be designed to provide liquidity to the financial system (not assist just one individual firm). The Dodd-Frank Act also prohibits the use of such facilities by firms that are insolvent and requires that such facilities be approved by Treasury. In addition, the Dodd-Frank legislation encourages supervisory actions that would prevent the need for future 13(3) lending facilities to be established at all. That is, nonbank affiliates of bank holding companies and financial firms that are not banks should have the capacity to fund themselves through stressful situations without the expectation of resorting to Federal Reserve emergency powers.... Overall, the legislation that was designed to protect banks pre-crisis, and the further limitations imposed by the Dodd-Frank Act, pose significant impediments to future funding of broker-dealers by the Federal Reserve or their affiliated bank should they experience a run."

Consequently, preventative actions are required, he said. "These impediments make it imperative that preventive measures be taken to ensure that in future crises, broker-dealers' financing mechanisms are robust enough to endure potential financial stress. And clearly there should not be an expectation that such runs could necessarily be addressed through the bank holding company structure. Specifically, Federal Reserve Governor Daniel Tarullo and Chair Janet Yellen have suggested regulatory measures such as additional capital charges for banks that house significant short-term wholesale funding operations. While these additional regulatory measures are important, to date there has not been a significant focus on public and more timely disclosure of broker-dealers' financing activities. Disclosure has the potential to provide better information on the degree of reliance on repurchase agreements -- particularly repurchase agreements involving collateral not guaranteed by the federal government -- to the institutions' stakeholders interested in the extent of its risk-taking, such as holders of its long-term debt."

On repo disclosure, he continued, "Let me recognize that disclosure is not a standalone cure-all. It has the potential to be an important supplement to other important actions, like capital requirements. In particular, given the emphasis on run risks at broker-dealers, it would be useful to have far more detailed publicly available data on repurchase agreements used to finance broker-dealers and related affiliates. However, for more transparency to be beneficial, the right information needs to be disclosed. Information -- such as repo collateral composition (for example, U.S. Treasury, private collateralized mortgage obligations), haircuts, the counterparty, and maturity structure -- reported in a timely manner, would provide investors an opportunity to observe changes in financing patterns, and might prevent management from taking risks that its investors may deem excessive. Had such information been available prior to the crisis, the reliance on short-term funding based on both government and nongovernment collateral (the latter meaning collateral not guaranteed by the federal government) would have been apparent and might have resulted in greater market discipline than we saw leading up to the crisis."

He concludes, "The clear intent of the myriad regulations on bank holding companies and banks is to protect the banks and prevent bank support for affiliated nonbank subsidiaries (like broker-dealers) in the bank's holding company at the expense of the bank. This highlights the need for additional actions to limit the likelihood of future problems or crises that could require government interventions. As noted previously, a significant capital charge on short-term wholesale funding would certainly help. In addition, much greater disclosure on "runnable" liabilities would utilize the power of markets to help curb unhealthy levels of reliance on such funding. More detailed reporting requirements should include more disclosures on both the collateral composition and maturity structure of repurchase agreements."

In other news, Wells Fargo released its latest "Overview, Strategy, and Outlook, monthly Portfolio Management Commentary." David Sylvester, Head of Money Funds for Wells Capital Management, touches on a variety of issues, such as foreign taxation and Basel III's Liquidity Coverage Ratio. On foreign taxation, he wrote, "In the unveiling of his 2015 budget, Irish Finance Minister Michael Noonan announced an end to the infamous Double Irish tax structure, citing damage to the country's reputation from criticism about its policies from other governments. The announced change will not allow an Irish entity to claim tax residency in another country. As such, the Irish corporate tax rate of 12.5% would be applied to earnings generated through the Irish parent entity." He added, recent measures "make it more likely that companies seeking to pursue inversions will face significant pressure on their credit ratings. Most significantly, we could see higher debt levels and weakened credit metrics for those companies that pursue inversions."

On LCR he stated, "We wrote last month how banking regulations like the Basel III liquidity coverage ratio (LCR) will affect the issuance of short-term securities by financial institutions as they move toward compliance with these regulations. The LCR requires banks to hold an amount of high-quality, liquid assets to cover expected net cash outflows over the following one-month period under a stressed scenario. As a result, financial institutions have an incentive to minimize their issuance of short-term securities maturing in one month or less when the LCR test is conducted, which, for non-U.S. banks, occurs only at the period-end."

A new survey by SunGard Financial Systems, released at the Association for Financial Professionals' Annual Conference in Washington yesterday, says that while companies have increased their cash balances in 2014, a significant number of corporate treasurers are concerned about how to invest it given market conditions and the regulatory environment. SunGard's fourth annual "Corporate Cash Investment Report" examines treasurers' changing attitudes toward cash investment over the last 12 months, including strategic cash holdings, asset allocation, investment policies and transaction execution. It is based on a survey, conducted in August, of 164 corporations globally with 51 percent located in North America.

Vince Tolve, vice president of SunGard's global trading business, comments, "New regulations will create new investment challenges and instruments for corporate treasurers. These clients are preparing for this transition while exploring investment opportunities outside their home markets. Integrated treasury platforms and multi-asset electronic dealing portals will become essential as decision-making and execution develop regionally."

Among the highlights, the survey revealed a growing number of companies increasing their cash balances. In 2014, 49% increased their cash balances, up from 43% in 2013 and 37% in 2012. "The reasons for holding this cash are changing as market confidence grows." About 33% said the primary reason for holding cash was to finance capital investment or merger & acquisitions, up 6% from the previous year. This is likely to be reflected in increased M&A over the coming months and years, the report said. "Growing confidence is also reflected in the fact that only 11 percent of companies are now holding cash as a 'buffer' against dips in revenue in the future, a fall from 13 percent last year and 17 percent in 2012." About 35% had no change, while 16% decreased cash balances.

However, the primary concern among treasurers is where to put this cash. The survey found that 31% said the "Lack of suitable repositories for cash" was the greatest concern, while about 62% said it was one of the top 3 concerns. "Lack of credit limits with highly rated banks" and "Inability to access 'trapped' cash" were cited as the greatest concern by 17% each. "Changes to investment landscape, e.g. proposed MMF reform" was the greatest concern of 10% of respondents and a top 3 concerns of about 35%. The survey explains, "Since SunGard first started conducting this annual study in 2011, treasurers' investment challenges have gradually shifted from operational to more strategic concerns."

In terms of asset allocation trends, "Deposits remain the most commonly used instrument, noted by 80 percent of respondents, an increase of 7 percent since 2013 although the total amount of cash invested has decreased very slightly from 57 percent to 55 percent. The use of constant net asset value (NAV) MMFs has fallen by 5 percent (from 52 to 47 percent) but companies have invested an average of 50 percent of their cash in these instruments, compared with 44 percent a year ago. In contrast, the number of companies investing in variable NAV MMFs has increased from 9 percent to 15 percent, although for a lower proportion of their total investments (from 44 percent in 2013 to 31 percent in 2014) perhaps reflecting caution as treasurers 'test the water' in their use of a new instrument.... The proportion of respondents investing in commercial paper has grown by more than 10 percent in the past year (27 percent in 2014 compared with 18 percent in 2013), to invest an average of 25 percent of total cash. This is potentially an important shift as investors seek to shift their exposure from financial institutions to corporates." Also, about 8% invested in short-term bonds.

The instruments that respondents said would become more important in the future were commercial paper (23 percent), deposits (21 percent), constant NAV MMFs (18 percent), and separately managed accounts (16 percent). "However, this is a mixed picture given that a comparable proportion of respondents thought that constant NAV MMFs and separately managed accounts would become less important. This may also reflect a somewhat confused picture of the changing regulatory environment, particularly in relation to MMFs. Over time, the use of constant NAV funds will necessarily decrease, certainly in the United States and potentially other markets in the future, as new regulations take effect. What remains to be seen is the degree to which corporate investors will wish to transfer to variable NAV funds, or whether they will choose to invest in other instruments. So far, there appears to be a slowly growing appetite for variable NAV funds, which is a reassuring development in that MMFs play an important role for many companies in diversifying their counterparty and liquidity risk, and provide useful repositories for surplus cash in an environment where high-quality investment opportunities are relatively scarce."

On the use of money market funds, it says 46% of respondents already use constant NAV MMFs for cash investment, with 18 percent indicating that these instruments were likely to become more important in the future. "However, this indicates that there is a relatively large proportion, 54 percent, of corporate investors, which is a slightly larger figure than in 2013, who are not attracted to MMFs at present. The primary reason for corporate investors' lack of interest in MMFs was the relatively low yield on these instruments compared with other investment products, cited by 51 percent of respondents. Concerns over liquidity and counterparty risk were also considerable, noted by 24 percent. While in previous years' studies, lack of familiarity with MMFs was an obstacle to investment, this is no longer the case; however, the relatively high proportion of respondents that indicated concerns over counterparty risk and liquidity suggests that there is still some way to go in informing the corporate treasury community about the diversified, liquid nature of MMFs. Regulatory uncertainty was also noted as an issue (21 percent)."

On the impact of MMF reforms, the survey said, "The MMF industry is undergoing substantial change in the United States, with the potential for similar changes in Europe. However, these changes are aimed to increase the resilience of the MMFs against market shocks, so while change inevitably results in uncertainty, treasurers should consider whether the new generation of MMFs will help them to achieve their investment objectives. The reforms will have "valuation, accounting, and operational implications" for fund managers, and will therefore have a profound impact on the MMF industry. Accounting treatment differs for corporates too, which may require some change to existing systems. Another significant amendment to Rule 2a-7 funds will be the removal of credit ratings, which will create challenges for many corporate investors for whom credit rating is a key investment criterion.... Respondents noted that deposits, commercial paper and separately managed accounts were likely to be the most likely alternatives or additions to corporate investment policies, but it was clear from the results that many treasurers were not yet aware of the reforms and the implications for the MMF industry."

In conclusion, it says, "2014 reflects continuing confidence in a slow recovery, albeit fitfully with some inconsistency across markets. However, there is no prospect of a rise in interest rates, cash balances remain high, deposit lines are often fully utilized and availability of highly-rated, liquidity instruments remains limited, placing companies with cash to invest in difficult position. Consequently, while counterparty risk and liquidity risk remain essential, many treasury departments are starting to refine their investment policies. This is a timely development, and treasurers will need to monitor the changes in the industry as regulations such as Basel III and changes to the MMF industry in the United States (and most likely Europe in the future) mean that the most commonly used cash instruments used by corporate investors: bank deposits and MMFs, will change in the future."

The Federal Reserve Bank of New York made some key changes to the Overnight Reverse Repo Program (RRP) last week following the conclusion of the Federal Open Market Committee meeting last Wednesday, October 29. As part of an "operational readiness exercise," the New York Fed will modify the offering rate for the remainder of the year. For operations conducted Oct. 30-31, the offering rate is 5 basis points; for operations conducted Nov. 3-14, the offering rate is 3 bps; for operations conducted Nov. 17-28, the offering rate is 7 bps; for operations conducted Dec. 1-12, the offering rate is 10 bps; for operations conducted Dec. 15 and after, the offering rate is 5 bps. The NY Fed explained, "The Federal Reserve continues to enhance operational readiness and increase its understanding of the impact of RRPs through technical exercises. In further support of its objectives, the FOMC instructed the Desk to examine how term RRP operations might work as a supplementary tool to help control the federal funds rate, particularly when there are significant and transitory shifts in money market activity. In support of this goal, and to reduce potential volatility in money market rates, the FOMC instructed the Desk to conduct term RRP operations that cross year-end. The operations will mature on or about January 2, 2015." So what does this mean for the money market industry? Strategists Andrew Hollenhorst from Citi Research, Alex Roever from J.P. Morgan, and Joe Abate from Barclays discussed the implications in recent commentary.

Wrote Hollenhorst in his monthly, "Short End Notes," the move surprised the market. "The announcement caused some to speculate that the Fed may be more willing to entertain tighter IOER-RRP spreads than the announced 25bp spread.... We disagree with this interpretation. The Fed is likely most interested in the extent to which other money market rates including fed effective and T-bill rates move higher with the RRP rate, and less interested in the tighter IOER-RRP spread. Since the Fed plans to use RRP as the backstop to prevent fed effective from falling out of the bottom of its target range, it makes sense that it would want to test RRP at higher rates that put more meaningful upward pressure on fed effective. After all, at its recent level of 9bp fed effective is only slightly higher than its lows in 2011. As such we would resist the urge to read into temporarily higher RRP rates a change in long term policy plans."

He adds, "All else equal higher repo rates in November and December should lend support to money market rates. With market repo rates recently trading in a volatile range around 10bp, it is unclear that a move in the RRP rate up to 7bp would cause a significant move higher in T-bill yields or fed effective. At a 10bp RRP rate, however, we would expect fed effective to move at least a few basis points higher. T-bill rates may be relatively less affected as demand for cash securities may keep bills dislocated from broader money market rates. While some had been looking for an increase in the $300 billion aggregate cap on the size of the RRP facility, we think this is very unlikely now that plans for the remainder for 2014 have been announced. However, the Fed will be supplying up to $300 billion in collateral through term repo operations over year-end which should relieve some of the downward pressure on rates and may potentially keep the $300 billion cap on the overnight RRP facility from binding over year-end."

Roever said that while the NY Fed's statement doesn't offer a specific explanation for the shifts, "we suspect the exercise is intended to paint the demand curve for ON RRP, illuminating aggregate demand for ON RRP at differing offer levels." He elaborated, "We suspect the Fed is primarily looking at how non-peak demand is influenced: will usage fall at 3bp and will it rise at 7bp or 10bp? Will the higher yields increase demand to the point that the $300 program cap comes into play and Dutch-auction process results in a clearing yield below the offering rate? Or -- if the program cap doesn't come into play -- will the higher offering rates apply upward pressure on Fed funds, ON GC repo rates or perhaps even very short T-bill yields? For policy makers evaluating ON RRP as a draining tool, this yield sensitivity analysis is essential, although it would probably be more informative if the Fed would test a higher offering rate -- like 15bp or 20bp -- so that it could better gauge the yield lifting power of the ON RRP. Unfortunately, the FOMC doesn't seem ready to take this step and perhaps is concerned about sending an inadvertent tightening signal to the market."

Roever also commented on how the FOMC instructed the Desk to conduct term RRP operations that cross year-end. "While the Operational Statement promises more details in early December, this short statement is telling in a few ways. First -- and perhaps most importantly -- the Fed acknowledges the "significant and transitory shifts" in the money markets and links these "shifts" to the Fed's ability to raise Fed funds. For decades, money markets have played a key role in monetary policy, primarily by participating in repos that helped the Fed guide the Fed funds effective rate near the targeted policy rate. Its ON RRP testing over the past year is affirmation that the Fed sees the money markets playing a similar role in the future, even if that role is now lessened by the presence of IOER. Even so, structural changes in the money markets, most brought about by various financial stability driven regulations, may create unanticipated challenges for monetary policy implementation and the Fed wouldn't mind a bigger tool kit."

He writes, "For now, it's also unclear what the Fed's longer run intentions will be with respect to term RRPs. Possibly they could be offered on a regular basis (perhaps in 14- or 28-day increments) or seasonally (just over quarter-ends, for example). From a market perspective, the difference is that regular offerings would provide a more persistent lift to short-term interest rates by creating more competition for scarce money market assets -- 28-day reverse repo with the Fed is a close substitute for a 4-week T-bill or a term treasury repo with a dealer. In contrast, seasonal offerings would address surges in quarter-end demand, helping to keep short-term rates from plunging at quarter-end and taking pressure off of custodian banks that see cash balances surge at quarter-ends if money fund managers and other market participants can't find enough securities to invest in."

Roever concludes, "At this point, not knowing the details of how the Term RRPs will be offered, or more about the Fed's longer term intentions, we hesitate to interpret this announcement as an expansion of the Fed's use of the money markets to drain reserves. For now, the term RRPs look to be temporary and at best should help to absorb potential spikes in ON RRP demand at year-end. If the term RRPs do become a regular tool like ON RRP, we think that that they could help lift short-term Treasury yields as the Fed attempts to normalize monetary policy. For now, the $300bn cap on the ON RRP has exceeded market demand every day but one. But structural change is coming to the money markets over the next few months, and we suspect the demand for short-term government securities and for Fed RRP will expand."

Barclays' Abate also shared his thoughts on the modifications. "We expect the Fed's term RRP to bias overnight rates higher. The term program will absorb a substantial portion of the cash that would ordinarily pile up in overnight repo. Indeed, while we expect overnight repo to average 12bp in December, the rate could reach as high as 15bp in early December. Separately, the spread between the overnight market repo rate and the term RRP rate will measure the strength of money fund (and other cash long investor) demand to "invest early and forget it" -- that is, their year-end premium. Looking beyond year-end, the outlook for repo rates will depend on two factors: the parameters of the RRP program and the supply of bills."

Abate concludes, "The bigger uncertainty in the outlook is what the Fed decides to do with the parameters on the RRP program. Testing is scheduled to end on January 31, 2015. The FOMC may decide to change the rate on the overnight transactions -- like it plans to do in November and December. We suspect that the increase in the December RRP average rate (to 7.5bp) is driven by the Fed's desire to test its ability to floor interest rates in a period of extreme stress such as year-end. Since there is no such stress in January (or Q1, for that matter), there probably is not a strong case for changing the overnight rate from 5bp.... We think the Fed's testing of a term RRP is prudent given that balance sheet pressures are likely to become more than just a quarter-end phenomenon in the future as leverage ratios and daily average reporting become more binding, increasing the likelihood that market rates will trade below the RRP floor."

The Treasury and the IRS received a comment letter from Federated Investors before the October 27th deadline on its proposal to simplify tax accounting on floating rate money fund shares, "Money Market Funds: Method of Accounting for Gains and Losses on Shares and Broker Returns with Respect to Sales of Shares," which accompanied the SEC's July 23 Money Fund Reforms. This is just the second letter that the IRS/Treasury has received on this issue; the first was from the Investment Company Institute, which we wrote about on October 28, "Few Comments on Treasury, IRS Tax Proposal on MMF Gains and Losses."

The proposal by the U.S. Department Treasury and IRS allows floating NAV money market fund investors to use a simplified tax accounting method to track gains and losses and provide relief from the "wash sale" rules for any losses on shares of a floating NAV money market fund. As we wrote in our July 30 News, "Reform Floating NAV Accounting Issues Addressed by Treasury Proposal," this proposal sealed the deal for the passage of money market reform as SEC Commissioner Daniel Gallagher, who turned out to be the swing vote, said he would not have voted in favor without this assurance from the Treasury and IRS.

The latest letter was penned by George Howell with the law firm, Hunton & Williams on behalf of Federated Investors. "This comment letter addresses several technical issues with respect to the Proposed Regulations that, in our view, require revisions or clarifications to the regulations before they are finalized," he wrote. To be exact, Howell suggested 7 revisions. One, the fair market value of an MMF share should equal its published NAV per share. "To make the Proposed Regulations workable from an administrative perspective, it is important to clarify that the fair market value of MMF shares is determined based on the NAV per share information that is published by the applicable MMF. In particular, the Proposed Regulations should state that the fair market value of a floating NAV MMF share for purposes of the Proposed Regulations is the published NAV per share as of the end of the relevant day (or the next trading day if the day in question is not a trading day)."

Two, the "aggregate amount received" for purposes of determining the shareholder's "net investment" should equal the cash proceeds received or, if non-cash property is received, the published NAV per share of the redeemed or exchanged shares. "The regulations should be revised to clarify that the aggregate amount received is equal to: (i) if cash is received, the cash proceeds; (ii) if shares in another MMF are received, the published NAV per share of the shares received as of the end of the day on which the redemption or exchange occurs (or the next trading day if the day in question is not a trading day); and (iii) if other non-cash property is received, the NAV per share of the redeemed or exchanged shares as of the end of the day on which the redemption or exchange occurs (or the next trading day if the day in question is not a trading day or, if the fund will no longer publish NAV per share, its last published NAV per share)."

The letter continues, "Three, if MMF shares are acquired in a carryover basis transaction from a person that itself uses the NAV method, the transferee's "net investment" should be adjusted by the published NAV per share as of the acquisition date. The Proposed Regulations do not address a situation where the shareholder receives a carryover basis in acquired MMF shares. In that situation, if the person from whom the shareholder acquired the shares itself uses the NAV method, then the adjusted basis of the acquired shares should be treated as the published NAV per share applicable to the acquisition date. The regulations should be revised accordingly."

Four, the NAV election should be allowed on an account by account basis. "The Proposed Regulations require a taxpayer who uses the NAV method to use it for all shares held by the taxpayer in floating NAV MMFs. No rationale for this all or nothing approach is provided in either the Proposed Regulations or the preamble. We recommend that taxpayers be permitted to adopt the NAV method on an account by account basis." Five, the Proposed Regulations take the proper approach with respect to basis adjustments. "The preamble to the regulations refers to downward basis adjustments under sections 108(b)(2)(E) and 301(c)(2), but does not provide examples of any upward adjustments.... We recommend that the regulations be revised to provide examples of both upward and downward adjustments."

Six, bifurcation should be permitted for "mixed character" MMF accounts. "Neither the Proposed Regulations nor the preamble provide an explanation as to why all gain or loss should be treated as capital in the case of an account containing MMF shares of mixed character. We recommend that the Proposed Regulations be revised to provide that the character of the gain or loss with respect to a mixed character account be bifurcated based on the portion of the MMF shares that would generate gain of each character."

The letter adds, "Seven, the NAV election and wash sale exemption should be available for shareholders of stable-value NAV funds that have imposed a liquidity fee. Shareholders in a stable-value MMF that has imposed a liquidity fee face the same issue that shareholders in a floating NAV MMF face, namely, that it would be necessary to calculate gain or loss upon each redemption of MMF shares. To avoid this significant tax compliance burden, shareholders in a stable-value MMF that has imposed a liquidity fee should also be permitted to elect the NAV method."

In other news, Fitch Ratings assigned an 'AAAmmf' rating to the Morgan Stanley Institutional Liquidity Fund - Money Market Portfolio managed by Morgan Stanley Investment Management. The press release says, "The 'AAAmmf' rating assignment reflects the fund's extremely strong capacity to achieve its investment objectives of preserving capital and providing shareholder liquidity through limiting credit, market and liquidity risks. The fund seeks a high level of current income consistent with liquidity and the preservation of capital by investing in short-term U.S. dollar-denominated debt obligations, including obligations of domestic and foreign banks, commercial paper, municipal securities and repurchase agreements backed by U.S. Treasury and agency securities or investment grade debt securities."

It explains, "As of Oct. 3, 2014, the fund had $2.5 billion in assets.... The fund seeks to manage its market risk exposure by limiting its dollar-weighted average maturity (WAM) and weighted average life to maturity (WAL) to 60 and 120 days, respectively, consistent with Fitch's 'AAAmmf' rating criteria. The fund must invest at least 10% of total assets in daily liquid assets and at least 30% of total assets in weekly liquid assets. As of this rating assignment, the fund fully met these liquidity requirements. In addition, this is consistent with Fitch's 'AAAmmf' rating criteria. Given the long implementation period for the reforms, Fitch's rating assignment takes into account the current structure and operations of money funds."

Money Market News Archive

2024 2023 2022
May December December
April November November
March October October
February September September
January August August
July July
June June
May May
April April
March March
February February
January January
2021 2020 2019
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2018 2017 2016
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2015 2014 2013
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2012 2011 2010
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January
2009 2008 2007
December December December
November November November
October October October
September September September
August August August
July July July
June June June
May May May
April April April
March March March
February February February
January January January