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The Investment Company Institute released its latest monthly "Trends in Mutual Fund Investing" reports yesterday. Their numbers confirm a jump in money fund assets in December, following a jump in November and a dip in October. ICI's "December 2017 - Trends" shows a $51.8 billion increase in money market fund assets in December to $2.847 trillion. This follows a $57.9 billion increase in November, a $8.8 billion decrease in October, a $28.8 billion increase in Sept., a $71.8 billion increase in August, and a $13.6 billion increase in July. In the 12 months through December 31, money fund assets have increased by $119.2 billion, or 4.4%. We review ICI's latest reports below, and we also quote from a filing for a new money market fund, Semper U.S. Treasury Money Fund.

ICI's monthly report states, "The combined assets of the nation's mutual funds increased by $149.60 billion, or 0.8 percent, to $18.75 trillion in December, according to the Investment Company Institute’s official survey of the mutual fund industry. In the survey, mutual fund companies report actual assets, sales, and redemptions to ICI."

It explains, "Bond funds had an inflow of $13.40 billion in December, compared with an inflow of $14.97 billion in November…. Money market funds had an inflow of $49.40 billion in December, compared with an inflow of $55.44 billion in November. In December funds offered primarily to institutions had an inflow of $33.80 billion and funds offered primarily to individuals had an inflow of $15.59 billion."

The latest "Trends" shows that both Taxable and Tax Exempt MMFs gained assets again last month. Taxable MMFs increased by $49.3 billion in December, after increasing by $57.4 billion in November and decreasing $9.4 billion in October, but increasing $30.1 billion in September, $73.5 billion in August and $11.9 billion in July. Tax-Exempt MMFs increased $2.5 billion in December, after increasing $0.5 billion in November and $0.9 billion in October, but decreasing $1.3 billion in September and $1.7 billion in August. Over the past year through 12/31/17, Taxable MMF assets increased by $118.3 billion (4.6%) while Tax-Exempt funds rose by $0.8 billion over the past year (0.6%).

Money funds now represent 15.2% (up from 15.0% the previous month) of all mutual fund assets, while bond funds represent 21.7%, according to ICI. The total number of money market funds decreased by 9 to 382 in December, down from 421 a year ago. (Taxable money funds fell by 9 to 299 and Tax-exempt money funds were unchanged over the last month.)

ICI also released its latest "Month-End Portfolio Holdings of Taxable Money Funds," which confirmed a surge in Repo and a sharp drop in CDs in December. Repo remained the largest portfolio segment; it was up $51.9 billion, or 5.7%, to $956.4 billion or 35.2% of holdings. Repo has increased by $156.2 billion over the past 12 months, or 19.5%. (See our Jan. 11 News, "Jan. Money Fund Portfolio Holdings: Repo Jumps, Breaks 1.0 Trillion.")

Treasury Bills & Securities remained in second place among composition segments; they rose by $354 million, or 0.1%, to $702.2 billion, or 25.9% of holdings. Treasury holdings have fallen by $94.1 billion, or -11.8%, over the past year. U.S. Government Agency Securities remained in third place; they rose by $6.0 billion, or 0.9%, to $682.5 billion, or 25.1% of holdings. Agency holdings have risen by $4.7 billion, or 0.7%, over the past 12 months.

Certificates of Deposit (CDs) stood in fourth place; they decreased $35.5 billion, or -16.3%, to $182.4 billion (6.7% of assets). CDs held by money funds have risen by $34.6 billion, or 23.4%, over 12 months. Commercial Paper remained in fifth place, increasing $1.9B, or 1.3%, to $148.2 billion (5.5% of assets). CP has increased by $44.4 billion, or 42.7%, over one year. Notes (including Corporate and Bank) were down by $404 million, or -5.2%, to $7.4 billion (0.3% of assets), and Other holdings increased to $15.0 billion.

The Number of Accounts Outstanding in ICI's series for taxable money funds increased by 306.4 thousand to 26.885 million, while the Number of Funds declined by 9 to 299. Over the past 12 months, the number of accounts rose by 1.650 million and the number of funds decreased by 12. The Average Maturity of Portfolios was 32 days in December, up 2 days from November. Over the past 12 months, WAMs of Taxable money funds have shortened by 12 days.

In other news, a filing for the new Semper U.S. Treasury Money Fund tells us, "The Semper U.S. Treasury Money Market Fund (the “Fund”) seeks to provide current income while maintaining liquidity and a stable share price of $1.00." Run by Semper Capital Management, the fund will have an expense ratio of 0.30% (after a 0.12% waiver).

It adds, "The Semper U.S. Treasury Money Market Fund (the "Fund") is a series of Forum Funds II (the "Trust"), an open-end, management investment company (mutual fund).... The Advisor receives an advisory fee from the Fund at an annual rate equal to 0.20% of the Fund's average annual daily net assets under the terms of the Advisory Agreement.... Thomas Mandel, CFA, has been the portfolio manager of the Fund since its inception in 2018 and is responsible for the day-to-day management of the Fund."

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Aug 10
 

Crane Data's August Money Fund Portfolio Holdings, with data as of July 31, 2022, show Repo (led by Fed repo) jumping yet again while Treasuries continued a deep 6-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $116.1 billion to $4.939 trillion in July, after decreasing $2.6 billion in June, $58.4 billion in May and $55.2 billion in April. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York, which surpassed the U.S. Treasury as the largest "Issuer" two months ago, is now borrowing almost $2.1 trillion from money market funds (the total broke above $2.0 trillion last month). 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.

Among taxable money funds, Repurchase Agreements (repo) increased $88.7 billion (3.5%) to $2.619 trillion, or 53.0% of holdings, in July, after increasing $128.6 billion in June and $52.5 billion in May. Repo decreased $9.9 billion in April but increased $100.9 billion in March. Treasury securities fell $33.2 billion (-2.3%) to $1.421 trillion, or 28.8% of holdings, after decreasing $72.5 billion in June, $145.4 billion in May, $78.6 billion in April and $79.2 billion in March. Government Agency Debt was up $24.5 billion, or 6.0%, to $430.8 billion, or 8.7% of holdings, after decreasing $14.6 billion in June, increasing $35.1 billion in May, and decreasing $1.0 billion in April. Repo, Treasuries and Agency holdings now total $4.471 trillion, representing a massive 90.5% of all taxable holdings.

Money fund holdings of CP, CDs and Other (mainly Time Deposits) holdings all rose in July. Commercial Paper (CP) increased $15.3 billion (7.2%) to $227.9 billion, or 4.6% of holdings, after decreasing $17.3 billion in June, increasing $5.8 billion in May and decreasing $0.1 billion in April. Certificates of Deposit (CDs) increased $3.6 billion (3.0%) to $122.0 billion, or 2.5% of taxable assets, after decreasing $1.0 billion in June, but increasing $3.4 billion in May and $7.3 billion in April. Other holdings, primarily Time Deposits, increased $17.3 billion (19.0%) to $108.7 billion, or 2.2% of holdings, after decreasing $21.1 billion in June and $4.7 billion in May, but increasing $28.2 billion in April. VRDNs fell to $9.9 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)

Prime money fund assets tracked by Crane Data jumped to $902 billion, or 18.3% of taxable money funds' $4.939 trillion total. Among Prime money funds, CDs represent 13.5% (down from 14.8% a month ago), while Commercial Paper accounted for 25.4% (down from 26.6% in June). The CP totals are comprised of: Financial Company CP, which makes up 17.0% of total holdings, Asset-Backed CP, which accounts for 3.2%, and Non-Financial Company CP, which makes up 5.2%. Prime funds also hold 6.6% in US Govt Agency Debt, 6.0% in US Treasury Debt, 28.9% in US Treasury Repo, 0.3% in Other Instruments, 9.8% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 2.1% in US Government Agency Repo and 0.6% in VRDNs.

Government money fund portfolios totaled $2.781 trillion (56.3% of all MMF assets), up from $2.779 trillion in June, while Treasury money fund assets totaled another $1.257 trillion (25.5%), up from $1.244 trillion the prior month. Government money fund portfolios were made up of 13.4% US Govt Agency Debt, 8.4% US Government Agency Repo, 20.8% US Treasury Debt, 57.1% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 62.7% US Treasury Debt and 37.0% in US Treasury Repo. Government and Treasury funds combined now total $4.038 trillion, or 81.8% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $52.0 billion in July to $397.8 billion; their share of holdings rose to 8.1% from last month's 7.2%. Eurozone-affiliated holdings increased to $278.9 billion from last month's $238.5 billion; they account for 5.7% of overall taxable money fund holdings. Asia & Pacific related holdings jumped higher to $176.6 billion (3.6% of the total) from last month's $170.8 billion. Americas related holdings rose to $4.360 trillion from last month's $4.301 trillion, and now represent 88.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $66.2 billion, or 2.9%, to $2.312 trillion, or 46.8% of assets); US Government Agency Repurchase Agreements (up $21.3 billion, or 9.2%, to $252.9 billion, or 5.1% of total holdings), and Other Repurchase Agreements (up $1.2 billion, or 2.2%, from last month to $54.3 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.0 billion to $152.9 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $2.0 billion to $28.5 billion, or 0.6%), and Non-Financial Company Commercial Paper (up $8.3 billion to $46.6 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of July 31, 2022, include: the Federal Reserve Bank of New York ($2.088T, 42.3%), the US Treasury ($1.421 trillion, or 28.8%), Federal Home Loan Bank ($310.6B, 6.3%), Federal Farm Credit Bank ($104.9B, 2.1%), BNP Paribas ($80.6B, 1.6%), RBC ($70.3B, 1.4%), Fixed Income Clearing Corp ($45.9B, 0.9%), Sumitomo Mitsui Banking Co ($45.0B, 0.9%), JP Morgan ($39.4B, 0.8%), Citi ($35.8B, 0.7%), Credit Agricole ($34.3B, 0.7%), Bank of America ($34.0B, 0.7%), Mitsubishi UFJ Financial Group Inc ($32.6B, 0.7%), Barclays ($31.3B, 0.6%), Toronto-Dominion Bank ($26.8B, 0.5%), Mizuho Corporate Bank Ltd ($26.1B, 0.5%), Bank of Montreal ($24.0B, 0.5%), Canadian Imperial Bank of Commerce ($21.4B, 0.4%), Goldman Sachs ($19.0B, 0.4%) and ING Bank ($17.0B, 0.3%).

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 ($2.088T, 79.7%), BNP Paribas ($74.3B, 2.8%), RBC ($50.7B, 1.9%), Fixed Income Clearing Corp ($45.9B, 1.8%), JP Morgan ($32.4B, 1.2%), Sumitomo Mitsui Banking Corp ($31.5B, 1.2%), Bank of America ($29.4B, 1.1%), Citi ($27.0B, 1.0%), Mitsubishi UFJ Financial Group Inc ($19.6B, 0.7%) and Barclays PLC ($17.9B, 0.7%) <b:>`_. The largest users of the $2.088 trillion in Fed RRP include: Vanguard Federal Money Mkt Fund ($134.1B), Goldman Sachs FS Govt ($130.4B), Fidelity Govt Money Market ($127.3B), Fidelity Govt Cash Reserves ($115.4B), JPMorgan US Govt MM ($113.3B), Morgan Stanley Inst Liq Govt ($92.8B), Federated Hermes Govt ObI ($79.0B), BlackRock Lq FedFund ($74.0B), Dreyfus Govt Cash Mgmt ($70.0B) and State Street Inst US Govt ($66.5B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($20.4B, 5.3%), RBC ($19.6B, 5.1%), Mizuho Corporate Bank Ltd ($18.7B, 4.8%), Toronto-Dominion Bank ($15.5B, 4.0%), Skandinaviska Enskilda Banken AB ($15.0B, 3.9%), Sumitomo Mitsui Banking Corp ($13.5B, 3.5%), Barclays PLC ($13.4B, 3.5%), Mitsubishi UFJ Financial Group Inc ($13.0B, 3.4%), Canadian Imperial Bank of Commerce ($12.4B, 3.2%) and Bank of Montreal ($12.3B, 3.2%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($11.4B, 9.3%), Credit Agricole ($9.7B, 8.0%), Canadian Imperial Bank of Commerce ($9.1B, 7.5%), Mitsubishi UFJ Financial Group Inc ($8.9B, 7.3%), Toronto-Dominion Bank ($7.3B, 6.0%), Bank of Nova Scotia ($6.2B, 5.1%), Sumitomo Mitsui Trust Bank ($5.7B, 4.7%), Citi ($5.1B, 4.2%), Svenska Handelsbanken ($4.7B, 3.9%) and Nordea Bank ($4.3B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.5B, 7.3%), Bank of Montreal ($8.0B, 4.3%), Toronto-Dominion Bank ($7.6B, 4.1%), JP Morgan ($7.0B, 3.8%), BNP Paribas ($5.2B, 2.8%), National Australia Bank Ltd ($5.2B, 2.8%), Barclays PLC ($5.2B, 2.8%), Svenska Handelsbanken ($4.9B, 2.7%), Macquarie Bank Limited ($4.9B, 2.6%) and Australia & New Zealand Banking Group Ltd ($4.9B, 2.6%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $77.2B to $2.088T), Federal Home Loan Bank (up $29.8B to $310.6B), Credit Agricole (up $15.3B to $34.3B), RBC (up $5.8B to $70.3B), Barclays PLC (up $5.6B to $31.3B), BNP Paribas (up $5.0B to $80.6B), Natixis (up $4.5B to $13.5B), Svenska Handelsbanken (up $4.2B to $12.2B), Societe Generale (up $4.0B to $16.8B) and Rabobank (up $3.8B to $7.5B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the US Treasury (down $33.2B to $1.421T), Fixed Income Clearing Corp (down $21.9B to $45.9B), Goldman Sachs (down $10.0B to $19.0B), Landesbank Baden-Wurttemberg (down $2.8B to $5.0B), Federal Home Loan Mortgage Corp (down $2.0B to $10.6B), National Australia Bank Ltd (down $1.7B to $6.9B), Mizuho Corporate Bank Ltd (down $1.5B to $26.1B), Nordea Bank (down $1.3B to $5.1B), Lloyds Banking Group (down $1.3B to $5.1B) and Sumitomo Mitsui Banking Corp (down $1.2B to $45.0B).

The United States remained the largest segment of country-affiliations; it represents 84.7% of holdings, or $4.186 trillion. Canada (3.5%, $174.3B) was in second place, while France (3.3%, $161.1B) was No. 3. Japan (3.1%, $153.4B) occupied fourth place. The United Kingdom (1.2%, $57.3B) remained in fifth place. Netherlands (0.9%, $43.1B) was in sixth place, followed by Sweden (0.8%, $40.8B) Australia (0.6%, $30.8B), ` Germany <b:>`_ (0.6%, $30.2B) and Switzerland (0.3%, $13.8B). (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 July 31, 2022, Taxable money funds held 64.9% (up from 63.8%) of their assets in securities maturing Overnight, and another 7.0% maturing in 2-7 days (up from 6.9%). Thus, 71.9% in total matures in 1-7 days. Another 6.7% matures in 8-30 days, while 7.4% matures in 31-60 days. Note that over three-quarters, or 86.1% 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 4.7% of taxable securities, while 7.4% matures in 91-180 days, and just 1.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Aug 01
 

While Crane Data is gearing up for its next live event, European Money Fund Symposium, which will take place Sept. 27-28 in Paris, France, we're also starting to make plans for our next Money Fund University educational conference. Our 12th annual MFU will change slightly from its previous "basic training" format to a more advanced "Master's in Money Markets" program this year. It will take place at the Hyatt Regency in Boston, Mass., December 15-16, 2022. (We cancelled MFU last January and hosted a virtual event, but this year we'll be back live and in person.) Crane's Money Fund University is designed for those relatively new to the money market fund industry or those in need of a concentrated refresher on a broad core curriculum. The event also focuses on hot topics like money market fund regulations, money fund alternatives, offshore markets, and other recent industry trends. Our educational conference features a faculty of the money fund industry's top lawyers, strategists, and portfolio managers, and the Boston show will include an extended free training session (and lunch) for Crane Data clients, as well as a Holiday party where all are welcome. Money Fund University offers a 2-day crash course on money market mutual funds, educating attendees on the history of money funds, the Fed, interest rates, ratings, rankings, and money market instruments such as commercial paper, Treasury bills, CDs and repo. We also cover portfolio construction and credit analysis. Registrations ($750) are now being taken, and the latest agenda is available here. (E-mail us to request the latest brochure.) New portfolio managers, analysts, investors, issuers, service providers, and anyone interested in expanding their knowledge of "cash" investing should benefit from our comprehensive program. Even experienced professionals may enjoy a refresher course and the opportunity to interact with peers in an informal setting. Also, please join us for the 8th Annual Crane's European Money Fund Symposium. The latest agenda is available and registrations are still being taken for this year's European event, which will take place Sept. 27-28 at the Renaissance Paris La Defense in Paris, France. Registration for our 2022 Crane's European Money Fund Symposium is $1,000 USD. Please make your hotel reservations soon! Rooms must be booked before August 5 to receive the discounted rate of E259. Visit www.euromfs.com to register, and contact us to request the PDF brochure. (Let us know too if you'd like information on speaking or sponsorship pricing.) Mark your calendars for our next Bond Fund Symposium, which be held in Boston, Mass., on March 23-24, 2023. (Click here to see last year's agenda.) Bond Fund Symposium is the only conference devoted entirely to bond mutual funds, bringing together bond fund managers, marketers, and professionals with fixed-income issuers, investors and service providers. The majority of the content is aimed at the growing ultra-short and conservative ultra-short bond fund marketplace. Finally, mark your calendars too for our next big show, Crane's Money Fund Symposium, which will be held in Atlanta, Ga., June 21-23, 2023. Money Fund Symposium attracts money fund managers, marketers and servicers, cash investors, money market securities dealers, issuers, and regulators for 2 1/2 days of sessions, socializing and networking. Let us know if you'd like more details on any of our events, and we hope to see you in Paris in September, Boston in December or in March 2023, and Atlanta in June 2023. Thanks to all of our speakers, sponsors and supporters for your patience and support over the past 2+ rough years!

Jul 08
 

The July issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "AFP 2022 Liquidity Survey: Banks, MMFs Still Dominate," which discusses the results of a poll of corporate treasurers on cash investing; "Money Fund Symposium '22: Focus on D&I, Rates, Reforms," which covers our recent big conference in Minneapolis; and, "Worldwide MF Assets Fall in Q1, Led by US, Ireland, Lux," which reviews the latest statistics on international money fund markets. We also sent out our MFI XLS spreadsheet Friday morning, and we've updated our database with 6/30/22 data. Our July Money Fund Portfolio Holdings are scheduled to ship on Tuesday, July 12, and our July Bond Fund Intelligence is scheduled to go out on Friday, June 15. (Note: Our MFI, MFI XLS and Crane Index products are all available to subscribers via our Content center.)

MFI's "Liquidity Survey" article says, "The Association for Financial Professionals published its '2022 AFP Liquidity Survey' last month, which polls corporate treasurers on cash management practices and preferences. They explain, 'The typical organization currently maintains 55% of its short-term investments in bank deposits, slightly higher than the 52% reported in 2021 and 51% in 2020.'" (See AFP's press release and our June 22 News, "More AFP Liquidity Survey: Yield No. 1 Factor for Money Funds.")

AFP writes, "When interest rates dropped to zero at the beginning of the pandemic in the spring of 2020, bank relationships were key as organizations needed to draw down on liquidity.... With inflation relatively high, the Federal Reserve has already raised interest rates. Treasury professionals will continue to rely on relationships with their financial institutions as low yields provide little appetite for companies to move away from bank deposits. Companies maintain their investments in relatively few vehicles. Organizations invest in an average of 2.5 vehicles for their cash and short-term investments -- a figure unchanged from the 2.5 reported in 2021."

Our "Symposium" piece explains, "Crane Data recently hosted its 14th annual Money Fund Symposium conference in Minneapolis, which brought together over 420 money fund and cash investment professionals to discuss the latest involving rising rates, pending money fund reforms, and ESG/D&I money fund issues. (Note: Thanks to those who attended Money Fund Symposium! The recordings are available in our 'Money Fund Symposium 2022 Download Center <i:https://cranedata.com/publications/mfsymposium-2022>`_,' and mark your calendars for next year's MFS, June 21-23, 2023, in Atlanta.) We quote from some of the highlights below <b:>`_."

It continues, "The 'Major Money Fund Issues 2022' session featured Federated Hermes' Deborah Cunningham, Dreyfus' John Tobin and Northern Trust AM's Peter Yi. Yi says, 'Northern Trust has had a really rich history in D&I [diversity & inclusion] and social impact strategies. We've been doing diversity-type exposures for probably 30, 40 years.... More relevant to money market mutual funds, ... back in 2014, we were fortunate enough to partner with Williams Capital at the time, now Siebert Williams Shank (SWS), and it's been a great partnership. It's allowed our liquidity investors to help support these minority and women owned financial firms.... Those share classes have grown exponentially.... To your point, we've been really focused on diversity, as well as equality and inclusion."

Our "Worldwide" piece states, "ICI published 'Worldwide Regulated Open-Fund Assets and Flows, Q1'22,' which shows that money fund assets globally fell by $198.0 billion, or -2.2%, in Q1'22 to $8.635 trillion. The decreases were led by drops in money funds in the U.S., France and Luxembourg. Meanwhile, money funds in China and Brazil increased. MMF assets worldwide increased by $156.4 billion, or 1.8%, in the 12 months through 3/31/22, and money funds in the U.S. represent 53.2% of worldwide assets. We review the latest Worldwide MMF totals, below."

ICI's release says, "Worldwide regulated open-end fund assets decreased 4.6% to $67.80 trillion at the end of the first quarter of 2022, excluding funds of funds. Worldwide net cash inflow to all funds was $81 billion in the first quarter, compared with $1.1 trillion of net inflows in the fourth quarter of 2021. The Investment Company Institute compiles worldwide regulated open-end fund statistics on behalf of the International Investment Funds Association (IIFA), the organization of national fund associations. The collection for the first quarter of 2022 contains statistics from 46 jurisdictions."

MFI also includes the News brief, "Money Fund Yields Hit 1.2%, Top Funds Over 1.5%; Sweeps Up to 0.15%." It tells readers, "Money market fund yields doubled in June, driven by the Fed's 75 bps rate hike June 15. They continue to grind higher, and should jump again late this month following the next rate move. The 7-Day Yield Average for our flagship Crane 100 Money Fund Index rose by 59 bps to 1.18% last month (it has since risen to 1.2%). Brokerage sweep rates also jumped as Fidelity and others hiked FDIC insured sweep rates."

Another News brief, "Assets Rebound in June," explains, "MFI XLS shows assets rising $31.9 billion in June to $4.996 trillion (after falling $14.7 billion in May and $69.4 billion in April). YTD, MMFs are down by $175.2 billion, or 3.4%. ICI's new weekly 'Money Market Fund Assets' report shows assets up in the latest week."

A sidebar, "Fed Z.1 Shows Big Drop in Household, Business MMFs," states, "The Federal Reserve's First Quarter 2022 'Z.1 Financial Accounts of the United States <i:https://www.federalreserve.gov/releases/z1/default.htm>`_' statistical survey shows that Total MMF Assets decreased by $115 billion to $5.091 trillion in Q1'22. The Household Sector, by far the largest investor segment, saw the biggest asset decrease in Q1. The second largest segment, Nonfinancial Corporate Businesses, also experienced a drop in assets."

Finally, another sidebar, "MSRB: Muni MMFs Shrink," explains, "A press release, '`MSRB Research Reveals Significant Shifts in Municipal Securities Ownership,' explains, '[T]he `Municipal Securities Rulemaking Board (MSRB) examines trends in municipal securities ownership since 2004, revealing a continuous decline in individual investor direct ownership of municipal securities while ownership through funds has steadily risen.... [T]he MSRB found that ownership among banks, insurance companies, money market funds and foreign investors has also shifted."

Our July MFI XLS, with June 30 data, shows total assets increased $31.9 billion to $4.996 trillion, after decreasing $10.7 billion in May and $74.3 billion in April. MMFs increased $24.1 billion in March, decreased $34.6 billion in February and decreased $128.1 billion in January. Assets increased $104.6 billion in December, $49.7 billion in November and $20.5 billion October. MMFs also increased $878 million in September and $27.9 billion in August. Our broad Crane Money Fund Average 7-Day Yield was up 50 bps to 0.97%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 59 bps to 1.18% in June.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 1.33% and 1.44%, respectively. Charged Expenses averaged 0.38% and 0.26% for the Crane MFA and the Crane 100. (We'll revise expenses on Monday once we upload the SEC's Form N-MFP data for 6/30/22.) The average WAM (weighted average maturity) for the Crane MFA was a record low 23 days (down 2 days from previous month) while the Crane 100 WAM decreased 1 day to 24 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Jun 07
 

The June issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Tuesday morning, features the articles: "Money Fund Yields Climb, Pulling Sweeps, Deposits Up," which discusses the jump in money fund rates; "ICI 2022 Fact Book Shows Money Fund Trends in '21," which covers the Investment Company Institute's annual statistical guide; and, "Bank of England, FCA Paper Reviews Money Funds in UK," which reviews regulatory discussions in Europe. We also sent out our MFI XLS spreadsheet Tuesday morning, and we've updated our database with 5/31/22 data. Our June Money Fund Portfolio Holdings are scheduled to ship on Thursday, June 9, and our June Bond Fund Intelligence is scheduled to go out on Tuesday, June 14. (Note: Our MFI, MFI XLS and Crane Index products are all available to subscribers via our Content center.)

MFI's "Yields Climb article says, "Money market fund yields continue to inch higher after a surge in early May following the Fed's 50-basis-point move. Our flagship Crane 100 Money Fund Index, which ended May at 0.57%, rose to 0.​59% in the week ended Friday, June 3. The average had been 0.​55% the prior week, 0.​21% on April 29, 0.​15% on March 31 and 0.​02% on February 28 (​where it had been for almost 2 years prior)."

It continues, "Brokerage sweep deposit rates have also begun inching higher, with Fidelity Investments hiking its FDIC-insured brokerage sweep rate to 0.25% from 0.01% last month. Our latest Brokerage Sweep Intelligence shows the average rate (​on FDIC insured deposits) inched up to 0.05%, up from 0.​01% a month ago. Money fund yields should jump higher again next month if, as expected, the Fed raises rates by another 50 bps. Whether bank deposits keep pace, and how much money begins flowing info money funds, are now the major questions in the space."

Our "ICI 2022 Fact Book" excerpts explain, "The Investment Company Institute released its '2022 Investment Company Fact Book,' an annual compilation of statistics and commentary on the mutual fund space. Subtitled, 'A Review of Trends and Activities in the Investment Company Industry,' the latest edition reports that equity, bond fund and money market funds all saw assets increase nicely in 2021 (though 2022 year-to-date has been another matter). Overall, money funds assets were $4.756 trillion at year-end 2021, making up 17.6% of the $27.0 trillion in overall mutual fund assets. Retail investors held $1.480 trillion, while institutional investors held $3.276 trillion. We excerpt from the latest 'Fact Book' below."

It continues, "Discussing 'Worldwide' mutual funds (page 5), ICI writes, 'Money market funds -- which are generally defined throughout the world as regulated funds that are restricted to holding short-term, high-quality debt instruments -- saw their total net assets increase from $8.3 trillion to $8.8 trillion (6.2%). At year-end 2021, equity funds remained the largest category of worldwide regulated funds, accounting for 47% of net assets. Bond funds accounted for 19% of net assets, mixed/other funds for 21%, and money market funds for 12%.'

Our "BofE, FCA" piece states, "The Bank of England and Financial Conduct Authority published a discussion paper entitled, 'Resilience of Money Market Funds <i:https://www.fca.org.uk/publication/discussion/dp22-1.pdf>`_,' which reviews money funds in the U.K. and pending European money fund regulatory reforms. The paper says, 'This Discussion Paper (DP) is a contribution to an assessment of the vulnerabilities in MMFs and how much they contribute to risks to UK financial stability and investor protection. It aims to contribute to the debate about how to reduce such risks while also ensuring that the structure of the financial system and UK market support the needs of the real economy in a sustainable and robust way. It aims to gather views to inform the UK authorities’ development of MMF reform proposals, and where possible, to set out the UK authorities’ initial views on the possible effectiveness and proportionality of some reform options."

The paper continues, "In relation to MMFs, UK authorities aim to adopt policy measures following feedback received from this DP that will: i. Strengthen the resilience of MMFs and the financial system in supporting the UK economy. ii. Reduce the need for future extraordinary central bank interventions of the kind that occurred in March 2020 [and] iii. Support the provision of sustainable and robust cash management financial services that meet the needs of users including at times of financial stress."

MFI also includes the News brief, "Assets Down Slightly in May. MFI XLS shows assets falling $10.7 billion in May to $4.968 trillion (after falling $74.3 billion in April). ICI's weekly 'Money Market Fund Assets' shows assets flat after jumping the prior week (and declining 2 weeks before this)."

Another News brief, "May MF Portfolio Holdings: Treasuries Plummet, Time Deposits Higher. Our April 30 data show that Treasuries plunged again last month while Other (mostly Time Deposits) jumped. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. (Fed repo inched higher to $1.662 trillion.) Agencies were the third largest segment, CP remained fourth, ahead of Other/Time Deposits, CDs and VRDNs."

A sidebar, "CAG's Pan on Prime MMFs," states, 'Capital Advisors Group’s Lance Pan asks, 'Will There Be a Renaissance for Prime Money Market Funds?.' He explains, 'April 11 marked the end of the comment period for the new round of money market fund (MMF) reforms proposed by the Securities and Exchange Commission (SEC). As the Fed is poised to hike rates aggressively in coming meetings, institutional cash investors are keenly aware that their deposit rates are not likely to keep pace. Might prime MMFs be an alternative? Will the amendments alter the utility and attractiveness of prime funds to institutional cash investors? Should investors plunge in before the new rules take effect?"

Finally, another sidebar, "Dreyfus' Tobin on Yields," explains, "Dreyfus recently hosted a webinar entitled, 'Money Market Funds, Rising Rates and Geopolitical Turmoil,' which featured CIO John Tobin and Credit Head Keith Lawler discussing rising rates, Treasury funds and bank deposits. Tobin tells us, 'I think the reason you're seeing a lot of dispersion is one, fund positioning, [and, two] cash flows. [Y]ou saw several funds extend in late Feb. and early March. [This was] still when ... we thought we were just going to get a series of 25's. [I]n a pretty dramatic twist or, ... hawkish pivot all of a sudden, this idea of going 50 and maybe multiple 50 [bps became the consensus] ... with the backdrop of, hey, we need to hit neutral rates by year end at a minimum. [It was an] unbelievable change of events in a matter of two months. So that's why I think you've seen as much dispersion in performance as we have ever seen."

Our June MFI XLS, with May 31 data, shows total assets decreased $10.7 billion to $4.968 trillion, after decreasing $74.3 billion in April, increasing $24.1 billion in March, decreasing $34.6 billion in February and decreasing $128.1 billion in January. Assets increased $104.6 billion in December, $49.7 billion in November and $20.5 billion October. MMFs also increased $878 million in September and $27.9 billion in August. Our broad Crane Money Fund Average 7-Day Yield was up 29 bps to 0.43%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 36 bps to 0.57% in May.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 0.72% and 0.79%, respectively. Charged Expenses averaged 0.29% and 0.22% for the Crane MFA and the Crane 100. (We'll revise expenses Wednesday once we upload the SEC's Form N-MFP data for 5/31/22.) The average WAM (weighted average maturity) for the Crane MFA was 25 days (down 1 day from previous month) while the Crane 100 WAM stayed at 26 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)