News Archives: September, 2024
The September issue of our Bond Fund Intelligence, which will be sent to subscribers Monday morning, features the stories, "Vanguard Adds Core Tax-Exempt & Short Tax-Ex ETF," which quotes a press release on some new ETF launches, and "JPM: Short Bond Funds See Inflows; SEC on Form N-PORT," which discusses recent inflows into short-term bond funds. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund returns rose again in August while yields were lower. We excerpt from the new issue below. (Contact us if you'd like to see our latest Bond Fund Intelligence and BFI XLS spreadsheet, or our Bond Fund Portfolio Holdings data.)
BFI's "Vanguard" article states, "A press release, 'Vanguard to Bolster Active Fixed Income Lineup with Two Active Municipal ETFs,' explains, 'Vanguard ... announced plans to introduce Vanguard Core Tax-Exempt Bond ETF (VCRM) and Vanguard Short Duration Tax-Exempt Bond ETF (VSDM), two active municipal ETFs ... managed by Vanguard Fixed Income Group. Vanguard intends to launch the ETFs before the end of the year.'"
The piece says, "Dan Reyes, head of Vanguard Portfolio Review Department, states, 'Vanguard Core Tax-Exempt Bond ETF and Vanguard Short Duration Tax-Exempt Bond ETF underscore the firm's ongoing efforts to improve long-term investor outcomes by offering broadly diversified, low-cost municipal bond exposures with the potential to outperform the market over time.... The new ETFs combine Vanguard Fixed Income Group's proven capabilities and talent with the convenience and flexibility of the ETF structure.'"
Our JPM article states, "J.P. Morgan published a, 'JPM Mid-Week US Short Duration Update,' which states, 'Short-duration bond funds experienced inflows again in both June and July, with AUMs increasing by $5.3bn and $12.4bn, respectively.... This marks three consecutive months of positive net flows into this sector, with July recording the largest monthly increase in net inflows in three years. This recent upward trend has turned total short-term bond fund AUMs positive for 2024, with total balances up $16.3bn to nearly $800bn as of 7/31. Leading the increases this year were short-term multi-asset funds with $8.3bn, ultrashort credit funds with $7.8bn, and ultrashort multi-asset funds with $4.4bn. In contrast, short-term government and ultrashort government funds saw decreases of $5.8bn and $1.5bn, respectively.'"
It states, "They write, 'The upward momentum into short-duration bond funds is not surprising considering their performance over the past few months. Since May, monthly total returns have remained positive, with July marking the strongest performance across all strategies thus far in 2024.... This trend aligns with the shift in investors' expectations of Fed policy over recent months, as evidenced by the narrowing spread between the 2-year Treasury yield and the Fed funds rate.'"
Our first News brief, "Returns Up Again, Yields Lower in August," explains, "Bond fund returns were higher for the 4th month in a row in August, while yields were again lower. Our BFI Total Index rose 1.12% over 1-month and is up 7.79% over 12 months. (Money funds rose 5.27% over 1-year as measured by our Crane 100 Index.) The BFI 100 increased 1.22% in August and 8.01% over 12 mos. Our BFI Conservative Ultra-Short Index was up 0.56% over 1-month and 6.02% for 1-year; Ultra-Shorts rose 0.62% and 6.72%. Short-Term returned 0.93% and 7.35%, and Intm-Term rose 1.42% in August and 7.86%. BFI’s Long-Term Index was up 1.52% and 8.25%. High Yield rose 1.27% in August and 10.49% for 12 mos."
A second News brief, "Bloomberg Says, 'Exodus Shrinks Wamco Key Bond Fund to Under $15 Billion.'" It says, "They explain, 'A wave of investor redemptions slashed the size of Western Asset Management Co.'s flagship core plus bond fund below $15 billion, a decline of more than one-third so far this year, as clients pull back after a federal investigation of the firm's veteran trader and co-chief investment officer Ken Leech.'"
Our next News brief comments, "WSJ's 'The Right Reason to Buy Bonds,'" explains, "If you buy bonds, make sure you do it for the right reasons. Whereas equity investors have had a bumpy few months, believers in the venerable 60/40 portfolio should be permitted a victory lap: ... [T]he 4.2% stock drawdown that happened last week translated into only a 1.9% loss for the 60/40 portfolio. 'Fixed income has finally regained its traditional hedging property,' said Roger Hallam, global head of rates at Vanguard. Nonetheless, the strongest reason to own bonds over the long term is an even simpler one: the income they generate."
A BFI sidebar, "MStar Cites 3 Top Managers," says, "Morningstar writes on 'How 3 Top Bond Fund Managers Are Preparing for Fed Rate Cuts.' it states, 'They tell us, 'Nearly two and a half years after the Federal Reserve kicked off a massive increase in interest rates, the bond market is heading in a new direction.... That should be good news for bond investors. The big unknowns are how far bond yields will come down, and at what pace. Also unknown is which corners of the bond market will outperform and which will lag. That has fund managers charting different potential approaches.'"
Finally, another sidebar, "BF Assets Up Again in August," tells readers, "Bond fund assets rose for the fourth straight month in August, increasing $31.2 billion to $2.834 trillion (after rising $54.3 billion last month), according to Bond Fund Intelligence. Assets have risen by $184.6 billion, or 7.0%, over 12 months. Bond ETFs jumped by $26.9 billion to $1.169T in August."
The Federal Reserve released its latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (a.k.a. "Flow of Funds") on Thursday. Among the 4 tables it includes on money market mutual funds, the Second Quarter 2024 edition shows that Total MMF Assets increased by $107 billion to $6.547 trillion in Q2'24. The Household Sector, by far the largest investor segment with $4.128 trillion, saw the biggest asset increase in Q2, followed by Nonfinancial Corporate Businesses. The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, also showed noticeable increases for the Other Financial Business (formerly Funding Corps) and Mutual Funds categories in Q2 2024. (Note: For those attending our upcoming European Money Fund Symposium, which is Sept. 19-20, 2024 in London, safe travels! See you next week!)
Rest of World, Mutual funds, Exchange-traded funds, Life Insurance Companies, State & Local Governments and Nonfin Noncorporate Business categories saw small asset increases in Q2, while the State and local govt. retirement funds category saw the only asset decrease last quarter. Over the past 12 months, the Household Sector, Nonfinancial Corporate Business, Rest of World and Life Insurance Companies categories showed the biggest asset increases, while Exchange-traded funds saw the biggest asset decrease.
The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows that total assets increased by $107 billion, or 1.7%, in the second quarter to $6.547 trillion. The largest segment, the Household sector, totals $4.128 trillion, or 63.0% of assets. The Household Sector increased by $68 billion, or 1.7%, in the quarter. Over the past 12 months through June 30, 2024, Household assets were up $503 billion, or 13.9%.
Nonfinancial Corporate Businesses, the second-largest segment according to the Fed's data series, held $922 billion, or 14.1% of the total. Assets here increased by $17 billion in the quarter, or 1.9%, and they've increased by $87 billion, or 10.4%, over the past year. Other Financial Business was the third-largest investor segment with $475 billion, or 7.2% of money fund shares. This category jumped $13 billion, or 2.7%, in the latest quarter. Other Financial Business, which we believe includes Securities Lending, has increased by $4 billion, or 0.7%, over the previous 12 months.
The fourth-largest segment, Mutual Funds (a recent addition to the tables), held $229 billion (3.5%). Private Pension Funds was the 5th largest category with 3.1% of money fund assets ($202 billion); it was unchanged for the quarter and up $1 billion, or 0.5% over the last 12 months. The Rest of World remained sixth place in market share among investor segments with 2.9%, or $189 billion, while Nonfinancial Noncorporate Business held $141 billion (2.1%), Life Insurance Companies held $97 billion (1.5%), State & Local Governments held $74 billion (1.1%), Property-Casualty Insurance held $43 billion (0.7%), Exchange-traded Funds held $30 billion (0.5%), and State & Local Govt Retirement held $20 billion (0.3%) 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 “Security Repurchase Agreements” with $2.614 trillion, or 39.9% and "Debt Securities," or Credit Market Instruments, with $3.612 trillion, or 55.2% of the total. Debt securities includes: Open market paper ($282 billion, or 4.3%; we assume this is CP), Treasury securities ($2.450 trillion, or 37.4%), Agency and GSE-backed securities ($741 billion, or 11.3%), Municipal securities ($132 billion, or 2.0%) and Corporate and foreign bonds ($7 billion, or 0.1%).
Another large MMF position in the Fed's series includes `Time and savings deposits ($305 billion, or 4.7%). Money funds also hold minor positions in Miscellaneous assets ($12 billion, or 0.2%) and Foreign deposits ($5 billion, 0.1%). Note: The Fed also lists "Variable Annuity Money Funds," which currently total $45 billion.
During Q2, Debt Securities were down $131 billion. This subtotal included: Open Market Paper (down $34 billion), Treasury Securities (down $114 billion), Agency- and GSE-backed Securities (up $12 billion), Corporate and Foreign Bonds (up $1 billion) and Municipal Securities (up $4 billion). In the second quarter of 2024, Security Repurchase Agreements were up $232 billion, Foreign Deposits were unchanged, Time and Savings Deposits were down by $34 billion, and Miscellaneous Assets were up $38 billion.
Over the 12 months through 6/30/24, Debt Securities were up $1.219 trillion, which included Open Market Paper (up $18B), Treasury Securities (up $1.206T), Agencies (down $13B), Municipal Securities (up $11B), and Corporate and Foreign Bonds (down $3B). Foreign Deposits (up $2 billion), Time and Savings Deposits were up $38B, Securities repurchase agreements were down $619 billion and Miscellaneous Assets were down $10B.
The L.121 table shows `Stable NAV money market funds with $6,124 billion, or 93.5% of the total (up $344B or 6.0% in Q2 and up $858 trillion or 16.3% over 1-year), and Floating NAV money market funds with $424 billion, or 6.5% (down $237.4B or -35.9% in Q2 and down $228B or -34.9% over 1-year). Government money market funds total $5.226 trillion, or 79.8% (up $311.8B or 6.3% in Q2 and up $629B or 13.7% over 1-year), Prime money market funds total $1.188 trillion, or 18.1% (down $210.5B or -15.1% in Q2 and down $10B or -0.9% over 1-year) and Tax-exempt money market funds $133B, or 2.0% (up $5.1B or 4.0% in Q2 and up $11B or 9.1% last year).
The Federal Reserve made some changes to its Z.1 tables several years ago. Describing a "Money market funds sector data source change," the report says, "The money market mutual funds (MMF) sector (tables F.121 and L.121) has been revised beginning 2010:Q4 to reflect a change in data source to Securities and Exchange Commission Form NMFP. The level of assets and shares outstanding of the sector have increased due to the inclusion of private placement MMFs in the source data. Changes in the level due to changes in the data source in 2010:Q4 are recorded as other volume changes in the Financial Accounts."
On "Mutual funds sector holdings of money market funds," Z.1 tells us, "The mutual funds sector (tables F.122 and L.122) has been revised beginning 2010:Q4 to reflect holdings of money market funds not previously reported on the tables. In addition, holdings of repurchase agreements, commercial paper, corporate bonds, and miscellaneous assets have been revised. Additional and revised holdings are estimated using data from Morningstar and Investment Company Institute.... The exchange-traded funds sector (tables F.124 and L.124) has been revised beginning 2010:Q4 to reflect holdings of money market funds not previously reported on the tables."
Crane Data's September Money Fund Portfolio Holdings, with data as of August 31, 2024, show that Other (mostly Time Deposits), Treasuries and Agencies jumped while Repo holdings dropped last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $57.2 billion to $6.494 trillion in August, after increasing $90.4 billion in July, decreasing by $0.4 billion in June, increasing $105.6 billion in May but decreasing $61.4 billion in April. Treasuries increased by $85.8 billion, moving them into the No. 1 spot for largest portfolio segment. Repo, now the second largest segment, decreased $40.2 billion in August after decreasing $21.5 billion in July but increasing $99.3 billion in June. Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: We still have a few seats left for our European Money Fund Symposium next week, Sept. 19-20, in London! We look forward to seeing you next week in England!)
Among taxable money funds, Treasury securities increased $85.8 billion (3.5%) to $2.539 trillion, or 39.1% of holdings, after increasing $24.3 billion in July, decreasing $17.3 billion in June and increasing $51.0 billion in May. Repurchase Agreements (repo) decreased $40.2 billion (-1.6%) to $2.519 trillion, or 38.8% of holdings, in August, after decreasing $21.5 billion in July, but increasing $99.3 billion in June and $26.8 billion in May. Government Agency Debt was up $11.2 billion, or 1.5%, to $758.2 billion, or 11.7% of holdings. Agencies increased $22.9 billion in July, decreased $16.9 billion in June, and increased $19.9 billion in May. Repo, Treasuries and Agency holdings now total $5.815 trillion, representing a massive 89.6% of all taxable holdings.
Money fund holdings of Other (Time Deposits) and CP increased in August while CD fell. Commercial Paper (CP) increased $4.5 billion (1.6%) to $281.2 billion, or 4.3% of holdings. CP holdings increased $8.2 billion in July, but decreased $2.0 billion in June and $2.8 billion in May. Certificates of Deposit (CDs) decreased $13.9 billion (-6.9%) to $186.8 billion, or 2.9% of taxable assets. CDs increased $6.9 billion in July, but decreased $5.6 billion in June and $15.8 billion in May. Other holdings, primarily Time Deposits, increased $9.3 billion (5.0%) to $197.6 billion, or 3.0% of holdings, after increasing $49.0 billion in July, decreasing $57.5 billion in June and increasing $26.2 billion in May. VRDNs increased to $12.9 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Thursday around noon.)
Prime money fund assets tracked by Crane Data decreased to $1.141 trillion, or 17.6% of taxable money funds' $6.494 trillion total. Among Prime money funds, CDs represent 16.4% (down from 17.1% a month ago), while Commercial Paper accounted for 24.6% (up from 23.6% in July). The CP totals are comprised of: Financial Company CP, which makes up 16.8% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 1.3%. Prime funds also hold 0.4% in US Govt Agency Debt, 3.6% in US Treasury Debt, 20.2% in US Treasury Repo, 0.8% in Other Instruments, 14.6% in Non-Negotiable Time Deposits, 7.7% in Other Repo, 10.4% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $3.553 trillion (54.7% of all MMF assets), up from $3.503 trillion in July, while Treasury money fund assets totaled another $1.799 trillion (27.7%), up from $1.762 trillion the prior month. Government money fund portfolios were made up of 21.2% US Govt Agency Debt, 16.8% US Government Agency Repo, 32.6% US Treasury Debt, 28.8% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 74.4% US Treasury Debt and 25.5% in US Treasury Repo. Government and Treasury funds combined now total $5.353 trillion, or 82.4% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $40.2 billion in August to $757.7 billion; their share of holdings fell to 11.7% from last month's 12.4%. Eurozone-affiliated holdings decreased to $494.0 billion from last month's $510.9 billion; they account for 7.6% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $320.6 billion (4.9% of the total) from last month's $336.1 billion. Americas related holdings rose to $5.406 trillion from last month's $5.293 trillion, and now represent 83.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $33.1 billion, or -1.9%, to $1.714 trillion, or 26.4% of assets); US Government Agency Repurchase Agreements (down $1.0 billion, or -0.1%, to $716.5 billion, or 11.0% of total holdings), and Other Repurchase Agreements (down $6.2 billion, or -6.6%, from last month to $87.9 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.8 billion to $191.8 billion, or 3.0% of assets), Asset Backed Commercial Paper (unchanged at $74.2 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $1.3 billion to $15.3 billion, or 0.2%).
The 20 largest Issuers to taxable money market funds as of August 31, 2024, include: the US Treasury ($2.539T, 39.1%), Fixed Income Clearing Corp ($634.0B, 9.8%), Federal Home Loan Bank ($601.4B, 9.3%), the Federal Reserve Bank of New York ($389.8B, or 6.0%), JP Morgan ($220.7B, 3.4%), Citi ($160.0B, 2.5%), BNP Paribas ($147.8B, 2.3%), RBC ($144.4B, 2.2%), Federal Farm Credit Bank ($135.5B, 2.1%), Goldman Sachs ($110.4B, 1.7%), Bank of America ($104.2B, 1.6%), Barclays PLC ($99.4B, 1.5%), Mitsubishi UFJ Financial Group Inc ($82.4B, 1.3%), Wells Fargo ($70.4B, 1.1%), Credit Agricole ($68.3B, 1.1%), Sumitomo Mitsui Banking Corp ($59.5B, 0.9%), Canadian Imperial Bank of Commerce ($59.5B, 0.9%), Toronto-Dominion Bank ($55.7B, 0.9%), Mizuho Corporate Bank Ltd ($51.3B, 0.8%) and Bank of Montreal ($50.8B, 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 Corp ($618.0B, 24.5%), the Federal Reserve Bank of New York ($389.8B, 15.5%), JP Morgan ($212.8B, 8.5%), Citi ($149.7B, 5.9%), BNP Paribas ($136.9B, 5.4%), RBC ($117.7B, 4.7%), Goldman Sachs ($110.2B, 4.4%), Bank of America ($86.3B, 3.4%), Barclays PLC ($81.6B, 3.2%) and Wells Fargo ($66.6B, 2.6%).
The largest users of the $389.8 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($69.4B), Fidelity Cash Central Fund ($39.9B), Goldman Sachs FS Govt ($24.7B), Vanguard Market Liquidity Fund ($21.7B), Vanguard Cash Reserves Federal MM ($21.6B), Fidelity Sec Lending Cash Central Fund ($21.0B), Fidelity Inv MM: MM Port ($12.6B), Fidelity Inv MM: Govt Port ($11.7B), Dreyfus Govt Cash Mgmt ($11.5B) and Fidelity Money Market ($11.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($31.4B, 5.2%), Mitsubishi UFJ Financial Group Inc ($30.8B, 5.1%), Toronto-Dominion Bank ($29.4B, 4.9%), RBC ($26.7B, 4.5%), ING Bank ($24.0B, 4.0%), Credit Agricole ($22.5B, 3.8%), Skandinaviska Enskilda Banken AB ($22.4B, 3.7%), Canadian Imperial Bank of Commerce ($22.4B, 3.7%), DNB ASA ($21.1B, 3.5%) and Bank of Montreal ($20.8B, 3.5%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($24.8B, 13.3%), Sumitomo Mitsui Trust Bank ($12.7B, 6.8%), Bank of America ($11.7B, 6.3%), Toronto-Dominion Bank ($11.5B, 6.2%), Credit Agricole ($11.3B, 6.1%), Sumitomo Mitsui Banking Corp ($10.8B, 5.8%), Canadian Imperial Bank of Commerce ($8.1B, 4.3%), Mizuho Corporate Bank Ltd ($6.6B, 3.5%), Bank of Montreal ($6.1B, 3.3%) and Mitsubishi UFJ Trust and Banking Corporation ($5.5B, 3.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($17.8B, 6.9%), RBC ($17.4B, 6.7%), Bank of Montreal ($13.3B, 5.1%), Barclays PLC ($11.4B, 4.4%), BSN Holdings Ltd ($10.6B, 4.1%), Canadian Imperial Bank of Commerce ($10.1B, 3.9%), BPCE SA ($9.8B, 3.8%), ING Bank ($8.3B, 3.2%), JP Morgan ($7.9B, 3.0%), and Bank of Nova Scotia ($7.8B, 3.0%).
The largest increases among Issuers include: US Treasury (up $85.8B to $2.539T), JP Morgan (up $19.6B to $220.7B), the Federal Reserve Bank of New York (up $9.1B to $389.8B), Canadian Imperial Bank of Commerce (up $5.4B to $59.5B), Federal National Mortgage Association (up $4.5B to $10.3B), Nordea Bank (up $4.3B to $9.0B), National Bank of Canada (up $3.8B to $10.9B), Lloyds Banking Group (up $3.6B to $9.7B), RBC (up $3.6B to $144.4B) and BNP Paribas (up $3.5B to $147.8B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Barclays PLC (down $26.8B to $99.4B), Bank of America (down $21.0B to $104.2B), Fixed Income Clearing Corp (down $12.3B to $634.0B), Societe Generale (down $8.0B to $48.7B), Mizuho Corporate Bank Ltd (down $6.1B to $51.3B), Sumitomo Mitsui Banking Corp (down $5.9B to $59.5B), Svenska Handelsbanken (down $5.7B to $9.9B), Natixis (down $4.2B to $24.6B), Mitsubishi UFJ Trust and Banking Corporation (down $4.2B to $9.5B) and Credit Agricole (down $4.1B to $68.3B).
The United States remained the largest segment of country-affiliations; it represents 77.9% of holdings, or $5.056 trillion. Canada (5.4%, $350.3B) was in second place, while France (4.8%, $310.5B) was No. 3. Japan (4.3%, $280.3B) occupied fourth place. The United Kingdom (2.8%, $184.0B) remained in fifth place. Netherlands (1.0%, $62.5B) was in sixth place, followed by Australia (0.7%, $46.0B), Germany (0.7%, $45.0B), Sweden (0.6%, $41.2B), and Spain (0.4%, $26.1B). (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 Aug. 31, 2024, Taxable money funds held 49.7% (down from 50.3%) of their assets in securities maturing Overnight, and another 10.1% maturing in 2-7 days (unchanged). Thus, 59.8% in total matures in 1-7 days. Another 9.7% matures in 8-30 days, while 12.3% matures in 31-60 days. Note that over three-quarters, or 81.8% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 6.8% of taxable securities, while 8.8% matures in 91-180 days, and just 2.7% 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 regular monthly update on the new August 31 data for Thursday's News. But we also already uploaded 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 our Portfolio Holdings file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of August 31, includes holdings information from 1,020 money funds (up 20 from last month), representing assets of $6.644 trillion (up from $6.602 trillion). Prime MMFs fell down to $1.129 trillion (down $24.0 billion), or 17.0% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses were mostly the same and money fund revenues slightly rose to $17.6 billion (annualized) in August. (Note: We're still adjusting to the SEC's new Form N-MFP format, so there continue to be some distortions in our data. Let us know if you see any issues or have any questions!)
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) remaining the top spot for largest type of portfolio holding in money market funds, Repo holdings in money market funds now total $2.355 trillion (down from $2.440 trillion), or 35.4% of all assets, while Treasury holdings rose to $2.333 trillion (up from $2.242 billion), or 35.1% of all holdings. Government Agency securities total $738.8 billion (up from $724.2 billion), or 11.1%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $5.427 trillion, or a massive 81.7% of all holdings.
The Other category (primarily Time Deposits) totals $664.8 billion (up from $645.4 billion), or 10.0%, and Commercial paper (CP) totals $261.3 billion (up from $249.2 billion), or 3.9% of all holdings. Certificates of Deposit (CDs) total $161.0 billion (down from $173.3 billion), 2.4%, and VRDNs account for $129.5 billion (up from $127.8 billion last month), or 1.9% of money fund securities. (Note: We believe our "Other" totals are too high and we expect to adjust these as we recategorize some of the underlying holdings.)
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $177.1 billion, or 2.7%, in Financial Company Commercial Paper; $57.2 billion or 0.9%, in Asset Backed Commercial Paper; and, $27.0 billion, or 0.4%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.603 trillion, or 24.1%), U.S. Govt Agency Repo ($672.6B, or 10.1%) and Other Repo ($79.5B, or 1.2%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $248.7 billion (up from $237.5 billion), or 22.0%; Repo holdings of $404.5 billion (down from $433.0 billion), or 35.8%; Treasury holdings of $41.9 billion (down from $46.5 billion), or 3.7%; CD holdings of $160.9 billion (down from $173.3 billion), or 14.3%; Other (primarily Time Deposits) holdings of $259.2 billion (up from $249.1 billion), or 23.0%; Government Agency holdings of $4.6 billion (unchanged), or 0.4% and VRDN holdings of $9.0 billion (up from $8.6 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $176.1 billion (up from $164.1 billion), or 15.6%, in Financial Company Commercial Paper; $56.3 billion (down from $58.1 billion), or 5.0%, in Asset Backed Commercial Paper; and $16.3 billion (up from $15.3 billion), or 1.4%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($221.1 billion, or 19.6%), U.S. Govt Agency Repo ($109.5 billion, or 9.7%), and Other Repo ($73.9 billion, or 6.5%).
In related news, money fund charged expense ratios (Exp%) were mostly unchanged in August. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.27% and 0.37%, respectively, as of Aug. 31, 2024. 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, then.) Visit our "Content" page for the latest files.
Our Crane 100 Money Fund Index, a simple average of the 100 largest taxable money funds, shows an average charged expense ratio of 0.27%, unchanged from last month's level (also 19 bps higher than 12/31/21's 0.08%). The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.37% as of Aug. 31, 2024, unchanged from the month prior and slightly below the 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.29% (unchanged from last month), Government Inst MFs expenses average 0.26% (unchanged from last month), Treasury Inst MFs expenses average 0.28% (unchanged from last month). Treasury Retail MFs expenses currently sit at 0.53%, (up 2 bps from last month), Government Retail MFs expenses yield 0.54% (up 1 bp from last month). Prime Retail MF expenses averaged 0.48% (unchanged from last month). Tax-exempt expenses were also unchanged at 0.40% on average.
Gross 7-day yields were mostly down during the month ended August 31, 2024. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 735), shows a 7-day gross yield of 5.36%, down 3 bps from the prior month. The Crane Money Fund Average was 1.72% at the end of 2019, 0.15% at the end of 2020 and 0.09% at the end of 2021. Our Crane 100's 7-day gross yield was down 3 bps, ending the month at 5.37%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $17.620 billion (as of 8/31/24). Our estimated annualized revenue totals increased from $17.269B last month, and are still higher from the $17.189B seen two months ago. Revenue levels are more than five times larger than May's 2021's record-low $2.927B level. Charged expenses and gross yields are driven by a number of variables, but revenues should continue their climb higher as inflows resume to money funds following a pause around April 15.
Crane Data's latest monthly Money Fund Market Share rankings show assets increasing among most of the largest U.S. money fund complexes in August, after rising in July, June and May, but falling in March and April. Money market fund assets rose by $105.6 billion, or 1.6%, last month to a record $6.619 trillion. Total MMF assets have increased by $144.2 billion, or 2.2%, over the past 3 months, and they've increased by $602.0 billion, or 10.0%, over the past 12 months. The largest increases among the 25 largest managers last month were seen by BlackRock, Fidelity, Schwab, JPMorgan and Allspring, which grew assets by $33.4 billion, $32.8B, $10.4B, $10.3B and $10.3B, respectively. Declines in August were seen by American Funds, Invesco, Northern, PGIM and T Rowe Price, which decreased by $12.6 billion, $8.1B, $6.0B, $1.8B and $1.3B, 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, and look at money fund yields, which were slightly lower in August.
Over the past year through Aug. 31, 2024, Fidelity (up $203.1B, or 17.5%), Schwab (up $134.1B, or 31.9%), Vanguard (up $83.5B, or 15.7%), JPMorgan (up $72.1B, or 11.9%) and BlackRock (up $64.8B, or 13.1%) were the `largest gainers. Fidelity, BlackRock, Schwab, JPMorgan, and Vanguard had the largest asset increases over the past 3 months, rising by $50.3B, $38.2B, $27.8B, $17.4B and $16.0B, respectively. The largest declines over 12 months were seen by: Invesco (down $30.7B), Goldman Sachs (down $22.7B), American Funds (down $20.8B), Morgan Stanley (down $15.6B) and PGIM (down $9.7B). The largest declines over 3 months included: Invesco (down $21.7B), American Funds (down $12.2B), and PGIM (down $5.6B).
Our latest domestic U.S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $1.364 trillion, or 20.6% of all assets. Fidelity was up $32.8B in August, up $50.3 billion over 3 mos., and up $203.1B over 12 months. JPMorgan ranked second with $678.3 billion, or 10.2% market share (up $10.3B, up $17.4B and up $72.1B for the past 1-month, 3-mos. and 12-mos., respectively). Vanguard ranked in third place with $614.9 billion, or 9.3% of assets (up $8.5B, up $16.0B and up $83.5B). BlackRock ranked fourth with $560.3 billion, or 8.5% market share (up $33.4B, up $38.2B and up $64.8B), while Schwab was the fifth largest MMF manager with $555.1 billion, or 8.4% of assets (up $10.4B, up $27.8B and up $134.1B for the past 1-month, 3-mos. and 12-mos.).
Federated Hermes was in sixth place with $449.8 billion, or 6.8% (up $2.0B, down $1.3B and up $38.4B), while Goldman Sachs was in seventh place with $398.7 billion, or 6.0% of assets (up $8.8B, up $7.2B and down $22.7B). Dreyfus ($274.4B, or 4.1%) was in eighth place (up $4.4B, up $2.2B and up $14.3B), followed by Morgan Stanley ($240.9B, or 3.6%; down $244M, down $4.9B and down $15.6B). SSGA was in 10th place ($214.5B, or 3.2%; down $819M, up $1.3B and up $26.4B).
The 11th through 20th-largest U.S. money fund managers (in order) include: Allspring (formerly Wells Fargo) ($209.3B, or 3.2%), Northern ($161.8B, or 2.4%), American Funds ($156.0B, or 2.4%), First American ($149.0B, or 2.3%), Invesco ($119.5B, or 1.8%), UBS ($105.5B, or 1.6%), T. Rowe Price ($47.6B, or 0.7%), DWS ($39.9B, or 0.6%), HSBC ($38.7B, or 0.6%) and Western ($34.4B, or 0.5%). Crane Data currently tracks 62 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 are the same as the domestic list, except: BlackRock moves up to the No. 3 spot, and Vanguard moves down to No. 4. Goldman Sachs moves up to the No. 6 spot, while Federated Hermes moves down to the No. 7 spot. Morgan Stanley moves up to the No. 8 spot while Dreyfus moves down to the No. 9 spot. 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 ($1.381 trillion), JP Morgan ($921.1B), BlackRock ($832.3B), Vanguard ($614.9B) and Schwab ($555.1B). Goldman Sachs ($538.4B) was in sixth, Federated Hermes ($462.2B) was seventh, followed by Morgan Stanley ($326.2B), Dreyfus/BNY Mellon ($308.2B) and SSGA ($262.5B), 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 September issue of our Money Fund Intelligence and MFI XLS, with data as of 8/31/24, shows that yields were slightly lower in August across most Crane Money Fund Indexes. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 735), was 4.99% (down 3 bps) for the 7-Day Yield (annualized, net) Average, the 30-Day Yield was also down 2 bps at 5.00%. The MFA's Gross 7-Day Yield was at 5.36% (down 3 bps), and the Gross 30-Day Yield was down 2 bps at 5.37%. (Gross yields will be revised once we download the SEC's Form N-MFP data for 8/31/24 on Tuesday.)
Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 5.10% (down 3 bps) and an average 30-Day Yield at 5.10% (down 2 bps). The Crane 100 shows a Gross 7-Day Yield of 5.37% (down 3 bps), and a Gross 30-Day Yield of 5.37% (down 2 bps). Our Prime Institutional MF Index (7-day) yielded 5.16% (down 1 bp) as of Aug. 31. The Crane Govt Inst Index was at 5.10% (down 2 bps) and the Treasury Inst Index was at 5.04% (down 4 bps). Thus, the spread between Prime funds and Treasury funds is 12 basis points, and the spread between Prime funds and Govt funds is 6 basis points. The Crane Prime Retail Index yielded 5.00% (down 1 bp), while the Govt Retail Index was 4.81% (down 3 bps), the Treasury Retail Index was 4.80% (down 5 bps from the month prior). The Crane Tax Exempt MF Index yielded 2.84% (down 47 bps) as of August.
Gross 7-Day Yields for these indexes to end August were: Prime Inst 5.44% (down 2 bps), Govt Inst 5.35% (down 2 bps), Treasury Inst 5.32% (down 4 bps), Prime Retail 5.48% (down 2 bps), Govt Retail 5.35% (down 3 bps) and Treasury Retail 5.32% (down 4 bps). The Crane Tax Exempt Index fell to 3.24% (down 47 bps). The Crane 100 MF Index returned on average 0.43% over 1-month, 1.29% over 3-months, 3.34% YTD, 5.27% over the past 1-year, 3.24% over 3-years (annualized), 2.13% over 5-years, and 1.46% over 10-years.
The total number of funds, including taxable and tax-exempt, was down 20 in August at 856. There are currently 735 taxable funds, down 21 from the previous month, and 121 tax-exempt money funds (up 1 from last month). (Contact us if you'd like to see our latest MFI XLS, Crane Indexes or Market Share report.)
The September issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "SSGA, Columbia Stick with Prime Inst MMFs; Changes," which breaks down the latest news in the Prime Inst space; "MMFs Hit Record $6.68 Trillion; Falling Rates Driving Inflows," which covers the recent (and pending) asset surge; and, "More Scrutiny on Sweeps; Investment News, UBS," which follows the most recent news on brokerage sweeps. We also sent out our MFI XLS spreadsheet Monday a.m., and we've updated our Money Fund Wisdom database with 8/31/24 data. Our Sept. Money Fund Portfolio Holdings are scheduled to ship on Wednesday, September 11, and our Sept. Bond Fund Intelligence is scheduled to go out on Monday, September 16. (Note: We're still taking registrations for our upcoming European Money Fund Symposium, which will be held Sept. 19-20, 2024 in London, England. See you in London next week!)
MFI's "Prime Inst" article says, "State Street Global Advisors (SSGA) recently confirmed that they'll be sticking with their Prime Institutional money fund offering. They published an update titled, 'Money Market Reform 2024,' which reviews the current round of regulatory changes impacting money market mutual funds. It explains, 'During March of 2020 and the onset of the pandemic, there was broader stress in the short‐term funding markets and significant redemptions of Prime Fund assets. In response, the SEC proposed additional regulations to further strengthen the Institutional Prime Fund space during periods of volatility with the goal to disincentivize any first mover advantage.'"
They continue, "SSGA writes, 'In October 2024, the final wave of the SEC's money market fund reform rule changes will take effect, marking the most substantial shift since the 2016 reforms. These changes are set to redefine the landscape of Institutional Prime Money Market funds. This transition signifies a pivotal moment for the industry, reflecting the evolving regulatory environment and the drive for greater stability and transparency in the financial markets.'"
We write in our MMFs Hit Record $6.68 Tril.; Falling Rates Driving Inflows article, "Crane Data's Money Fund Intelligence Daily series shows that money fund assets have surged by $66.9 billion in the first 5 days of September (through 9/5) to a record $6.682 trillion. According to our monthly MFI XLS, assets rose by $105.6 billion in August (to a record $6.620 trillion), $16.6 billion in July, $15.7 billion in June and $91.4 billion in May, but they fell $15.8 billion in April and $68.8 billion in March."
It tells us, "Everyone within the money fund space knows that assets will jump following rate cuts (though people outside apparently believe the opposite). But the question is by how much? We looked at Institutional money fund assets on a monthly basis compared to the Fed funds effective rate going back to 1990. Money fund assets increased by an average of 3.79% a month during months with interest rate cuts, which would push assets up a massive $253.2 billion in September. (We of course could already be seeing some of these flows since direct market rates have already begun falling.)"
Our "Sweeps" piece says, "Brokerage sweep accounts using low‐yielding bank deposit options continue to attract the interest of regulators, lawyers and the financial press. A new posting on the website JDSupra from lawyers at Katten, Muchin, Rosenman, titled, 'SEC Scrutiny into Cash Sweep Programs: What Investment Advisers Need to Know,' explains, 'In recent years, the `US Securities and Exchange Commission (SEC) has initiated several probes into how advisory firms manage their cash sweep programs.... While broker‐dealers also provide cash sweep programs, the SEC probes have been limited to an investment advisor's use of cash sweep accounts and potential breaches of an advisor's fiduciary duty to its managed accounts.'"
The piece states, "It continues, '[T]he SEC also took a deep interest in disclosures and conflicts related to cash sweep arrangements, with a particular focus on the potential for breaches of fiduciary duties, undisclosed conflicts, and revenue‐sharing payments received in connection with cash sweep programs. In recent weeks, there have been reports of ongoing probes by the SEC into how advisory firms are managing their bank deposit sweep programs.'"
MFI also includes the News brief, "Cash Investors Digging In. Reuters writes 'Cash‐loving investors dig in even as US rate cuts threaten payouts,' which tells us, 'A golden era for cash may be winding down as the Federal Reserve gets ready to cut interest rates. Many fans of the investment class are staying put anyway. Assets in U.S. money markets hit a record $6.24 trillion this month, data from the Investment Company Institute showed on Aug. 21, even as markets became increasingly confident that the Fed was gearing up to lower rates.'"
Another News brief, "Barron's Writes 'JPMorgan Is Latest Brokerage Hit With Cash‐Sweep Lawsuit.' They state, 'JPMorgan Chase and its subsidiary J.P. Morgan Securities are the latest targets of a proposed class‐action lawsuit involving their interest payments on clients' uninvested cash.'"
A third News brief, "Dreyfus NY Muni MMF Liquidating," tells readers, "A Prospectus Supplement filing tells us, 'The Board of Trustees of General New York Municipal Money Market Fund has approved the liquidation of Dreyfus New York Municipal Money Market Fund ... effective on or about October 28, 2024.' See also our Jan. 26, 2024 News, 'More Muni MMF Liquidations.'"
A sidebar, "'T‐Bill and Chill' Still Cool," says, "Bloomberg writes 'T‐Bill and Chill' Is a Hard Habit for Investors to Break,' which is more about money market funds and cash investing than T‐bills. They tell us, 'It's been the ultimate no‐brainer for more than a year: Park your money in super‐safe Treasury bills, earn yields of more than 5%, rinse and repeat.... Even now, with Federal Reserve officials poised to ease benchmark interest rates from a two‐decade high -- a move that would instantly push down yields on bills and other short‐term debt -- money‐market funds are thriving. They raked in $106 billion this month alone and their balances, at $6.24 trillion, have never been higher.'"
Our September MFI XLS, with Aug. 31 data, shows total assets increased $105.6 billion to $6.620 trillion, after increasing $19.7 billion in July, $11.8 billion in June, $79.7 billion in May, decreasing $17.6 billion in April, $66.7 billion in March, increasing $50.0 billion in February, $87.0 billion in January, $24.5 billion in December and $219.8 billion in November. Assets decreased $39.3 billion in October, but increased $77.8 billion in September.
Our broad Crane Money Fund Average 7-Day Yield was down 3 bps at 4.99%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was also down 3 bps at 5.10% in August. On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 averaged 5.36% and 5.37%. Charged Expenses averaged 0.37% and 0.27% for the Crane MFA and the Crane 100. (We'll revise expenses once we upload the SEC's Form N-MFP data for 8/31/24 on Tuesday, 9/10.) The average WAM (weighted average maturity) for the Crane MFA was 33 days (down 1 bp) and the Crane 100 WAM was unchanged from previous month at 33 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
The Investment Company Institute published its latest weekly "Money Market Fund Assets" report Thursday. ICI shows money market mutual fund assets jumping for the fifth week in a row (up $37.3 billion) to a record $6.300 trillion. Assets have risen in 16 of the last 20 weeks, increasing by $322.7 billion (or 5.4%) since April 24. MMF assets are up by $414 billion, or 8.7%, year-to-date in 2024 (through 9/4/24), with Institutional MMFs up $150 billion, or 4.9% and Retail MMFs up $264 billion, or 15.7%. Over the past 52 weeks, money funds have risen by $675 billion, or 12.0%, with Retail MMFs up by $448 billion (21.3%) and Inst MMFs rising by $227 billion (6.5%). (Note: Crane Data's separate and more comprehensive asset series shows money funds hitting a record $6.648 trillion this week!)
ICI's weekly release says, "Total money market fund assets increased by $37.26 billion to $6.30 trillion for the week ended Wednesday, September 4, the Investment Company Institute reported.... Among taxable money market funds, government funds increased by $37.08 billion and prime funds increased by $368 million. Tax-exempt money market funds decreased by $180 million." ICI's stats show Institutional MMFs rising $18.8 billion and Retail MMFs rising $18.4 billion in the latest week. Total Government MMF assets, including Treasury funds, were $5.116 trillion (81.2% of all money funds), while Total Prime MMFs were $1.054 trillion (16.7%). Tax Exempt MMFs totaled $129.7 billion (2.1%).
ICI explains, "Assets of retail money market funds increased by $18.43 billion to $2.55 trillion. Among retail funds, government money market fund assets increased by $13.71 billion to $1.62 trillion, prime money market fund assets increased by $4.88 billion to $815.50 billion, and tax-exempt fund assets decreased by $155 million to $118.37 billion." Retail assets account for over a third of total assets, or 40.5%, and Government Retail assets make up 63.4% of all Retail MMFs.
They add, "Assets of institutional money market funds increased by $18.83 billion to $3.75 trillion. Among institutional funds, government money market fund assets increased by $23.37 billion to $3.50 trillion, prime money market fund assets decreased by $4.51 billion to $238.93 billion, and tax-exempt fund assets decreased by $25 million to $11.30 billion." Institutional assets accounted for 59.5% of all MMF assets, with Government Institutional assets making up 93.3% of all institutional MMF totals.
According to Crane Data's separate Money Fund Intelligence Daily series, money fund assets have risen by $30.9 billion in September (through 9/4) to $6.646 trillion. They hit a record $6.648 trillion on 9/3 but fell slightly on 9/4. Assets rose by $109.7 billion in August, $16.6 billion in July, $15.7 billion in June and $91.4 billion in May, but they fell $15.8 billion in April and $68.8 billion in March. They rose $72.1 billion in February, $93.9 billion in January, $32.7 billion in December and $226.4 billion in November. MMF totals fell by $31.9 billion in October and they rose $93.9 billion last September. Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're over $400 billion lower than Crane's asset series.
In other news, a press release titled, "J.P. Morgan Asset Management Expands Morgan Money Platform with New Treasury and Cash Management Capabilities," tells us, "J.P. Morgan Asset Management today announced an enhancement to its Morgan Money platform, a short-term investment management solution with over $300 billion in assets under management (AUM), through a collaboration with Kyriba, a global leader in liquidity performance. This integration aims to streamline liquidity management processes, enhance the management of critical trading and accounting workflows, and provide real-time visibility into cash flow balances. Starting today, Morgan Money and Kyriba customers will have access to these new, integrated features."
Paul Przybylski, Global Head of Product and Morgan Money, J.P. Morgan Asset Management," comments, "It's important that we provide our customers with the best resources available to conduct trades efficiently while providing exceptional client service. By leveraging technology, we are simplifying the trading process for our clients and we look forward to expanding our capabilities with Kyriba."
The release continues, "This new capability is designed to offer customers improved cash visibility and forecasting, delivering a seamless and comprehensive cash management experience. This will enhance operational efficiencies across automated and self-directed cash management, payments, and investments."
It states, "Morgan Money, developed by J.P. Morgan Asset Management, is a global trading platform designed to offer robust short-term investment management solutions. Tailored for institutional investors, Morgan Money enables efficient liquidity and cash investment management, helping clients achieve more with fewer resources. The platform is committed to innovation and consistently strives to deliver an exceptional client experience, making it a forward-looking solution in the realm of treasury and cash management."
Kyriba's Edi Poloniato says, "Treasury teams are increasingly demanding greater efficiency and seamless execution, whether it involves cash visibility or trade processes. Together with J.P. Morgan Asset Management, we are introducing our clients to a dynamic process for managing liquidity and providing a resource for them to improve their liquidity performance."
The release adds, "Kyriba, known for its market-leading connectivity as a service, plays a pivotal role for customers needing to execute trades. By leveraging its extensive network of banking partners, Kyriba is able to facilitate integrations with asset managers by providing users with direct access to trading options. This integration allows clients to navigate effortlessly to the asset management portal, execute investments, and receive immediate confirmations, thereby enhancing the overall trading experience."
The SEC published its latest quarterly "Private Funds Statistics" report recently, which summarizes Form PF reporting and includes some data on "Liquidity Funds," or pools which are similar to but not money market funds. The publication shows overall Liquidity fund assets were higher in the latest reported quarter (Q4'23) at $352 billion (up from $346 billion in Q3'23 and up from $318 billion in Q4'22). We also again briefly review the part of the SEC's MMF Reforms which addresses "Amendments to Form PF Reporting Requirements for Large Liquidity Fund Advisers" and which went into effect over the summer, below. (Note: Register ASAP for our upcoming European Money Fund Symposium, which will be held Sept. 19-20, 2024 in London, England. See you in London in 2 weeks!)
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 received through June 30, 2024. 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 2021 through Fourth Calendar Quarter 2023 as reported by Form PF filers." (Note: Crane Data believes the largest portion of these liquidity fund assets are securities lending reinvestment pools.)
The tables in the SEC's "Private Funds Statistics: Fourth Calendar Quarter 2023," with the most recent data available, show 72 Liquidity Funds (most of which are "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), up 4 from last quarter and up 1 from a year ago. (There are 51 Section 3 Liquidity Funds out of the 72 Liquidity Funds.) The SEC receives Form PF reports from 37 Liquidity Fund advisers (22 of which are Section 3 Liquidity Fund advisers), up 4 from last quarter and up 3 from a year ago.
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $352 billion, up $6 billion from Q3'23 and up $34 billion from a year ago (Q4'22). Of this total, $350 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 $361 billion, unchanged from Q3'23 and up $40 billion from a year ago (Q4'22). Of this total, $359 billion in is Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $135 billion is held by Other (38.6%), $60 billion is held by Unknown Non-U.S. Investors (17.1%), $53 billion is held by Private Funds (15.1%), $14 billion is held by SEC-Registered Investment Companies (4.1%), $12 billion is held by Insurance Companies (3.5%) and $3 billion is held by Non-Profits (0.9%) and $1 billion is held by U.S. Individuals (0.2%).
The tables also show that 68.0% of Section 3 Liquidity Funds have a liquidation period of one day, $334 billion of these funds may suspend redemptions, and $303 billion of these funds may have gates. WAMs average a short 35.1 days (44.5 days when weighted by assets), WALs are 44.2 days (56.1 days when asset-weighted), and 7-Day Gross Yields average 5.20% (5.30% asset-weighted). Daily Liquid Assets average about 51.4% (46.8% asset-weighted) while Weekly Liquid Assets average about 59.4% (60.2% asset-weighted).
Overall, these portfolios appear shorter with a heavier Treasury exposure than money market funds in general; over a third of them (35.3%) are fully compliant with Rule 2a-7. When calculating NAVs, 70.6% are "Stable" and 29.4% are "Floating."
As we've mentioned before, in July 2023, when the SEC's Money Market Fund Reforms were passed, these also included "Amendments to Form PF Reporting Requirements for Large Liquidity Fund Advisers." The release explains, "Separately, the amendments will also modify certain reporting forms that are applicable to money market funds and large private liquidity funds advisers."
The "Fact Sheet" explains, "In addition, the Commission adopted amendments to Form PF, the confidential reporting form for certain SEC-registered investment advisers to private funds, to require additional information regarding the liquidity funds they advise that is generally aligned with the amended reporting for money market funds. These amendments were proposed by the Commission in January 2022."
The full final rules tell us, "The Commission is also amending Form PF, the confidential reporting form for certain SEC-registered investment advisers to private funds to require additional information regarding the liquidity funds they advise. Liquidity funds are private funds that seek to maintain a stable NAV (or minimize fluctuations in their NAVs) and thus can resemble money market funds. The amendments to section 3 of Form PF will provide a more complete picture of the short-term financing markets in which liquidity funds invest and enhance the Commission's and the Financial Stability Oversight Council's ('FSOC') ability to assess short-term financing markets and facilitate our oversight of those markets and their participants. This, in turn, is designed to enhance investor protection efforts and systemic risk assessment. `We have consulted with FSOC to gain input on these amendments to help ensure that Form PF continues to provide FSOC with information it can use to assess systemic risk."
It adds, "In a January 2022 release proposing amendments to Form PF, the Commission proposed changes to section 3 of Form PF that were intended to require large liquidity fund advisers to report substantially the same information that the Commission had proposed money market funds to report on Form N-MFP. The proposed amendments to section 3 of Form PF included requirements for additional and more granular information regarding large liquidity fund operational information and assets, portfolio holdings, financing, and investor information as well as a new item concerning the disposition of portfolio securities. Consistent with the final amendments to Form N-MFP, we are adopting largely as proposed the amendments to section 3 of Form PF, with some modifications to better tailor the reporting to private liquidity funds and remain consistent with the final requirements for money market funds under amended Form N-MFP."
Federated Hermes' latest monthly commentary from Money Market CIO Deborah Cunningham is titled, "Here we go again." She explains, "It should be no surprise when the financial markets get ahead of themselves. And we don't need to be an expert at behavioral economics to know rational investors don't exist. But that doesn't make it any less frustrating when traders get over their skis, adding volatility and detracting from liquidity in the market. Just as they did late last year, markets are betting the Federal Reserve cuts rates faster than policymakers have indicated and, importantly, faster than the data is supporting." (Note: Federated's Cunningham will be speaking at our upcoming European Money Fund Symposium, which will be held Sept. 19-20, 2024 in London, England. We're still taking registrations!)
Cunningham says, "Unfortunately for cash managers, the more investors infer, the more they interfere. The yield curve has now completely inverted. `For those of us who expect at most 75 basis-points of cuts in the fed funds target range (now 5.25-5.5%) by year-end, it's hard to rationalize buying securities offering the corresponding deflated yields."
The update also tells us, "The last stage of the SEC's new money fund rules will be implemented Oct. 2. The industry landscape is likely settled, with about a third of the institutional prime products either dissolved or reconstituted as government funds. We continue to think clients will see value in institutional prime and muni products in both the near and long term."
It continues, "The latter could be driven by how, historically, the yield of money funds decline slower than securities tied to overnight rates that should immediately fall when the Fed cuts. We think the amount of industry inflows to money funds in August attests to their attraction. The situation is not guaranteed to repeat that performance, of course. But however that turns out, we think the role that prime and muni liquidity products traditionally play in portfolios will not diminish."
In other news, Yahoo Finance weighs in on brokerage sweep accounts in, "Big banks are taking heat for paying low rates on idle cash." It states, "The scrutiny of how banks and brokerages treated their customers during an era of high interest rates is heating up just as that era draws to a close. Raymond James (RJF) and JPMorgan Chase (JPM) were hit with lawsuits in recent days by customers alleging they were shortchanged on the interest due from idle cash. They are the latest of several such suits against wealth advisory units and brokers centered on the use of so-called cash sweep accounts that typically don't pay much interest. Other cases target Wells Fargo (WFC), Morgan Stanley (MS), UBS (UBS), Ameriprise (AMP), and LPL Financial (LPLA)."
It continues, "It's not just cash sweep accounts that have customers angry. A major credit card lender, Capital One (COF), also faces a class action lawsuit over customer complaints that it paid far below advertised for a high-interest savings account.... Regulators from the Securities and Exchange Commission are separately conducting investigations or inquiries of cash sweep practices at Wells Fargo and Morgan Stanley, according to recent filings from those banks, with Wells Fargo saying it was in 'resolution discussions.' Bank of America also disclosed a regulatory inquiry regarding 'the rates paid on uninvested cash in investment advisory accounts that is swept into interest-paying bank deposits.'"
Yahoo Finance says, "Developed as a way for banks and brokers to put their customers' idle cash to work, sweep programs move excess customer cash balances overnight into a ... bank or affiliate bank. Brokers and banks earn a spread or income on those funds, and in return, the customer who owns the cash is paid a preset rate of interest. It can be far smaller than the yield earned when a customer directly invests in a CD or money market fund."
Finally, money fund yields remain at 5.10% on average in the week ended Aug. 30 (as measured by our Crane 100 Money Fund Index, an average of 7-day yields for the 100 largest taxable money funds) after falling 1 bp the week prior. While yields on money market mutual funds won't drop in earnest until after the Federal Reserve cuts short-term interest rates, they have inched lower ahead of an expected move. Yields were 5.13% on 7/31 and 6/28, 5.14% on 5/31, 5.13% on 4/30, 5.14% on 3/31 and 2/29/24, 5.17% on 1/31/24, 5.20% on 12/31/23, 4.94% on 6/30/23, 4.61% on 3/31/23 and 4.05% on 12/31/22. The vast majority of money market fund assets now yield 5.0% or higher.
The broader Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 681), shows a 7-day yield of 5.00%, unchanged in the week through Friday. Brokerage sweep rates also remained unchanged, contrary to the discussions on a number of brokerage earnings calls in recent weeks. Prime Inst money fund yields were up 4 bps at 5.19% in the latest week. Government Inst MFs were unchanged at 5.10%. Treasury Inst MFs were down 1 bp at 5.03%. Treasury Retail MFs currently yield 4.81%, Government Retail MFs yield 4.81%, and Prime Retail MFs yield 5.01%, Tax-exempt MF 7-day yields were down 25 bps to 2.84%.
Assets of money market funds rose by $37.9 billion last week to a record $6.615 trillion according to Crane Data's Money Fund Intelligence Daily. For the month of August, MMF assets increased by $109.7 billion. Weighted average maturities were unchanged at 33 days. According to Monday's Money Fund Intelligence Daily, with data as of Friday (8/30), 84 money funds (out of 801 total) yield under 3.0% with $51.6 billion in assets, or 0.8%; 40 funds yield between 3.00% and 3.99% ($82.3 billion, or 1.2%), 266 funds yield between 4.0% and 4.99% ($1.211 trillion, or 18.3%) and 411 funds now yield 5.0% or more ($5.270 trillion, or 79.7%).
Our Brokerage Sweep Intelligence Index, an average of FDIC-insured cash options from major brokerages, was unchanged (again) at 0.62%. The latest Brokerage Sweep Intelligence, with data as of Aug. 30, shows that there was no changes over the past week. (We haven't seen many of the changes mentioned on earnings calls, which apparently only apply to a narrow slice of "advisory" accounts. Only a couple of brokerages report these rates, which aren't included on our BSI report.) Fourteen weeks ago, we removed the rates for TD Ameritrade from the listings, which completed its merger with Charles Schwab and which pushed the averages higher (2 bps). Three of the 10 major brokerages tracked by our BSI still offer rates of 0.01% for balances of $100K (and lower tiers). These include: E*Trade, Merrill Lynch and Morgan Stanley.
The Securities and Exchange Commission published its latest monthly "Money Market Fund Statistics" summary for July, which shows that total money fund assets rose by $19.5 billion in July to a record $6.570 trillion, after jumping $21.3 billion the month prior. The SEC shows Prime MMFs decreasing $11.5 billion in July to $1.188 trillion, Govt & Treasury funds increasing $31.3 billion to $5.249 trillion and Tax Exempt funds decreasing $0.3 billion to $132.3 billion. Taxable yields mostly inched higher in July after falling in June. 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. (Month-to-date in August through 8/29, total money fund assets increased by $104.8 billion to $6.610 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
July's overall asset increase follows an increase of $21.3 billion in June, $89.7 billion in May, a decrease of $17.7 billion in April, $68.5 billion in March, an increase of $65.9 billion in February, $87.7 billion in January, $34.0 billion in December and $225.7 billion in November. MMFs decreased $41.2 billion in October, but increased $79.7 billion in September and $114.2 billion in August. Over the 12 months through 7/31/24, total MMF assets increased by $610.4 billion, or 10.2%, according to the SEC's series.
The SEC's stats show that of the $6.570 trillion in assets, $1.188 trillion was in Prime funds, down $11.5 billion in July. Prime assets were down $204.6 billion in June, up $19.7 billion in May, down $30.0 billion in April, up $8.1 billion in March, $33.5 billion in February, $52.5 billion in January, $1.2 billion in December, $32.5 billion in November, $13.9 billion in October, $14.3 billion in September and $18.5 billion in August. Prime funds represented 18.1% of total assets at the end of July. They've decreased by $51.8 billion, or -4.1%, over the past 12 months. (Note that the SEC's series includes a number of internal money funds not tracked by ICI, though Crane Data includes most of these assets in its collections.)
Government & Treasury funds totaled $5.249 trillion, or 79.9% of assets. They increased $31.3 billion in July, $229.2 billion in June, $65.5 billion in May, increased $9.3 billion in April, decreased $78.8 billion in March, increased $33.1 billion in February, $39.7 billion in January, $31.7 billion in December, $193.7 billion in November, decreased $62.4 billion in October, increased $64.6 billion in September, and $92.2 billion in August. Govt & Treasury MMFs are up $649.1 billion over 12 months, or 14.1%. Tax Exempt Funds decreased $0.3 billion to $132.2 billion, or 2.0% of all assets. The number of money funds was 290 in July, up 1 from the previous month and down 3 funds from a year earlier.
Yields for Taxable MMFs were mixed while Tax Exempt MMFs were lower in July. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on July 31 was 5.47%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.49%, up 1 bp from the previous month. Gross yields were 5.38% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were unchanged at 5.36%. Gross Yields for Tax Exempt Institutional MMFs were down 39 basis points to 3.78% in July. Gross Yields for Tax Exempt Retail funds were down 32 bps to 3.67%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.36%, unchanged from the previous month and up 6 bps from 7/31/23. The Average Net Yield for Prime Retail Funds was 5.22%, up 1 bp from the previous month, and up 5 bps since 7/31/23. Net yields were 5.16% for Government Funds, unchanged from last month. Net yields for Treasury Funds were down 1 bp from the previous month at 5.15%. Net Yields for Tax Exempt Institutional MMFs were down 40 bps from June to 3.63%. Net Yields for Tax Exempt Retail funds were down 32 bps at 3.43% in July. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in July. The average Weighted Average Life, or WAL, was 43.6 days (up 2.2 days) for Prime Institutional funds, and 43.9 days for Prime Retail funds (down 4.2 days). Government fund WALs averaged 81.3 days (down 1.6 days) while Treasury fund WALs averaged 82.2 days (up 2.0 days). Tax Exempt Institutional fund WALs were 4.4 days (down 2.0 days), and Tax Exempt Retail MMF WALs averaged 29.6 days (down 1.2 days).
The Weighted Average Maturity, or WAM, was 26.6 days (up 1.7 days from the previous month) for Prime Institutional funds, 27.1 days (down 2.4 days from the previous month) for Prime Retail funds, 32.3 days (down 1.3 days from previous month) for Government funds, and 40.0 days (up 1.1 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 2.0 days to 4.4 days, while Tax Exempt Retail WAMs were down 1.3 days from previous month at 28.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 54.9% in July (down 0.1% from the previous month), and DLA for Prime Retail funds was 45.7% (up 0.4% from previous month) as a percent of total assets. The average DLA was 67.6% for Govt MMFs and 94.5% for Treasury MMFs. Total Weekly Liquid Assets was 68.9% (down 0.1% from the previous month) for Prime Institutional MMFs, and 61.6% (up 0.6% from the previous month) for Prime Retail funds. Average WLA was 78.8% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for July 2024," the largest entries included: the U.S. with $184.1B, Canada with $151.1 billion, Japan with $136.5 billion, France with $94.6 billion, the U.K. with $51.1B, the Netherlands with $42.1B, Aust/NZ with $37.2B, Germany with $28.9B and Switzerland with $8.0B. The gainers among the "Prime MMF Holdings by Country" included: Japan (up $21.5B), France (up $6.8B), the U.S. (up $6.2B), Netherlands (up $4.6B), the U.K. (down $4.3B), Aust/NZ (up $3.6B). Decreases were shown by: Canada (down $9.5B) and Germany (down $0.4B) while Switzerland was unchanged.
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $335.2 billion (down $3.3B), while Eurozone had $190.8B (up $20.7B). Asia Pacific subset had $208.7B (up $27.9B), while Europe (non-Eurozone) had $130.4B (up $25.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.186 trillion in Prime MMF Portfolios as of July 31, $432.6B (36.5%) was in Government & Treasury securities (direct and repo) (down from $476.6B), $358.9B (30.3%) was in CDs and Time Deposits (up from $309.8B), $187.2B (15.8%) was in Financial Company CP (up from $178.7B), $132.1B (11.1%) was held in Non-Financial CP and Other securities (down from $141.7B), and $75.5B (6.4%) was in ABCP (up from $73.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $467.3 billion, Canada with $170.4 billion, France with $210.8 billion, the U.K. with $137.8 billion, Germany with $18.2 billion, Japan with $140.4 billion and Other with $39.8 billion. All MMF Repo with the Federal Reserve was down $230.7 billion in July to $368.2 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 8.7%, Prime Retail MMFs with 7.2%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 5.4%, Govt MMFs with 14.1% and Treasury MMFs with 12.6%.
