News Archives: May, 2020

Money market fund assets inched lower following 15 straight weeks of increases (where they'd increased by $1.175 trillion), showing their first weekly decline since the start of February. ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets decreased by $1.21 billion to $4.79 trillion for the week ended Wednesday, May 27, the Investment Company Institute reported.... Among taxable money market funds, government funds decreased by $8.43 billion and prime funds increased by $8.05 billion. Tax-exempt money market funds decreased by $828 million." ICI's stats show Institutional MMFs rising $6.4 billion and Retail MMFs decreasing $7.6 billion. Total Government MMF assets, including Treasury funds, were $3.903 trillion (81.5% of all money funds), while Total Prime MMFs were $750.5 billion (15.7%). Tax Exempt MMFs totaled $134.5 billion, 2.8%. Money fund assets are up an eye-popping $1.156 trillion, or 31.8%, year-to-date in 2020, with Inst MMFs up $956 billion (42.3%) and Retail MMFs up $200 billion (14.6%). Over the past 52 weeks, ICI's money fund asset series has increased by $1.640 trillion, or 52.1%, with Retail MMFs rising by $354 billion (29.1%) and Inst MMFs rising by $1.286 trillion (66.5%).

They explain, "Assets of retail money market funds decreased by $7.62 billion to $1.57 trillion. Among retail funds, government money market fund assets decreased by $7.72 billion to $991.52 billion, prime money market fund assets increased by $539 million to $458.70 billion, and tax-exempt fund assets decreased by $439 million to $119.81 billion." Retail assets account for just under a third of total assets, or 32.8%, and Government Retail assets make up 63.2% of all Retail MMFs.

ICI adds, "Assets of institutional money market funds increased by $6.41 billion to $3.22 trillion. Among institutional funds, government money market fund assets decreased by $716 million to $2.91 trillion, prime money market fund assets increased by $7.51 billion to $291.82 billion, and tax-exempt fund assets decreased by $389 million to $14.68 billion." Institutional assets accounted for 67.2% of all MMF assets, with Government Institutional assets making up 90.5% of all Institutional MMF totals. (Note: Crane Data has its own separate daily and monthly asset series.)

The ICI also released its latest "Trends in Mutual Fund Investing" for April 2020 and its "Month-End Portfolio Holdings of Taxable Money Funds" update Thursday. These reports show that money fund assets increased by $399.4 billion to $4.737 trillion in April. Last month's increase follows an increases of $690.6 billion in March and $32.9 billion in February and a decrease of $18.1 billion in January. For the 12 months through April 30, 2020, money fund assets have increased by $1.666 trillion, or 54.3%. (Crane Data's MFI Daily shows money fund assets have increased by $99.1 billion month-to-date in May through 5/27.)

ICI's monthly "Trends" release states, "The combined assets of the nation's mutual funds increased by $1.58 trillion, or 8.4 percent, to $20.46 trillion in April, 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."

It explains, "Bond funds had an outflow of $7.40 billion in April, compared with an outflow of $255.29 billion in March.... Money market funds had an inflow of $398.25 billion in April, compared with an inflow of $688.36 billion in March. In April funds offered primarily to institutions had an inflow of $361.91 billion and funds offered primarily to individuals had an inflow of $36.33 billion."

ICI's latest statistics show that both Taxable MMFs and Tax Exempt MMFs gained assets last month. Taxable MMFs increased by $392.0 billion in April to $4.601 trillion. Tax-Exempt MMFs increased $7.7 billion in April to $136.0 billion. Taxable MMF assets increased year-over-year by $1.664 trillion (56.7%). Tax-Exempt funds rose by $2.7 billion over the past year (2.0%). Bond fund assets increased by $61.0 billion in April (1.4%) to $4.478 trillion; they've risen by $158.0 billion (3.7%) over the past year.

Money funds represent 23.2% of all mutual fund assets (up 0.2% from the previous month), while bond funds account for 21.9%, according to ICI. The total number of money market funds was 360, unchanged from the month prior and down from 367 a year ago. Taxable money funds numbered 280 funds, and tax-exempt money funds numbered 80 funds.

ICI's "Month-End Portfolio Holdings" confirms a massive jump in Treasuries and a drop in Repo last month. Treasury holdings in Taxable money funds moved past Repurchase Agreements to take first place among composition segments. Treasury holdings increased by $685.3 billion, or 54.1%, to $1.951 trillion, or 42.4% of holdings. Treasury securities have increased by $1.204 trillion, or 161.1%, over the past 12 months. (See our May 12 News, "May MF Portfolio Holdings: Treasuries Skyrocket, Repo Plunges in April.")

Repurchase Agreements fell to second place among composition segments; they decreased by $224.6 billion, or -15.3%, to $1.247 trillion, or 27.1% of holdings. Repo holdings have risen $196.7 billion, or 18.7%, over the past year. U.S. Government Agency securities were the third largest segment; they decreased $8.3 billion, or -0.8%, to $992.0 trillion, or 21.6% of holdings. Agency holdings have risen by $315.0 billion, or 46.5%, over the past 12 months.

Certificates of Deposit (CDs) stood in fourth place; they increased by $8.9 billion, or 3.7%, to $249.4 billion (5.4% of assets). CDs held by money funds have grown by $8.6 billion, or 3.6%, over 12 months. Commercial Paper remained in fifth place, down $13.1 billion, or -5.9%, to $207.5 billion (4.5% of assets). CP has decreased by $3.1 billion, or -1.5%, over one year. Notes (including Corporate and Bank) were down $679 million, or -8.0%, to $7.8 billion (0.2% of assets), while Other holdings increased $4.1 billion to $31.7 billion.

The Number of Accounts Outstanding in ICI's series for taxable money funds decreased by 8.797 million to 39.317 million, while the Number of Funds was unchanged at 280. Over the past 12 months, the number of accounts rose by 4.583 million and the number of funds decreased by six. The Average Maturity of Portfolios was 40 days, four more than in March. Over the past 12 months, WAMs of Taxable money have increased by nine.

The Securities and Exchange Commission's latest "Money Market Fund Statistics" summary shows that total money fund assets increased by $461.6 billion in April to a record $5.200 trillion, the 21st increase in the past 22 months. (Month-to-date in May through 5/26, assets have increased by $99.7 billion according to our MFI Daily.) The SEC shows that Prime MMFs jumped $105.2 billion in April to $1.090 trillion, while Govt & Treasury funds skyrocketed by $347.3 billion to $3.969 trillion. Tax Exempt funds increased by $9.1 billion to $141.1 billion. Yields were down for Prime, Govt and Tax-Exempt MMFs in April. The SEC's Division of Investment Management summarizes monthly Form N-MFP data and includes asset totals and averages for yields, liquidity levels, WAMs, WALs, holdings, and other money market fund trends. We review their latest numbers below.

April's overall asset increase follows increases of $704.8 billion in March and $17.3 billion in February, a decrease of $4.3 billion in January and increases of $37.2 billion in December, $45.6 billion in November, $88.6 billion in October, $82.9 billion in September, $76.3 billion in August, $75.6 billion in July, $41.9 billion in June and $78.2 billion in May. Over the 12 months through 4/30/20, total MMF assets have increased by an incredible $1.705 trillion, or 48.8%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not tracked by ICI or others, though Crane Data includes most of these.)

The SEC's stats show that of the $5.200 trillion in assets, $1.090 trillion was in Prime funds, which rebounded $105.2 billion in April. This follows decreases of $124.5 billion in March and $13.9 billion in February, an increase of $28.1 billion in January, a decrease of $26.5 billion in December and increases of $20.2 billion in November, $38.4 billion in October and $11.7 billion in September. Prime funds represented 21.0% of total assets at the end of April. They've increased by $90.1 billion, or 9.0%, over the past 12 months.

Government & Treasury funds totaled $3.969 trillion, or 76.4% of assets. They jumped $347.3 billion in April after skyrocketing $838.3 billion in March, increasing $32.0 billion in February, falling $31.4 billion in January, and rising $64.7 billion in December, $24.2 billion in November, $46.6 billion in October and $72.9 billion in September. Govt & Treas MMFs are up a staggering $1.613 trillion over 12 months, or 68.5%. Tax Exempt Funds increased $9.1B to $141.1 billion, or 2.7% of all assets. The number of money funds was 361 in April, down one from the previous month and down nine funds from a year earlier.

Yields for Taxable MMFs were down across the board in April. The declines of the past 13 months follow almost 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on April 30 was 0.59%, down 35 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.85%, down 30 basis points. Gross yields were 0.39% for Government Funds, down 16 bps from last month. Gross yields for Treasury Funds were down 20 bps at 0.37%. Gross Yields for Muni Institutional MMFs plummeted from 3.36% in March to 0.30%. Gross Yields for Muni Retail funds dropped from 3.35% to 0.51% in April.

The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.53%, down 34 bps from the previous month and down 1.72% since 4/30/19. The Average Net Yield for Prime Retail Funds was 0.58%, down 31 bps from the previous month and down 1.79% since 4/30/19. Net yields were 0.17% for Government Funds, down 15 bps from last month. Net yields for Treasury Funds decreased 18 basis points to 0.17%. Net Yields for Muni Institutional MMFs dropped from 3.21% in March to 0.16%. Net Yields for Muni Retail funds decreased from 3.07% to 0.25% in April. (Note: These averages are asset-weighted.)

WALs and WAMs were mixed in April. The average Weighted Average Life, or WAL, was 58.0 days (up 0.1 days from last month) for Prime Institutional funds, and 60.6 days for Prime Retail funds (up 0.8 days). Government fund WALs averaged 100.1 days (up 1.8 days) while Treasury fund WALs averaged 96.4 days (up 4.0 days). Muni Institutional fund WALs were 13.4 days (down 0.8 days), and Muni Retail MMF WALs averaged 31.2 days (down 3.0 days).

The Weighted Average Maturity, or WAM, was 40.8 days (up 9.5 days from the previous month) for Prime Institutional funds, 42.6 days (up 8.0 days from the previous month) for Prime Retail funds, 36.0 days (up 1.5 days) for Government funds, and 46.3 days (up 4.7 days) for Treasury funds. Muni Inst WAMs were down 1.0 day to 12.9 days, while Muni Retail WAMs decreased 2.9 days to 28.9 days.

Total Daily Liquid Assets for Prime Institutional funds were 47.6% in April (up 5.1% from the previous month), and DLA for Prime Retail funds was 37.9% (up 4.0% from previous month) as a percent of total assets. The average DLA was 54.0% for Govt MMFs and 96.0% for Treasury MMFs. Total Weekly Liquid Assets was 60.0% (up 4.8% from the previous month) for Prime Institutional MMFs, and 48.5% (up 3.2% from the previous month) for Prime Retail funds. Average WLA was 71.5% for Govt MMFs and 99.4% for Treasury MMFs.

In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for April 2020," the largest entries included: Canada with $132.5 billion, Japan with $97.2 billion, France with $88.4 billion, the U.S. with $87.7B, the U.K. with $45.6B, Germany with $40.3B, the Netherlands with $37.2B, Aust/NZ with $32.8B and Switzerland with $20.1B. The biggest gainers among the "Prime MMF Holdings by Country" were: France (up $17.3 billion), Japan (up $10.2B), the U.S. (up $7.7B), the U.K. (up $5.0B), the Netherlands (up $0.8B) and Switzerland (up $0.1B). The biggest decreases were: Aust/NZ (down $8.4B), Canada (down $6.8B) and Germany (down $3.4B).

The SEC's "Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $111.9B (up $3.7B from last month), the Eurozone subset had $179.5B (up $17.4B). The Americas had $220.8 billion (up $1.2B), while Asia Pacific had $144.0B (down $0.1B).

The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.096 trillion in Prime MMF Portfolios as of April 30, $420.0B (38.3%) was in Government & Treasury securities (direct and repo) (up from $303.6B), $290.0B (26.5%) was in CDs and Time Deposits (up from $281.8B), $180.4B (16.5%) was in Financial Company CP (down from $190.3B), $149.4B (13.6%) was held in Non-Financial CP and Other securities (down from $152.1B), and $55.7B (5.1%) was in ABCP (up from $53.6B).

The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $201.4 billion, Canada with $153.9 billion, France with $217.1 billion, the U.K. with $117.5 billion, Germany with $31.4 billion, Japan with $159.8 billion and Other with $42.9 billion. All MMF Repo with the Federal Reserve fell by $283.2 billion in April to $1.8 billion.

Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 6.9%, Prime Retail MMFs with 4.8%, Muni Inst MMFs with 0.9%, Muni Retail MMFs 4.1%, Govt MMFs with 17.6% and Treasury MMFs with 14.9%.

Money market fund yields once again inched lower in the latest week with our flagship Crane 100 down 3 basis points (through Friday, May 22) to 0.16%. The Crane 100 MF Index fell below the 1.0% level in mid-March and below the 0.5% level in late March, and is down from 1.46% at the start of the year and down from 2.23% at the beginning of 2019. While a number of money funds have already hit the zero floor, most continue to show some yield. According to our Money Fund Intelligence Daily, as of Friday, 5/22, 393 funds (out of 852 total) yielded 0.00% or 0.01% with assets of $1.316 trillion, or 25.7% of the total. There were 156 funds yielding between 0.02% and 0.10%, totaling $992.1B, or 19.4% of assets; 173 funds yielded between 0.11% and 0.25% with $1.647 trillion, or 32.2% of assets; 101 funds yielded between 0.26% and 0.50% with $837.5 billion in assets, or 16.4%; 24 funds yielded between 0.51% and 0.99% with $325.7 billion in assets or 6.4%; no funds yield over 1.00%.

The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 674), shows a 7-day yield of 0.12%, down 2 basis points in the week through Friday, 5/22. The Crane Money Fund Average is down 35 bps from 0.47% at the beginning of April. Prime Inst MFs were down 4 bps to 0.30% in the latest week and Government Inst MFs fell by 2 bps to 0.10%. Treasury Inst MFs dropped by 1 bps to 0.07%. Treasury Retail MFs currently yield 0.01%, (unchanged in the last week), Government Retail MFs yield 0.03% (flat in the last week), and Prime Retail MFs yield 0.21% (down 5 bps for the week), Tax-exempt MF 7-day yields dropped by 1 bps to 0.06%. (Let us know if you'd like to see our latest Money Fund Intelligence Daily.)

Our Crane Brokerage Sweep Index, the average rate for brokerage sweep clients, which hit the floor two months ago, remains at 0.01%. It's down 27 bps from the end of 2018. The latest Brokerage Sweep Intelligence, with data as of May 22, shows no changes in the last week. All of the major brokerages now offer rates of 0.01% for balances of $100K. No brokerage sweep rates or money fund yields have dropped to zero or gone negative to date, but this could become a distinct possibility in coming weeks or months. Crane's Brokerage Sweep Index has been flat for the last seven weeks at 0.01% (for balances of $100K). Ameriprise, E*Trade, Fidelity, Merrill Lynch, Morgan Stanley, Raymond James, RW Baird, Schwab, TD Ameritrade, UBS and Wells Fargo all currently have rates of 0.01% for balances at the $100K tier level (and almost every other tier too).

Tuesday's MFI Daily, with data as of May 22, shows money fund assets with the first substantial outflow since the coronavirus crisis started in mid-March, with a decrease of $19.2 billion over the past week to $5.118 trillion. Prime assets continue their rebound, however, with $10.6 billion to $1.101 trillion in the latest week. Following inflows of $790 billion in March and $362 billion April, Government assets experienced outflows in the latest week, decreasing by $30.0B to $3.876 trillion. Tax-Exempt MMFs increased $281 million. Month-to-date money fund assets have risen $76.5 billion. Prime assets are up $83.1 billion MTD, while Government assets are down by $7.7 billion. Tax-Exempt MMFs increased by $1.1 billion.

In other news, T. Rowe Price filed a Prospectus Supplement for its T. Rowe Price Cash Reserves Fund, Summit Municipal MMF, California, Maryland and New York Tax-Free Money Funds, T. Rowe Price Tax-Exempt Money Fund, Government Money Fund, Institutional Cash Reserves Fund and U.S. Treasury Money Fund. It tells us, "The disclosure ... is supplemented to add the following: In an effort to maintain a zero or positive net yield for the fund, T. Rowe Price may voluntarily waive all or a portion of the management fee it is entitled to receive from the fund or reimburse all or a portion of the fund's operating expenses. T. Rowe Price may amend or terminate this voluntary fee waiver arrangement at any time without prior notice."

The filing continues, "In addition, the disclosure that appears after the heading 'Interest rates' or 'interest rate risks' ... is modified as follows: ... A decline in interest rates may lower the fund's yield, or a rise in the overall level of interest rates may cause a decline in the prices of fixed income securities held by the fund. The fund's yield will vary; it is not fixed for a specific period like the yield on a bank certificate of deposit. This is a disadvantage when interest rates are falling because the fund would have to reinvest at lower interest rates.... Although money market funds try to minimize this risk by purchasing short-term securities, during periods of extremely low or negative short-term interest rates, the fund may not be able to maintain a positive yield or yields on par with historical levels."

They add, "The following is added as a principal risk in section 2 of each fund's prospectus: ... The value of investments held by the fund may decline, sometimes rapidly or unpredictably, due to factors affecting certain issuers, particular industries or sectors, or the overall markets. Rapid or unexpected changes in market conditions could cause the fund to liquidate its holdings at inopportune times or at a loss or depressed value. The value of a particular holding may decrease due to developments related to the issuer, but also due to the general market conditions, including real or perceived economic developments such as changes in interest rates, credit quality, inflation, or currency rates, or generally adverse investor sentiment. The value of a holding may also decline due to factors that negatively affect a particular industry or sector, such as labor shortages, increased production costs, or competitive conditions. In addition local, regional or global events such as war, acts of terrorism, political and social unrest, regulatory changes, recessions, shifts in monetary or trade policies, natural or environmental disasters, and the spread of infectious diseases or other public health issues could have a significant negative impact on securities markets and the fund's investments. Unpredictable events such as natural disasters, pandemics, and widespread health crises may lead to unexpected suspensions or closures of securities exchanges, travel restrictions or quarantines, and an extended adverse impact on global market conditions."

Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of May 22) includes Holdings information from 52 money funds (down 28 from a week ago), which represent $1.835 trillion (down from $2.664 trillion ) of the $5.123 trillion (35.8%) in total money fund assets tracked by Crane Data. (Note that our Weekly MFPH are e-mail only and aren't available on the website. For our latest monthly Holdings, see our May 12 News, "May MF Portfolio Holdings: Treasuries Skyrocket, Repo Plunges in April.)

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $829.5 billion (down from $1.344 trillion a week ago), or 45.2%, Repurchase Agreements (Repo) totaling $460.8 billion (down from $635.7 billion a week ago), or 25.1% and Government Agency securities totaling $333.0 billion (down from $470.7 billion), or 18.1%. Commercial Paper (CP) totaled $63.7 billion (up from $59.2 billion), or 3.5% and Certificates of Deposit (CDs) totaled $57.0 billion (down from $70.7 billion), or 3.1%. A total of $54.5 billion or 3.0%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $36.5 billion, or 2.0%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $829.5 trillion (45.2% of total holdings), Federal Home Loan Bank with $205.0B (11.2%), Fixed Income Clearing Co with $93.4B (5.1%), BNP Paribas with $52.4B (2.9%), Federal Farm Credit Bank with $49.9B (2.7%), Federal National Mortgage Association with $41.3B (2.2%), JP Morgan with $39.0B (2.1%), Federal Home Loan Mortgage Corp with $35.9B (2.0%), RBC with $29.1B (1.6%) and Citi with $22.4B (1.2%).

The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($218.9B), BlackRock Lq FedFund ($172.8B), Federated Govt Oblg ($156.3B), JP Morgan 100% US Treas MMkt ($134.6B), Wells Fargo Govt MM ($133.3B), Morgan Stanley Inst Liq Govt ($115.0B), State Street Inst US Govt ($106.4B), BlackRock Lq T-Fund ($87.8B), BlackRock Lq Treas Tr ($73.4B) and JP Morgan Prime MMkt ($68.8B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

For those of you who might have missed it, we hosted our first webinar, entitled, "Crane's Money Fund Update & Training," last Thursday. It featured Peter Crane reviewing recent events and trends involving money market mutual funds for 30 minutes, including discussions of asset flows, negative yield and a number of other topics. The webinar also included a brief, 15 minute tutorial on our Money Fund Intelligence Daily product. Below, we review Crane's latest comments, and we also include links to the recordings and Powerpoint. (See the bottom of our "Content" page for all of our Webinar and conference materials.) Mark your calendars and watch for details on our next webinar, which will be held June 25 at 2pm, and bear with us as we ramp up our virtual event capabilities over the next couple of months.

On record money fund asset growth, Crane comments, "The ICI series is hitting $4.8 trillion. Crane Data's [series] has hit $5 trillion already. We're saying money fund assets are over $5 trillion because we're counting funds that ICI is not. (Crane Data tracks internal money market funds like American Funds Central Cash, Fidelity Cash Central Fund and Vanguard Market Liquidity Fund.) The inflows into government funds were just gigantic, so, it's been quite a huge buildup. Looking at the month-by-month numbers, it has certainly tapered off. And in the last few days, you've even seen outflows."

He continues, "The ICI's weekly numbers are going to come out this afternoon, they'll probably show a little increase. We're about to see a decrease in assets for almost the first time this year, but ... the flows have been incredible.... Government funds have seen $1.16 trillion in assets the last two and a half, three months. In March, they saw $790 billion. In April, they saw $362 billion. Then month-to-date in May, it's been interesting because Prime has been taking the lion's share. Prime funds saw about $160 billion of outflows in March. In April, they saw an $82 billion inflow. And in May, they've seen an $82 billion inflow. So, the inflows into prime funds have recovered all of the outflows from March, which is just amazing."

Crane explains, "You probably saw the news on Northern liquidating its Prime. That was a little bit of an anomaly and a leftover from what had already happened there during March, when one of the funds went below the 30% weekly liquid assets. But the asset inflows have been incredible.... Looking at ICI's number, they're up $1.2 trillion, 31.8% year-to-date, and that's after a 20% gain in 2019. The 52 week [changes] are up 54%. It has been incredible, the buildup."

He says "I'm guessing we're going to see a flattening out [of asset growth]. But this cash war chest that you've seen raised -- no cash bucket is big enough for the coronavirus or is big enough, for individuals, governments, institutions. It's like everybody's got to plan for operating for two months, three months, six months, two years. Who knows? With no revenue coming in, with no cash coming in. So, there's been this just mad raising of cash. And of course, that's the giant spikes that we've seen. I don't think it's going out anytime soon. I think that you're basically going to have people spending down the cash as they have to meet payrolls and expenses. But as they turn revenue on, and they're going to be converting other cash and trying to protect themselves because they were just taught a painful lesson that you shouldn't just have a couple of days of spending money in the kitty. You better have a couple of months. And who knows? Maybe even a couple of years."

Crane also comments, "The Fed support programs were awesome. We'll be arguing about how necessary they were. But from my standpoint, they were a godsend. It certainly was a real dangerous scenario. You’ve probably heard other fund companies talking about the Money Market Liquidity Facility, the Primary Dealer Credit Facility, the Commercial Paper Funding Facility, they were all good in ways and helped support the market in general. And putting pricing under those Commercial Paper and CD markets was key because at the time, in that week in the middle of March, you didn't know what to price things at. And of course, if you want to sell something, good luck with that. Now things have stabilized, Prime is back and things are doing fine."

He tells us, "As an aside, the Treasury Guarantee Program was never used, never implemented, but it was part of that first big CARES Act. Back in that nail-biting week, it looked as if it might be necessary. Who knows how it would have been structured, whether it would have been like it was in 2008. Everybody went to the 2008 playbook and assumed that's where you start.... Unfortunately, with the coronavirus they don't have a playbook for that yet, we're writing it out. So, it certainly helps if you've been through this before."

Crane continues, "Looking at the deposit numbers too … bank deposits were up $1 trillion as well. That has been an absolute crazy side effect, too. If you look at the overall cash. I like adding the Fed's H.6 series. I'll take their money fund stats and add them to their deposit, their money market deposit accounts from banks and thrifts. Those two are now $15 trillion, so you've seen this $2.2 plus trillion surge in cash, in both money funds and bank deposits. That's usually a rarity, they're usually sort of battling against each other and taking market share against each other. But bank deposits have been absolutely gigantic as well. The cash build up has been immense."

On yields, he states, "The big thing is the yields already had been declining going into 2020. You saw yields roughly at 2.0% at the start of 2019, 1.5% at the start at 2020 and then during March with that big 100 basis point Fed cut to zero. You're seeing money funds digest those and come down. Money fund yields on average went through 1.0% in March, through 0.5%, and now are 0.17% according to the Crane 100, as of yesterday. That's the hundred largest money funds and is really representative of what the market's yielding.... The average Prime institutional fund is 0.31%, as of yesterday. The average government institutional fund is 0.11%, with the treasury at 0.8%. So, you’ve got 20 basis points or so of spread in there. As yields are being crushed to zero, you do see this migration and push out of risk and struggle for yield on the curve. So, expect to see more of that."

Crane adds, "You've probably heard about the Treasury soft closings; they're not liquidating the funds, they just restricted tempered new money coming in. Fidelity did that first and then Vanguard did that with a Treasury fund. None of the other big providers have done that. And the negative yields on T-bills have gone away for now and have been alleviated."

He continues, "What you're looking at now is when you had this period of zero yields before in 2009 through 2015, you had, in effect, fund companies waive fees to maintain a positive yield. And if you look at funds with fee waivers now, they change them day to day so they're hard to spot. The easiest way to spot who's waiving fees is to look at the yield and say, 'Is their yield 0.00 or 0.01%?' And right now, brokerage sweep accounts are all, across all the tiers, 0.01%, so they've hit the floor. Money funds, you have 20% of assets at 0.00 to 0.01%, which is usually the floor. So, they pay a tiny token dividend just so they're not mistaken as an n/a and it stays positive. So, 20% is at zero already and so it's starting to get hit by fee waivers. Another 20% is at 10 basis points to 0.01%, and that percentage is getting crushed in. You’re soon going to have 40% of the assets at zero and starting to waive fees that can be felt."

Crane says, "Money fund managers and others have said the Fed doesn't want to go negative. The Fed has said they don't want to go negative. But we've seen the last couple of years, couple of decades, that the Fed does what the market tells it to do and the government does what the market tells it to do. So, though people say it's unlikely, you know, people are starting to gear up and say, what happens if we might go negative? From a theoretical standpoint, it's no big deal. In Europe, in euro, you have $100 billion. If you look at the euro money funds, which are much smaller, they're different, they're institutional, but they're yielding negative 0.5%. These numbers are all annualized realize, of course. It's been that way for five years and they're hitting record asset levels; they got a big surge from the coronavirus panic as well. I think it's merely jumping through some regulatory hoops and dealing with some issues. Money funds might even prefer to go negative and to have negative yields because then they don't have the waive expenses."

He explains, "Though it's unlikely, negative yields do not mean investors are going to take their cash away. I mean, in this scenario, it's the old Will Rogers comment about return of principal, instead a return on principal, that always applies to cash. And of course, if people are worried, they're nervous, they're panicked if they have to pay payrolls, if they have to meet expenses, what do you care what rate you're getting? The rate is nice, it drives money around the margin, but it's not going to make a big dent in that gigantic $5 trillion balance. So, I don't see the money fleeing."

Crane asks, "If you go negative, how would you do it? That’s the question. But I think that problem can be solved as well, whether you do a reverse distribution mechanism or a share cancelation mechanism like euro money funds used to do before they changed the regulations. Some people think you have got to have an S.E.C. change to do that. The S.E.C. might even be able to do it through a no action letter, or it might be something that doesn't require a big regulatory change. That's unclear. Or, you could even have government funds going and filing and saying we're going floating and going to a four-digit NAV, and just having that gradual small erosion. But negative yield is not breaking the buck, is not losing money. People aren't losing the money if they're paying you the fee. They're aware of what that charge is, of what that cost is, and I believe they're going to be more than happy to pay it."

He also states, "Regulatory changes are something that people are asking about, they're a big issue. I don't think money funds are destined for dramatic reforms, but people are dusting off their copies of the President's Working Group or ICI Working Group and seeing what kind of crazy ideas might come out of the woodwork again.... We went through and settled on modest incremental changes last time. This time you're going to blame the coronavirus and not mortgage backed securities and complex securities and the financial system. But of course, a lot does depend on what regulators are looking at and who wins the election. If Elizabeth Warren gets in there, she's probably going to want to regulate something. But who knows what's going to happen? Regulators have a lot of bigger fish to fry and other issues, but I'm sure it is going to be talked about again."

Crane adds, "If you, like me, lived through the last set of regulatory discussions and issues you realize in 2007/2008, the subprime liquidity crisis, there was no clear answer to any of this stuff. And again, I think you're going to have that same problem and issue. Do you want to kill the money funds to save them? Do you want to change radically? And I think we're destined for a stalemate and perhaps minor tweaks again. So, I'd bet against regulatory issues and changes. The one big thing that you could argue worked was the prime space was half the size that it was in 2008. It was a trillion dollars in the CP markets, in the prime markets, versus $2 trillion plus back then. So, your problem was smaller and the fact that everybody's got government money funds, and that tier of government fund liquidity certainly may have helped. I think Prime survives. I think credit survives, but that's something that people will be talking about."

Again, watch for more webinars in coming months, and we still remain hopeful that travel will resume later this summer and that we'll be able to host our annual Money Fund Symposium and European Money Fund Symposium. Crane's Money Fund Symposium is scheduled for August 24-26, 2020 at the Hyatt Regency Minneapolis. We'll continue to monitor events carefully in coming weeks, and we'll be prepared to move, to cancel, and/or to webcast if our client base deems it unsafe. Meanwhile, we'll be preparing for the show and taking steps to spread out and make the event safer. (Note: We'll offer full refunds or credits for any cancellations.) Our next European Money Fund Symposium is now scheduled for Nov. 19-20, 2020 in Paris, France. Also, mark your calendars for next year's Money Fund University, which is scheduled for Jan. 21-22, 2021, in Pittsburgh, Pa, and our next Bond Fund Symposium, which is scheduled for March 25-26, 2021 in Newport Beach, Calif. Watch for details in coming months, and we'll keep you posted on our upcoming virtual, and live, events.

This month, MFI interviews Paul Schott Stevens, President & CEO of the Investment Company Institute (ICI). Stevens has been with the mutual fund trade association for 20 years and has been involved in the fund industry for even longer. We discuss his storied career, and ICI's crucial involvement in the development of money fund regulations. Our Q&A follows. (Note: The following is reprinted from the May issue of Money Fund Intelligence, which was published on May 7. Contact us at info@cranedata.com to request the full issue or to subscribe.)

MFI: Tell us about your background and history. Stevens: The ICI is 80 years old this year. We started in 1940 at the time that the Investment Company Act was passed, and the SEC needed an industry group to work with as it began to develop implementing regulations. If you look at what our mission is, it's been the same over those 80 years.... It's to advance the interests of funds and their investors and the constituencies that make fund investing possible, the advisers and boards. Funds are complicated financial instruments in many respects for people and so, trying to provide public information about them has always been a part of our mission.... The third part is, trying to promote high ethical standards. That is incredibly important in an industry that serves 100 million individual investors here in the United States.

Outside of ICI, I've spent 15 years in private law practice.... I had my first money market fund related assignment, I think probably in 1979. So, my involvement with this industry goes back -- can it possibly be that long? -- over 40 years.... It has been an interesting and varied career. But I'll tell you, no challenge of that career, no position that I'd ever held, has been quite as satisfying as leading the ICI. Very few lawyers actually get the chance to move out of the law and into a CEO role. I found meeting the challenges of our organization, working with our members and the incredible staff we have to be among the most gratifying things that I've done.

It has been a pretty challenging period.... When I came in in 2004, we were in the midst of our late trading and market timing situation. No sooner did we get out of that when we entered the phase of the great financial crisis, with a preoccupation about money fund issues lasting over five years and two cycles of SEC rulemaking. In 2011, our board said we want you to refashion the ICI as a global organization. We’ve been working on that ever since.... And now, dealing with this global pandemic and having to adopt completely new ways of working. It has been one extraordinary challenge after another.

MFI: What is your biggest priority? Stevens: The recent issues have been unlike the issues that we saw in many respects during the financial crisis. The issues then were at their heart credit problems. The ones that we've been seeing now are really the result of the government ordering the economy shut down and the demands of investors of all kinds for safe haven assets and ready liquidity to meet unexpected needs.

Early on our focus was clearly on trying to make sure that we could respond to the problems caused by markets that just simply froze up. The good news is that in fairly short order, the Federal Reserve began to establish programs that have greatly, I think, helped markets recover. In just a matter of days, they put together the Primary Dealer Credit Facility, the Commercial Paper Funding Facility, the Money Market Mutual Fund Liquidity Facility, followed by a whole bunch of others. And if you look at the amounts that have actually been utilized in those facilities to date, they're small by comparison to the size of, say, the money market fund industry. But just the fact that they’re there provided a sense of renewed confidence to the markets. I think that the Federal Reserve, the SEC and the Treasury Department deserve very high marks for what they did.

The other thing that's different this time around is that we didn't have money flowing as much out of prime funds into government funds. What we had was money coming from other sources, hugely into government funds.... People are looking to these funds as safe haven assets ... at a time when that liquidity is absolutely essential.

Our focus has been also on continuing with ordinary business, and that’s one of the important things to emphasize. The SEC, very much to its credit, has not just simply stopped everything to focus on coronavirus issues, it's continuing with other very, very important work. It just issued a rule proposal concerning fair valuation of securities held by funds. They're continuing to do work on the derivatives proposal, on proxy voting proposals, on a whole raft of other things. So our normal work process is very much continuing even against the background of the implications of the pandemic.

MFI: Your proudest accomplishment? Stevens: Well, I'll mention a couple of things that I'm particularly proud of. After the great financial crisis, there was an inclination on the part of bank regulators, both the United States and elsewhere, to want to fasten on our business, the regulated fund business, a regulatory model which was completely inappropriate, to treat us like banks, and to have the central bankers begin managing us in a prudential fashion, the way they manage banks. Fighting that off, I think was one of the most important challenges that we met during my time at the ICI.

We have always welcomed effective regulation, and we were as deeply committed to maintaining financial stability as any other part of the system. What the bank regulators saw is that asset management, the regulated fund business, was growing in importance at the same time that the banking business was decreasing, relatively speaking, in importance. So, they wanted to begin regulating us. But the capital markets form of regulation is far more appropriate, so we fought to try to sustain an appropriate model of regulation for the industry, and I think we largely succeeded in doing that.

Now, that's a battle that continues. And in a sense, it's a conversation that's been going on with our industry and central bankers for probably generations.... We had to fight that battle not only domestically here in the United States with the FSOC and the Federal Reserve, but we had to do it with the Financial Stability Board and central bankers and finance ministry officials on a global basis as well.

The second accomplishment, as I mentioned earlier, is leading the charge to refashion the ICI as a global trade organization. That was a completely new organizational challenge for us. And I think it's one that we've risen to very, very effectively. That global dimension now informs everything that we do.

MFI: Talk about the ICI Money Market Working Group. ICI didn't wait for regulators last time, right? Stevens: That’s absolutely correct. It's very consistent with the way the ICI has conducted itself.... We knew when the Reserve Primary Fund broke a buck and the Treasury Department chose to introduce a guarantee program that our world had changed overnight. I suggested and the board and leadership, like Jack Brennan of Vanguard, readily agreed that we had to turn to and think about what was appropriate and necessary by way of reforms. We worked very, very hard at that working group. I think we came up with a report and recommendations for the SEC that were substantial. I know that [the SEC's] Mary Shapiro appreciated them at the time, although she concluded at a later point that more needed to be done.

In truth, money market funds were the very first part of the financial system to be reformed in the aftermath of the crisis, and that was largely because of the initiative that we took at ICI. So that was a very proud moment for us, and it's not much different from other things that we've done. I could name governance standards for the fund business that we helped to raise on our own initiative, standards on personal investments by portfolio managers and a variety of other things as well.

MFI: Talk about investors. Stevens: Well, if you think about our investors in the retail space, they’ve reacted in this crisis more or less the way they have historically. There have not been precipitous outflows from our funds and we follow those trends on a daily and weekly basis. You did not see the same reaction in the retail prime funds that you saw in the institutional prime funds.... That's just been our experience with one of these market events after the other. It suggests that people look at these funds as long-term propositions.... They look at money market funds ... as a store of liquidity that's there available for them should they need it.

MFI: Can you talk about expenses, waivers and consolidation? Stevens: I think that the wildcard here to some degree is what happens with interest rates. Negative interest rates will be a challenge for the money market fund business. I think the fee waivers are something that have become commonplace over the years. There's obviously this very, very strong commitment by fund sponsors to continue their money market fund offerings because they’re such an important arrow in the quiver for their clients.

The general trends in fees and expenses that we've documented now for a generation are very clear. They are declining. The other trend is that distribution and other costs, the cost of help and advice, are being separated from the costs of the funds.... You don't see classes or shares with loads or 12b-1 fees and that sort of thing. Those share classes that have those associated expenses are really dwindling in the industry. Those costs are being externalized and charged separately.

The other great trend that you see across the industry is consolidation. And again, this is something that we've followed closely. The flows into the industry have been strong, but they’re not shared equally by all the players. Some are getting much bigger. I think it’s a tougher proposition for smaller and medium sized enterprises. Scale is an extraordinarily important thing. That certainly would be the case in the money market fund world. So those dynamics are ones, I think, that are very clear and likely to continue into the future.

MFI: What about the future? Stevens: I've been ICI president for 16 years. If you cast your mind forward 16 years further to 2036, what will the fund investing world look like? I suspect that it will be an even more distinctly global phenomenon, and you’ll have major centers of fund investing in China and elsewhere that will go through a period of growth and maturity similar to what our domestic fund sector has gone through during my lifetime. I think the future is bright.

The SEC recently released its latest quarterly "Private Funds Statistics report, which summarizes Form PF reporting and includes some data on "Liquidity Funds." The publication shows overall Liquidity fund assets were up in the latest reported quarter (Q3'19) to $588 billion (up from $580 billion in Q2'19). The SEC's "Introduction" tells us, "This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings. Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from Fourth Calendar Quarter 2017 through Third Calendar Quarter 2019 as reported by Form PF filers." We believe many of these liquidity funds are securities lending reinvestment pools and other short-term investment funds. (Note: As a reminder, we'll be hosting our first Webinar event, "Crane's Money Fund Update & Training," at 3:00pm Eastern today, Thurs., May 21. To register for our free update, go here: https://register.gotowebinar.com/register/5005519395474084109.)

The tables in the SEC's "Private Funds Statistics: Third Calendar Quarter 2019 the most recent data available, now show 114 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), down 2 from the last quarter and up one from a year ago. (There are 72 Liquidity Funds and 42 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 39 Liquidity Fund advisers and 21 Section 3 Liquidity Fund advisers, or 60 advisers in total, down one from last quarter (unchanged from a year ago).

The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $588 billion, up $8 billion from Q2'19 and down $29 billion from a year ago (Q3'18). Of this total, $297 billion is in normal Liquidity Funds while $291 billion is in Section 3 (large manager) Liquidity Funds. The SEC's table on "Aggregate Private Fund Gross Asset Value" shows total Liquidity Fund assets at $593 billion, up $9 billion from Q2'19 and down $30 billion from a year ago (Q3'18). Of this total, $300 billion is in normal Liquidity Funds while $293 billion is in Section 3 (large manager) Liquidity Funds.

A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $69 billion is held by Private Funds (23.7%), $64 billion is held by Unknown Non-U.S. Investors (22.0%), $75 billion is held by Other (25.8%), $19 billion is held by SEC-Registered Investment Companies (6.5%), $8 billion is held by Insurance Companies (2.7%) and $4 billion is held by Non-U.S. Individuals (1.4%).

The tables also show that 75.5% of Section 3 Liquidity Funds have a liquidation period of one day, $277 billion of these funds may suspend redemptions, and $245 billion of these funds may have gates (out of a total of $522 billion). The Portfolio Characteristics show that these funds are very close to money market funds. WAMs average a short 30 days (45 days when weighted by assets), WALs are 63 days (82 days when asset-weighted), and 7-Day Gross Yields average 1.9% (2.0% asset-weighted). Daily Liquid Assets average about 50% (43% asset-weighted) while Weekly Liquid Assets average about 61% (53% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; almost half of them (47.6%) are fully compliant with Rule 2a-7.

In other news, S&P Global Ratings published the brief, "Monitoring the Effect of Market Volatility On Local Government Investing Pool Ratings." The "Key Takeaways" section says, "We have not taken any rating actions on local government investment pools (LGIPs) as a result of the recent COVID-19-induced market volatility, because these pools' metrics have remained within our expectations for the current ratings. An important measure we consider is whether a pool has maintained a net asset value (NAV) price per share of $1.00, and so far the LGIPs have done so. During the flight to quality in March, LGIPs experienced fewer outflows relative to prime money market funds, largely because the investor base tends to be more stable. We expect managers of LGIPs to maintain their conservative approach; however, redemptions could rise if market conditions deteriorate."

The brief explains, "Local government investment pools (LGIPs) rated by S&P Global Ratings have managed to navigate through the recent COVID-19-related market volatility, which peaked during the week of March 16, 2020. All pools have remained within the S&P Global Ratings' key rating factors, and therefore we have not taken any actions so far on pools we rate under our principal stability fund ratings (PSFR) criteria."

It continues, "The March 2020 liquidity event in the money market industry was primarily the result of a flight to quality, during which the rush to government securities left little demand for high-quality corporate money market instruments, in particular commercial paper, thereby freezing short-term credit markets. This episode placed stress on prime institutional money market fund (MMF) NAVs, which experienced outflows totaling $116 billion, representing a 23% decline during this period. LGIPs we rate did not experience the same level of redemption activity in proportion to prime MMFs and, as a result, were generally able to avoid material deterioration to their NAVs, credit quality, average maturity, issuer diversification, or liquidity objectives. According to our asset flow data during the first quarter, particularly for the month of March, LGIPs we rate under our PSFR criteria experienced $3.7 billion in outflows, making up 1.75% of rated pool assets."

S&P also comments, "Interestingly, when observing this flow data over a longer time horizon, March 2020 flows are largely consistent with historical cyclicality for our rated LGIPs. Based on 36 months of historical asset-flow data, LGIPs typically gain assets in November and December and subsequently experience outflows in February and March, which is mainly caused by seasonal tax revenue. Given March 2020 outflows were in line with historical patterns, we believe that the asset-flow activity was generally isolated from the recent market volatility."

They add, "Because of the uncertainty of renewed volatility in the short-term markets, we remain vigilant in our monitoring of LGIPs. Although pools we rate did not experience a deterioration of key rating factors during the recent market stress, we recognize that local governments may focus their efforts on funding and facilitating ongoing measures to mitigate COVID-19-related downturns. Redemptions from LGIPs could increase if market conditions do not improve. Based on our discussions with investment managers of LGIPs, we expect pools to maintain their investment profiles by focusing on high-credit-quality and liquid investments. In the weeks and months ahead, we expect a continuation of the conservative approach, with the possibility of further restrictions on less-liquid securities."

LGIPs rated AAAm by S&P include: Alaska Municipal League Investment Pool, California Asset Management Trust/Cash Reserve Portfolio, CalTRUST Liquidity Fund, Orange County Educational Money Market Fund, Orange County Money Market Fund, Colorado Local Government Liquid Asset Trust (COLOTRUST PLUS+), Colorado Local Govt Liquid Asset Trust (COLOTRUST PRIME), Colorado Statewide Investment Pool - CSIP Liquid Portfolio, Colorado Surplus Asset Fund Trust (CSAFE), Connecticut State Treasurer's Short-Term Investment Fund, FL SAFE Stable NAV Fund, Florida Cooperative Liquid Assets Securities, Florida PRIME, Florida Public Assets for Liquidity Management - FL PALM Portfolio, Florida Short Term Asset Reserve Govt Fund, Florida Short Term Asset Reserve Prime Fund, Iowa Public Agency Investment Trust - Diversified Portfolio, Iowa Schools Joint Investment Trust, Illinois Funds - MMF (The), Illinois Public Reserves Investment Management Trust (IPRIME), Illinois School District Liquid Asset Fund Plus - Liquid Class, Illinois School District Liquid Asset Fund Plus - Max Class, Illinois Trust - Illinois Portfolio, Louisiana Asset Management Pool, Massachusetts Development Finance Agency Short Term Asset Reserve Fund, Maryland Local Govt Investment Pool, Michigan Cooperative Liquid Assets Securities System, Michigan Liquid Asset Fund Plus, Minnesota School District Liquid Asset Fund, MNTrust - Investment Shares, Missouri Securities Investment Program -Liquid Series, North Carolina Capital Management Trust - Govt Portfolio, Nebraska Liquid Asset Fund, New Hampshire Public Deposit Investment Pool, New Jersey Asset & Rebate Management Program/Joint Account, New Mexico Local Govt Investment Pool, New York Cooperative Liquid Assets Securities System, New York Liquid Asset Fund - MAX Portfolio, State Treasury Asset Reserve of Ohio (STAR OHIO), Pennsylvania INVEST Community Pool, Pennsylvania INVEST Daily, Pennsylvania Local Govt Investment Trust/PLGIT Portfolio, Pennsylvania Local Govt Investment Trust/PLGIT/ARM Portfolio, Pennsylvania Local Govt Investment Trust/PLGIT/PRIME, Pennsylvania School District Liquid Asset Fund - Govt Transparency Series, Pennsylvania School District Liquid Asset Fund - Max Series, Local Govt Investment Cooperative, Lone Star Investment Pool - Corporate Overnight Fund, Lone Star Investment Pool - Govt Overnight Fund, Texas Class Government, Texas Cooperative Liquid Assets Securities System, Texas Short Term Asset Reserve (TexSTAR) Cash Reserve Fund, TexasTERM Local Govt Investment Pool/TexasDAILY Portfolio, TEXPOOL, TEXPOOL Prime, VACo/VML Virginia Investment Pool (VIP) Stable NAV Liquidity Pool, Virginia Local Govt Investment Pool, Virginia State Non-Arbitrage Program – SNAP Fund, Wisconsin Investment Series Cooperative - Cash Management Series and Investment Series, West Virginia Govt Money Market Pool, West Virginia MM Pool and Wyoming Govt Investment Fund Liquid Asset Series.

Northern Institutional Funds filed to liquidate its $1.7 billion Northern Prime Obligations Portfolio earlier this week, we learned from Bloomberg. The filing says, "The Board of Trustees (the 'Board') of Northern Institutional Funds (the 'Trust') has determined, after consideration of a number of factors, that it is in the best interests of the Prime Obligations Portfolio (the 'Portfolio') and its shareholders that the Portfolio be liquidated and terminated on or about July 10, 2020 (the 'Liquidation Date') pursuant to a plan of liquidation approved by the Board. The Liquidation Date may be changed at the discretion of the Trust's officers. The pending liquidation of the Portfolio may be terminated and/or abandoned at any time before the Liquidation Date by action of the Board of the Trust. As of the date of this supplement, Williams Capital Shares of the Portfolio have not commenced operations and are not offered for purchase." (The fund's assets are down from $3.8 billion on Feb. 28, 2020.)

The Bloomberg piece, "Northern Trust to Shutter Money-Market Fund After Redemptions," tells us, "Northern Trust Corp. is shutting down a money-market mutual fund after volatility in March spurred redemptions that sent it below a regulatory threshold for maintaining liquidity. The $1.7 billion Northern Institutional Prime Obligations Portfolio will stop accepting new investments next month and start selling its holdings under a liquidation plan set for July 10, according to a filing."

Reuters, in a March 23 article,"Fed's Money Market Move Lifts Northern Trust Fund Above Key Threshhold," wrote, "Liquidity at a $2.2 billion prime money-market fund run by Northern Trust Corp fell below the key 30% U.S. regulatory threshold twice last week, but rebounded above that level after the U.S. Federal Reserve shored up the industry. As the coronavirus roils the global economy and squeezes Wall Street for cash, money-market reforms put in place after the 2007-2009 financial crisis are weathering a major test."

They explained, "Several institutional prime funds, whose investors include large corporations, were at risk of falling below the 30% threshold before the Fed took extraordinary steps reminiscent of the last financial crisis to backstop the money-market industry." The Northern Prime Obligations Portfolio disclosed that its weekly liquidity level fell to 27% of assets twice last week, according to the fund's website -- reducing its buffer for quickly converting assets into cash to meet investors' redemptions. However, Chicago-based Northern Trust, a bank and wealth manager, said on Monday the latest weekly liquidity level for the fund was nearly 41%."

In other news, The Federal Reserve Bank of New York published an update on the "The Primary Dealer Credit Facility" via its Liberty Street Economics blog. They write, "On March 17, 2020, the Federal Reserve announced that it would re-establish the Primary Dealer Credit Facility (PDCF) to allow primary dealers to support smooth market functioning and facilitate the availability of credit to businesses and households. The PDCF started offering overnight and term funding with maturities of up to ninety days on March 20. It will be in place for at least six months and may be extended as conditions warrant. In this post, we provide an overview of the PDCF and its usage to date."

The NY Fed writes, "Lending rose quickly after the PDCF's launch, and the weekly average of outstanding loans peaked at over $35 billion for the week ending April 15.... Outstanding loans remained in the $30-35 billion range for a few weeks, before decreasing recently, as market conditions improved. The vast majority of value-weighted PDCF loans have a maturity longer than overnight.... The bulk of the assets financed in the PDCF to date have been corporate and municipal debt, as well as asset-backed securities and commercial paper. These are asset classes that were experiencing considerable volatility and pressure in early March. Market conditions have improved markedly since the introduction of a variety of Fed interventions, including the PDCF."

They explain, "The Federal Reserve initially established the PDCF in March of 2008, following severe strains in the tri-party repo market, associated in part with Bear Stearns' troubles.... Following its inception in March 2008, usage of the original PDCF increased to approximately $40 billion, before decreasing to zero by mid-2008.... This $40 billion level is roughly comparable to the peak usage of today's PDCF. Usage of the original PDCF increased to over $140 billion in September 2008, following the bankruptcy of Lehman Brothers. This peak is much higher than the current use of today's PDCF. However, the range of collateral eligible for the PDCF post-Lehman was much broader than the range of eligible collateral at the PDCF today, making comparisons difficult."

The piece adds, "The PDCF is one of many facilities introduced by the Federal Reserve to support the U.S. economy in the face of the coronavirus pandemic. The PDCF helps primary dealers support smooth market functioning and facilitate the availability of credit to businesses and households in their capacity as market makers for corporate, consumer, and municipal obligations." For more, see these previous Liberty Street Economics blogs: "The Money Market Mutual Fund Liquidity Facility" and "The Commercial Paper Funding Facility."

Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of May 15) includes Holdings information from 80 money funds (up two from two weeks ago), which represent $2.664 trillion (up from $2.568 trillion) of the $5.123 trillion (52.0%) in total money fund assets tracked by Crane Data. (Note that our Weekly MFPH are e-mail only and aren't available on the website. For our latest monthly Holdings, see our May 12 News, "May MF Portfolio Holdings: Treasuries Skyrocket, Repo Plunges in April.)

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $1.344 trillion (up from $1.209 trillion two weeks ago), or 50.4%, Repurchase Agreements (Repo) totaling $635.7 billion (down from $706.4 billion two weeks ago), or 23.9% and Government Agency securities totaling $470.7 billion (up from $470.4 billion), or 17.7%. Certificates of Deposit (CDs) totaled $70.7 billion (up from $48.7 billion), or 2.7% and Commercial Paper (CP) totaled $59.2 billion (up from $58.7 billion), or 2.2%. A total of $46.9 billion or 1.8%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $37.6 billion, or 1.4%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.344 trillion (50.4% of total holdings), Federal Home Loan Bank with $289.3B (10.9%), Fixed Income Clearing Co with $99.9B (3.7%), Federal Farm Credit Bank with $69.9B (2.6%), BNP Paribas with $69.5B (2.6%), Federal National Mortgage Association with $57.5B (2.2%), Federal Home Loan Mortgage Corp with $51.3B (1.9%), JP Morgan with $49.5B (1.9%), RBC with $46.8B (1.8%) and Mitsubishi UFJ Financial Group Inc with $30.0B (1.1%).

The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($228.4B), Goldman Sachs FS Govt ($217.0B), Fidelity Inv MM: Govt Port ($194.3B), BlackRock Lq FedFund ($175.5B), JPMorgan 100% US Treas MMkt ($142.3B), Wells Fargo Govt MM ($138.6B), Goldman Sachs FS Treas Instruments ($133.3B), Morgan Stanley Inst Liq Govt ($109.3B), State Street Inst US Govt ($105.4B) and BlackRock Lq T-Fund ($86.4B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

Money market fund yields, which fell below the 1.0% level in mid-March and below the 0.5% level in late March, continued inching lower in the latest week. Our flagship Crane 100 Money Fund Index was down 3 basis points over the past week (through Friday, May 15) to 0.19%. The Crane 100 is down from 1.46% at the start of the year and down 2.04% from the beginning of 2019 (2.23%). While some funds have already hit the zero floor, most money funds continue to show some yield and are stubbornly resisting zero yields. According to our Money Fund Intelligence Daily, as of Friday, 5/15, 360 funds (out of 852 total) yielded 0.00% or 0.01% with total assets of $922.6 billion, or 18.0% of total assets. There were 143 funds yielding between 0.02% and 0.10%, totaling $927.0B, or 18.0% of assets; 200 funds yielded between 0.11% and 0.25% with $1.972 trillion, or 38.4% of assets; 100 funds yielded between 0.26% and 0.50% with $887.8 billion in assets, or 17.3% ; 44 funds yielded between 0.51% and 0.99% with $427.4 billion in assets or 8.3%; no funds yielded over 1.00%.

The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 674), shows a 7-day yield of 0.15%, down 3 basis points in the week through Friday, 5/15. The Crane Money Fund Average is down 32 bps from 0.47% at the beginning of April. Prime Inst MFs were down 7 bps to 0.35% in the latest week and Government Inst MFs fell by 2 bps to 0.12%. Treasury Inst MFs dropped by 1 bps to 0.09%. Treasury Retail MFs currently yield 0.01%, (unchanged in the last week), Government Retail MFs yield 0.03% (down 1 basis point for the week), and Prime Retail MFs yield 0.27% (down 5 bps for the week), Tax-exempt MF 7-day yields dropped by 1 bps to 0.07%.

As we've mentioned in previous weeks, our Crane Brokerage Sweep Index, the average rate for brokerage sweep clients, has already hit the floor at 0.01%. It's down 27 bps from the end of 2018 (0.28%). The latest Brokerage Sweep Intelligence, with data as of May 15, shows no changes with the exception of Merrill Lynch dropping it's highest tier a basis point to 0.01%. All of the major brokerages now offer rates of 0.01% for balances of $100K. No brokerage sweep rates or money fund yields have dropped to zero or gone negative to date, but this could become a distinct possibility in coming weeks or months. Crane's Brokerage Sweep Index has been flat for the last seven weeks at 0.01% (for balances of $100K). Ameriprise, E*Trade, Fidelity, Merrill Lynch, Morgan Stanley, Raymond James, RW Baird, Schwab, TD Ameritrade, UBS and Wells Fargo all currently have rates of 0.01% for balances at the $100K tier level (and almost every other tier too).

In other news, J.P. Morgan writes in its latest "Short-Term Fixed Income" update that the "[M]arket structure is quite different today than the prior ZIRP period. Most notably, prime MMFs are materially smaller in size, with balances roughly 40% of what they were in 2013-2015. Furthermore, there continues to be a sense of caution among the cash lending community. This is best evidenced in the record amount of T-bills that prime MMFs currently hold (22% of their portfolio) as they're allocating their inflows into rates versus credit. Anecdotal conversations with fund managers also point to more discretion in their purchases given the uncertain economic outlook, potential downgrades, and the possibility of more outflows come the July tax date -- all of which limits how much money they want to spend out the curve."

On April MMF holdings, they write, "As investors and corporations continued to accumulate cash to weather the COVID19 storm, taxable MMF inflows continued last month, with $384bn entering the fund complex.... Government funds saw inflows of $336bn while prime funds received a net inflow of $48bn.... Dealer repo increased $87bn month over month, while exposure to FICC sponsored repo decreased $43bn to $221bn in April.... RRP usage fell $283bn to a mere $2bn last month as MMFs found better yields than RRP's 0% thanks to a surge in bill issuance."

JPM continues, "T-bills now represent a larger fraction of both government and prime funds' portfolios. In both instances, the percentage allocated to T-bills has increased to record levels.... with purchases focused mainly on the shorter end of the bills curve.... Significant inflows into government funds prompted the increased exposure. The flows into prime funds (+$117bn) in April seemed to have found their way into Treasuries instead of credit."

They add, "On the benchmark reform front, MMFs have continued to add SOFR exposure through their purchase of Agency FRNs. We estimate that at month-end these funds held $337bn of SOFR FRNs versus $226bn of non-SOFR floaters.... In April, prime funds continued to de-risk, turning away from credit products and pivoting into Treasuries.... Bank CP/CD/TD exposures decreased $2bn.... In an attempt to grab onto yield where and while available, WAMs and WALs are up across the fund complex. Month over month, overall prime MMF WAMs increased 10 days to 39 days and WALs decreased 4 days to 62 days. Govt MMF WAMs increased 2 days to 37 days and WALs increased 2 days to 93 days, while Treasury WAMs increased 5 days to 44 days and WALs increased 3 days to 92 days."

Wells Fargo Securities' Garret Sloan also writes about the "Government Money Market Fund Portfolio Shift: Massive move into Treasuries and Fannie SOFR Floaters." He explains, "Crane Data released its monthly money market fund holdings data earlier this week and there have been some seismic shifts over the past month. Government Fund (ex-Treasury funds) assets rose from $2.40 trillion to $2.69 trillion, but the biggest shift has been in composition. Government/Agency funds' single largest exposure shifted from the Federal Home Loan Bank to the US Treasury, a historic increase month-over-month. Other notable shifts included the decline of RRP usage, likely the result of the increase in non-negative-yielding T-bills, the reshuffling of exposures amongst the remaining GSEs, and the decline in FICC repo usage."

Wells continues, "In the GSE space, the standout from a supply standpoint was Fannie Mae, which lifted its relative counterparty position in government funds from 8th to 4th, and increased total issuance into government funds by $33 billion. The Federal Home Loan Banks, meanwhile, reduced exposure in the funds by an equally surprising $17 billion. The remaining two large GSE issuers were relatively steady in terms of position and holdings. Farm Credit rose by $1.7 billion, and Freddie Mac declined by $3.1 billion."

The brief asks, "So what are we to make of the shift between Fannie Mae and the Home Loan Banks funding needs? The dynamic for Fannie Mae (and Freddie Mac) may relate to its need to advance P&I payments on mortgages in forbearance, which could eventually weigh on the GSEs' liquidity profile. We suspect that Fannie Mae has been building its funding base for just such a possibility.... Possibly to reduce rollover risk, most of Fannie Mae's issuance in April was in long-dated SOFR-floaters, raising more than $35 billion, almost all of which was placed in the 2a-7 fund universe."

Wells writes, "As money funds grow their holdings of long-dated SOFR floaters, extending their WALs, it may become more difficult for GSEs to attract longer-dated floaters. This trend, along with the rally in SOFR, could put widening pressure on SOFR spreads as issuers compete with attractive alternatives in the T-bill market."

Finally, they add, "On the FHLB side, the decrease in outstanding short-term debt is surprising given the growth of money market fund assets, and the agency's historic place in the holdings hierarchy. However, with banks currently sitting on unprecedented amounts of liquidity, the need for FHLB advances has diminished significantly, and with the decline in those advances, we have seen a commensurate decline in the FHLB's funding needs. To the extent that banks maintain their highly liquid balance sheet profiles, we suspect that FHLB may be light on issuance for some time to come."

As we mentioned last week, the Investment Company Institute recently published its "2020 Investment Company Fact Book," an annual compilation of statistics and commentary on the mutual fund industry. (See our May 6 Link of the Day, "ICI Releases 2020 Fact Book.") We reviewed the bulk of the money fund content in our May 13 News, "ICI's 2020 Fact Book Reviews Money Funds Trends; BIS on Covid Crisis," but below we focus on the numerous "Data Tables" involving "Money Market Mutual Funds, which start on page 230. ICI lists annual statistics on shareholder accounts, the number of funds, net assets, net new cash flows, paid and reinvested dividends, composition of prime and government funds, and net assets of institutional investors by type of institution.

ICI's annual statistics show that there's been a steady decline in the number of money market mutual funds over the last 15 years. (See Table 35 on page 230.) In 2019, according to the Fact Book, there were a total of 364 money funds, down from 368 in 2018, 802 in 2007, and down from 1,014 in 2001. The number of share classes stood at 1,126 in 2019, down from 1,128 in 2018 and 1,998 in 2008.

Table 36 on page 231, "Money Market Funds: Total Net Assets by Type of Fund," shows that total net assets in taxable U.S. money market funds increased $595.0 billion to $3.632 trillion in 2019. At year-end 2019, $2.262 trillion (62.3%) was in institutional money market funds, while $1.370 trillion (37.7%) was in retail money market funds. Breaking the numbers down by fund type, $774.0 billion (21.3%) was in prime funds, $2.720 trillion (74.9%) was in government money market funds, and $137.6 billion (3.8%) was in tax-exempt accounts.

Also, Table 37 on page 232, "Money Market Funds: Net New Cash Flow by Type of Fund," shows that there was $552.7 billion in net new cash flow into money market funds last year. A closer look at the data shows $387.5 billion in net new cash flow into institutional funds and a $165.2 billion cash inflow into retail funds. There were also $363.7 billion in net inflows into Government funds, versus $198.0 billion in net outflows from Prime funds.

Table 39 (page 234), "Money Market Funds: Paid and Reinvested Dividends by Type of Fund," shows dividends paid by money funds reached their highest level in 11 years, $61.4 billion, $33.0 billion of which was reinvested (53.7%). Dividends have been as high as $127.9 billion in 2007 (when rates were over 5%), and as low as $5.2 billion in 2011 (when rates were 0.05%). Reinvestment rates were 64.4% in 2007 and 62.3% in 2011, so they've remained relatively stable over the past decade.

ICI's Tables 40 and 41 on pages 235 and 236, "Taxable Government Money Market Funds: Asset Composition as a Percentage of Total Net Assets" and "Taxable Prime Money Market Funds: Asset Composition," show that of the $2.720 trillion in taxable government money market funds, 27.2% were in U.S. government agency issues, 36.1% were in Repurchase agreements, 21.4% were in U.S. Treasury bills, 15.1% were in Other Treasury securities, and 0.2% was in "Other" assets. The average maturity was 38 days, up 7 days from the end of 2018.

The second table shows that of the $774.0 billion in Prime funds at year-end 2019, 33.2% was in Certificates of deposit, 30.0% was in Commercial paper, 25.7% was in Repurchase agreements, 1.8% was in US government agency issues, 0.6% was in Other Treasury securities, 0.7% was in Corporate notes, 0.8% percent was in Bank notes, 5.0% was in US Treasury bills, 1.0% was in Eurodollar CDs, and 1.3% was in Other assets (which includes Banker's acceptances, municipal securities and cash reserves).

Table 60 on page 255, "Total Net Assets of Mutual Funds Held in Individual and Institutional Accounts," shows that there was $1.298 trillion of assets in money funds with Institutional investors and $2.334 in MMF assets in Individual accounts in 2019.

Finally, Table 62, "Total Net Assets of Institutional Investors in Taxable Money Market Funds by Type of Institution and Type of Fund," shows of the total of $1.292 trillion in Total Institutional assets ($1.205 trillion in Institutional funds and another $86.8 billion in Retail funds), $557.0 billion were held by business corporations (43.1%), $537.8 billion were held by financial institutions (41.6%), $113.1 billion were held by nonprofit organizations (8.8%), and $84.3 billion were held by Other (6.5%).

In other news, The Federal Reserve Bank of New York posted a brief on "The Commercial Paper Funding Facility" on its Liberty Street Economics blog. It tells us, "In mid-March, the Federal Reserve announced a slew of credit and liquidity facilities aimed at supporting credit provision to U.S. households and businesses. Among the initiatives is the Commercial Paper Funding Facility (CPFF) which aims to support market functioning and provide a liquidity backstop for the commercial paper market. The domestic commercial paper market provides a venue for short-term financing for companies which employ more than 6 million Americans. Securities in the commercial paper market represent a key asset class for money market mutual funds. This post documents the dislocations in the commercial paper market that motivated the creation of this facility, and tracks the subsequent improvement in market conditions."

The post explains, "In March, financial markets began to experience disruptions related to the outbreak of COVID-19, and the commercial paper market was no exception. Anecdotally, investors in the market were unwilling to extend credit to issuers except at very short maturities of less than five days.... [T]his reduced availability of credit coincided with yield-spread increases even for the highest-rated issuers -- those with short-term credit ratings of A1 (Moody's) or P1 (S&P) -- across the maturity spectrum. This market dislocation negatively impacted companies that needed to refinance their maturing commercial paper at a time when they urgently needed liquidity to fund operational disruptions."

The NY Fed writes, "In light of these events, on March 17, the Federal Reserve announced the CPFF. The CPFF is a temporary liquidity facility authorized under Section 13(3) of the Federal Reserve Act. It is funded with loans from the Federal Reserve Bank of New York and includes a $10 billion equity investment from the U.S. Treasury's Exchange Stabilization Fund. The facility was announced on March 17 and began its operations on April 14. The CPFF uses a structure that is similar to the CPFF facility introduced in the wake of the collapse of Lehman Brothers in fall of 2008.... The CPFF both supports commercial paper liquidity in the short run, by providing highly rated issuers with an alternative outlet for their current commercial paper issuance, and in the longer run, as both issuers and investors can be more confident about participating in the market knowing that issuers will be able to roll over outstanding commercial paper. By setting the rate at which it will purchase commercial paper at a premium to 'normal' market pricing, the CPFF stands as a lender of last resort for the A1/P1 commercial paper market, with take-up expected to dissipate as market conditions normalize."

They tell us, "The current incarnation of the facility is designed to work in concert with the Money Market Mutual Fund Liquidity Facility (MMLF). By allowing issuers to buy back outstanding commercial paper and re-issue using the CPFF, the CPFF reduces the strain placed on money market funds invested in commercial paper. At the same time, by providing liquidity support to money market funds, the MMLF mitigates fire-sale dynamics, supporting commercial paper liquidity."

The blog adds, "While the facility only accepts commercial paper from issuers rated A1/P1 as of the facility announcement date, by stabilizing the A1/P1 market the facility has had a positive impact on market functioning and liquidity for lower-rated issuers as well.... As with the A1/P1 market, the shortest maturity spreads reacted immediately, with the spread on nonfinancial commercial paper declining from 311 bps on March 17 to 87 bps on April 16, and the spread on financial commercial paper declining from 123 bps on March 17 to 5 bps on April 16. The reaction of longer maturity spreads has been more sluggish."

Finally, it says, "Inspecting the A1/P1 nonfinancial issuers in greater detail, we can examine whether market pricing for issuers in industries more likely to be directly affected by the COVID epidemic -- such as airlines, department stores, restaurants, and hotels -- has evolved in the same way as for issuers less likely to be directly affected.... [A]lthough spreads on one-week paper have declined for both sets of issuers since the facility announcement, the decline in spreads for more directly affected issuers has been more modest. The facility thus achieves its twin goals of supporting overall commercial paper market liquidity while allowing market participants to differentially price issuers with different risk profiles."

Crane Data's MFI International shows assets in European or "offshore" money market mutual assets rising sharply over the past month, breaking $1.0 trillion for the first time ever. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, increased by $50.9 billion over the last 30 days to $1.007 trillion; they're up by $130.7 billion year-to-date. Offshore USD money funds, which broke over $500 billion in January, are up $26.0 billion over the last 30 days and are up $37.1 billion YTD. Euro funds are up E4.3 billion over the previous 30 days, and YTD they're up E25.5 billion. GBP funds have risen by L13.9 billion over 30 days, and are up by L33.3 billion YTD. U.S. Dollar (USD) money funds (192, up two from the previous month) account for over half ($531.5 billion, or 52.8%) of the "European" money fund total, while Euro (EUR) money funds (92, unchanged from the previous month) total E124.1 billion (12.3%) and Pound Sterling (GBP) funds (123, unchanged from the previous month) total L258.2 billion (25.6%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Thursday), below.

Offshore USD MMFs yield 0.36% (7-Day) on average (as of 5/13/20), down from 2.29% on 12/31/18 and 1.19% at the end of 2017. EUR MMFs yield -0.52% on average, compared to -0.49% at year-end 2018 and -0.55% on 12/29/17. Meanwhile, GBP MMFs yielded 0.22%, down from 0.64% as of 12/31/18 and down from 0.24% at the end of 2017. (See our latest MFI International for more on the "offshore" money fund marketplace. Note that these funds are only available to qualified, non-U.S. investors.)

Crane's MFII Portfolio Holdings, with data (as of 4/30/20), show that European-domiciled US Dollar MMFs, on average, consist of 22.1% in Commercial Paper (CP), 15.4% in Certificates of Deposit (CDs), 13.6% in Repo, 32.0% in Treasury securities, 14.4% in Other securities (primarily Time Deposits) and 2.4% in Government Agency securities. USD funds have on average 33.9% of their portfolios maturing Overnight, 8.3% maturing in 2-7 Days, 15.6% maturing in 8-30 Days, 9.1% maturing in 31-60 Days, 12.3% maturing in 61-90 Days, 16.2% maturing in 91-180 Days and 4.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (41.2%), France (12.1%), Japan (7.5%), Canada (6.9%), the United Kingdom (6.1%), the Netherlands (4.1%), Germany (3.7%), Sweden (3.6%), Norway (2.8%), Switzerland (2.3%), Australia (2.0%), Belgium (1.9%), China (1.4%) and Singapore (1.1%).

The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $188.0 billion (31.5% of total assets), Barclays PLC with $16.0B (2.7%), BNP Paribas with $14.9B (2.5%), Credit Agricole with $13.0B (2.2%), Mitsubishi UFJ Financial Group Inc with $12.9B (2.2%), Mizuho Corporate Bank Ltd with $11.7B (2.0%), Natixis with $11.2B (1.9%), DNB ASA with $10.4B (1.7%), Bank of Nova Scotia with $10.3B (1.7%) and Toronto-Dominion Bank with $9.2B (1.5%).

Euro MMFs tracked by Crane Data contain, on average 42.0% in CP, 16.3% in CDs, 25.6% in Other (primarily Time Deposits), 13.8% in Repo, 1.8% in Treasuries and 0.5% in Agency securities. EUR funds have on average 0.6% of their portfolios maturing Overnight, 46.1% maturing in 2-7 Days, 14.7% maturing in 8-30 Days, 9.1% maturing in 31-60 Days, 15.9% maturing in 61-90 Days, 11.9% maturing in 91-180 Days and 1.6% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.3%), the U.S. (13.4%), Japan (11.2%), Germany (8.8%), Sweden (6.6%), the Netherlands (5.8%), the U.K. (4.9%), Switzerland (4.1%), Belgium (4.0%), China (2.7%), Canada (2.6%), Qatar (1.8%) and Finland (1.6%).

The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.5B (6.1%), BNP Paribas with E5.4B (4.3%), Societe Generale with E5.3B (4.3%), JP Morgan with E4.9B (4.0%), Mizuho Corporate Bank with E4.4B (3.6%), BPCE SA with E4.2B (3.4%), Mitsubishi UFJ Financial Group Inc with E3.7B (3.0%), ING Bank with E3.6B (2.9%), Republic of France with E3.3B (2.7%) and Bank of America with E3.3B (2.7%).

The GBP funds tracked by MFI International contain, on average (as of 4/30/20): 30.6% in CDs, 21.2% in CP, 26.2% in Other (Time Deposits), 17.4% in Repo, 4.2% in Treasury and 0.3% in Agency. Sterling funds have on average 34.5% of their portfolios maturing Overnight, 11.9% maturing in 2-7 Days, 10.0% maturing in 8-30 Days, 11.5% maturing in 31-60 Days, 14.3% maturing in 61-90 Days, 14.3% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the U.K. (20.6%), France (17.5%), Japan (12.5%), Canada (9.8%), Germany (6.2%), the Netherlands (5.8%), the U.S. (5.3%), Sweden (3.7%), Australia (3.4%), Singapore (3.3%) and Switzerland (2.7%).

The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L29.4B (13.0%), BNP Paribas with L11.1B (4.9%), Mizuho Corporate Bank Ltd with L10.3B (4.5%), BPCE SA with L7.7B (3.4%), RBC with L6.4B (2.8%), Credit Agricole with L5.7B (2.5%), Mitsubishi UFJ Financial Group Inc with L5.6B (2.5%), Nordea Bank with L5.5B (2.4%), Sumitomo Mitsui Banking Corp with L5.5B (2.4%) and Toronto-Dominion Bank with L5.3B (2.4%).

In related news, ICI also released its monthly "Money Market Fund Holdings" summary yesterday, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (See our May 12 News, "May MF Portfolio Holdings: Treasuries Skyrocket, Repo Plunges in April.")

The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in April, prime money market funds held 36.2 percent of their portfolios in daily liquid assets and 47.0 percent in weekly liquid assets, while government money market funds held 67.8 percent of their portfolios in daily liquid assets and 79.6 percent in weekly liquid assets." Prime DLA increased from 33.8% in March, and Prime WLA increased from 44.8%. Govt MMFs' DLA increased from 63.3% in March and Govt WLA increased from 77.0% from the previous month.

ICI explains, "At the end of April, prime funds had a weighted average maturity (WAM) of 44 days and a weighted average life (WAL) of 65 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 39 days and a WAL of 99 days." Prime WAMs were up 10 days from the previous month and WALs decreased by one day from the previous month. Govt WAMs increased by two days, WALs were also up two days from the previous month.

Regarding Holdings By Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas rose from $291.37 billion in March to $345.05 billion in April. Government money market funds' holdings attributable to the Americas rose from $3,099.95 billion in March to $3,426.24 billion in April."

The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $345.1 billion, or 48.7%; Asia and Pacific at $115.7 billion, or 16.3%; Europe at $238.8 billion, or 33.7%; and, Other (including Supranational) at $8.8 billion, or 1.2%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.426 trillion, or 86.0%; Asia and Pacific at $151.0 billion, or 3.8%; Europe at $387.0 billion, or 9.7%, and Other (Including Supranational) at $18.3 billion, or 0.5%."

The May issue of our Bond Fund Intelligence, which was sent to subscribers Thursday morning, features the lead story, "ICI's Stevens Discusses Bond Funds, ETFs, Retirement," which interviews the ICI President and CEO, and, "ICI 2020 Fact Book Reviews Bond Fund Trends, Flows," which reviews the ICI's latest Fact Book. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund yields fell and returns rebounded in April. We excerpt from the new issue below. (Contact us if you'd like to see our Bond Fund Intelligence and BFI XLS spreadsheet, or our Bond Fund Portfolio Holdings data.)

Our "ICI's Stevens" profile says, "This month, Bond Fund Intelligence interviews Paul Schott Stevens, President & CEO of the Investment Company Institute (ICI). Stevens, who is retiring at the end of this year, has been with the mutual fund trade association for 20 years. We profiled him in our recent MFI newsletter, so we also threw in a few questions on bond funds, ETFs and his outlook for the future. The bond part of our Q&A follows."

BFI asks, "How are bond funds holding up?" Stevens tells us, "People have been looking to try to find sources of yield in bonds with the low interest rates. We follow the various classes of bond funds, the investment grade, U.S. Treasury, the high yield, bank loan, etc. All of those have experienced outflows during some periods of the past couple of months that are larger than the equity funds. But still fairly modest, all things considered. What the funds experienced in terms of the outflows have been a very small part of the overall trading volume."

Stevens continues, "The other thing to observe is that the Fed facilities are really designed to assist fixed income investors of all kinds. They've got corporates in there, they've got asset-backed securities, there's municipal securities. There's a determination to try to make sure that all of these markets are functioning effectively. And I think it's been very successful in terms of that objective."

Our ICI 2020 Fact Book piece reads, "The Investment Company Institute recently published its '2020 Investment Company Fact Book,' which contains a review of the bond fund marketplace in 2019 and a wealth of statistics on bond funds. ICI's section on 'Bond Mutual Funds' says, 'Bond mutual fund net new cash flows typically are correlated with the performance of US bonds (Figure 3.8), which, in turn, is largely driven by the US interest rate environment.'"

The 2020 Fact Book continues, "Taxable bond funds received inflows in every month of 2019, with net inflows totaling $219 billion in 2019.... During the fourth quarter of the year, investors added $75 billion, on net, to taxable bond mutual funds despite increasing long-term interest rates (meaning bond prices were falling)."

Our Bond Fund News includes the brief, "Yields Fall, Returns Rebound in April," which tells us, "Bond fund yields dropped and returns jumped last month after an ugly March. Our BFI Total Index returned 1.47% over 1-month and 2.50% over 12 months. The BFI 100 gained 1.94% in April and rose 4.38% over 1 year. Our BFI Conservative Ultra-Short Index returned 1.10% over 1- mo and 1.78% over 1-yr; Ultra-Shorts averaged 1.38% in April and 0.71% over 12 mos. Short-Term returned 1.61% and 2.17%, and Intm-Term rose 2.10% last month and 6.87% over 1-year. BFI's Long-Term Index returned 2.91% in April and 9.90% for 1-year; our High Yield Index rose 3.34% but fell 5.02% over 1-year."

In another News brief, we quote the Morningstar piece, "What Separated the Winners and Losers in the Bond Fund Whipsaw?" It explains, "The six-week period from March 1-April 16 offered investors an unusual window into the risks and biases within their bond funds. For some funds it was their heavy weights of credit-sensitive bonds; for others, it was the thinly traded securities whose prices swung widely; and in other cases, it was hedging strategies that were not sufficient.... Other funds deftly capitalized on having come into the turmoil defensively positioned."

A third News update covers the New York Times article, "Bonds Beat Stocks Over the Last 20 Years." It tells us, "You can count on stocks to beat bonds over the long haul. That, at least, is the common wisdom.... But not over long stretches lately. With the chaos in the stock market in recent months, some advantages for bonds might be expected. But the outperformance of bonds isn't just a short-term effect of the coronavirus downturn or of the economic conditions that preceded it in 2020."

Finally, BFI also features a sidebar that covers "The Independent Advisor for Vanguard Investors'" piece, "Almost Cash, But Better." Dan Wiener explains, "It isn't a money market fund and never has been, but Ultra-Short Bond has been a steady and reliable performer over its first five years with small price swings, low risk and better-than-cash returns. As [we] postulated at the fund's introduction in 2015, '[R]isk should be low, and investors who can handle small changes in NAV may indeed find this fund a good alternative to a money market, one that likely will provide more yield and greater returns over time.' In fact, Ultra-Short-Term Bond has lived up to that prediction, and then some."

As we mentioned late last week in our May Money Fund Intelligence, the Investment Company Institute released its "2020 Investment Company Fact Book," an annual compilation of statistics and commentary on the mutual fund industry. Subtitled, "A Review of Trends and Activities in the Investment Company Industry," the latest edition reports that equity funds slowed, bond fund inflows jumped, and money market funds had their strongest inflows in almost 10 years in 2019 ($553 billion). Overall, money funds assets were $3.632 trillion at year-end 2019, making up 17% of the $21.3 trillion in overall mutual fund assets. Retail investors held $1.370 trillion, while institutional investors held $2.262 trillion. We excerpt from the latest "Fact Book" below.

ICI writes, "Worldwide net sales of money market funds in 2019 totaled $706 billion, which was nine times the $79 billion inflow in 2018....The sharp increase was largely driven by money market funds in the United States, where inflows were more than three times as great, from $182 billion in 2018 to $586 billion in 2019. In Europe, money market funds experienced inflows of $70 billion in 2019 after outflows of $22 billion in 2018, and Asia-Pacific money market funds registered $30 billion in inflows in 2019 after outflows of $99 billion in 2018."

They explain, "Demand for money market funds depends on their relative performance and interest rate risk. When yields on short-term fixed-income securities are close to yields on long-term fixed-income securities, money market funds tend to experience inflows. In this situation, money market funds become attractive to some investors seeking to minimize their interest rate risk exposure by using a fund with a shorter duration."

The Fact Book continues, "As the US Treasury yield curve flattened and even inverted for a short period in 2019, investors exhibited a strong demand for US money market funds and short-term bond funds. Similarly, European money market funds experienced inflows as yield curves flattened in Europe during 2019. Finally, as yield spreads throughout the Asia-Pacific region narrowed or turned negative, money market funds in various countries in the region also started to experience inflows during 2019."

ICI tells us, "Businesses and other institutional investors also rely on funds. For instance, institutions can use money market funds to manage some of their cash and other short-term assets. At year-end 2019, nonfinancial businesses held $691 billion (18 percent) of their short-term assets in money market funds." (This is unchanged from 18 percent in 2018 but down from 22 percent in 2013 and down from the peak of 40 percent in 2008.)

They comment, "Historically, mutual funds had been one of the largest investors in the US commercial paper market -- an important source of short-term funding for major corporations around the world. Mutual funds' demand for commercial paper arose primarily from prime money market funds. But the 2014 SEC rule amendments required the money market fund industry to make substantial changes by October 2016. Consequently, prime money market funds sharply reduced their holdings of commercial paper -- by year-end 2016, the share of the commercial paper market held by mutual funds was 19 percent, down from 46 percent at year-end 2014. By year-end 2017, the share of the commercial paper market held by mutual funds increased to 25 percent and from then on remained largely unchanged through year-end 2019."

In a short section on "Money Market Funds," the Fact Book states, "In 2019, money market funds received $553 billion in net new cash flows.... up from $159 billion in 2018. Government money market funds received the bulk of the inflows ($364 billion), followed by prime money market funds with $198 billion in inflows. Tax-exempt money market funds, on the other hand, had net outflows of $9 billion in 2019."

It adds, "The increased demand for money market funds likely stems from the relatively attractive yields on short-term assets in 2019. The Treasury yield spread -- measured as the difference in yield between 10-year Treasuries and 3-month Treasuries -- started 2019 at a narrow 24 basis points. By late August, as market participants became more pessimistic about a resolution in trade tensions between the United States and China and its negative implications for US economic growth, the Treasury yield spread was hovering around a negative 50 basis points -- meaning that 3-month Treasuries were returning more income to investors than 10-year Treasuries."

Finally, they write, "Over the remainder of 2019, actions taken by the Federal Reserve to lower the federal funds target rate pushed short-term interest rates down, while more optimism about the future state of the economy helped to push long-term interest rates up. The Treasury yield spread finished the year at 37 basis points. Even with the reduction in the federal funds rate in 2019, yields on prime and government money market funds remained attractive and far exceeded the stated rate on money market deposit accounts (MMDAs)."

In other news, the Bank for International Settlements published a new "BIS Bulletin," entitled, "US dollar funding markets during the Covid-19 crisis - the money market fund turmoil." Its "Key takeaways" include: "Short-term dollar funding markets experienced severe dislocations in mid-March 2020, with funding diverted from unsecured funding markets as investors withdrew and switched to secured funding markets and government MMFs. Outflows from US prime MMFs led to a loss of funding for banks and a significant shortening of funding maturities; this precipitated spikes in indicators of bank funding costs, such as the LIBOR-OIS spread, despite banks not being at the epicentre of the liquidity squeeze. The turmoil highlights broader lessons for MMF regulation, the role of non-banks for monetary policy implementation, and the role of the central bank during stress."

Authors Egemen Eren, Andreas Schrimpf and Vladyslav Sushko write, "The Covid-19 crisis severely disrupted the functioning of short-term US dollar funding markets, in particular the commercial paper and certificate of deposit segments. Commercial paper (CP) is a form of short-term unsecured debt commonly issued by banks and non-financial corporations and primarily held by prime money market funds (MMFs). Certificates of deposit (CDs) are unsecured debt instruments issued by banks and largely held by non-bank investors, including prime MMFs. Both instruments are important sources of US dollar funding for banks, especially for non-US headquartered banks."

They continue, "The tensions lingered until end-April and spilled over to other international money market segments. Notably, they were the main factor behind the widening of LIBOR-OIS spreads to levels second only to those last seen during the Great Financial Crisis (GFC), and contributed to wide swings in offshore dollar funding costs. As such, they hampered the transmission of the Federal Reserve's rate cuts and other facilities aimed at providing stimulus to the economy in the face of the shock. This Bulletin analyses strains in MMFs exacerbating the stress in US dollar short-term funding during the Covid-19 crisis. The companion bulletin (Eren, Schrimpf and Sushko (2020)) focuses on the US dollar funding stress for non-US banks in particular and how the disruptions to CP/CD markets reverberated globally via FX swap markets." (See also BIS's "US dollar funding markets during the Covid-19 crisis - the international dimension.")

Lastly, the study explains, "Amid escalating market turmoil, market participants wanted to hold cash or something that resembles cash as closely as possible. At the same time, financial intermediaries experienced difficulty accommodating the surge in demand for safe and liquid assets. MMFs, in particular, were strained by this 'dash for cash.' Prime MMFs had to liquidate large parts of their portfolios, while government MMFs had to buy more assets to accommodate surging inflows, all in a very short order. Even though, unlike the GFC, banks were not at the epicentre of the crisis, dealers were unable or unwilling to expand their balance sheets sufficiently to intermediate all the rebalancing taking place in money markets. The Federal Reserve's intervention managed to restore market functioning."

Crane Data released its May Money Fund Portfolio Holdings Monday, and our most recent collection, with data as of April 30, 2020, shows a huge jump in Treasuries and a big drop in Repo last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) jumped by $562.6 billion to $5.123 trillion last month, after increasing a staggering $725.6 billion in March, $5.0 billion in February and $19.0 billion in January. Treasury securities broke above $2.0 trillion and are now the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)

Among taxable money funds, Treasury securities increased by a massive $795.7 billion (59.3%) to $2.137 trillion, or 41.7% of holdings, after increasing $303.1 billion in March, $10.4 billion in February and decreasing $83.6 billion in January. Repurchase Agreements (repo) decreased by $238.4 billion (-15.5%) to $1.298 trillion, or 25.3% of holdings, after increasing $225.1 billion in March, $10.9 billion in February and $66.6 billion in January. Government Agency Debt increased by $6.9 billion (0.7%) to $1.057 trillion, or 20.6% of holdings, after increasing $292.5 billion in March, decreasing $9.7 billion in February and $40.4 billion in January. Repo, Treasuries and Agencies totaled $4.492 trillion, representing a huge 87.7% of all taxable holdings.

Money funds' holdings of CP and Other (mainly Time Deposits) securities all fell in April while VDRN and CD holdings rose. Commercial Paper (CP) decreased $11.9 billion (-4.0%) to $288.0 billion, or 5.6% of holdings, after decreasing $24.1 billion in March, $1.2 billion in February and increasing $16.1 billion in January. Certificates of Deposit (CDs) rose by $12.6 billion (6.0%) to $224.7 billion, or 4.4% of taxable assets, after falling $74.3 billion in March, $3.8 billion in February and rising $25.5 billion in January. Other holdings, primarily Time Deposits, decreased $5.7 billion (-5.6%) to $97.4 billion, or 1.9% of holdings, after decreasing by $8.0 billion in March, $1.5 billion in February and increasing $35.1 billion in January. VRDNs increased to $21.2 billion, or 0.4% of assets, from $17.7 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Tuesday.)

Prime money fund assets tracked by Crane Data increased $117.0 billion to $1.076 trillion, or 21.0% of taxable money funds' $5.123 trillion total. Among Prime money funds, CDs represent 20.9% (down from 22.1% a month ago), while Commercial Paper accounted for 26.7% (down from 31.3%). The CP totals are comprised of: Financial Company CP, which makes up 15.4% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 5.5%. Prime funds also hold 5.8% in US Govt Agency Debt, 22.4% in US Treasury Debt, 4.1% in US Treasury Repo, 0.9% in Other Instruments, 5.7% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 5.8% in US Government Agency Repo and 1.1% in VRDNs.

Government money fund portfolios totaled $2.690 trillion (52.5% of all MMF assets), up $289.0 billion from $2.401 trillion in March, while Treasury money fund assets totaled another $1.354 trillion (26.4%), up from $1.197 trillion the prior month. Government money fund portfolios were made up of 36.9% US Govt Agency Debt, 15.6% US Government Agency Repo, 28.4% US Treasury debt, 18.5% in US Treasury Repo, 0.3% in VRDNs and 0.2% in Investment Company. Treasury money funds were comprised of 83.5% US Treasury debt and 16.5% in US Treasury Repo. Government and Treasury funds combined now total $4.044 trillion, or 78.9% of all taxable money fund assets.

European-affiliated holdings (including repo) rose by $88.2 billion in April to $715.8 billion; their share of holdings rose to 14.0% from last month's 13.8%. Eurozone-affiliated holdings rose to $461.9 billion from last month's $400.0 billion; they account for 9.0% of overall taxable money fund holdings. Asia & Pacific related holdings increased $14.7 billion to $315.8 billion (6.2% of the total). Americas related holdings jumped $460.2 billion to $4.086 trillion and now represent 79.8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $269.2 billion, or -26.0%, to $766.3 billion, or 15.0% of assets); US Government Agency Repurchase Agreements (up $26.6 billion, or 5.8%, to $483.2 billion, or 9.4% of total holdings), and Other Repurchase Agreements (up $4.1 billion, or 9.3%, from last month to $48.3 billion, or 0.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $11.0 billion to $166.0 billion, or 3.2% of assets), Asset Backed Commercial Paper (up $4.1 billion to $62.7 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $5.0 billion to $59.3 billion, or 1.2%).

The 20 largest Issuers to taxable money market funds as of April 30, 2020, include: the US Treasury ($2,137.2 billion, or 41.7%), Federal Home Loan Bank ($710.1B, 13.9%), Fixed Income Clearing Co ($220.8B, 4.3%), BNP Paribas ($131.9B, 2.6%), RBC ($125.6B, 2.5%), Federal National Mortgage Association ($119.3B, 2.3%), JP Morgan ($115.9B, 2.3%), Federal Farm Credit Bank ($112.3B, 2.2%), Federal Home Loan Mortgage Co ($109.1B, 2.1%), Barclays ($85.5B, 1.7%), Mitsubishi UFJ Financial Group Inc ($72.7B, 1.4%), Credit Agricole ($66.9B, 1.3%), Sumitomo Mitsui Banking Co ($65.6B, 1.3%), Citi ($59.5B, 1.2%), Societe Generale ($52.7B, 1.0%), HSBC ($43.0B, 0.8%), Toronto-Dominion Bank ($42.6B, 0.8%), Bank of America ($40.6B, 0.8%), Bank of Nova Scotia ($40.2B, 0.8%) and Nomura ($39.4B, 0.8%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Fixed Income Clearing Co ($220.8B, 17.0%), BNP Paribas ($121.7B, 9.4%), JP Morgan ($107.2B, 8.3%), RBC ($98.4B, 7.6%), Barclays ($65.1B, 5.0%), Mitsubishi UFJ Financial Group ($52.2B, 4.0%), Credit Agricole ($51.7B, 4.0%), Citi ($49.7B, 3.8%), Sumitomo Mitsui Banking Corp ($47.2B, 3.6%) and Societe Generale ($43.3B, 3.3%). Fed Repo positions among MMFs on 4/30/20 included: Franklin US Govt Money Market Fund ($1.7B) and DFA Short Term Investment Fund MMkt ($0.1B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($28.0B, 5.4%), RBC ($27.2B, 5.2%), Mizuho Corporate Bank Ltd ($22.5B, 4.3%), Bank of Nova Scotia ($20.6B, 4.0%), Mitsubishi UFJ Financial Group ($20.5B, 3.9%), Barclays ($20.5B, 3.9%), Sumitomo Mitsui Banking Co ($18.4B, 3.5%), Canadian Imperial Bank of Commerce ($17.9B, 3.4%), Natixis ($15.9B, 3.1%) and Svenska Handelsbanken ($15.3B, 2.9%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($15.3B, 6.8%), Sumitomo Mitsui Banking Co ($14.3B, 6.4%), Bank of Montreal ($12.5B, 5.6%), Toronto-Dominion Bank ($11.8B, 5.3%), Svenska Handelsbanken ($11.6B, 5.2%), Bank of Nova Scotia ($10.6B, 4.7%), Natixis ($9.7B, 4.3%), Mizuho Corporate Bank ($9.3B, 4.1%), Sumitomo Mitsui Trust Bank ($9.3B, 4.1%) and Credit Suisse ($7.8B, 3.5%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($21.0B, 8.8%), Toronto-Dominion Bank ($15.4B, 6.5%), Canadian Imperial Bank of Commerce ($10.2B, 4.3%), Bank of Nova Scotia ($9.8B, 4.1%), Societe Generale ($9.0B, 3.8%), JP Morgan ($8.6B, 3.6%), ING Bank ($7.9B, 3.3%), NRW.Bank ($7.8B, 3.3%), Barclays ($7.5B, 3.1%) and Credit Suisse ($6.7B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $795.7 billion to $2.137 trillion), Federal National Mortgage Association (up $33.0B to $119.3B), Barclays PLC (up $27.4B to $85.5B), Credit Agricole (up $24.1B to $66.9B), JP Morgan (up $21.9B to $115.9B), Goldman Sachs (up $10.7B to $23.1B), Societe Generale (up $10.0B to $52.7B), Mizuho Corporate Bank Ltd (up $10.0B to $37.9B), BNP Paribas (up $9.0B to $131.9B) and Natixis (up $9.0B to $38.8B).

The largest decreases among Issuers of money market securities (including Repo) in April were shown by: Credit Agricole (down $38.6B to $42.8B), Goldman Sachs (down $32.1B to $12.3B), Barclays PLC (down $28.3B to $58.2B), Wells Fargo (down $16.7B to $49.7B), Mizuho Corporate Bank Ltd (down $14.2B to $27.9B), Natixis (down $11.3B to $29.8B), HSBC (down $9.6B to $42.6B), Societe Generale (down $9.2B to $42.7B), Bank of America (down $8.1B to $44.2B) and Toronto-Dominion Bank (down $7.0B to $37.8B).

Fixed Income Clearing Corp (down $43.4B to $220.8B), Federal Home Loan Bank ( down $23.0B to $710.1B), RBC (down $21.7B to $125.6B), Wells Fargo (down $19.7B to $30.0B), Svenska Handelsbanken (down $6.8B to $15.3B), Credit Suisse (down $6.5B to $20.2B), Bank of Montreal (down $6.2B to $37.4B), Canadian Imperial Bank of Commerce (down $3.8B to $39.0B), Australia & New Zealand Banking Group Ltd (down $3.7B to $12.9B) and Bank of America (down $3.6B to $40.6B).

The United States remained the largest segment of country-affiliations; it represents 73.9% of holdings, or $3.786 trillion. France (6.1%, $311.3B) was number two, and Canada (5.9%, $300.4B) was third. Japan (5.1%, $263.2B) occupied fourth place. The United Kingdom (3.3%, $167.9B) remained in fifth place. Germany (1.4%, $73.3B) was in sixth place, followed by The Netherlands (1.3%, $64.0B), Australia (0.8%, $39.6B), Sweden (0.7%, $35.0B) and Switzerland (0.6%, $31.6B). (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 April 30, 2020, Taxable money funds held 33.3% (down from 40.5%) of their assets in securities maturing Overnight, and another 11.0% maturing in 2-7 days (down from 12.5% last month). Thus, 44.3 % in total matures in 1-7 days. Another 16.9% matures in 8-30 days, while 14.1% matures in 31-60 days. Note that over three-quarters, or 75.3% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 8.6% of taxable securities, while 12.8% matures in 91-180 days, and just 3.3% matures beyond 181 days.

The Federal Reserve Bank of New York posted a brief on "The Money Market Mutual Fund Liquidity Facility" on its "Liberty Street Economics" blog Friday. It tells us, "Over the first three weeks of March, as uncertainty surrounding the COVID-19 pandemic increased, prime and municipal (muni) money market funds (MMFs) faced large redemption pressures. Similarly to past episodes of industry dislocation, such as the 2008 financial crisis and the 2011 European bank crisis, outflows from prime and muni MMFs were mirrored by large inflows into government MMFs, which have historically been seen by investors as a safe haven in times of crisis. In this post, we describe a liquidity facility established by the Federal Reserve in response to these outflows."

The post explains, "From March 2 to March 23, the assets under management (AUM) of prime and muni MMFs dropped by $120 billion (15 percent of the industry) and $9 billion (7 percent of the industry). To prevent outflows from prime and muni MMFs from turning into an industry-wide run, as happened in September 2008 when one prime MMF 'broke the buck,' the Federal Reserve announced the establishment of the Money Market Mutual Fund Liquidity Facility, or MMLF, on March 18. Under this facility, the Federal Reserve Bank of Boston provides loans to eligible borrowers (U.S. depository institutions, bank holding companies, and branches and agencies of foreign banks), taking as collateral eligible securities purchased from prime and muni MMFs. The U.S. Department of the Treasury provides $10 billion of credit protection to the Federal Reserve from the Treasury's Exchange Stabilization Fund."

Authors Marco Cipriani, Gabriele La Spada, Reed Orchinik, and Aaron Plesset tell us, "The set of eligible collateral was gradually expanded over time; it now includes U.S. Treasuries, government-sponsored enterprise (GSE) debt, first-tier asset-backed and unsecured commercial paper (CP), top-tier negotiable certificates of deposit (CDs), municipal short-term debt, and variable rate demand notes (VRDNs). All securities accepted under the facility must have a residual maturity lower than twelve months or, in the case of VRDNs, must be putable within 12 months. The facility officially opened on March 23, and usage has been robust, with outstanding loans of more than $50 billion as of April 14."

They continue, "The facility, which has many similarities with the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF) put in place during the 2008 financial crisis, can be beneficial in two ways. First, by facilitating the sales of securities, it helps MMFs meet redemptions in an environment in which secondary market liquidity is strained. Second, by reassuring MMF investors that funds will be able to meet redemptions in the future, it reduces their incentive to withdraw preemptively, thereby reducing overall outflows. As outflows abate, prime and muni MMFs can continue to fund American businesses, states, and other localities."

The NY Fed blog comments, "The facility has been very successful, over a short period of time, at slowing investor outflows from prime and muni MMFs and improving conditions in money markets.... Since the facility's inception to the end of March, prime MMFs only suffered a $20 billion decline in AUM, more than half of which occurred over the first two days after the inception (before CDs and VRDNs became eligible collateral on March 25); on April 2, prime MMFs started to experience moderate inflows. Similarly, outflows from muni MMFs stopped on March 25, when VRDNs (an important part of their portfolios) became eligible collateral; muni-MMF AUM have been increasing since and are now back at their level at the beginning of the year."

It also says, "By helping prime and muni MMFs meet redemptions without having to sell in disorderly markets, the MMLF has also supported the net asset value (NAV) of prime and muni MMFs.... [I]n the second half of March, for the bottom 10th percentile of prime and muni MMFs, the NAV per share dropped below $1 by more than 10 basis points (a large drop for the MMF industry) only to recover after the facility was put in place. In addition, the NAV of the median fund also dropped below $1, went back to $1 by early April, and has been above that level since. Similarly, by converting less liquid collateral (such as CP and CDs) into cash, the facility has also allowed prime and muni MMFs to rebuild their buffers of liquid assets, which had been partly depleted over the high redemption period."

The blog states, "Finally, although the effect of the facility cannot be easily disentangled from other interventions of the Federal Reserve, conditions in money markets also improved shortly after the introduction of the MMLF. For instance ... rates on 30‐day AA asset‐backed CP, which peaked at 2.37 percent on March 23, traded at 0.54 percent on April 17."

It adds, "[F]rom March 4 to March 23, offshore USD prime MMFs lost $90 billion of their AUM (23 percent of the industry size), whereas offshore government MMFs witnessed inflows of about $44 billion, similar to their domestic counterparts. By easing broad money-market conditions, the MMLF also had a positive effect on offshore USD prime MMFs. After the MMLF came into place, outflows from offshore prime MMFs slowed significantly, and since April 1, their AUM have increased constantly throughout April 17."

Finally, the post concludes, "The MMLF helped reduce outflows from prime and municipal MMFs. The facility not only helped avoid a broad run on the MMF industry but also eased the strains in money markets that had emerged since the second week of March. Because of its positive effect on secondary markets, the facility has also had a beneficial impact on offshore MMFs, which it does not directly target. By helping prime and muni MMFs meet demands for redemptions and by reducing outflows from the industry, the facility not only improves overall market functioning but also supports the provision of credit to the real economy."

In other news, Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be released on Monday, and we'll be writing our normal monthly update on the April 30 data for Tuesday's News. But we also generate a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings, which we posted to the website Friday. (We continue to merge the two series, and the N-MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of April 30, 2020, includes holdings information from 1,045 money funds (down 33 from last month), representing assets of a record $5.191 trillion (up a huge $432.0 billion). We review the latest N-MFP data below.

Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Treasury holdings totaled $2.118 trillion (up from $1.359 trillion), or 40.8%, Repurchase Agreement (Repo) holdings in money market funds totaled $1.251 trillion (down from $1.551 trillion), or 24.1% of all assets and Government Agency securities totaled $1.037 trillion (down from $1.072 billion), or 20.0%. Holdings of Treasuries, Government agencies and Repo (the vast majority of which is backed by Treasuries and agencies) combined total $4.406 trillion, or 84.9% of all holdings.

Commercial paper (CP) totals $296.8 billion (down from $313.6 billion), or 5.7%, and Certificates of Deposit (CDs) totals $227.1 billion (up from $216.1 billion), or 4.4%. The Other category (primarily Time Deposits) totals $147.9 billion (up from $143.0 billion), or 2.8%, and VRDNs account for $113.8 billion (down from $103.5 billion last month), or 2.2%.

Broken out into the SEC's more detailed categories, the CP totals were comprised of: $179.8 billion, or 3.5%, in Financial Company Commercial Paper; $54.3 billion or 1.0%, in Asset Backed Commercial Paper; and, $62.7 billion, or 1.2%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($731.7B, or 14.1%), U.S. Govt Agency Repo ($471.0B, or 9.1%) and Other Repo ($48.5B, or 0.9%).

The N-MFP Holdings summary for the 211 Prime Money Market Funds shows: CP holdings of $291.1 billion (down from $308.3 billion), or 26.7%; Treasury holdings of $248.9 billion (up from $109.8 billion), or 22.8%; CD holdings of $227.1 billion (up from $216.1 billion), or 20.8%; Repo holdings of $156.3 billion (down from $169.1 billion), or 14.3%; Other (primarily Time Deposits) holdings of $92.9 billion (down from $97.4 billion), or 8.5%; Government Agency holdings of $62.3 billion (down from $69.7 billion), or 5.7%; and VRDN holdings of $12.6 billion (up from $11.1 billion), or 1.2%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $179.8 billion (down from $190.3 billion), or 16.5% in Financial Company Commercial Paper; $54.3 billion (up from $52.8 billion) or, 5.0% in Asset Backed Commercial Paper; and $57.0 billion (down from $65.2 billion), or 5.2% in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($45.8 billion, or 4.2%), U.S. Govt Agency Repo ($62.1 billion, or 5.7%), and Other Repo ($48.5 billion, or 4.4%).

Crane Data's latest Money Fund Market Share rankings show assets increased for almost every U.S. money fund complex in April. Money market fund assets jumped $417.9 billion, or 8.2%, last month to a record $5.075 trillion. Assets have risen by $1.124 billion, or 28.4%, over the past 3 months, and they've increased by $1.657 trillion, or 48.5%, over the past 12 months through April 30, 2020. The biggest increases among the 25 largest managers last month were seen by Goldman Sachs, JP Morgan, Fidelity, BlackRock, Vanguard and SSGA, which increased assets by $63.5 billion, $62.2B, $44.1B, $42.8B, $32.1B and $28.4B, respectively. The only decline in assets among the largest complexes in April was seen by T Rowe Price, which decreased by $917M. Our domestic U.S. "Family" rankings are available in our MFI XLS product, our global rankings are available in our MFI International product. The combined "Family & Global Rankings" are available to Money Fund Wisdom subscribers. We review the latest market share totals below, and we also look at money fund yields in April.

Over the past year through April 30, 2020, Fidelity (up $294.1B, or 44.2%), Goldman Sachs (up $191.2B, or 99.5%), BlackRock (up $170.0B, or 61.4%), JP Morgan (up $168.5B, or 54.2%), Federated (up $151.0B, or 61.8%), Morgan Stanley (up $113.7B, or 100.2%) and Vanguard (up $90.1B, or 23.5%) were the largest gainers. These complexes were followed by SSGA (up $84.3B, or 93.5%), Wells Fargo (up $75.7B, or 67.8%), Northern (up $56.0B, or 49.0%) and Schwab (up $53.8B, or 34.5%).

Fidelity, Goldman Sachs, JP Morgan, BlackRock and Morgan Stanley had the largest money fund asset increases over the past 3 months, rising by $164.6B, $138.4B, $127.2B, $99.3B and $98.4B, respectively. Decliners over 3 months included: T Rowe Price (down $7.1B, or -16.8%), Columbia (down $1.1B, or -6.6%) and Franklin (down $890M, or -4.9%).

Our latest domestic U.S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with a record $959.1 billion, or 18.9% of all assets. Fidelity was up $44.1 billion in April, up $164.6 billion over 3 mos., and up $294.1B over 12 months. JP Morgan ranked second with $479.5 billion, or 9.4% market share (up $62.2B, up $127.2B and up $168.5B for the past 1-month, 3-mos. and 12-mos., respectively). Vanguard was third with $473.2 billion, or 9.3% market share (up $32.1B, up $62.5B and up $90.1B). BlackRock ranked fourth with $447.0 billion, or 8.8% of assets (up $42.8B, up $99.3B and up $170.0B for the past 1-month, 3-mos. and 12-mos.), while Federated remained in fifth with $395.5 billion, or 7.8% of assets (up $26.5B, up $81.0B and up $151.0B).

Goldman Sachs remained in sixth place with $383.4 billion, or 7.6% of assets (up $63.5 billion, up $138.4B and up $191.2B), while Morgan Stanley was in seventh place with $227.1 billion, or 4.5% (up $24.0B, up $98.4B and up $113.7B). Schwab ($209.9B, or 4.1%) was in eighth place (up $8.5B, up $8.9B and up $53.8B), followed by Dreyfus ($209.6B, or 4.1%, up $22.3B, up $49.2B and up $51.4B). Wells Fargo was in 10th place ($187.2B, or 3.7%; up $20.5B, up $56.9B and up $75.7B).

The 11th through 20th-largest U.S. money fund managers (in order) include: SSGA ($174.4B, or 3.4%), Northern ($170.4B, or 3.4%), American Funds ($150.8B, or 3.0%), First American ($94.6B, or 1.9%), Invesco ($86.0B, or 1.7%), UBS ($80.5B, or 1.6%), HSBC ($39.2B, or 0.8%), T Rowe Price ($35.1B, or 0.7%), Western ($33.0B, or 0.7%) and DWS ($29.0B, or 0.6%). Crane Data currently tracks 67 U.S. MMF managers, the same as last month.

When European and "offshore" money fund assets -- those domiciled in places like Ireland, Luxembourg and the Cayman Islands -- are included, the top 10 managers match the U.S. list, except BlackRock and Goldman move ahead of Vanguard, Goldman moves ahead of Federated, Dreyfus moves ahead of Schwab and SSGA moves ahead of Wells Fargo. Our Global Money Fund Manager Rankings include the combined market share assets of our MFI XLS (domestic U.S.) and our MFI International ("offshore") products.

The largest Global money market fund families include: Fidelity ($968.3 billion), J.P. Morgan ($677.9B), BlackRock ($622.4B), Goldman Sachs ($509.5B) and Vanguard ($473.2B). Federated ($406.6B) was sixth, Morgan Stanley ($261.5B) was in seventh, followed by Dreyfus/BNY Mellon ($234.3B), Schwab ($209.9B) and SSGA ($199.0B) which round out the top 10. These totals include "offshore" U.S. Dollar money funds, as well as Euro and Pound Sterling (GBP) funds converted into U.S. dollar totals.

The May issue of our Money Fund Intelligence and MFI XLS, with data as of 4/30/20, shows that yields plunged in April for all of our Crane Money Fund Indexes with the exception of Tax Exempt gross yields. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 753), fell 19 basis points to 0.20% for the 7-Day Yield (annualized, net) Average, and the 30-Day Yield decreased by 42 bps to 0.25%. The MFA's Gross 7-Day Yield was down 20 bps to 0.54%, while the Gross 30-Day Yield fell 42 bps 0.59%.

Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 0.26% (down 18 bps) and an average 30-Day Yield that decreased by 51 bps to 0.30%. The Crane 100 shows a Gross 7-Day Yield of 0.50% (down 18 bps), and a Gross 30-Day Yield of 0.55% (down 51 bps). Our Prime Institutional MF Index (7-day) yielded 0.46% (down by 26 bps) as of April 30, while the Crane Govt Inst Index was 0.16% (down 16 bps) and the Treasury Inst Index was 0.12% (down 17 bps). Thus, the spread between Prime funds and Treasury funds is 34 basis points, while the spread between Prime funds and Govt funds is 30 basis points. The Crane Prime Retail Index yielded 0.39% (down 35 bps), while the Govt Retail Index was 0.05% (down 15 bps) and the Treasury Retail Index was 0.01% (down 6 bps). The Crane Tax Exempt MF Index yield dropped in April to 0.11% (down 2.92%).

Gross 7-Day Yields for these indexes in March were: Prime Inst 0.74% (down 26 bps), Govt Inst 0.41% (down 16 bps), Treasury Inst 0.40% (down 18 bps), Prime Retail 0.84 (down 38 bps), Govt Retail 0.49% (down 15 bps) and Treasury Retail 0.46% (down 6 bps). The Crane Tax Exempt Index increased 0.56% to 3.43%. The Crane 100 MF Index returned on average 0.04% over 1-month, 0.21% over 3-months, 0.34% YTD, 1.62% over the past 1-year, 1.54% over 3-years (annualized), 1.00% over 5-years, and 0.52% over 10-years. The total number of funds, including taxable and tax-exempt, increased by two to 934. There are currently 753 taxable funds, unchanged from the previous month, and 181 tax-exempt money funds (unchanged from last month). (Contact us if you'd like to see our latest MFI XLS, Crane Indexes or Market Share report.

The May issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Thursday morning, features the articles: "MMF Assets Break $5 Trillion; Huge Liquidity Build Continues," which reviews the continued massive inflows into money market funds; "ICI's Stevens Revisits MMFs Once More Before Retiring," which profiles the ICI President and CEO; and, "ICI 2020 Fact Book Shows Money Fund Trends in '19," which looks at the newly released Investment Company Fact Book. We've also updated our Money Fund Wisdom database with April 30 statistics, and sent out our MFI XLS spreadsheet Thursday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our May Money Fund Portfolio Holdings are scheduled to ship on Monday, May 11, and our May Bond Fund Intelligence is scheduled to go out Thursday, May 14.

MFI's "MMF Assets Break $5 Trillion" article says, "After a historic buildup of liquidity in March due to panic over coronavirus shutdowns, money funds continued to see huge inflows in April, as assets broke above the $5.0 trillion level for the first time ever. MMF assets increase by $417.9 billion in April after rising $688.1 billion in March, a total 2-month gain of $1.106 trillion. Assets have risen slightly in May month-to-date too, but they’re up just $17.3 billion through May 5."

It continues, "Government funds (including Treasury MMFs) jumped $329.3 billion in April to $3.900 trillion (after a surge of $821.0 billion in March), while Prime funds saw assets rise $79.7 billion, retaking the $1.0 trillion level, to $1.038 trillion in April (after falling $123.9 billion in March). Tax-Exempt assets increased $8.9 billion to $140.6 billion in April (after falling $8.9 billion in March).

Our latest "Profile" reads, "This month, MFI interviews Paul Schott Stevens, President & CEO of the Investment Company Institute (ICI). Stevens has been with the mutual fund trade association for 20 years and has been involved in the fund industry for even longer. We discuss his storied career, and ICI’s crucial involvement in the development of money fund regulations. Our Q&A follows."

MFI says, "Give us some history. Stevens tells us, "The ICI is 80 years old this year. We started in 1940 at the time that the Investment Company Act was passed, and the SEC needed an industry group to work with as it began to develop implementing regulations. If you look at what our mission is, it's been the same over those 80 years.... It's to advance the interests of funds and their investors and the constituencies that make fund investing possible, the advisers and boards. Funds are complicated financial instruments in many respects for people and so, trying to provide public information about them has always been a part of our mission.... The third part is, trying to promote high ethical standards. That is incredibly important in an industry that serves 100 million individual investors here in the United States."

Stevens continues, "Outside of ICI, I've spent 15 years in private law practice.... I had my first money market fund related assignment, I think probably in 1979. So, my involvement with this industry goes back -- can it possibly be that long -- over 40 years.... It has been an interesting and varied career. But I'll tell you, no challenge of that career, no position that I'd ever held, has been quite as satisfying as leading the ICI. Very few lawyers actually get the chance to move out of the law and into a CEO role. I found meeting the challenges of our organization, working with our members and the incredible staff we have to be among the most gratifying things that I've done."

He adds, "It has been a pretty challenging period.... When I came in in 2004, we were in the midst of our late trading and market timing situation. No sooner did we get out of that when we entered the phase of the great financial crisis, with a preoccupation about money fund issues lasting over five years and two cycles of SEC rulemaking. In 2011, our board said we want you to refashion the ICI as a global organization. We've been working on that ever since.... And now, dealing with this global pandemic and having to adopt completely new ways of working. It has been one extraordinary challenge after another."

The "ICI 2020 Fact Book" article tells readers, "ICI's new '2020 Investment Company Fact Book' looks at MMF demand and Government MMF flows, as well as worldwide money fund issues. Overall, money funds assets were $3.632 trillion at year-end 2019, making up 17.1% of the $21.3 trillion in overall mutual fund assets. Retail investors held $1.370 trillion, while institutional investors held $2.262 trillion."

ICI adds, "In 2019, money market funds received $553 billion in net new cash flows, up from $159 billion in 2018. Government money market funds received the bulk of the inflows ($364 billion), followed by prime money market funds with $198 billion in inflows. Tax-exempt money market funds, on the other hand, had net outflows of $9 billion."

The latest MFI also includes the News brief, "Money Fund Yields Approach Zero," which writes, "Money market fund yields continued lower in April, falling 25 bps to 0.25% (Crane 100 Money Fund Index). Almost 20% of assets are now yielding 0.00% or 0.01% and waiving portions of fees."

A second News piece titled, "Vanguard Closes Treasury Money Market Fund to New Investors," says, "Vanguard ... closed its $39.5 billion Treasury Money Market Fund (VUSXX) to new shareholder accounts. The company is seeking to protect existing Fund shareholders from high levels of cash flow that could potentially accelerate reductions to the Fund's yield. Existing shareholders ... can continue to make purchases.”

Our May MFI XLS, with April 30 data, shows total assets jumped by $417.9 billion in April to $5.078 trillion, after jumping $688.1 billion in March, rising $23.4 billion in February and falling $7.8 billion in January. Our broad Crane Money Fund Average 7-Day Yield fell 19 bps to 0.20% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 18 bps to 0.26%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down 20 bps at 0.54% and the Crane 100 fell to 0.50%. Charged Expenses averaged 0.34% (unchanged from last month) and 0.25% (unchanged), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 38 (up five days) and 41 days (up six days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Given the massive jump in money market funds, which have risen by $1.088 trillion since Feb. 28 to $5.054 trillion, it was just a matter of time before Wall Street began breaking out its perennial "wall of cash" theory. Every time there's a downturn in stocks, strategist cite the $X trillion in money market funds as a potential source of stock market support. While there is merit in the theory, the truth is that the vast majority of money fund assets are institutional, and not destined for long-term investing, and the bulk of brokerage cash is now in banks. Nonetheless, the articles and the debate over cash potentially supporting stocks persists.

Reuters discusses the cash buildup in the article, "Massive U.S. stock bounce stokes doubts, provokes bears." They tell us, "Investors are treating the U.S. equity market's blistering rally with a dose of caution, socking away cash, staying on the sidelines or buying insurance against a reversal even as markets scream higher in the midst of the coronavirus pandemic. Fund managers and corporations have deployed over $1.1 trillion into money markets while the S&P 500 mounted a nearly 30% bounce from its March lows. Assets in such funds grew to a record $4.73 trillion in April."

They explain, "Gold and other popular haven assets have edged higher, while surveys show investors remain largely pessimistic.... Unprecedented stimulus from the Federal Reserve and U.S. government have been a key factor in boosting investor confidence and alleviating market stresses. Meanwhile, investors and corporations poured $512 billion into money market funds, typically viewed as low-risk, low-return investments, since March 25, more than in all of 2019, according to data from Investment Company Institute and Crane Data."

Reuters quotes our Peter Crane, "Institutions ... continue to build cash at a feverish pace.... No war chest is big enough for the coronavirus."

Barron's writes in, "A Lot of Cash Is on the Sidelines. That Could Limit Stocks' Slide, Yardeni Says," that, "U.S. stocks seem to have hit a ceiling after rallying throughout the month of April. Some investors are worried that the market might tumble again to retest its March low. Cash on the sidelines from the March selloff might help restrain how much stocks could fall."

"Any significant selloff in the bond and stock markets might be limited, as those who had dashed for cash now seek opportunities to rebalance back into bonds and stocks," the piece quotes Ed Yardeni, Chief Investment Strategist of Yardeni Research.

The piece tells us, "There was a mad dash for the haven in March as investors scrambled to sell assets and reduce risk in their portfolios amid the coronavirus fears. At the same time, American households have been cutting back spending relative to their income -- either due to worries about an upcoming recession or the shutdown of most non-essential stores, according to Yardeni."

It adds, "This has resulted in a boosted amount of cash at Americans' hands.... On the business side, fearing for an impending cash crunch, many companies have also drawn down their lines of credit since the beginning of the pandemic. Liquid assets soared $1.7 trillion from the end of February to a record $15.5 trillion in the week of April 20, as companies took large amounts of commercial and industrial loans and parked much of the borrowed cash in the money market funds."

Barron's writes, "A short and sharp relief rally means that many investors–sitting on a mountain of cash–have missed the chance to buy stocks at their bottom, says Yardeni. While the economy's uncertain outlook and stocks' expensive valuation might keep them on the sidelines for now, he brings up the usual conundrum following cash-outs–when to return?"

Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of May 1) includes Holdings information from 78 money funds (down 16 from a week ago), which represent $2.568 trillion (down from $2.899 trillion) of the $4.561 trillion (56.3%) in total money fund assets tracked by Crane Data. (Note that our Weekly MFPH are e-mail only and aren't available on the website. For our latest monthly Holdings, see our April 13 News, "April MF Portfolio Holdings: Govt Securities Skyrocket; CDs, CP Down.)

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $1.209 trillion (down from $1.248 trillion a week ago), or 47.1%, Repurchase Agreements (Repo) totaling $706.4 billion (down from $822.5 billion a week ago), or 27.5% and Government Agency securities totaling $470.4 billion (down from $556.6 billion), or 18.3%. Commercial Paper (CP) totaled $58.7 billion (down from $76.5 billion), or 2.3% and Certificates of Deposit (CDs) totaled $48.7 billion (down from $79.6 billion), or 1.9%. A total of $37.3 billion or 1.5%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $38.0 billion, or 1.5%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.209 trillion (47.1% of total holdings), Federal Home Loan Bank with $295.2B (11.5%), Fixed Income Clearing Co with $138.4B (5.4%), BNP Paribas with $70.6B (2.7%), Federal Farm Credit Bank with $68.8B (2.7%), Federal National Mortgage Association with $52.5B (2.0%), JP Morgan with $52.1B (2.0%), Federal Home Loan Mortgage Corp with $51.1B (2.0%), RBC with $45.2B (1.8%) and Barclays PLC with $33.3B (1.3%).

The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($224.1B), Goldman Sachs FS Govt ($202.1B), Fidelity Inv MM: Govt Port ($186.0B), BlackRock Lq FedFund ($175.0B), Goldman Sachs FS Treas Instruments ($138.7B), JPMorgan 100% US Treas MMkt ($131.5B), Wells Fargo Govt MM ($131.4B), Morgan Stanley Inst Liq Govt ($113.1B), State Street Inst US Govt ($101.5B) and BlackRock Lq T-Fund ($91.9B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

Money market fund yields, which fell below the 1.0% level seven weeks ago and below the 0.5% level five weeks ago, continued inching lower in the latest week. Our flagship Crane 100 Money Fund Index was down 5 basis points over the past week (through May 1) to 0.25%, and down 25 bps for the month of April (through 4/30). The Crane 100 is down from 1.46% at the start of the year and down 1.97% from the beginning of 2019 (2.23%). While some funds have already hit the zero floor, most money funds maintain stubbornly high (given the Fed funds target), and they still maintain a yield advantage over sweeps and bank deposits, albeit a thinner one.

According to our Money Fund Intelligence Daily, as of Friday, 4/30, 292 funds (out of 852 total) yielded 0.00% or 0.01% with total assets of $901.2 billion, or 17.9% of total assets. (This is up from 255 funds last week with $485.2B in assets.) There were 118 funds yielding between 0.02% and 0.10%, totaling $538.1B, or 10.7% of assets; 199 funds yielded between 0.11% and 0.25% with $2.173 trillion, or 43.1% of assets; 136 funds yielded between 0.26% and 0.50% with $569.3 billion in assets, or 11.3% ; 103 funds yielded between 0.51% and 0.99% with $860.0 billion in assets or 17.1%; no funds yielded over 1.00%.

The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 674), shows a 7-day yield of 0.21%, down 3 basis points in the week through Friday. (It remained 0.21% on May 1 too.) The Crane Money Fund Average is down 25 bps from 0.47% at the beginning of April. Prime Inst MFs were down 3 bps to 0.48% in the latest week, and down 40 bps over the course of April. Government Inst MFs fell by 3 bps to 0.18%, they are down 25 bps MTD. Treasury Inst MFs dropped by 3 bps to 0.12%, and were down 18 bps in April. Treasury Retail MFs currently yield 0.01%, (down 1 basis point for the week, and down 6 bps in April), Government Retail MFs yield 0.07% (down 2 bps for the week, and down 22 bps in April), and Prime Retail MFs yield 0.40% (down 4 bps for the week, and down 39 bps for April), Tax-exempt MF 7-day yields dropped by 4 bps to 0.10%, they were down 2.91% in April.

As we've mentioned in previous weeks, our Crane Brokerage Sweep Index, the average rate for brokerage sweep clients, has already hit the floor at 0.01%. It's down 27 bps from the end of 2018 (0.28%). The latest Brokerage Sweep Intelligence, with data as of May 1, shows no rate changes over the past week. All of major brokerages now offer rates of 0.01% for balances of $100K.

No brokerage sweep rates or money fund yields have dropped to zero or gone negative to date, but this could become a distinct possibility in coming weeks or months. Crane's Brokerage Sweep Index has been flat for the last four weeks at 0.01% (for balances of $100K). Ameriprise, E*Trade, Fidelity, Merrill Lynch, Morgan Stanley, Raymond James, RW Baird, Schwab, TD Ameritrade, UBS and Wells Fargo all currently have rates of 0.01% for balances at the $100K tier level (and almost every other tier too).

In related news, Stifel Financial Corp recently reported Q1 2020 Earnings, and the earnings call transcript has a couple of mentions of brokerage sweeps. CFO James Marischen comments, "I would also highlight that market volatility did increase client allocations to cash. Within our Sweep Program, we saw balances increase by nearly $2.5 billion. We have seen the trend continue thus far in the second quarter and would expect to see that continue, given the current environment."

He adds, "Liquidity remains strong across our various legal entities. In addition to the sweep program, the bank had access to off-balance sheet funding of $4 billion. Within our primary broker-dealer and holding company, we have access to more than $1 billion of liquidity from cash, credit facilities that are committed and unsecured as well as secured funding sources."

A Goldman Sachs Analyst asked, "Are the [sweep] cash balance actually above where they ended the first quarter? Or they're at around the same level? And then can you give us a sense for the third-party bank sweep rate that you guys are earning on those balances now, as we're sort of jumping into the April, May dynamic? [and] Any comment around demand from third-party banks for cash sweep balances ... spreads that they're paying, etc.?"

Marischen answers, "In regards to the sweeps, we have seen that continue to increase since quarter end. We haven't given that number. I would say that there's an opportunity for that to accelerate, if we particularly look at the ticketed money funds. There's still almost $7 billion over there. And as that product continues to converge down from a rate perspective, more equivalent with the sweep program, you'll see more funds come in there. In total, we're making around 30 basis points on the Sweep program that shows up in the asset management line item. I would say there still is very strong demand from third-party banks to step in and take those deposits. We have a lot of relationships with a number of banks from a treasury perspective that are very interested in stepping up and setting into the program."

CEO Ronald Kruszewski comments, "One thing just to point out [that] was sort of a negative for us: As rates were going up, which was on a relative basis, we don't sweep that many deposits to third party banks. And so that was not as much of a tailwind as you saw those rates getting as high as 150 basis points. Conversely, it's not as big of a downshift for us because we just don't have as many balances down to 30 basis points. Most of the impact of what we're seeing will be in our NIM versus the combination of NIM and reduction in deposits swept away."

Finally, as we reported last week, money market fund assets broke the $5.0 trillion level for the first time ever, according to our MFI Daily publication. Money fund assets continued to rise through the end of April, and they were up $450.8 billion through April 30 to $5.041 trillion. Government funds jumped $363.0 billion in April to $3.884 trillion (assets skyrocketed $790.4 billion in March). Prime fund assets increased $82.1 billion to $1.018 trillion in April. With the help of April's asset gains, Prime funds again surpassed the $1.0 trillion level, after falling by $159.6 billion in March. Tax-Exempt assets increased $5.7 billion to finish April at $140.0 billion.

Crane Data's MFI International shows assets in European or "offshore" money market mutual assets jumping in USD, GBP and EUR currencies in the latest month. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, increased by $64.0 billion over the last 30 days to $972.1 billion; they're up by $95.5 billion year-to-date.

Offshore USD money funds, which broke over $500 billion in January, increased by $40.5 billion in April, and they're are up $18.0 billion YTD. Euro funds increased by E6.3 billion over the previous 30 days, while YTD they're up E24.4 billion. GBP funds rose by L12.6 billion in April, and are up by L21.8 billion YTD. U.S. Dollar (USD) money funds (192, up one from March) account for over half ($512.4 billion, or 52.7%) of our "European" money fund total, while Euro (EUR) money funds (92, unchanged from March) total E123.1 billion (12.7%) and Pound Sterling (GBP) funds (123, unchanged from March) total L246.7 billion (25.4%).

Federated Hermes, the 5th largest manager of money market funds, reported Q1'20 earnings late last week and held an earnings call on Friday. (See the earnings call transcript here from Seeking Alpha.) The company's earnings release explains, "Money market assets were a record $451.3 billion at March 31, 2020, up $132.9 billion or 42% from $318.4 billion at March 31, 2019 and up $55.8 billion or 14% from $395.5 billion at Dec. 31, 2019. Money market fund assets were $336.1 billion at March 31, 2020, up $121.3 billion or 56% from $214.8 billion at March 31, 2019 and up $49.5 billion or 17% from $286.6 billion at Dec. 31, 2019."

They write, "Revenue increased $52.1 million or 17% primarily due to higher average money market and equity assets. During Q1 2020, Federated Hermes derived 56% of its revenue from long-term assets (38% from equity assets, 13% from fixed-income assets and 5% from alternative/private markets and multi-asset), 43% from money market assets, and 1% from sources other than managed assets.... Operating expenses increased $30.3 million or 13% primarily due to an increase in distribution expenses associated with higher average money market fund assets. Federated Hermes ranks in the top 6% of equity fund managers in the industry, the top 7% of money market fund managers and the top 11% of fixed-income fund managers. Federated Hermes also ranks as the 13th-largest SMA manager."

On the earnings call, Federated Hermes CEO Chris Donahue comments, "Moving to money markets, assets increased by about $56 billion or 14% in the first quarter to a record high of $451 billion, reflecting a flight to safety in turbulent markets and a significant yield advantage compared to the average deposit rate. Money market fund yields also compared favorably to applicable direct market rates and even longer duration securities. With the Fed move to a target range of 0 to 25 basis points, short-term yields, including those of money market funds, decreased over the quarter and are expected to decrease further. Tom will comment on the impact of minimum yield waivers in Q1, which were not material. Our money market mutual fund market share, including sub advised funds at the end of the quarter was 8.8%, about the same as at the end of 2019."

CFO Tom Donahue tells us, "Total revenue for the quarter was up about $1 million from the prior quarter, due mainly to the acquisitions as mentioned and from higher money market assets, which added about $3.4 million.... Distribution expense increased about $3 million compared to the prior quarter, with about $4 million from higher average money market fund assets partially offset by a reduction of about $1 million from fewer days in the quarter…. The impact of money fund yield related fee waivers in Q1 was not material. Based on recent assets and expected yields, the impact of these waivers on operating income in Q2 could be about $3 million. Multiple factors impact waiver levels and we expect these factors and their impact to vary. These factors include changes in fund assets, available yields for investments, actions by regulators, changes in the expense level of funds, changes in the mix of customer assets, changes in distribution fee arrangements with third parties, Federated Hermes willingness to continue the fee waivers, and changes in the extent to which the impact of the waivers is shared by third parties."

During the Q&A, President Ray Hanley says about fee waivers, "We've talked before about the mix of assets when you slot them into the expense levels of the various funds that they're in. And, generally, we have more of the assets in the institutionally priced products, in the 15 to 20 basis point expense cap range, as compared to the last cycle. That's because back then we had higher broker dealer suite assets using money market products and over the past several years brokers have converted significant portions of that to deposit-based sweep models.... The other significant difference would be the growth over the last couple of years [of the] government fund side. As you know, the prime products were impacted significantly ... by the 2014 rule changes that took effect in 2016. And we've had good growth on the prime side, but the proportion of assets in government portfolios would be higher than it would have been in the prior cycle."

Hanley adds, "In terms of waivers, as Tom indicated, there's a lot of potential volatility even coming up with a number for this quarter because rates move around, asset composition moves around. It's not linear, you get to a point where you're just below the funds, just above the funds expense ratio and so you have no waivers and then you drop a couple of basis points and the waiver switch gets turned on. So, there are so many variables that it's not appropriate for us to try to forecast it out over longer periods of time. Of course, you can look back at what happened over the years where we did have waivers recognizing differences in the asset mix, etc., that I pointed out before."

Money Market CIO Debbie Cunningham comments, "When we look at our government products, as well as our prime products, [and] new products, they all have positively sloped yield curves, which is -- right now which is positive, which is a good thing. On the government side, we've probably got steepness of anywhere from 15 to 20 basis points, depending upon whether you're looking at Treasuries or government agencies, fixed or floating, albeit these are at extremely low levels. We do believe that a couple things could happen to improve that over the next months and quarters to include a huge amount of supply ... and more of that to come with a lot of that being centered directly in our space, the liquidity space."

She continues, "We also believe that a technical adjustment from the Fed could be forthcoming. It did not occur this week at the Fed meeting, but we do believe taking the lower bound where the RRP currently sits at zero up to 5 basis points, which is where that rate stood through the last zero rate environment.... We do believe that to be likely.... All of that is beneficial to where we're doing business on an overnight basis, obviously, but also where we're reinvesting as securities mature. The smaller portion of our asset mix, that being prime and municipal, have spreads that are anywhere from 50 to 70 basis points, depending upon what securities you're looking at, fixed or floating, commercial paper, different types of short-term securities, CDs. So the reinvest there is actually a much simpler process and the ability to keep out of waivers and keep above the zero rate environment is simpler. However ... our mix of assets from a government to non-government standpoint at this point is heavily skewed towards the government space."

When asked about regulatory changes, Donahue responds, "So money market funds continue to be the eighth wonder of the world in my opinion and the question you asked of course returns to the thrilling days of yesteryear when even back then the arguments were not based on what was needed in the marketplace, they were based on political considerations, namely that the Fed decide -- well it is really Treasury Secretary decided to slap insurance on the funds back then when all that was needed was liquidity. The industry, us in particular, others were clamoring for liquidity and that's the role of the Fed is liquidity. When you look at what's happened recently, what happened was they put out trillions of dollars of activity and an infinitesimal percentage of that was utilized by money market funds at the beginning in the prime space. And once again it was the quest for liquidity where the Fed as it has done on many occasions in the past and with other programs is in charge of making sure that these markets actually work."

He adds, "In addition, especially on the prime side, there is a great thirst to get companies that are employing people financed on the short end, and money market funds are a wonderful way of doing this. And so they approach this with mixed views at various times. So to us, nothing more is needed on the money market fund side. In fact, it would be better if they went back to allowing ... Prime Money Funds to have a $1 net asset value, and then you could use them in sweep products and increase the financing for corporations and on the municipal side. There is a huge 'to do' going on now about financing municipalities and local governments and one of the best ways to do this on the short side is both to allow them to invest in a prime fund and to allow them to issue into money market funds on the municipal side. So to me the money market funds continue to be a beautiful viable system and they are not in need of any other attention."

When asked where all the money is coming from, Cunningham tells us, "As [far as] the growth in assets goes and the diversification of the underlying clients, I don't believe very much is actually due to bank line [of credit] draws. We've been asking that question and our answers that we've been getting have been ... the diversification of the flows is pretty substantial. It's corporate, it's financials, non-financials, it is the institutional as well as the retail side. It's universities, it's various other municipal entities. It's different types of trust accounts through the banking system. So it's really pretty diversified, and I don't believe much at all can be attributed to the drawdown in bank lines that has been occurring for some corporates."

On money funds vs. bank deposits, she adds, "Even as the yields on our products come down, they're still above what is available [on deposits] for the most part. And on the bank deposit side, those rates have also been coming down. They follow the market down much faster than they follow interest rates up. And as far as the expectation of stickiness, what I mentioned before growth in assets has come in a very diversified way, that generally results in more stickiness of those assets staying around. It's been a mix of existing customers as well as new customers, new customers that are diversifying away from either current providers ... in the mutual fund business or diversifying away from other competing products and into the money fund business. But in either case, I think that diversification again adds to the likely sticky nature of those assets."

Cunningham states, "The other thing that I would mention, once investors are comfortable moving a portion of their liquidity assets into money market funds, the experience is generally one that is good and substantial. They achieve daily liquidity at par really on pretty much a moment's notice for both purchases and redemptions. If they want to add to their asset mix, they purchase and subscribe into a fund and that's taken. If they want to redeem, we provide them back with their liquidity immediately. So I think that liquidity on a constant basis is really something that is noted by investors. It was noted in the first quarter, it continues to be noted in the second quarter, and basically receiving that at par with the market return is what they're continuing to look for."

Tom Donahue tells us, "The fee rates across the -- all of the money markets are a little under ... 8 basis points for advisory fees. And there are not meaningful differences between the categories. We don't really price the funds in that matter. So that's the average across all types of money funds." Cunningham adds, "Most of our products are run in a barbelled fashion where we have a substantial amount in either floating rate or very short-term overnight to one week type of paper. And then we offset that from a weighted average maturity target perspective out in the 6 to 9 to 12 month sector for fixed rate purchases. So generally speaking, overnight rates at this point are anywhere from 2 to 10 basis points, depending on what sector you're looking at. And, one month rates are probably in the neighborhood of 7 to 30ish type of rate. When you go out to the 12 month sector of the curve, which would be the part where we're adding incremental basis points and yield to the products in the Treasury space, right now you're at 15 or so basis points. We think that's been as high as 25 in the last several weeks and we think it can get back there again with the additional supply from the marketplace in Treasury securities. Then, for prime type securities, you're looking at somewhere in the neighborhood of 70 basis points or so, 70 to 80 basis points."

Finally, on consolidation, Chris Donahue says, "Well, over time what we have seen is that there's never been an immediate catalyst that causes people who don't have a whole lot of assets to throw in the towel. As I said on these calls before, if you have control over the redemption, you can run a small money fund and that's a fine thing because you're not going to get crushed on the redemption side. If you look at these statistics, the top 25 money market fund purveyors have over 90% of the assets. And I think there are maybe 55 or so people listed who have money funds. And the ebb and flow of that is a constant look on our part for those who wish to find what I call a warm and loving home on the money market funds side. And periodically there are things that cause the companies to do it. The CFO gets to look at it, the CEO takes a different strategy, things change. And so to us, the bottom half of that chart is always available for acquisition purposes. And then periodically some of the bigger ones decide they want to move in a different direction."

Cunningham adds, "Just to add color to that, in the context of value add and in money market land, that may only be a basis point or two, but it's incrementally valuable to be able to garner a few extra basis points in the products that you're choosing for your liquidity and your cash. And when you're a larger player, you're able to find different structures and different counterparties. Maybe from a repo perspective that give you an extra one or two basis points or that give you extra supply. You're able to review if the structures of asset backed commercial paper that again smaller players may not have the credit analysts, the staffing to be able to undertake those. And the extra one or two basis points that you're getting in those structures, along with the high quality that comes along with them, is valuable to the underlying clients. So size definitely has some advantages in this aspect of the market."

Money market mutual fund assets showed big gains for the ninth week in a row, hitting yet another record and breaking above the $4.7 trillion level. ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets increased by $82.21 billion to $4.73 trillion for the week ended Wednesday, April 29, the Investment Company Institute reported.... Among taxable money market funds, government funds increased by $73.48 billion and prime funds increased by $11.58 billion. Tax-exempt money market funds decreased by $2.85 billion." ICI's stats show Institutional MMFs rising $75.9 billion and Retail MMFs increasing $6.3 billion. Total Government MMF assets, including Treasury funds, were $3.899 trillion (82.3% of all money funds), while Total Prime MMFs were $699.0 billion (14.8%). Tax Exempt MMFs totaled $136.3 billion, 2.9%. Money fund assets are up an eye-popping $1.102 trillion, or 30.3%, year-to-date in 2020, with Inst MMFs up $918 billion (40.6%) and Retail MMFs up $184 billion (13.4%). Over the past 52 weeks, ICI's money fund asset series has increased by $1.662 trillion, or 54.1%, with Retail MMFs rising by $352 billion (29.3%) and Inst MMFs rising by $1.310 trillion (70.0%).

They explain, "Assets of retail money market funds increased by $6.30 billion to $1.55 trillion. Among retail funds, government money market fund assets increased by $2.43 billion to $988.8 billion, prime money market fund assets increased by $5.97 billion to $442.92 billion, and tax-exempt fund assets decreased by $2.10 billion to $122.36 billion." Retail assets account for just under a third of total assets, or 32.8%, and Government Retail assets make up 63.6% of all Retail MMFs. (Crane Data's MFI Daily, a separate and broader data series, shows assets up by a huge $447.2 billion in April to a record $5.038 trillion through 4/29.)

ICI adds, "Assets of institutional money market funds increased by $75.91 billion to $3.18 trillion. Among institutional funds, government money market fund assets increased by $71.05 billion to $2.91 trillion, prime money market fund assets increased by $5.61 billion to $256.04 billion, and tax-exempt fund assets decreased by $751 million to $13.93 billion." Institutional assets accounted for 67.2% of all MMF assets, with Government Institutional assets making up 91.5% of all Institutional MMF totals. (Note: Crane Data has its own separate, and larger, daily and monthly asset series.)

The Investment Company Institute also released its latest "Trends in Mutual Fund Investing – March 2020" and "Month-End Portfolio Holdings of Taxable Money Funds" earlier this week. These reports show that money fund assets increased by $690.6 billion to $4.337 trillion in March. Last month's increase follows an increase of $32.9 billion in February, a decrease of $18.1 billion in January and an increase of $67.0 billion in December. For the 12 months through Mar. 31, 2020, money fund assets have increased by $1.258 trillion, or 40.9%.

ICI's monthly "Trends" release states, "The combined assets of the nation's mutual funds decreased by $1.54 trillion, or 7.5 percent, to $18.87 trillion in March, 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."

It explains, "Bond funds had an inflow of $255.15 billion in March, compared with an inflow of $12.75 billion in February.... Money market funds had an inflow of $688.36 billion in March, compared with an inflow of $30.30 billion in February. In March funds offered primarily to institutions had an inflow of $572.92 billion and funds offered primarily to individuals had an inflow of $115.44 billion."

ICI's latest statistics show that Taxable MMFs gained assets while Tax Exempt MMFs lost assets last month. Taxable MMFs increased by $697.0 billion in March to $4.209 trillion. Tax-Exempt MMFs decreased $6.4 billion in March to $128.3 billion. Taxable MMF assets increased year-over-year by $1.268 trillion (43.1%). Tax-Exempt funds fell by $10.2 billion over the past year (-0.07%). Bond fund assets decreased by $466.9 billion in March (0.1%) to $4.417 trillion; they've risen by $146.4 billion (0.03%) over the past year.

Money funds represent 23.0% of all mutual fund assets (up 5.1% from the previous month), while bond funds account for 23.4%, according to ICI. The total number of money market funds was 360, down one from the month prior and down from 367 a year ago. Taxable money funds numbered 280 funds, and tax-exempt money funds numbered 80 funds.

ICI's "Month-End Portfolio Holdings" update confirms massive jumps in Repo, Agencies and Treasuries last month. Repurchase Agreements remained in first place among composition segments; they increased by $211.6 billion, or 16.8%, to $1.472 trillion, or 35.0% of holdings. Repo holdings have risen $491.6 billion, or 50.2%, over the past year. (See our April 13 News, "April MF Portfolio Holdings: Govt Securities Skyrocket; CDs, CP Down.")

Treasury holdings in Taxable money funds increased by $306.7 billion, or 32.0%, to $1.266 trillion, or 30.1% of holdings. Treasury securities have increased by $385.3 billion, or 43.8%, over the past 12 months. U.S. Government Agency securities were the third largest segment; they increased $275.2 billion, or 38.0%, to $1.000 trillion, or 23.8% of holdings. Agency holdings have risen by $344.7 billion, or 52.6%, over the past 12 months.

Certificates of Deposit (CDs) stood in fourth place; they decreased by $66.3 billion, or -21.6%, to $240.5 billion (5.7% of assets). CDs held by money funds have grown by $14.1 billion, or 6.2%, over 12 months. Commercial Paper remained in fifth place, down $17.4 billion, or -7.3%, to $220.6 billion (5.2% of assets). CP has increased by $9.3 billion, or 4.4%, over one year. Notes (including Corporate and Bank) were down $2.0 billion, or -19.1%, to $8.5 billion (0.2% of assets), while Other holdings increased $14.7 billion to $27.6 billion.

The Number of Accounts Outstanding in ICI's series for taxable money funds increased by 1.211 million to 39.325 million, while the Number of Funds decreased one to 280. Over the past 12 months, the number of accounts rose by 5.016 million and the number of funds decreased by six. The Average Maturity of Portfolios was 36 days, four more than in February. Over the past 12 months, WAMs of Taxable money have increased by four.