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U.K. publisher Euromoney hosted a webinar earlier this week entitled, "Money Markets into 2021: The Fed vs money markets," which was sponsored by Calastone. The session featured J.P. Morgan Asset Management's Paul Przybylski, Fitch Ratings' Alastair Sewell, T. Rowe Price's Doug Spratley and Calastone's Ed Lopez, and reviewed the impact of the coronavirus crisis on European and U.S. money market funds. Lopez says, "I think from my perspective, what we saw this year was the acceleration of automation plans. Everyone was looking to automate and build efficiencies around the investment process, but particularly with the volatility in this space and the movements that happened dating back to March. The plans to automate have really accelerated in the space … whether it's the use of portals or tighter integration, it's really just trying to eliminate the manual process."

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The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets dropped by $117.8 billion in September to $4.863 trillion, the fourth decrease in a row but just the fifth over the past 25 months. (Month-to-date in October through 10/19, assets have decreased by $50.9 billion according to our MFI Daily.) The SEC shows that Prime MMFs dropped by $145.6 billion in September to $992.8 billion (reflecting the reclassification of Vanguard Prime MMF), while Govt & Treasury funds rose by $35.3 billion to $3.749 trillion. Tax Exempt funds decreased $7.5 billion to $121.1 billion. Yields were mixed in September with Prime and Govt & Treasury yields falling while Tax Exempt yields increased. 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. (Note: As a reminder, we'll be hosting Crane's Money Fund Symposium Online on Tuesday, Oct. 27 from 1-4pmET. To register, click here.)

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Last week, the SEC hosted a "Roundtable on Interconnectedness and Risk in U.S. Credit Markets," which followed the publication of its "U.S. Credit Markets: Interconnectedness and the Effects of the COVID-19 Economic Shock," a report that examined the chaos in financial markets that accompanies the mid-March sudden shutdown of the world economy. (See our Oct. 14 News, "SEC Covid Shock Study: Frozen CP Market, MMFs & Short-Term Funding.") Today, we excerpt from some of the sessions which mentioned money market funds and short-term funding markets. (Please join us for next week's Money Fund Symposium Online, which takes place Oct. 27, 2020, from 1-4pmET and features a keynote from ICI's Paul Stevens and a series of discussions about potential future regulatory changes.)

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As we mentioned in our Oct. 15 Link of the Day, the Investment Company Institute published "The Impact of COVID-19 on Economies and Financial Markets. Last week, we quoted from the press release, "ICI: Pandemic and Economic Shutdown Drove Financial Turmoil in March," but today we excerpt from the full report. The ICI writes "The Report of the COVID-19 Market Impact Working Group is being issued under the auspices of the Investment Company Institute's COVID-19 Market Impact Working Group. This group of senior industry executives is examining the causes of the 2020 market turmoil and the experiences of regulated funds. The report is intended to provide a sound, data-based foundation for any future regulatory discussions or other responses that could affect regulated funds and their investors. The report was written by a team from ICI's Research, Law, Industry Operations, and ICI Global groups." Among the "Forthcoming Publications of the Report of the COVID-19 Market Impact Working Group," is one named, "The Experience of US Money Market Funds." (See also the FT's "EU sets sights on money market fund reform".)

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Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds moved lower again over the past month. They broke above the $1.0 trillion for the first time ever three months ago, hitting a record $1.056 trillion in August. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, decreased by $11.5 billion over the last 30 days (when translated into dollars); they're up by $160.7 billion (18.3%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January, are down $11.9 billion over the last 30 days but up $52.2 billion YTD to $546.6 billion. Euro funds are up E8.1 billion over the past month, and YTD they're up E42.2 billion to E140.9 billion. GBP money funds have fallen by L6.9 billion over 30 days, but are up by L21.4 billion YTD to L246.3B. U.S. Dollar (USD) money funds (192) account for over half (52.7%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 15.1% and Pound Sterling (GBP) funds (122) total 28.8%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Thursday), below. (See also Bloomberg's "Fed Signs Prime Money Market Funds Might Need Stiffer Rules", which quotes the Federal Reserve's Randy Quarles who briefly mentioned MMFs in a speech yesterday.)

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The October issue of our Bond Fund Intelligence, which was sent to subscribers Thursday morning, features the lead story, "Worldwide Bond Funds Jump $820B in Q2'20 to $11.6 Trillion," which discusses the latest jump in bond fund assets globally, and "Lord Abbett Rules in Short-Term Bond Kingdom," which interviews Portfolio Manager and MD Yoana Koleva. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund yields were higher and returns were lower in September. We excerpt from the new issue below. (Contact us if you'd like to see our Bond Fund Intelligence and BFI XLS spreadsheet, or our Bond Fund Portfolio Holdings data.)

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As we mentioned in our October Money Fund Intelligence and originally learned from Stadley Ronon Counsel Jamie Gershkow, the U.S. Securities and Exchange Commission's Division of Economic and Risk Analysis recently released a study entitled, "U.S. Credit Markets Interconnectedness and the Effects of the COVID-19 Economic Shock." It explains, "March 2020 also saw strains in the almost $1 trillion CP market, as investors stopped rolling (or reinvesting proceeds from maturing securities) to preserve cash. In the normal course, secondary trading volume in CP and CD markets is limited as most investors purchase and hold these short-dated instruments to maturity. However, in March 2020, as some market participants, including money market mutual funds (MMFs; 21% of the CP market) and others, may have sought secondary trading, they experienced a 'frozen market.' As a practical matter, both secondary trading and new issuances halted for a period. Dealers (including issuing dealers) faced one-sided trading flows and were experiencing their own liquidity pressures and intermediation limits, including those discussed above." (Note: The SEC will host a "Roundtable On Interconnectedness And Risk In U.S. Credit Markets" on Wednesday, October 14 from 1-5pm ET.)

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Crane Data released its October Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of September 30, 2020, shows a decrease in every category except VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $94.3 billion to $4.772 trillion last month, after decreasing $12.7 billion in August, $83.1 billion in July and $159.1 billion in June. Money market securities increased $31.6 billion in May, and a staggering $529.4 billion in April and $725.6 billion in March. Treasury securities remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)

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Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Friday, and we'll be writing our normal monthly update on the September 30 data for Tuesday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Thursday. (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 Sept. 30, 2020, includes holdings information from 1,066 money funds (down 5 from last month), representing assets of $4.941 trillion (down $102 billion). Prime MMFs now total $999.0 billion, or 20.2% of the total, down from $1.149 trillion a month ago. We review the new N-MFP data below, and we also review ICI's latest money fund asset totals.

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Crane Data's latest Money Fund Market Share rankings show assets were down for most of the largest U.S. money fund complexes in September. Money market fund assets decreased $121.0 billion, or -2.5%, last month to $4.794 trillion. Assets have fallen by $237.8 billion, or -4.6%, over the past 3 months, but they've increased by $919.7 billion, or 24.3%, over the past 12 months through Sept. 30, 2020. The biggest increases among the 25 largest managers last month were seen by BlackRock, First American, Wells Fargo and DWS, which grew assets by $14.1 billion, $8.6B, $5.1B and $3.9B, respectively. The largest declines in assets in September were seen by Goldman Sachs, SSGA, Federated Hermes, JP Morgan and Fidelity, which decreased by $53.3 billion, $21.4B, $15.2B, $14.8B and $14.8B, 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 September.

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The October issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Wednesday morning, features the articles: "MMFs Turn 50 But Zero Yields, Reform Talks Dim Celebration," which discusses the birth and present challenges of money market funds; "Bond Funds: Junker, Roever, Walczak on Ultra-Shorts," which quotes from our recent Bond Fund Webinar; and, "Tax Exempt Money Fund Liquidations Hit State Funds," which discusses the consolidation gripping Municipal MMFs. We've also updated our Money Fund Wisdom database with September 30 statistics, and sent out our MFI XLS spreadsheet Wednesday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our October Money Fund Portfolio Holdings are scheduled to ship on Friday, October 9, and our October Bond Fund Intelligence is scheduled to go out Thursday, October 15.

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The SEC recently released its quarterly "Private Funds Statistics" report, which summarizes Form PF reporting and includes some data on "Liquidity Funds." The publication shows overall Liquidity fund assets were down in the latest reported quarter (Q4'19) to $578 billion (down from $588 billion in Q3'19). The SEC's "Introduction" tells us, "This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings. Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from First Calendar Quarter 2018 through Fourth Calendar Quarter 2019 as reported by Form PF filers." Note: Crane Data believes many of these liquidity funds are securities lending reinvestment pools and other short-term investment funds.

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