Crane 100 Money Fund Index

4.67% -0.01%

annualized 7-day current yield as of 10/21

Oct. MFI: Assets Record $6.8T; EMFS Recap; Worldwide MFs Up in Q2'24

October Money Fund Portfolio Holdings: Repo Surges, Reclaims Top Spot

Mark Your Calendars! Money Fund Symposium 2025, Boston, June 23-25

MFI Custom Reports

Mutual fund trade association, the Investment Company Institute (ICI) recently posted a "Viewpoint" entitled, "Three Myths and Facts about Bank Deposits, Bank Lending, and Money Market Funds," which argues against the media's misperception that the shift from bank deposits to money market funds is harming the real economy by reducing lending. Chief Economist Sean Collins writes, "Following the difficulties at Silicon Valley Bank (SVB), Signature Bank, and Credit Suisse in early March 2023, a number of media reports cited analysts who suggested that money market funds (MMFs) are drawing deposits away from banks, adding to stresses at banks and preventing them from lending more to businesses and consumers. The reports claim that this process has been abetted by MMFs being able to invest at favorable rates with the Federal Reserve's (Fed's) reverse repo (RRP) facility, something the Fed created almost a decade ago to absorb excess cash in funding markets. Since May 2021, the facility has grown by about $2.2 trillion and MMFs are the biggest investors in the facility. This, it is suggested, is a concern the Fed could address by making the terms of the RRP facility less attractive to MMFs. This narrative, though colorful and attention-grabbing, needs fact-checking."

He cites "Myth #1: In March 2023, $422 billion flowed into government MMFs, which became 'dead money' in the Fed's RRP facility that banks could otherwise have lent to businesses and households." Collins responds with, "Fact #1: Government MMFs recycled over 70 percent of the $422 billion back into the banking system, either directly or indirectly. As assets in government MMFs climbed in March, those funds invested an additional $190.5 billion in debt issued by Federal Home Loan Banks, which in turn lent the proceeds to banks. Government MMFs also raised by $112.4 billion their investments in repo, providing additional funding to banks or their broker subsidiaries. Only $68.5 billion of the increase was invested in the Fed's RRP facility."

The update says, "Myth #2: Banks could lend a lot more to businesses and consumers if the Fed made terms of the RRP facility less attractive to MMFs." It continues, "Fact #2: Bank deposits, which have grown substantially since 2010, totaled about $18 trillion by February 2023 but bank loans totaled only a fraction of that. Because of banking regulations, banks often must hold deposits in US government securities or in their accounts with the Fed, preventing them from lending the deposits to businesses and consumers. Thus, an extra dollar of bank deposits will not necessarily result in more lending to the real economy."

Collins tells us, "Myth #3: MMFs increased their investments in the Fed's RRP facility over the past two years, drawing deposits from banks. Fact #3: Government MMFs did increase their investments in the Fed's RRP facility substantially over the past two years, but this was not because their assets grew. Instead, they exchanged one type of federal government liability (Treasury bills) for another (investments in the Federal Reserve's RRP facility), leaving their assets virtually unchanged."

He explains, "From March 31, 2021, to February 28, 2023 -- right before the difficulties at SVB surfaced publicly -- government MMFs' investments in the RRP facility rose by nearly $1.7 trillion.... However, their holdings of Treasury bills fell $1.4 trillion, in large measure because the US Treasury pared issuance of Treasury bills (which, given their short maturities, MMFs can hold) in favor of greater issuance of Treasury bonds (which, given their longer maturities, MMFs generally cannot hold). On balance, the assets of government MMFs were virtually unchanged over this period."

ICI's piece adds, "In light of the facts, the colorful narrative that MMFs are preventing increased lending to the real economy is strained at best and incorrect at worst. Sufficient financing to the real economy depends primarily on adroit monetary policy: sufficient financing will be forthcoming if the Fed can thread the needle of reducing inflation while avoiding a recession. Impugning MMFs as culpable in regional bank difficulties won't help thread that needle."

In other news, money fund yields were relatively flat again last week, unchanged after inching higher by just one basis point the week prior. They've now digested the Fed's March 22nd 25 basis point rate hike but should jump again after the Fed hikes rates on May 2 (if they hike as expected). Our Crane 100 Money Fund Index (7-Day Yield) was unchanged at 4.64% in the week ended Friday, 4/28. Yields are up from 4.61% on March 31, 4.39% on Feb. 28, 4.15% on Jan. 31 and 4.05% on 12/31/22. They've increased from 3.59% on Nov. 30, from 2.88% on Oct. 31 and from 2.66% on Sept. 30. Just a handful of the top-yielding money market funds yield above the 5.0% level, but more should move above this level after the next hike.

The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 687), shows a 7-day yield of 4.53%, unchanged in the week through Friday. Prime Inst MFs were unchanged at 4.74% in the latest week. Government Inst MFs rose by 1 bp to 4.64%. Treasury Inst MFs down 2 bps for the week at 4.50%. Treasury Retail MFs currently yield 4.29%, Government Retail MFs yield 4.33%, and Prime Retail MFs yield 4.58%, Tax-exempt MF 7-day yields were up 79 bps at 2.98%.

According to Monday's Money Fund Intelligence Daily, with data as of Friday (4/28), zero money funds (out of 816 total) yield under 2.0%; 61 funds yield between 2.00% and 2.99% with $20.4 billion, or 0.4%; 112 funds yield between 3.00% and 3.99% ($118.8 billion, or 2.1%), and 643 funds yield 4.0% or more ($5.528 trillion, or 97.5%). Eleven funds have now officially surpassed the 5.0% mark (though many are private and not listed in our "Highest-Yielding Funds" table above) but we expect a lot more to follow in coming weeks.

Our Brokerage Sweep Intelligence Index, an average of FDIC-insured cash options from major brokerages, was unchanged at 0.56% after increasing one basis point 2 weeks ago. The latest Brokerage Sweep Intelligence, with data as of April 28, shows that there were no changes over the past week. Just 3 of 11 major brokerages still offer rates of 0.01% for balances of $100K (and lower tiers). These include: E*Trade, Merrill Lynch and Morgan Stanley.

Finally, an article on the website, Cointelegraph, "Circle's Fed payment rail goal could be crushed by NY Fed's policy change," states, "The New York Federal Reserve has published new rules for counterparties looking to use its money market balancer, casting uncertainty over intentions by stablecoin issuer Circle to use the Fed's systems. In an April 25 statement, the New York Fed announced adjustments to its guidelines to determine which parties are eligible to participate in its reverse repurchase agreements (RRP)."

It states, "The updated guidelines could potentially hinder Circle's chances of gaining access to the Fed's reverse-repurchase program -- a process where the Fed sells securities to eligible counterparties with an agreement to repurchase them at the maturity date. According to the New York Fed, accessing such a system 'should be a natural extension of an existing business model, and the counterparty should not be organized for the purpose of accessing RPP operations.'" (For more, see our April 27 News, "Financial Planning Mag Criticizes Brokerage Sweeps; NYFed Tightens RRP.")

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Oct 07

The October issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Monday morning, features the articles: "Assets Spike to Record $6.8T; Yields Plunge to 4.7% on Cut," which reviews the jump in assets and drop in yields following the big Fed cut; "European MF Symposium: Breaking Records in London," which quotes from our recent offshore MMF conference; and, "Worldwide MMFs Jump in Q2'24, Hit Record $10.6 Tril.," which recaps the latest statistics on money fund markets outside the U.S. We also sent out our MFI XLS spreadsheet Monday a.m., and we've updated our Money Fund Wisdom database with 9/30/24 data. Our Oct. Money Fund Portfolio Holdings are scheduled to ship on Wednesday, October 9, and our Oct. Bond Fund Intelligence is scheduled to go out on Tuesday, October 15 (a day late due to the Columbus Day Holiday). (Note: Please join us for our "basic training" event, Money Fund University, which takes place Dec. 19-20 in Providence, R.I.)

MFI's "Assets Spike" article says, "Money fund yields moved sharply lower following the Federal Reserve's Sept. 18 50 basis point rate cut. They quickly fell below 5.0% and are now stabilizing at around 4.75% on average. Meanwhile, money market mutual fund assets jumped to all-time records, rising $155.2 billion in September to a record $6.777 trillion, according to MFI. They've continued rising in October, breaking the $6.8 trillion level on Thursday (10/3)."

It continues, "Money fund yields fell 35 basis points to 4.75% on average in September (as measured by our Crane 100 Money Fund Index, an average of 7-day yields for the 100 largest taxable money funds). Yields were 5.10% on 8/31, 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. Yields should continue to inch lower as they digest the final remnants of the Fed cut, then they should stabilize until the next cut."

We write in our European MF Symposium article, "Crane Data recently hosted its 10th annual European Money Fund Symposium in London, England, which featured record attendance (210) and two days of discussions on offshore money funds denominated in USD, EUR and GBP. Veronica Iommi, Secretary General of IMMFA, the Institutional Money Market Funds Association, presented on 'The State of MMFs in Europe.' She began by looking at the current MMF landscape in Europe, including a brief reminder of how IMMFA MMFs have performed in recent years followed by a review of where we are on the regulatory front, what this might mean for us looking forwards and IMMFA's role as a voice of the Money Market Fund industry."

It states, "She tells the audience, 'Since last year, there have also been some developments at IMMFA ... including the decision to increase our focus on technology and the tokenization of money market funds. We welcomed four new associate members specializing in fin-tech to the IMMFA family, namely Cachematrix, Calastone, Fund Connect and Morgan Money. These new associate members joined existing members in a working group which has already been very actively engaged in discussions with regulators and policymakers.'"

Our "Worldwide" piece says, "The Investment Company Institute's 'Worldwide Regulated Open-Fund Assets and Flows, Second Quarter 2024,' shows that money fund assets globally rose by $201.6 billion, or 1.9%, in Q2’24 to $10.643 trillion. Increases were led by a sharp jump in money funds in U.S. and China, while Luxembourg and India also rose. Meanwhile, money funds in Brazil and Japan were lower. MMF assets worldwide increased by $923.8 billion, or 9.5%, in the 12 months through 6/30/24."

The piece states, "According to Crane Data's analysis of ICI's 'Worldwide' fund data, the U.S. sustained its position as the largest money fund market in Q2'24 with $6.092 trillion, or 57.2% of all global MMF assets. U.S. MMF assets increased by $172.7 billion (2.9%) in Q2'24 and have increased by $642.1 billion (11.8%) in the 12 months through June 30, 2024. China remained in second place among countries overall. China saw assets increase $226.3 billion (14.2%) in Q2 to $1.815 trillion (17.1% of worldwide assets). Over the 12 months through June 30, 2024, Chinese MMFs have increased $231.3 billion, or 14.6%."

MFI also includes the News brief, "Fed Goes Big, Cuts Rates by 50 Bps. A release titled, 'Federal Reserve issues FOMC statement,' tells us, 'In light of the progress on inflation and the balance of risks, the Committee decided to lower the target range for the federal funds rate by 1/2 percentage point to 4-3/4 to 5 percent.'"

Another News brief, "Bloomberg Says, 'Money-Market Funds Stay in Vogue Even as Reforms Go Into Effect.' They write, 'Money-market funds are attracting record amounts of cash, even as a regulatory overhaul [goes live].... The [SEC] approved measures last year.... The final piece of the reform requiring fund managers to impose mandatory liquidity fees went into effect [Oct. 2]."

A third News brief, "Texas Capital Launches Govt MM ETF," states, "A release, 'Texas Capital Launches Government Money Market Exchange Traded Fund,' claims, 'Texas Capital Bank Private Wealth Advisors, a subsidiary of Texas Capital Bank, and the Texas Capital Funds Trust … announced the launch of the Texas Capital Government Money Market ETF (MMKT).'"

A sidebar, "Janus MMF to Support ACS," says, "A press release titled, 'Janus Henderson Offers Money Market Fund to Support the American Cancer Society,' states, 'Janus Henderson ... and the American Cancer Society (ACS) ... announced an innovative partnership to support cancer research, advocacy, and patient support. Through this pioneering initiative, Janus Henderson will donate an amount equal to half of its management fees for all assets under management from Janus Henderson’s Government Money Market Fund to ACS. Janus Henderson has committed to donating a minimum of $1 million per year to ACS for the next three years through this innovative partnership to support the fight against cancer.'"

Our October MFI XLS, with Sept. 30 data, shows total assets increased $155.2 billion to a record $6.777 trillion, after increasing $105.6 billion in August, $19.7 billion in July, $11.8 billion in June and $79.7 billion in May. They decreased $17.6 billion in April and $66.7 billion in March, but increased $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 last October and increased $77.8 billion last September.

Our broad Crane Money Fund Average 7-Day Yield was down 34 bps at 4.65%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was also down 35 bps at 4.75% in September. On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 averaged 5.04% and 5.01%. Charged Expenses averaged 0.38% 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 9/30/24 on Tuesday, 10/8.) The average WAM (weighted average maturity) for the Crane MFA was 31 days (down 2 bp) and the Crane 100 WAM was down 3 bps from the previous month at 30 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Sep 12

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%).

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.)

Sep 09

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.)

Aug 12

Crane Data's August Money Fund Portfolio Holdings, with data as of July 31, 2024, show that Other, 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 $90.4 billion to $6.437 trillion in July, after decreasing by $0.4 billion in June, increasing $105.6 billion in May and decreasing $61.4 billion in April. Repo decreased $21.5 billion in July after increasing $99.3 billion in June. It remains the largest portfolio segment. Treasuries increased by $24.3 billion, staying at the No. 2 spot. (The U.S. Treasury continues to be the single largest Issuer to MMFs. `In July, U.S. Treasury holdings increased to $2.453 trillion, while NY Fed Repo decreased by $234.3 billion to $380.6 billion.) 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: Register soon for our European Money Fund Symposium, which is Sept. 19-20, 2024 in London, England. Our discounted hotel rate expires on Wednesday!)

Among taxable money funds, Repurchase Agreements (repo) decreased $21.5 billion (-0.8%) to $2.559 trillion, or 39.8% of holdings, in July, after increasing $99.3 billion in June, $26.8 billion in May, and $94.9 billion in April. Treasury securities increased $24.3 billion (1.0%) to $2.453 trillion, or 38.1% of holdings, after decreasing $17.3 billion in June, increasing $51.0 billion in May and decreasing $144.9 billion in April. Government Agency Debt was up $22.9 billion, or 3.2%, to $747.0 billion, or 11.6% of holdings. Agencies decreased $16.9 billion in June, increased $19.9 billion in May and $3.8 billion in April, but decreased $14.2 billion in March and $6.7 billion in February. Repo, Treasuries and Agency holdings now total $5.758 trillion, representing a massive 89.5% of all taxable holdings.

Money fund holdings of Other (Time Deposits), CP and CDs increased in July. Commercial Paper (CP) increased $8.2 billion (3.1%) to $276.7 billion, or 4.3% of holdings. CP holdings decreased $2.0 billion in June, $2.8 billion in May and $30.7 billion in April. Certificates of Deposit (CDs) increased $6.9 billion (3.6%) to $200.7 billion, or 3.1% of taxable assets. CDs decreased $5.6 billion in June, $15.8 billion in May and $2.2 billion in April. Other holdings, primarily Time Deposits, increased $49.0 billion (35.2%) to $188.2 billion, or 2.9% of holdings, after decreasing $57.5 billion in June and increasing $26.2 billion. VRDNs increased to $12.4 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Monday around noon.)

Prime money fund assets tracked by Crane Data increased to $1.171 trillion, or 18.2% of taxable money funds' $6.437 trillion total. Among Prime money funds, CDs represent 17.1% (up from 16.6% a month ago), while Commercial Paper accounted for 23.6% (up from 23.0% in June). The CP totals are comprised of: Financial Company CP, which makes up 15.9% of total holdings, Asset-Backed CP, which accounts for 6.3%, and Non-Financial Company CP, which makes up 1.4%. Prime funds also hold 0.4% in US Govt Agency Debt, 4.5% in US Treasury Debt, 20.9% in US Treasury Repo, 0.8% in Other Instruments, 13.5% in Non-Negotiable Time Deposits, 7.6% in Other Repo, 10.3% in US Government Agency Repo and 0.8% in VRDNs.

Government money fund portfolios totaled $3.503 trillion (54.4% of all MMF assets), up from $3.426 trillion in June, while Treasury money fund assets totaled another $1.762 trillion (27.4%), up from $1.754 trillion the prior month. Government money fund portfolios were made up of 21.2% US Govt Agency Debt, 17.0% US Government Agency Repo, 31.7% US Treasury Debt, 29.6% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 73.2% US Treasury Debt and 26.5% in US Treasury Repo. Government and Treasury funds combined now total $5.265 trillion, or 81.8% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $140.9 billion in July to $798.0 billion; their share of holdings rose to 12.4% from last month's 10.4%. Eurozone-affiliated holdings increased to $510.9 billion from last month's $438.2 billion; they account for 7.9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $336.1 billion (5.2% of the total) from last month's $293.1 billion. Americas related holdings fell to $5.293 trillion from last month's $5.391 trillion, and now represent 82.2% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $39.2 billion, or -2.2%, to $1.747 trillion, or 27.1% of assets); US Government Agency Repurchase Agreements (up $17.5 billion, or 2.5%, to $717.5 billion, or 11.1% of total holdings), and Other Repurchase Agreements (up $0.3 billion, or 0.3%, from last month to $94.0 billion, or 1.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $8.2 billion to $186.0 billion, or 2.9% of assets), Asset Backed Commercial Paper (up $2.0 billion to $74.2 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $1.9 billion to $16.6 billion, or 0.3%).

The 20 largest Issuers to taxable money market funds as of July 31, 2024, include: the US Treasury ($2.453T, 38.1%), Fixed Income Clearing Corp ($646.3B, 10.0%), Federal Home Loan Bank ($598.6B, 9.3%), the Federal Reserve Bank of New York ($380.6B, or 5.9%), JP Morgan ($201.1B, 3.1%), Citi ($162.4B, 2.5%), BNP Paribas ($144.2B, 2.2%), RBC ($140.8B, 2.2%), Federal Farm Credit Bank ($133.2B, 2.1%), Barclays PLC ($126.2B, 2.0%), Bank of America ($125.1B, 1.9%), Goldman Sachs ($110.2B, 1.7%), Mitsubishi UFJ Financial Group Inc ($83.3B, 1.3%), Credit Agricole ($72.4B, 1.1%), Wells Fargo ($67.9B, 1.1%), Sumitomo Mitsui Banking Corp ($65.5B, 1.0%), Mizuho Corporate Bank Ltd ($57.4B, 0.9%), Societe Generale ($56.7B, 0.9%), Toronto-Dominion Bank ($54.1B, 0.8%) and Canadian Imperial Bank of Commerce ($54.1B, 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 ($630.3B, 24.6%), the Federal Reserve Bank of New York ($380.6B, 14.9%), JP Morgan ($192.7B, 7.5%), Citi ($150.6B, 5.9%), BNP Paribas ($133.2B, 5.2%), RBC ($111.8B, 4.4%), Barclays PLC ($111.7B, 4.4%), Goldman Sachs ($110.0B, 4.3%), Bank of America ($104.7B, 4,1%) and Wells Fargo ($63.1B, 2.5%). The largest users of the $380.6 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($71.8B), Fidelity Cash Central Fund ($46.5B), Vanguard Cash Reserves Federal MM ($22.7B), Fidelity Govt Money Market ($20.2B), Fidelity Sec Lending Cash Central Fund ($20.0B), Fidelity Inv MM: MM Port ($17.6B), Fidelity Inv MM: Treas Port ($15.9B), Fidelity Money Market ($15.4B), American Funds Central Cash ($14.5B) and Vanguard Market Liquidity Fund ($13.6B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc ($33.4B, 5.6%), RBC ($29.1B, 4.8%), Mizuho Corporate Bank Ltd ($28.9B, 4.8%), Toronto-Dominion Bank ($28.4B, 4.7%), Credit Agricole ($23.2B, 3.9%), Skandinaviska Enskilda Banken AB ($22.5B, 3.7%), Sumitomo Mitsui Trust Bank ($21.6B, 3.6%), Canadian Imperial Bank of Commerce ($20.8B, 3.5%), Bank of America ($20.4B, 3.4%) and ING Bank ($19.8B, 3.3%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($23.9B, 11.9%), Credit Agricole ($13.9B, 6.9%), Bank of America ($13.5B, 6.7%), Sumitomo Mitsui Banking Corp ($12.8B, 6.4%), Sumitomo Mitsui Trust Bank ($12.2B, 6.1%), Toronto-Dominion Bank ($10.6B, 5.3%), Canadian Imperial Bank of Commerce ($8.4B, 4.2%), Mitsubishi UFJ Trust and Banking Corporation ($8.2B, 4.1%), Mizuho Corporate Bank Ltd ($7.2B, 3.6%) and Bank of Montreal ($6.7B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($17.7B, 7.0%), RBC ($16.8B, 6.6%), Barclays PLC ($12.4B, 4.9%), Bank of Montreal ($11.0B, 4.3%), BPCE SA ($10.4B, 4.1%), BSN Holdings Ltd ($9.4B, 3.7%), Sumitomo Mitsui Trust Bank ($9.3B, 3.7%), Bank of Nova Scotia ($8.6B, 3.4%), Canadian Imperial Bank of Commerce ($8.5B, 3.3%) and JP Morgan ($8.4B, 3.3%).

The largest increases among Issuers include: Fixed Income Clearing Corp (up $110.5B to $646.3B), Barclays PLC (up $45.0B to $126.2B), Citi (up $26.9B to $162.4B), Credit Agricole (up $25.1B to $72.4B), US Treasury (up $24.3B to $2.453T), Mitsubishi UFJ Financial Group Inc (up $18.8B to $83.3B), Societe Generale (up $16.2B to $56.7B), Federal Home Loan Bank (up $15.5B to $598.6B), Mizuho Corporate Bank Ltd (up $13.6B to $57.4B) and Bank of America (up $10.1B to $125.1B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the Federal Reserve Bank of New York (down $234.3B to $380.6B), RBC (down $31.4B to $140.8B), Wells Fargo (down $12.5B to $67.9B), JP Morgan (down $8.9B to $201.1B), Sumitomo Mitsui Banking Corp (down $5.2B to $65.5B), Bank of Nova Scotia (down $2.4B to $27.9B), BPCE SA (down $1.2B to $10.4B), HSBC (down $0.8B to $32.7B), Canadian Imperial Bank of Commerce (down $0.7B to $54.1B) and Norinchukin Bank (down $0.7B to $7.3B).

The United States remained the largest segment of country-affiliations; it represents 77.0% of holdings, or $4.956 trillion. Canada (5.2%, $336.3B) was in second place, while France (5.0%, $322.4B) was No. 3. Japan (4.7%, $300.5B) occupied fourth place. The United Kingdom (3.2%, $204.4B) remained in fifth place. Netherlands (1.0%, $61.3B) was in sixth place, followed by Australia (0.8%, $49.1B), Germany (0.8%, $48.8B), Sweden (0.8%, $48.0B), and Spain (0.4%, $26.4B). (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, 2024, Taxable money funds held 50.3% (up from 48.6%) of their assets in securities maturing Overnight, and another 10.1% maturing in 2-7 days (down from 12.2%). Thus, 60.4% in total matures in 1-7 days. Another 11.2% matures in 8-30 days, while 9.0% matures in 31-60 days. Note that over three-quarters, or 80.6% 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 5.9% of taxable securities, while 9.6% matures in 91-180 days, and just 3.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)