News Archives: June, 2021

The Federal Reserve released its latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (a.k.a. "Flow of Funds") Thursday. Among the 4 tables it includes on money market mutual funds, the First Quarter 2021 edition shows that Total MMF Assets increased by $164 billion to $4.500 trillion in Q1'21. The Household Sector, by far the largest investor segment with $2.783 trillion, saw assets jump in Q1. The second largest segment, Nonfinancial Corporate Businesses, experienced a drop in assets. The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, show asset decreases in MMF holdings for the Nonfiancial Corporate Business and Life Insurance Companies categories in Q1 2021. (Reminder: Register for our upcoming "Asian Money Fund Symposium" webinar, which takes place next Thursday, June 17 from 10am-12pm Eastern.)

Other Financial Business (formerly Funding Corps), the Rest of the World, Property-Casuality Insurance and State & Local Governments all saw small asset increases in Q1. The Private Pension Funds and State&Local Govt Retirement sectors remained unchanged. Over the past 12 months, the Household Sector and the Other Financial Business categories showed the biggest asset increases, while Nonfinancial Corporate Businesses saw the biggest asset decrease.

The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows that total assets increased by $164 billion, or 3.8%, in the first quarter to $4.500 trillion. The largest segment, the Household sector, totals $2.783 trillion, or 61.9% of assets. The Household Sector rose by $188 billion, or 7.2%, in the quarter. Over the past 12 months through Q1'21, Household assets were up $365 billion, or 15.1%.

Nonfinancial Corporate Businesses, the second-largest segment according to the Fed's data series, held $629 billion, or 14.0% of the total. Assets here fell by $49 billion in the quarter, or -7.3%, and they've decreased by $291 billion, or -31.7%, over the past year. Other Financial Business was the third-largest investor segment with $520 billion, or 11.6% of money fund shares. They rose by $24 billion, or 4.9%, in the latest quarter. Other Financial Business has increased by $102 billion, or 24.3%, over the previous 12 months.

The fourth-largest segment, Private Pension Funds, held $161 billion (3.6%). The Rest of the World, was the 5th largest category with 2.9% of money fund assets ($132 billion); it was up by $5 billion (3.8%) for the quarter and up $1 billion, or 1.1% over the last 12 months. The Nonfinancial Noncorporate Business remained sixth place in market share among investor segments with 2.5%, or $114 billion, while Life Insurance Companies held $63 billion (1.4%), Property-Casualty Insurance held $39 billion (0.9%), State and Local Governments held $36 billion (0.8%), and State and Local Government Retirement Funds held $24 billion (0.5%), according to the Fed's Z.1 breakout.

The Fed's "Flow of Funds" Table L.121 shows "Money Market Mutual Funds" largely invested in "Debt Securities," or Credit Market Instruments, with $3.234 trillion, or 71.9% of the total. Debt securities includes: Open market paper ($183 billion, or 4.1%; we assume this is CP), Treasury securities ($2.363 trillion, or 52.5%), Agency and GSE-backed securities ($573 billion, or 12.7%), Municipal securities ($104 billion, or 2.3%) and Corporate and foreign bonds ($13 billion, or 0.3%).

Other large holdings positions in the Fed's series include Security repurchase agreements ($1.056 trillion, or 23.5% of total assets) and Time and savings deposits ($185 billion, or 4.1%). Money funds also hold minor positions in Miscellaneous assets ($77 billion, or 1.7%), Foreign deposits ($2 billion, 0.0%) and Checkable deposits and currency (-$54 billion, -1.2%). Note: The Fed also lists "Variable Annuity Money Funds," which currently total $39 billion.

During Q1, Debt Securities were up $49 billion. This subtotal included: Open Market Paper (up $9 billion), Treasury Securities (up $106 billion), Agency- and GSE-backed Securities (down $58 billion), Corporate and Foreign Bonds (were flat) and Municipal Securities (down $9 billion). In the first quarter of 2021, Security Repurchase Agreements were up $50 billion, Foreign Deposits were up $1 billion, Checkable Deposits and Currency were down $46 billion, Time and Savings Deposits were up by $45 billion, and Miscellaneous Assets were up $66 billion.

Over the 12 months through 3/31/21, Debt Securities were up $666 billion, which included Open Market Paper down $43B, Treasury Securities up $1.095T, Agencies down $358B, Municipal Securities (down $27), and Corporate and Foreign Bonds (down $1B). Foreign Deposits were down $2B, Checkable Deposits and Currency were down $28B, Time and Savings Deposits were down $54B, Securities repurchase agreements were down $413B and Miscellaneous Assets were down $7B.

Note that the Federal Reserve changed its numbers related to money market funds substantially in the second quarter of 2018. Its "Release Highlights Second Quarter 2018" tells us, "New source data for money market funds from the U.S. Securities and Exchange Commission's (SEC) form N-MFP have been incorporated into the sector's asset holdings (tables F.121 and L.121). Money market funds not available to the public, which are included in the SEC data, are excluded from Financial Accounts' estimates. Data revisions begin 2013:Q1. Holdings of money market fund shares by households and nonprofit organizations, state and local governments, and funding corporations (tables F.206 and L.206) have been revised due to a change in methodology based on detail from the Investment Company Institute. Data revisions begin 1976:Q1."

Crane Data's June Money Fund Portfolio Holdings, with data as of May 31, 2021, show a huge increase in Repo holdings and a giant drop in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) rose $30.2 billion to $4.947 trillion in May, after rising $29.1 billion in April and $187.5 billion in March. Treasury securities remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CD , Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: Please join us next Thursday, June 17 from 10am-12pm Eastern, for our "Asian Money Fund Symposium" webinar.)

Among taxable money funds, Treasury securities dropped $135.0 billion (-5.3%) to $2.406 trillion, or 48.6% of holdings, after falling $29.6 billion in April and jumping $142.8 billion in March. Repurchase Agreements (repo) jumped $200.9 billion (16.2%) to $1.439 billion, or 29.1% of holdings, after increasing $54.1 billion in April and $108.3 billion in March. Government Agency Debt decreased by $22.7 billion (-3.9%) to $563.4 billion, or 11.4% of holdings, after decreasing $15.8 billion in April and $35.1 billion in March. Repo, Treasuries and Agencies totaled $4.409 trillion, representing a massive 89.1% of all taxable holdings.

Money funds' holdings of VRDNs saw an increase in the last month, while CP, CDs and Other (mainly Time Deposits) all experienced decreases in May. Commercial Paper (CP) decreased $5.0 billion (-1.9%) to $263.0 billion, or 5.3% of holdings, after increasing $2.4 billion in April and $3.1 billion in March. Certificates of Deposit (CDs) fell by $3.7 billion (-2.6%) to $138.6 billion, or 2.8% of taxable assets, after increasing $6.5 billion in April and $4.1 billion in March. Other holdings, primarily Time Deposits, decreased $5.4 billion (-4.3%) to $120.7 billion, or 2.4% of holdings, after increasing $11.5 billion in April and decreasing $35.3 billion in March. VRDNs increased to $16.5 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately late Thursday.)

Prime money fund assets tracked by Crane Data were up at $893 billion, or 18.1% of taxable money funds' $4.947 trillion total. Among Prime money funds, CDs represent 15.5% (down from 15.7% a month ago), while Commercial Paper accounted for 29.5% (unchanged from the April). The CP totals are comprised of: Financial Company CP, which makes up 21.1% of total holdings, Asset-Backed CP, which accounts for 4.3%, and Non-Financial Company CP, which makes up 4.1%. Prime funds also hold 3.7% in US Govt Agency Debt, 18.0% in US Treasury Debt, 10.7% in US Treasury Repo, 0.4% in Other Instruments, 10.3% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 3.0% in US Government Agency Repo and 0.9% in VRDNs.

Government money fund portfolios totaled $2.767 trillion (55.9% of all MMF assets), up from $2.734 trillion in April, while Treasury money fund assets totaled another $1.287 trillion (26.0%), up from $1.274 trillion the prior month. Government money fund portfolios were made up of 19.2% US Govt Agency Debt, 14.3% US Government Agency Repo, 43.5% US Treasury Debt, 22.6% in US Treasury Repo, 0.2% in VRDNs, 0.1% in Other Instruments and 0.1% in Investment Company. Treasury money funds were comprised of 81.0% US Treasury Debt and 19.0% in US Treasury Repo. Government and Treasury funds combined now total $4.054 trillion, or 81.9% of all taxable money fund assets.

European-affiliated holdings (including repo) decreased by $31.9 billion in May to $657.3 billion; their share of holdings fell to 13.3% from last month's 14.0%. Eurozone-affiliated holdings decreased to $454.6 billion from last month's $475.5 billion; they account for 9.2% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $231.5 billion (4.7% of the total) from last month's $241.7 billion. Americas related holdings increased to $4.054 trillion from last month’s $3.981 trillion, and now represent 81.9% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $197.8 billion, or 25.8%, to $965.7 billion, or 19.5% of assets); US Government Agency Repurchase Agreements (up $4.1 billion, or 1.0%, to $422.4 billion, or 8.5% of total holdings), and Other Repurchase Agreements (down $1.0 billion, or -1.9%, from last month to $50.8 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $0.8 billion to $188.4 billion, or 3.8% of assets), Asset Backed Commercial Paper (down $2.5 billion to $38.3 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $3.3 billion to $36.3 billion, or 0.7%).

The 20 largest Issuers to taxable money market funds as of May 31, 2021, include: the US Treasury ($2,406 billion, or 48.6%), Federal Reserve Bank of New York ($459.7B, 9.3%), Federal Home Loan Bank ($316.2B, 6.4%), BNP Paribas ($116.6B, 2.4%), RBC ($101.8B, 2.1%), Federal Farm Credit Bank ($95.6B, 1.9%), Federal National Mortgage Association ($87.2B, 1.8%), JP Morgan ($83.8B, 1.7%), Fixed Income Clearing Corp ($72.1B, 1.5%), Credit Agricole ($67.5B, 1.4%), Bank of America ($67.0B, 1.4%), Barclays PLC ($62.7B, 1.3%), Federal Home Loan Mortgage Corp ($61.0B, 1.2%), Societe Generale ($52.0B, 1.1%), Sumitomo Mitsui Banking Co ($51.5B, 1.0%), Mitsubishi UFJ Financial Group Inc ($44.7B, 0.9%), Citi ($44.1B, 0.9%), Canadian Imperial Bank of Commerce ($40.0B, 0.8%), Nomura ($36.8B, 0.7%) and Bank of Montreal ($32.1B, 0.6%).

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: Federal Reserve Bank of New York ($459.7B, 31.9%), BNP Paribas ($104.1B, or 7.2%), RBC ($81.9B, or 5.7%), JP Morgan ($75.8B, or 5.3%), Fixed Income Clearing Corp ($72.1B, or 5.0%), Bank of America ($63.5B, or 4.4%), Credit Agricole (47.3B, or 3.3%), Barclays PLC ($45.9B, or 3.2%), Societe Generale ($40.9B, or 2.8%), and Citi ($88.9B, or 2.7%).

The largest users of the $460B in Fed RRP included: Goldman Sachs FS Govt ($48.0B), Fidelity Govt Money Market ($43.8B), JPMorgan US Govt MM ($40.5B), Fidelity Govt Cash Reserves ($35.9B), Morgan Stanley Inst Liq Govt ($35.8B), Fidelity Cash Central Fund ($35.3B), Fidelity Inv MM: Govt Port ($27.6B), BlackRock Lq FedFund ($25.6B), Fidelity Sec Lending Cash Central Fund ($22.6B) and BlackRock Lq T-Fund ($16.7B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($21.0B, or 4.75), Credit Agricole ($20.3B, or 4.5%), RBC ($20.0B, or 4.4%), Canadian Imperial Bank of Commerce ($17.1B, or 3.8%), Barclays PLC ($16.9B, or 3.7%), Toronto-Dominion Bank ($16.4B, or 3.6%), Skandinaviska Enskilda Banken AB ($15.5B, or 3.5%), Federated ($14.0B, or 3.1%), Sumitomo Mitsui Banking Corp ($12.9B, or 2.9%) and Sumitomo Mitsui Trust Bank ($12.6B, or 2.8%).

The 10 largest CD issuers include: Bank of Montreal ($10.2B, or 7.4%), Sumitomo Mitsui Banking Corp ($9.4B, or 6.8%), Canadian Imperial Bank of Commerce ($9.4B, or 6.8%), Sumitomo Mitsui Trust Bank ($8.3B, or 6.0%), Toronto-Dominion Bank ($8.1B, or 5.9%), Credit Agricole ($7.4B, or 5.4%), Mizuho Corporate Bank Ltd ($6.8B, or 4.9%), Credit Mutuel ($5.6B, or 4.0%), Mitsubishi UFJ Financial Group Inc ($5.6B, or 4.0%) and Landesbank Baden-Wurttemberg ($5.2B, or 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($11.7B, or 5.4%), BNP Paribas ($10.8B, or 5.0%), Societe Generale ($10.5B, or 4.8%), JP Morgan ($8.0B, or 3.7%), Toronto-Dominion Bank ($$7.8B, or 3.6%), Barclays PLC ($7.4B, or 3.4%), DNB ASA ($7.1B, or 3.3%), Credit Suisse ($7.0B, or 3.2%), Skandinaviska Enskilda Banken AB ($7.0B, or 3.2%) and Swedbank AB ($6.5B, or 3.0%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $279.9B to $459.7B), Bank of America (up $9.8B to $67.0B), JP Morgan (up $5.1B to $83.8B), Mizuho Corporate Bank Ltd (up $2.1B to $29.1B), Societe Generale (up $2.0B to $52.0B), Standard Chartered Bank (up $1.4B to $11.8B), KBC Group NV (up $1.1B to $9.1B), Rabobank (up $1.0B to $8.7B), Canadian Imperial Bank of Commerce (up $0.7B to $40.0B) and Credit Suisse (up $0.5B to $17.0B).

The largest decreases among Issuers of money market securities (including Repo) in April were shown by: US Treasury (down $136.6B to $2,406B), Fixed Income Clearing Co (down $39.1B to $72.1B), Federal Home Loan Bank (down $21.2B to $316.2B), Mitsubishi UFJ Financial Group Inc (down $15.0B to $44.7B), RBC (down $12.7B to $101.8B), Credit Agricole (down $10.6B to $67.5B), Barclays PLC (down $8.5B to $62.7B), DNB ASA (down $5.7B to $13.6B), ING Bank (down $4.8B to $20.9B) and Sumitomo Mitsui Banking Corp (down $4.2B to 51.5B).

The United States remained the largest segment of country-affiliations; it represents 77.1% of holdings, or $3.813 trillion. France (5.9%, $291.2B) was number two, and Canada (4.9%, $241.2B) was third. Japan (4.4%, $217.3B) occupied fourth place. The United Kingdom (2.4%, $117.0B) remained in fifth place. Germany (1.3%, $61.9B) was in sixth place, followed by the Netherlands (1.1%, $53.6B), Sweden (0.9%, $45.9B), Australia (0.6%, $28.8B) and Switzerland (0.5%, $24.0B). (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 May 31, 2021, Taxable money funds held 38.6% (up from 32.7%) of their assets in securities maturing Overnight, and another 10.4% maturing in 2-7 days (down from 12.0%). Thus, 49.0% in total matures in 1-7 days. Another 15.5% matures in 8-30 days, while 14.5% matures in 31-60 days. Note that over three-quarters, or 79.0% of securities, mature in 60 days or less (unchanged from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 8.4% of taxable securities, while 10.1% matures in 91-180 days, and just 2.5% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Wednesday, and we'll be writing our normal monthly update on the May 31 data for Thursday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Tuesday. (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 May 31, 2021 includes holdings information from 1,029 money funds (down 13 from last month), representing assets of $5.098 trillion (up from $5.034 trillion). Prime MMFs now total $905.5 billion, or 17.8% of the total. We review the new N-MFP data below, and we also look at our revised MMF expense data.

Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Treasury holdings totaled $2.427 trillion (down from $2.549 trillion), or a massive 47.6% of all holdings. Repurchase Agreement (Repo) holdings in money market funds jumped to $1.442 trillion (up from $1.236 trillion), or 28.3% of all assets, and Government Agency securities totaled $578.5 billion (down from $589.6 billion), or 11.3%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.448 trillion, or a stunning 87.3% of all holdings.

Commercial paper (CP) totals $272.5 billion (down from $278.1 billion), or 5.3% of all holdings, and the Other category (primarily Time Deposits) totals $163.0 billion (up from $162.4 billion), or 3.2%. Certificates of Deposit (CDs) total $139.1 billion (down from $142.8 billion), 2.7%, and VRDNs account for $75.2 billion (down from $76.0 billion last month), or 1.5% of money fund securities.

Broken out into the SEC's more detailed categories, the CP totals were comprised of: $190.5 billion, or 3.7%, in Financial Company Commercial Paper; $38.3 billion or 0.8%, in Asset Backed Commercial Paper; and, $43.7 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($983.6B, or 19.3%), U.S. Govt Agency Repo ($407.9B, or 8.0%) and Other Repo ($50.8B, or 1.0%).

The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $267.9 billion (down from $272.9 billion), or 29.6%; Repo holdings of $174.1 billion (up from $158.3 billion), or 19.2%; Treasury holdings of $165.5 billion (down from $186.7 billion), or 18.3%; CD holdings of $139.1 billion (down from $142.8 billion), or 15.4%; Other (primarily Time Deposits) holdings of $116.6 billion (down from $117.7 billion), or 12.9%; Government Agency holdings of $33.8 billion (down from $35.9 billion), or 3.7% and VRDN holdings of $8.6 billion (up from $7.9 billion), or 1.0%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $190.5 billion (up from $189.9 billion), or 21.0%, in Financial Company Commercial Paper; $38.3 billion (down from $40.8 billion), or 4.2%, in Asset Backed Commercial Paper; and $39.1 billion (down from $42.2 billion), or 4.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($97.0 billion, or 10.7%), U.S. Govt Agency Repo ($26.2 billion, or 2.9%), and Other Repo ($50.8 billion, or 5.6%).

In related news, money fund charged expense ratios fell to a new record low of 0.06% in May, as measured by our Crane 100 Money Fund Index and Crane Money Fund Average. Crane Data revises its monthly expense data and gross yield information after the SEC updates its latest Form N-MFP data the morning of the 6th business day of the new month. (They posted this info Tuesday morning, so we revised our monthly MFI XLS spreadsheet and historical craneindexes.xlsx averages file to reflect the latest expenses, gross yields, portfolio composition and maturity breakout late yesterday.) Visit our "Content" page for the latest files, and see below for the review of the latest N-MFP Portfolio Holdings data.

Our Crane 100 Money Fund Index, a simple average of the 100 largest taxable money funds, shows an average charged expense ratio (Exp%) of 0.06%, down two basis points from last month's previous record low level. The average is down from 0.27% on Dec. 31, 2019, so funds are waiving 21 bps, or 70% of full charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also shows a charged expense ratio of 0.06% as of May 31, 2021, down two basis points from the month prior and down from 0.40% at year-end 2019.

Prime Inst MFs expense ratios (annualized) now average 0.11% (down two basis point from last month), Government Inst MFs expenses average 0.04% (down a basis point from the month prior), Treasury Inst MFs expenses also average 0.04% (down two basis points from last month). Treasury Retail MFs expenses currently sit at 0.04%, (down two basis points from the month prior), Government Retail MFs expenses yield 0.03% (down a basis point over the month). Prime Retail MF expenses are 0.14% (down two basis points from the month prior). Tax-exempt expenses were down two basis points over the month, averaging 0.11%.

Gross 7-day yields were down a basis point at 0.07% on average in the month ended May 31, 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 734), shows a 7-day gross yield of 0.07%, down two basis points from the previous month. The Crane Money Fund Average is down 1.65% from 1.72% at the end of 2019. The Crane 100's 7-day gross yield also fell two basis points, ending the month at 0.07%, down 1.66% from year-end 2019.

According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $2.927 billion (as of 5/31/21). Our estimated annualized revenue totals decreased from $3.790 billion last month, and fell from $6.028 trillion at the start of 2020 and from $10.642 trillion at the start of 2019. Charged expenses and gross yields are driven by a number of variables, and increasing Treasury supply should alleviate some of the pressures from this past month. Nonetheless, severe fee waivers and heavy fee pressure should continue as long as the Fed keeps yields pinned to almost zero.

Crane Data's latest Money Fund Market Share rankings show assets were higher among the majority of the largest U.S. money fund complexes in May. Money market fund assets increased $70.4 billion, or 1.4%, last month to $5.063 trillion. Assets have increased by $282.9 billion, or 5.9%, over the past 3 months, and they've decreased by $158.4 billion, or -3.1%, over the past 12 months through May 31, 2021. The biggest increases among the 25 largest managers last month were seen by JP Morgan, Morgan Stanley, Wells Fargo, Northern and Dreyfus, which grew assets by $25.5 billion, $14.5B, $13.8B, $11.9B and $10.1B, respectively. But declines in May were seen by Federated, Vanguard, Goldman Sachs, Schwab and First American, which decreased by $11.0 billion, $10.1B, $6.8B, $3.8B and $710M, respectively. 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 May.

Over the past year through May 31, 2021, BlackRock (up $113.3B, or 26.2%), First American (up $43.4B, or 46.7%), Dreyfus (up $26.0B, or 12.9%), Morgan Stanley (up $24.2B, or 10.8%), T. Rowe Price (up $10.2B, or 25.2%), DWS (up $8.8B, or 36.6%), Columbia (up $5.1B, or 34.4%), and Vanguard (up $4.9B, or 1.0%) were the largest gainers. BlackRock, Goldman Sachs, JP Morgan, Morgan Stanley and Dreyfus had the largest asset increases over the past 3 months, rising by $90.3B, $43.8B, $27.9B, $19.5B and $19.4B, respectively. The largest decliners over 3 months included: Fidelity (down $16.3B, or -1.8%), Schwab (down $12.4B, or -7.5%), Vanguard (down $9.0B, or -1.9%), PGIM (down $913M, or -4.5%) and Alliance Bernstein (down $192M, or -1.4%).

Our latest domestic U.S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $889.3 billion, or 17.6% of all assets. Fidelity was down $302M million in May, down $16.3 billion over 3 mos., and down $73.6B over 12 months. BlackRock ranked second with $550.7 billion, or 10.9% market share (up $4.1B, up $90.3B and up $113.3B for the past 1-month, 3-mos. and 12-mos., respectively). Vanguard remained in third with $475.3 billion, or 9.4% market share (down $10.1B, down $9.0B and up $4.9B). JP Morgan ranked fourth with $474.8 billion, or 9.4% of assets (up $25.5B, up $27.9B and down $45.9B for the past 1-month, 3-mos. and 12-mos.), while Goldman Sachs took fifth place with $357.1 billion, or 7.1% of assets (down $6.8B, up $43.8B and down $50.7B).

Federated Hermes was in sixth place with $336.6 billion, or 6.6% of assets (down $11.0 billion, up $13.6B and down $50.7B), while Morgan Stanley was in seventh place with $263.2 billion, or 5.2% (up $14.5B, up $19.5B and up $24.2B). Dreyfus ($237.4B, or 4.7%) was in eighth place (up $10.1B, up $19.4B and up $26.0B), followed by Wells Fargo ($207.9B, or 4.1%, up $13.8B, up $8.5B and down $1.2B). Northern was in 10th place ($178.7B, or 3.5%; up $11.9B, up $16.9B and down $14.3B).

The 11th through 20th-largest U.S. money fund managers (in order) include: American Funds ($154.5B, or 3.1%), Schwab ($152.5B, or 3.0%), SSGA ($149.3B, or 2.9%), First American ($135.6B, or 2.7%), Invesco ($85.1B, or 1.7%), UBS ($58.6B, or 1.2%), T. Rowe Price ($51.1B, or 1.0%), HSBC ($39.5B, or 0.8%), Western ($34.2B, or 0.7%) and DWS ($32.3B, or 0.6%). Crane Data currently tracks 65 U.S. MMF managers, unchanged from 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 appear as Fidelity, BlackRock, JP Morgan, Vanguard, Goldman Sachs, Federated Hermes, Morgan Stanley, Dreyfus/BNY Mellon, Wells Fargo and Northern. 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 ($903.1 billion), BlackRock ($751.6B), JP Morgan ($671.9B), Vanguard ($475.3B) and Goldman Sachs ($474.9B). Federated Hermes ($346.2B) was sixth, Morgan Stanley ($318.8B) was in seventh, followed by Dreyfus ($260.8B), Wells Fargo ($208.8B) and Northern ($203.9B) 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 June issue of our Money Fund Intelligence and MFI XLS, with data as of 5/31/21, shows that yields were flat or down in May for our Crane Money Fund Indexes. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 734), was flat at 0.02% for the 7-Day Yield (annualized, net) Average, the 30-Day Yield was also unchanged at 0.02%. The MFA's Gross 7-Day Yield was down a basis point at 0.09%, the Gross 30-Day Yield was also down a basis point at 0.09%.

Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 0.02% (unch) and an average 30-Day Yield also unchanged at 0.02%. The Crane 100 shows a Gross 7-Day Yield of 0.09% (down a basis point), and a Gross 30-Day Yield of 0.09% (also down a basis point). Our Prime Institutional MF Index (7-day) yielded 0.03% (unch) as of May 31, while the Crane Govt Inst Index was unchanged at 0.02%, the Treasury Inst Index was unchanged at 0.01%. Thus, the spread between Prime funds and Treasury funds is 2 basis points, and the spread between Prime funds and Govt funds is 1 basis point. The Crane Prime Retail Index yielded 0.01% (unch), while the Govt Retail Index was 0.01% (unch), the Treasury Retail Index was also 0.01% (unchanged from the month prior). The Crane Tax Exempt MF Index yielded 0.01% (unch) in May.

Gross 7-Day Yields for these indexes in April were: Prime Inst 0.16% (down a basis point), Govt Inst 0.06% (down a basis point), Treasury Inst 0.06% (down a basis point), Prime Retail 0.17% (down a basis point), Govt Retail 0.06% (unch) and Treasury Retail 0.06% (down a basis point). The Crane Tax Exempt Index was down a basis point at 0.13%. The Crane 100 MF Index returned on average 0.00% over 1-month, 0.00% over 3-months, 0.01% YTD, 0.03% over the past 1-year, 1.06% over 3-years (annualized), 0.86% over 5-years, and 0.45% over 10-years.

The total number of funds, including taxable and tax-exempt, was down 18 at 899. There are currently 734 taxable funds, down 13 from the previous month, and 165 tax-exempt money funds (down 5 from last month). (Contact us if you'd like to see our latest MFI XLS, Crane Indexes or Market Share report.

The June issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Monday morning, features the articles: "Asset Growth Continues, But No Yields in Sight; Record RRP," which tracks the continued jumps in assets despite yields sitting at rock bottom; "J.P. Morgan A.M.'s Chris Tufts: Focused on Core Deliverables," which profiles the new JPMAM Head of Liquidity; and, "Boston Fed Proposes Only Govt MMFs; Already 80%," which highlights the possibility of banning Prime MMFs. We also sent out our MFI XLS spreadsheet Monday a.m., and updated our Money Fund Wisdom database query system with 5/31/21 data. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our June Money Fund Portfolio Holdings are scheduled to ship on Wednesday, June 9, and our June Bond Fund Intelligence is scheduled to go out Monday, June 14.

MFI's lead article says, "Money fund assets continue to see strong growth, but fund managers aren't celebrating as any yield becomes increasingly difficult to find. Assets broke back above the $5 trillion level ($4.6 trillion if you're looking at ICI's totals), and the inflows show no signs of subsiding. Charged expenses and gross yields are pushing to record lows, though, and the business model of money market funds is coming into question. We look at the latest asset and yield trends, the record usage of the Fed’s RRP program, and whether funds can survive with gross yields of 0.00%, below."

It continues, "Crane Data's latest MFI XLS shows money fund assets increasing by $74.0 billion in May 2021 to $5.066 trillion, up $341.9 billion, or 7.2% year-to-date. Our numbers just broke back above the $5.0 trillion mark for the first time since June 2020, and they're approaching the record level of $5.163 set in April 2020."

Our latest profile reads, "This month, MFI speaks with Christopher Tufts, the new Global Head of Portfolio Management and Trading for the money market fund business at J.P. Morgan Asset Management. Tufts had been Head of Portfolio Management for the U.S. funds before taking on the expanded role late last year. We discuss the current rate environment, supply and pending regulatory issues, among other things. Our Q&A follows."

MFI says, "Give us a little history." Tufts tell us, "J.P. Morgan Asset Management has been managing money market funds since 1987, and as an institution, J.P. Morgan has been solving client liquidity needs for over 200 years. Today, we manage about $885 billion in short-term fixed income assets, of which roughly $735 billion sits in money market funds and liquidity separately managed accounts.... The money market fund offering has evolved and expanded significantly over time, and today is comprised of over 30 funds, managed in 8 different currencies across an array of on- and offshore vehicles, including our pioneering AAA-rated RMB offering in Asia."

Tufts adds, "The portfolio management team is distributed across the U.S., London and Hong Kong with an average of 22 years of experience. Without a doubt, I think that global reach and depth of experience throughout multiple rate cycles and stressed scenarios over the years helped us emerge from last year's volatility in a strong position across the platform.... I've been with J.P. Morgan my entire career, having started with the firm in the summer analyst program in 1995."

The "Boston Fed" article tells readers, "The Federal Reserve Bank of Boston's new paper, 'Money Market Mutual Funds: Runs, Emergency Liquidity Facilities, and Potential Reforms,' is causing quite a stir in the money fund industry. Authored by Kenechukwu Anadu and Siobhan Sanders, it states, 'Twice in the past 12 years, prime and tax-exempt money market mutual funds (MMMFs), collectively non-government MMMFs, have experienced large investor redemptions and runs.... These strains only abated after the Board of Governors of the Federal Reserve System and the United States Department of the Treasury took emergency actions, including the establishment of lending facilities for non-government MMMFs.'"

The piece continues, "Policymakers are now examining potential reform options to enhance non-government funds' resilience and reduce run risk. An option worth examining is a requirement that all non-government MMMFs convert to government MMMFs, which remained resilient -- and even experienced large inflows -- during periods in which non-government funds experienced runs. An option worth examining is a requirement that all non-government MMMFs convert to government MMMFs, which remained resilient -- and even experienced large inflows -- during periods in which non-​govt funds experienced runs."

MFI also includes the News brief, "NY Fed Blogs on WLAs and Retail vs. Inst Prime Runs," It says, "The Federal Reserve Bank of New York published, ‘Sophisticated and Unsophisticated Runs,’ written by Marco Cipriani and Gabriele La Spada. The piece tells us, 'In March 2020, U.S. prime money market funds (MMFs) suffered heavy outflows following the liquidity shock triggered by the COVID-19 crisis.... In this post, based on a recent Staff Report, we contrast the behaviors of retail and institutional investors during the run and explain the different reasons behind the run.'"

Another News brief, "SEC Stats: Assets Retake $5 Trillion; Govt MMFs Break $4T," explains, "The SEC's 'Money Market Fund Statistics' summary shows total money fund assets increased $46.3 billion in April to $5.040 trillion. (According to Crane Data, MMFs assets rose by $74.0 billion in May.) Prime MMFs rose by $1.3 billion in April to $929.2 billion, Govt & Treasury funds increased $48.4 billion to $4.006 trillion and Tax Exempt funds decreased $3.4 billion to $104.8 billion. Yields were down again in April."

Our June MFI XLS, with May 31 data, shows total assets increased $74.0 billion in May to $5.066 trillion, after increasing $62.2 billion in April, jumping $151.0 billion in March, rising $30.8 billion in February and $5.6 billion in January. Assets decreased $6.7 billion in December, $11.7 billion in November, $46.8 billion in October, $121.2 billion in September, $42.3 billion in August, $44.2 billion in July and $113.0 billion in June. Our broad Crane Money Fund Average 7-Day Yield was unchanged at 0.02%, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.02%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both stand at 0.09%. Charged Expenses averaged 0.07% for the Crane MFA and 0.07% for the Crane 100. (We'll revise expenses on Tuesday once we upload the SEC's Form N-MFP data for 5/31.) The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 38 (down two days from the previous month) and 39 days (down three days), respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

The Investment Company Institute's latest weekly "Money Market Fund Assets" report shows MMFs increasing for their 4th week in a row, inching up $3.4 billion following last week's huge increase of $67.7 billion. The release says, "Total money market fund assets increased by $3.35 billion to $4.61 trillion for the week ended Wednesday, June 2.... Among taxable money market funds, government funds increased by $1.74 billion and prime funds increased by $663 million. Tax-exempt money market funds increased by $938 million." ICI's weekly "Assets" release shows money fund assets up $315 billion, or 7.3%, year-to-date in 2021. Inst MMFs are up $404 billion (14.6%), while Retail MMFs are down $90 billion (-5.9%). (Note: Register here for our next webinar, "Asian Money Fund Symposium," which is June 17 from 10am-12pm EDT.)

ICI's stats show Institutional MMFs increasing $8.5 billion and Retail MMFs decreasing $5.1 billion in the latest week. Total Government MMF assets, including Treasury funds, were $4.023 trillion (87.2% of all money funds), while Total Prime MMFs were $495.2 billion (10.7%). Tax Exempt MMFs totaled $94.1 billion (2.0%). Over the past 52 weeks, money fund assets have decreased by $140 billion, or -2.9%, with Retail MMFs falling by $131 billion (-8.4%) and Inst MMFs falling by $8 billion (-0.3%). (Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're almost $400 billion lower than our asset series.)

It explains, "Assets of retail money market funds decreased by $5.13 billion to $1.44 trillion. Among retail funds, government money market fund assets decreased by $3.97 billion to $1.12 trillion, prime money market fund assets decreased by $1.06 billion to $234.01 billion, and tax-exempt fund assets decreased by $96 million to $82.60 billion." Retail assets account for just under a third of total assets, or 31.1%, and Government Retail assets make up 78.0% of all Retail MMFs.

ICI adds, "Assets of institutional money market funds increased by $8.47 billion to $3.18 trillion. Among institutional funds, government money market fund assets increased by $5.72 billion to $2.90 trillion, prime money market fund assets increased by $1.72 billion to $261.20 billion, and tax-exempt fund assets increased by $1.03 billion to $11.45 billion." Institutional assets accounted for 68.9% of all MMF assets, with Government Institutional assets making up 91.4% of all Institutional MMF totals.

In other news, fund news source ignites writes, "Boston Fed Officials Float Killing Prime, Muni Money Funds." The article tells us, "Two Boston Federal Reserve officials last month proposed a drastic change for money market funds. Regulators should consider requiring that prime and municipal money funds convert to government funds, which would reduce 'the vulnerabilities' stemming from the sector, argue Kenechukwu Anadu and Siobhan Sanders in a May 21 article. Converting all 'non-government funds' -- both retail and institutional -- to government money funds would also lessen 'the likelihood of future official sector support,' they wrote in their paper, 'Money Market Mutual Funds: Runs, Emergency Liquidity Facilities, and Potential Reforms.'" (See our May 27 News, "Boston Fed Paper Proposes Requirement to Convert All MMFs to Govt.")

The piece continues, "Prime and municipal money funds made up about 20% of the $4.9 trillion in total money fund assets as of April 30, according to Crane Data. Prime funds represented about $914 billion and municipal funds had $105 billion, the money fund tracker's data shows. In March 2020, investors pulled about $100 billion from institutional prime funds in a two-week period. The outflows abated after the government intervened in several ways that directly and indirectly helped money funds."

The ignites explains, "The conversion to government funds would be 'relatively simple to implement, and market adjustment to this change could be facilitated by an appropriately lengthy transition period,' the Boston Fed officials said.... 'Notably, the largest prime fund sponsor did so on its own last year,' the paper's authors note, referring to Vanguard. The fund giant last August announced it would reorganize its $125 billion retail prime fund into a government fund.... Fidelity announced a year ago that it would liquidate two institutional prime funds with nearly $14 billion in assets at the time. Northern Trust said in December that it would exit prime and municipal funds because the 'risk-reward [balance]' had become 'misaligned.'"

It states, "Eliminating prime and municipal money market funds was not part of the potential reforms that the President's Working Group on Financial Markets outlined in December. Two months later, the SEC requested public comment on the suggested reforms. But the paper by Boston Fed officials 'legitimizes' the idea of doing away with prime and municipal money funds, says Peter Crane, CEO of Crane Data. However, opposition to killing the two money fund categories is strong, he notes. '[I]f they try to go that route, they're going to meet some fierce resistance,' Crane says."

The article says, "In fact, a May 24 comment letter penned by nearly 40 high-profile executives, academics and former regulators cites the Boston Fed officials' paper and mounts a defense to that proposal. 'We ... do not support abolishing prime money market funds,' the Committee on Capital Markets Regulation wrote. Members include Barbara Novick, former vice chair at BlackRock, as well as two former SEC commissioners, Daniel Gallagher and Roel Campos. 'Prohibiting prime [money market funds] would ... have unclear effects on financial stability as institutional investors could shift their assets to less-regulated alternatives,' the research group wrote. 'Abolishing prime [money market funds] could also have unintended consequences, including increasing funding costs for issuers of short-term debt and reducing returns for investors in prime [money market funds].'"

It adds, "Some of the possible reforms included in the President's Working Group report would ultimately result in eliminating prime and municipal funds, Crane notes. For example, the group proposed requiring that money funds hold capital in reserve to meet redemptions or that sponsors commit to supporting troubled products. The President's Working Group said it aimed to facilitate discussion and did not endorse any specific proposals."

Finally, ignites comments, "Many in the fund industry are lobbying for a more targeted reform: that the SEC reconsider its current practice of linking requirements for weekly liquid assets to the possibility of imposing liquidity fees and redemption gates. There is 'widespread agreement' that the link between the two 'exacerbated outflows from institutional prime funds during March 2020,' ICI Chief Economist Sean Collins said in a statement. 'It follows that regulators should focus their efforts on delinking.'"

The Federal Reserve Bank of New York posted a study on its Liberty Street Economics blog entitled, "Sophisticated and Unsophisticated Runs." Written by Marco Cipriani and Gabriele La Spada, the piece tells us, "In March 2020, U.S. prime money market funds (MMFs) suffered heavy outflows following the liquidity shock triggered by the COVID-19 crisis. In a previous post, we characterized the run on the prime MMF industry as a whole and the role of the liquidity facility established by the Federal Reserve (the Money Market Mutual Fund Liquidity Facility) in stemming the run. In this post, based on a recent Staff Report, we contrast the behaviors of retail and institutional investors during the run and explain the different reasons behind the run."

The post explains, "The chart below shows cumulative percentage outflows from prime MMFs offered to retail and institutional investors from January to April 2020. Institutional funds suffered larger outflows than retail ones, with outflows for institutional funds reaching 29 percent by March 26 versus only 7 percent for retail funds. The higher responsiveness of institutional investors to shocks buffeting the industry was also observed during the 2008 run, following Lehman Brothers' bankruptcy." (Note: The NY Fed's totals didn't include a number of Prime Inst MMFs covered by the SEC and Crane Data, so the outflows appear much larger than our totals.)

It continues, "Not only did institutional prime funds suffer more outflows than retail ones, but there was also large heterogeneity within both institutional and retail funds. As the table below shows, whereas the median institutional prime fund suffered a 30 percent cumulative percentage outflow, one-quarter of institutional funds experienced outflows smaller than 11 percent and one-quarter experienced outflows larger than 40 percent. Similarly, the median retail prime fund suffered outflows of 1 percent, whereas one-quarter of retail funds experienced inflows greater than 9 percent and one-quarter experienced outflows greater than 12 percent. Understanding why some institutional and retail investors ran while others did not is the focus of our work."

The authors ask, "Why Did Institutional Investors Run?" They answer, "The 2014 reform of the MMF industry, enacted in October 2016, forced all prime funds to adopt a system of redemption gates and liquidity fees contingent on the level of the fund's weekly liquid assets (WLA) -- that is, cash, Treasuries, and other very liquid securities. If a fund's WLA fall below 30 percent of its total assets, the fund is allowed to impose a liquidity fee of up to 2 percent on all redemptions or temporarily suspend redemptions for a period of up to ten business days. If the fund's WLA fall below 10 percent, the fund is required to impose a fee of 1 percent, unless the board of directors determines that such a fee is not in the best interests of the fund shareholders. One concern is that a fund's WLA may provide a focal point for investors to run, generating a so-called preemptive run; it is therefore interesting to study whether, during the COVID-19 run, investor outflows were larger in prime funds with lower WLA."

The New York Fed authors say, "Teasing out the impact of WLA on run behavior, however, is complicated by the fact that WLA are themselves impacted by redemptions: typically, funds meet redemptions by selling some of their liquid securities, thereby reducing their WLA. In other words, redemptions may be higher in funds with lower WLA not because low WLA cause redemptions, but because redemptions lower WLA. To correct for this endogeneity problem, in the chart below, we plot fund outflows during the run (March 6-26, 2020) as a function of each fund's past WLA level (as measured in the fourth quarter of 2019)."

Cipriani and La Spada write, "There is strong negative relationship between an institutional fund's WLA in the fourth quarter of 2019 and the outflows it experienced during the run. Indeed, regression analyses show that a 10 percentage point decrease in WLA in the fourth quarter of 2019 increases daily percentage outflows by 1.1 percentage points during the run; this is a very large effect considering that the run lasted approximately twenty days. Note that the relationship between outflows and WLA is not present in retail funds. Whereas institutional investors in prime MMFs were concerned about the impact of their funds' WLA on their access to liquidity, this was not the case for retail investors."

The post also asks, "Why Did Retail Investors Run?" It responds, "Since prime retail funds still operate with a stable net asset value (NAV), one could imagine that outflows were driven by the likelihood that a fund may break the buck (in other words, that the fund's NAV per share may drop by more than 50 basis points), which would lead to a repricing of the fund's shares and a credit loss for the investors. This does not seem to be the case. The chart below shows outflows from retail funds over the March 2020 run as a function of each fund's minimum shadow NAV (the per-share NAV based on the market value of the securities in the fund's portfolio) during the same period. Retail funds whose NAV reached lower levels during the run did not experience larger outflows."

It states, "If neither WLA nor the NAV mattered for retail investors, what drove the heterogeneity of retail outflows during the COVID-19 run? The chart below shows cumulative percentage outflows from retail prime funds separately for two fund groups: those belonging to families that also offer institutional prime funds and those belonging to families that do not offer institutional prime funds. Retail outflows are concentrated in retail prime funds belonging to families that also offer institutional prime funds. Indeed, our regression analyses show that retail funds belonging to families with institutional prime funds experienced 1.4 percentage point higher daily percentage outflows during the run, a very sizable effect over a twenty-day period."

The post adds, "How can we explain such spillover from the institutional to the retail prime MMF sector? One possibility is that retail investors, who are generally less sophisticated, use the behavior of institutional investors in their own family as a signal, attaching to it informational value on the risk of the family's retail funds. Indeed, not only did retail funds in families also offering institutional funds suffer larger outflows, but the size of retail outflows in these families is also positively correlated with the family's institutional outflows. Our regression analysis shows that, during the run, a 10 percentage point daily outflow from a family's institutional prime funds caused an additional 3 percentage point outflow in the family's retail funds over the next five days."

Finally, it concludes, "Outflows from institutional prime MMFs during the early stages of the COVID-19 pandemic were higher in funds with lower weekly liquid assets (WLA), for which the imposition of gates or fees was more likely (consistent with the idea of preemptive runs). Retail investors did not respond to funds' WLA or NAV but rather left funds from families with larger institutional outflows. This evidence suggests that the motivations behind the runs of institutional and retail investors are different."

In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Wednesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of May 28, 2021) includes Holdings information from 46 money funds (down 23 funds from a week ago), which represent $1.680 trillion (down from $2.062 trillion) of the $4.917 trillion (34.2%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.)

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $804.2 trillion (down from $1.006 billion a week ago), or 47.9%, Repurchase Agreements (Repo) totaling $525.9 billion (down from $580.5 billion a week ago), or 31.3% and Government Agency securities totaling $182.2 billion (down from $231.6 billion), or 10.8%. Commercial Paper (CP) totaled $56.6 billion (down from $83.1 billion), or 3.4%. Certificates of Deposit (CDs) totaled $46.7 billion (down from $58.6 billion), or 2.8%. The Other category accounted for $46.5 billion or 2.8%, while VRDNs accounted for $17.5 billion, or 1.0%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $804.2 trillion (47.9% of total holdings), Federal Reserve Bank of New York with $154.8B (9.2%), Federal Home Loan Bank with $98.5B (5.9%), BNP Paribas with $47.2B (2.8%), RBC with $36.7B (2.2%), Federal Farm Credit Bank with $36.0B (2.1%), Federal National Mortgage Association with $31.8B (1.9%), JP Morgan with $28.7B (1.7%), Fixed Income Clearing Corp with $26.4B (1.6%) and Societe Generale with $25.4B (1.5%).

The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($229.5 billion), Wells Fargo Govt MM ($160.6B), Fidelity Inv MM: Govt Port ($131.7B), Morgan Stanley Inst Liq Govt ($130.6B), Dreyfus Govt Cash Mgmt ($118.6B), JP Morgan 100% US Treas MMkt ($108.6B), First American Govt Oblg ($100.8B), State Street Inst US Govt ($86.0B), JPMorgan Prime MM ($76.9B) and, Morgan Stanley Inst Liq Treas Sec ($65.3B). (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.)

Last week, Fitch Ratings hosted a webinar entitled, "Cash Investment in China," which featured Fitch Ratings' Alastair Sewell and J.P. Morgan Asset Management's Aidan Shevlin. The pair discussed, "The evolving cash management landscape in China; The rise of Chinese money market funds; Differences between Chinese and US/European money market funds; [and] The outlook for Chinese money market funds: current trends and new developments." Below we excerpt some of the highlights, and we also review the latest on yields. (Note: Register for Crane Data's next free webinar, "Asian Money Fund Symposium," which takes place June 17, from 10am-12pm EDT. This 2-hour presentation on money market funds in Asia will also feature Aidan Shevlin of J.P. Morgan Asset Management and Alastair Sewell of Fitch Ratings, along with Pat O'Callaghan of Goldman Sachs A.M., Andrew Paranthoiene of S&P Global and Peter Crane of Crane Data. Please join us!)

On Fitch's China event, Shevlin says, "The timing of this call is actually very interesting, I was talking with my colleagues in Shanghai just today and they were mentioning that they were celebrating their 17th anniversary. They [CIFM] were one of the earliest fund managers to launch in China. So, [this] shows how young this market is. If we roll the clock back to 1999, the early 2000s, if you were an investor in China or one of the multinational companies starting to operate there, you had extremely limited options for where to place your cash. It was basically time deposits or time deposits, there was nothing else available. And at that time, all of the time deposits ... in China would have to be controlled by the PBOC or Central Bank. They set the interest rates for all loans [and] all the time deposits. So regardless of your credit quality, regardless of the credit quality of the bank you were placing with, you were getting exactly the same interest rate and that to a lot of frustration in the market."

He explains, "When you were only closing time deposits 20 years ago, it was a simple structure [that] everyone understood, and it was relatively risk free because you were closing with banks which were owned by the government. It was basically both almost, and explicit, and implicit government guarantee. Those guarantees have gone now, and the range of products we have today is huge and the range of risks associated with those products is also huge. We're now in a much different environment, where you've got more choice, more ability to earn a higher return, but also considerably more risk, which we've seen evolving over the last few years."

Sewell comments, "You mentioned that regulation has developed steadily in China.... I think it was 2003 that money market funds first appeared in China.... But over a relatively short period of time, compared with the U.S. where these things have been around for over 40 years, [Chinese] money market funds have expanded quite rapidly. You see that here on this chart ... which shows you the expansion of the money market fund industry in China. It's grown enormously and it's grown rapidly. So, what has been driving the growth of money market funds in China? What was change in 2013, which drove assets to increase so significantly?"

Shevlin responds, "You are definitely correct, and I think you make a very good point. Money market funds have definitely been one of the success stories of the liberalization of interest rates and financial markets in China, and they really benefited from that liberalization.... [S]howing the mutual fund industry growth in China over the last, say, several years, it's grown rapidly. It's totaling about ... $3 trillion U.S. dollars, which is extremely large by global standards."

In related news, Fitch Ratings published the brief, "U.S. Money Market Funds: May 2021." It states, "Government MMFs Asset Gains Continue: Total taxable money market fund (MMF) assets increased by $36 billion from March 31, 2021 to April 30, 2021, according to iMoneyNet data. Government MMFs gained $45 billion in assets during this period, offset by a $9 billion decrease in prime MMF assets."

Fitch writes, "Prime MMFs have been steadily decreasing exposure to government securities while increasing exposure to commercial paper (CP), partially driven by managers' search for yield in the current low rate environment and the limited supply of treasuries. Prime MMFs increased CP exposure by $22 billion and decreased government exposures by $192 billion, from August 31, 2020 to April 30, 2021, according to Crane Data."

They add, "Low Yields Persist: Since the U.S. Federal Reserve cut rates in response to market volatility in March 2020, MMF yields have remained at near-zero levels, and are likely to stay as the Fed continues to support low rates. As of April 30, 2021, institutional government and prime MMF yields were 0.02% and 0.03%, respectively, per iMoneyNet data."

Crane Data's statistics also show money market fund yields continuing to bottom out just above zero. Our flagship Crane 100 remained unchanged in the last week to 0.02%. The Crane 100 Money Fund Index fell below the 1.0% level over a year ago in mid-March, and below the 0.5% level in late March. It is down from 1.46% at the start of 2020 and down from 2.23% at the beginning of 2019.

Over three-quarters of all money funds and over half of MMF assets have since landed on the zero yield floor, though many continue to show some yield. According to our Money Fund Intelligence Daily, as of Friday, 5/28, 646 funds (out of 811 total) yield 0.00% or 0.01% with assets of $2.924 trillion, or 58.0% of the total $5.038 trillion. There are 161 funds yielding between 0.02% and 0.10%, totaling $2.090 trillion, or 41.5% of assets; 4 funds yielded between 0.11% and 0.20% with $23.2 billion. No funds yield over 0.15%.

The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 654), shows a 7-day yield of 0.02%, unchanged in the week through Friday, May 28. The Crane Money Fund Average is down 45 bps from 0.47%, a year ago at beginning of April. Prime Inst MFs were unchanged at 0.03% in the latest week, Government Inst MFs were flat at 0.02%, and Treasury Inst MFs were unchanged at 0.01%. Treasury Retail MFs currently yield 0.01%, (unchanged in the last week), Government Retail MFs also yield 0.01% (unchanged in the last week), and Prime Retail MFs yield 0.01% (unchanged). Tax-exempt MF 7-day yields were also unchanged at 0.01%. (Let us know if you'd like to see our latest MFI Daily.)

Our latest Brokerage Sweep Intelligence, with data as of May 28, showed no changes in the last week. All major brokerages, with the exception of RW Baird, offer rates of 0.01% for balances of $100K. No brokerage sweep rates or money fund yields have 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 58 weeks at 0.01% (for balances of $100K). Ameriprise, E*Trade, Fidelity, Merrill Lynch, Morgan Stanley, Raymond James, 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). RW Baird offers a rate of 0.02% for its balances of $100K.

Over the past month-and-a-half, we've quoted from most of the 50 letters written in response to the SEC's "Request for Comment on Potential Money Market Fund Reform Measures in President's Working Group Report". Today, we finish the job and quote from the handful of late entrants, including missives from the Committee on Capital Markets Regulation, The Carfang Group and Attorney Stephen Keen. See here for the list of comment letters and see these Crane Data News stories for our highlights: "More Handicapping: Cohen on Reform Timeline; SSGA; FT on Cash Glut" (5/25/21), "Crane and Dechert'​s Cohen: Handicapping Money Fund Reform Webinar" (5/24/21), "May MFI: ICI Defends MMFs; SEC, PWG Report Comments" (5/7/21), "Dear SEC: Rest of Top 20 Weigh In; SSGA, Invesco, T. Rowe, Western" (4/29/21), "Dreyfus, Wells, Northern on PWG and Reforms: Treasuries, Runs, Float" (4/28/21), "Federated Hermes Blasts PWG: MMFs Didn't Cause, No Structural Issues" (4/21/21), "Schwab, Vanguard SEC Comments Support Floating NAV for Prime Retail" (4/19/21), "ICI Comments to SEC on Reforms: No Silver Bullet, MMFs Didn't Cause" (4/14/21), "BlackRock Tells SEC Look Holistically" (4/22/21), "Fidelity: Preserve and Protect MMFs" (4/15/21), "JPMAM Urges Incremental Change (4/14/21). (See also the replay of our "Handicapping Money Fund Reforms" webinar for more.)

The CCMR letter tells us, "This report by the Committee on Capital Markets Regulation examines the role of money market funds in the March 2020 COVID crisis and sets forth reforms that would enhance the liquidity of MMFs that primarily invest in short-term private debt securities ('prime MMFs'). The Committee's recommendations are intended to significantly reduce the likelihood that government intervention to support prime MMFs will be necessary in a future crisis."

It continues, "We evaluate policy reforms to prime MMFs that would enhance their resiliency and reduce the likelihood of future government support. We begin by evaluating whether prime MMFs should be abolished. We find that doing so would not eliminate the contagion risk associated with uninsured wholesale short-term funding of which prime MMFs represent only a very small share. Prohibiting prime MMFs would also have unclear effects on financial stability as institutional investors could shift their assets to less-regulated alternatives. Abolishing prime MMFs could also have unintended consequences, including increasing funding costs for issuers of short-term debt and reducing returns for investors in prime MMFs. We therefore do not support abolishing prime MMFs."

The letter explains, "We then set forth recommendations for enhancing the resiliency of prime MMFs. The 2020 crisis demonstrated that prime MMFs' liquidity buffers did not function as intended. Investors in prime MMFs treated the 30 percent minimum as a floor, because breaching that minimum provided MMF boards with the authority to restrict or apply a fee to withdrawals. The SEC can therefore reduce the incentive of investors to withdraw by simply eliminating liquidity fees and gates thereby allowing prime MMFs to use their liquidity buffers to meet investor withdrawals. We further recommend that the SEC enhance the quality of prime MMFs' liquidity buffers to promote investor confidence in the ability of prime MMFs to withstand market stress. One way that the SEC could do so is by requiring that prime MMFs hold 25-50% of their weekly liquidity buffer in short-term U.S. government securities, including U.S. government agency securities."

The CCMR writes, "Next, we examine proposals to impose capital buffers on prime MMFs. We find that capital requirements would substantially increase the cost of operating prime MMFs, which would likely prevent sponsors from offering such funds. Even if sponsors continued to offer prime MMFs with capital requirements, it is not clear that capital buffers against losses would meaningfully reduce the incentive of investors to withdraw in a crisis. We therefore do not support capital buffers for prime MMFs."

They add, "Finally, we consider swing pricing proposals for prime MMFs. Swing pricing authorizes prime MMFs to impose additional fees on redeeming investors, typically after a certain withdrawal threshold based on total AUM is met (e.g., such as 10% of total AUM are withdrawn from a fund). We find that swing pricing would be impractical to implement for prime MMFs as doing so would prevent same-day settlement -- a key feature for institutional investors in prime MMFs. Swing pricing would also be ineffective at reducing the incentive of investors to withdraw in a crisis. We therefore do not support swing pricing for prime MMFs."

The Carfang Group's comment letter, tells us, "The Carfang Group appreciates the opportunity to offer comments in response to the Commission's release of the December 2020 President's Working Group on Financial Markets, Overview of Recent Events and Potential Reform Options for Money Market Funds. We applaud all efforts to enhance the U.S. capital markets, already the broadest, deepest and most liquid in the world. We especially encourage policies that facilitate the efficient flow of working capital to corporations and municipalities, the engines of economic growth, job creation and infrastructure funding. Efficient flow of capital between investors and issuers is paramount."

It continues, "The Carfang Group strongly encourages the Commission, and more broadly, all financial regulators, to avoid premature rule making until (1) the totality of the multi-trillion-dollar capital flows during the March 2020 crisis are examined, (2) the roles that all market participants and regulators played are understood, and (3) the efficacy of the trillions of dollars of government support across the financial markets and institutions is evaluated.... Some of the failures, shortcomings and omissions of the PWG Report have been documented.... Those papers and others demonstrate why the report should not be relied upon as the basis of yet another round of regulation of Prime Money Market Funds (PMMFs) at this time."

In a section entitled, "Crisis-Related Market Turmoil in Perspective," Carfang writes, "PMMF redemptions represented only 6% of the money in motion during the March 2020 crisis.... Since the implementation of the 2014 regulations, PMMFs' role had already been significantly diminished to just 5% of the liquidity market.... PMMF liquidation of just 3% of the outstanding commercial paper (CP) in March 2020 was not a crisis accelerant.... PMMFs, once again, weathered this crisis as the most resilient non-government backed asset class.... All short-term asset classes, public and private sector alike, received trillions of dollars in financial support and/or regulatory forbearance during the crisis."

The comment concludes, "The scope of the PWG Report is far too narrow to provide a useful framework for enacting new regulations on PMMFs.... Before rushing into premature decisions, regulators need to understand (1) the totality of the multi-trillion-dollar capital flows during that period, (2) the roles that all market participants and regulators played, and (3) the efficacy of the trillions of dollars of government support across the financial markets and institutions."

Finally, veteran money fund attorney Stephen Keen's comment letter, begins, "I am writing to comment on the process for developing proposals for the further reform of money market fund regulations. Although my questions and comments are prompted by the Report of the President's Working Group on Financial Markets Overview of Recent Events and Potential Reform Options for Money Market Funds, issued December 22, 2020, I do not wish to comment on any of the reforms considered in the Report. Rather, I would like to remind the Securities and Exchange Commission of the importance of conducting careful fact finding and analysis as to the behavior of money market funds and their shareholders during March 2020 before developing any reform proposals."

It continues, "Although none of the current commissioners were at the Commission during the adoption of the major reforms to Rule 2a-7 in 2014, the current Acting Director of the Division of Investment Management, Sarah ten Siethoff, was and should be able to confirm my observations. In my view, the Division of Risk, Strategy, and Financial Innovation's Money Market Fund Study: Response to Questions Posed by Commissioners Aguilar, Paredes, and Gallagher (Experience through the Financial Crisis, Efficacy of 2010 Reforms, and Potential Economic Effects of Future Reforms), issued November 30, 2012 (the '2012 MMF Study'), was a key step in the reform process. Frankly, the actions prior to the 2012 MMF Study, including the previous PWG report, the MMF roundtable and the Financial Stability Oversight Council recommendations, struck me as a waste of time due to their superficial analysis of the failure of the Reserve Primary Fund and its aftermath."

Keen explains, "The gist of my recommendation is that IM and DERA should do more analysis of this data and use the Commission's examination authority to fill any holes in the information. Although I have suggested some specific questions for the Commission's staff to consider, the Prime MMF Report illustrates the importance of testing assumptions against the data. For example, conventional wisdom was that MMFs managed by banks and investment banks would be less likely to suffer redemptions because investors would believe they have more resources with which to support their MMFs. Yet the Prime MMFs Report finds 'funds with advisers owned by the largest U.S. banks designated as global systemically important banks accounted for 56% of the outflows in the third week of March even though these funds managed only around 28% of net assets in publicly offered prime institutional MMFs.' This could suggest that requiring advisers to provide fund support may not be effective in preventing large scale redemptions."

In a section on "Questions for Further Analysis," he asks, "Were there earlier indications that the cash flows of Supported Funds were more volatile than other prime or tax-exempt funds? ... Did the portfolio composition of the Supported Fund that reported a market-based NAV below $0.9975 differ significantly from other tax-exempt MMFs? ... [W]ere there particular CP issuers that the MMFs chose not to roll over? ... this would be consistent with a reaction to general market conditions.... Who were the market participants who 'reported concerns that the imposition of a fee or gate by one fund, as well as the perception that a fee or gate would be imposed by one fund, could spark widespread redemptions from other funds, leading to further stresses in the underlying markets?' Did these participants redeem from MMFs and was this the primary reason?"

Keen also writes, "The Report states that one tax-exempt MMF nevertheless reported a market-based NAV of less than $0.9975 and required sponsor support. But this should not have been due to a drop in the price of its seven-day VRDNs. I expect it more likely that the fund (a) had already realized losses from earlier sales of portfolios securities, (b) sold longer-term portfolio holdings in response to redemptions in March and (c) redemptions during March increased the significance of these realized losses. In all events, it would be helpful for DERA to include such details in its analysis.... In summary, I cannot find a structural problem with tax-exempt MMFs."

The letter concludes, "I urge the Commission to learn from its experience during the proposal and adoption of the amendments to Rule 2a-7 in 2014. The Chairwoman's recalcitrance in authorizing the 2012 MMF Study and request for the Financial Stability Oversight Council to intercede served only to delay consideration and adoption of the eventual reforms. I do not know why the Commission chose to give MMFs with fluctuating NAVs or tax-exempt MMFs the power to impose a liquidity fee or temporarily suspend redemptions, but if it was to placate the Treasury Secretary and Chairman of the Federal Reserve Board, the choice was counterproductive.... Finally, any reforms to Rule 2a-7 will be irrelevant if the Commission and other authorities continue to allow issuers of stable-dollar cryptocurrencies to pay interest on their currencies without registering as investment companies or obtaining bank charters."