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Northern Institutional Funds filed to liquidate its $1.7 billion Northern Prime Obligations Portfolio earlier this week, we learned from Bloomberg. The filing says, "The Board of Trustees (the 'Board') of Northern Institutional Funds (the 'Trust') has determined, after consideration of a number of factors, that it is in the best interests of the Prime Obligations Portfolio (the 'Portfolio') and its shareholders that the Portfolio be liquidated and terminated on or about July 10, 2020 (the 'Liquidation Date') pursuant to a plan of liquidation approved by the Board. The Liquidation Date may be changed at the discretion of the Trust's officers. The pending liquidation of the Portfolio may be terminated and/or abandoned at any time before the Liquidation Date by action of the Board of the Trust. As of the date of this supplement, Williams Capital Shares of the Portfolio have not commenced operations and are not offered for purchase." (The fund's assets are down from $3.8 billion on Feb. 28, 2020.)

The Bloomberg piece, "Northern Trust to Shutter Money-Market Fund After Redemptions," tells us, "Northern Trust Corp. is shutting down a money-market mutual fund after volatility in March spurred redemptions that sent it below a regulatory threshold for maintaining liquidity. The $1.7 billion Northern Institutional Prime Obligations Portfolio will stop accepting new investments next month and start selling its holdings under a liquidation plan set for July 10, according to a filing."

Reuters, in a March 23 article,"Fed's Money Market Move Lifts Northern Trust Fund Above Key Threshhold," wrote, "Liquidity at a $2.2 billion prime money-market fund run by Northern Trust Corp fell below the key 30% U.S. regulatory threshold twice last week, but rebounded above that level after the U.S. Federal Reserve shored up the industry. As the coronavirus roils the global economy and squeezes Wall Street for cash, money-market reforms put in place after the 2007-2009 financial crisis are weathering a major test."

They explained, "Several institutional prime funds, whose investors include large corporations, were at risk of falling below the 30% threshold before the Fed took extraordinary steps reminiscent of the last financial crisis to backstop the money-market industry." The Northern Prime Obligations Portfolio disclosed that its weekly liquidity level fell to 27% of assets twice last week, according to the fund's website -- reducing its buffer for quickly converting assets into cash to meet investors' redemptions. However, Chicago-based Northern Trust, a bank and wealth manager, said on Monday the latest weekly liquidity level for the fund was nearly 41%."

In other news, The Federal Reserve Bank of New York published an update on the "The Primary Dealer Credit Facility" via its Liberty Street Economics blog. They write, "On March 17, 2020, the Federal Reserve announced that it would re-establish the Primary Dealer Credit Facility (PDCF) to allow primary dealers to support smooth market functioning and facilitate the availability of credit to businesses and households. The PDCF started offering overnight and term funding with maturities of up to ninety days on March 20. It will be in place for at least six months and may be extended as conditions warrant. In this post, we provide an overview of the PDCF and its usage to date."

The NY Fed writes, "Lending rose quickly after the PDCF's launch, and the weekly average of outstanding loans peaked at over $35 billion for the week ending April 15.... Outstanding loans remained in the $30-35 billion range for a few weeks, before decreasing recently, as market conditions improved. The vast majority of value-weighted PDCF loans have a maturity longer than overnight.... The bulk of the assets financed in the PDCF to date have been corporate and municipal debt, as well as asset-backed securities and commercial paper. These are asset classes that were experiencing considerable volatility and pressure in early March. Market conditions have improved markedly since the introduction of a variety of Fed interventions, including the PDCF."

They explain, "The Federal Reserve initially established the PDCF in March of 2008, following severe strains in the tri-party repo market, associated in part with Bear Stearns' troubles.... Following its inception in March 2008, usage of the original PDCF increased to approximately $40 billion, before decreasing to zero by mid-2008.... This $40 billion level is roughly comparable to the peak usage of today's PDCF. Usage of the original PDCF increased to over $140 billion in September 2008, following the bankruptcy of Lehman Brothers. This peak is much higher than the current use of today's PDCF. However, the range of collateral eligible for the PDCF post-Lehman was much broader than the range of eligible collateral at the PDCF today, making comparisons difficult."

The piece adds, "The PDCF is one of many facilities introduced by the Federal Reserve to support the U.S. economy in the face of the coronavirus pandemic. The PDCF helps primary dealers support smooth market functioning and facilitate the availability of credit to businesses and households in their capacity as market makers for corporate, consumer, and municipal obligations." For more, see these previous Liberty Street Economics blogs: "The Money Market Mutual Fund Liquidity Facility" and "The Commercial Paper Funding Facility."

Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of May 15) includes Holdings information from 80 money funds (up two from two weeks ago), which represent $2.664 trillion (up from $2.568 trillion) of the $5.123 trillion (52.0%) in total money fund assets tracked by Crane Data. (Note that our Weekly MFPH are e-mail only and aren't available on the website. For our latest monthly Holdings, see our May 12 News, "May MF Portfolio Holdings: Treasuries Skyrocket, Repo Plunges in April.)

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $1.344 trillion (up from $1.209 trillion two weeks ago), or 50.4%, Repurchase Agreements (Repo) totaling $635.7 billion (down from $706.4 billion two weeks ago), or 23.9% and Government Agency securities totaling $470.7 billion (up from $470.4 billion), or 17.7%. Certificates of Deposit (CDs) totaled $70.7 billion (up from $48.7 billion), or 2.7% and Commercial Paper (CP) totaled $59.2 billion (up from $58.7 billion), or 2.2%. A total of $46.9 billion or 1.8%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $37.6 billion, or 1.4%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.344 trillion (50.4% of total holdings), Federal Home Loan Bank with $289.3B (10.9%), Fixed Income Clearing Co with $99.9B (3.7%), Federal Farm Credit Bank with $69.9B (2.6%), BNP Paribas with $69.5B (2.6%), Federal National Mortgage Association with $57.5B (2.2%), Federal Home Loan Mortgage Corp with $51.3B (1.9%), JP Morgan with $49.5B (1.9%), RBC with $46.8B (1.8%) and Mitsubishi UFJ Financial Group Inc with $30.0B (1.1%).

The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($228.4B), Goldman Sachs FS Govt ($217.0B), Fidelity Inv MM: Govt Port ($194.3B), BlackRock Lq FedFund ($175.5B), JPMorgan 100% US Treas MMkt ($142.3B), Wells Fargo Govt MM ($138.6B), Goldman Sachs FS Treas Instruments ($133.3B), Morgan Stanley Inst Liq Govt ($109.3B), State Street Inst US Govt ($105.4B) and BlackRock Lq T-Fund ($86.4B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

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MFI Daily Data News

Sep 08

The September issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Tuesday morning, features the articles: "Vanguard Retreats from Prime; Going Govie Again," which reviews the most recent exit from the Prime space; "Major Issues Highlight of Crane's Mini Fund Symposium," which quotes from our latest webinar; and, "Federated Joins Social MMF Movement; Update on ESG," which discusses recent developments in the "Impact" MMF space. We've also updated our Money Fund Wisdom database with August 31 statistics, and sent our MFI XLS spreadsheet Tuesday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our September Money Fund Portfolio Holdings are scheduled to ship on Thursday, September 10, and our September Bond Fund Intelligence is scheduled to go out Tuesday, September 15.

MFI's "Retreat from Prime" article says, "The news that Vanguard is converting its $125.3 billion Vanguard Prime Money Market Fund into a Government MMF continues to send shock waves through the money markets. Following Northern and Fidelity's retreats from the Prime Institutional space, this marks the third major exit from Prime since the coronavirus chaos hit in March and the first Prime Retail conversion since Money Fund Reforms went into effect in 2016."

It continues, "The press release, 'Vanguard Announces Changes to Money Market Fund Lineup,' tells us, 'Vanguard today announced the following changes to its taxable money market fund lineup: Vanguard Prime Money Market Fund will be reorganized into a government money market fund and renamed Vanguard Cash Reserves Federal Money Market Fund Vanguard.... Treasury Money Market Fund has reopened to new investors."

Our latest "Profile" reads, "We recently hosted our fourth webinar and first true virtual event, 'Crane's Money Fund Webinar: Mini Fund Symposium,' a 3-hour series of sessions including segments on 'The State of the Money Fund Industry,' 'Strategists Speak: Treasury, Fed & Repo;' 'Regulatory & ESG Money Funds Update;' and, 'Major Money Fund Issues 2020.' We quote from this last session, which featured BNY Mellon/Dreyfus' Tracy Hopkins, Goldman Sachs Asset Management's Andrew Lontai and J.P. Morgan Asset Management's John Tobin. Thanks again to our Mini Fund Symposium attendees, speakers and sponsors! (The full recording is available here and materials are available via our 'Webinar Download Center.')"

When asked about ESG vs. Social MMFs, Hopkins comments, "What we did, we call it an 'Impact' fund. It's really a subset of the ESG sector as a whole. When we took a look at ESG [in] the money fund space, I think it's a different kind of way of looking at things. Obviously, in the short duration product the vast majority of what we do is really heavily concentrated in the financial sector and the government sector. Instead of converting a Prime fund to an ESG specific mandate, we converted one of our Government funds, Dreyfus Government Securities Cash Management Fund."

She continues, "Where we changed the strategy a little bit is to direct the aggregate value of our buys themselves to minority owned brokerage firms. Being part of Bank of New York Mellon and Dreyfus, our firm does put a lot of emphasis on diversity and inclusion, and it's always been an important part of our organization. So, we felt that this was a good way to go.... Given the fact that so many assets from our large customers ... are really in that Government and Treasury space, we thought there was some value add there."

The "Update on ESG" article tells readers, "The Board of Federated Hermes Government Obligations Tax-Managed Fund recently voted to convert it into a 'Social' or 'Impact' money market fund, we learned from and from a Prospectus Supplement filing.' The ignites article, '$7.5B Federated Hermes Fund Adds Diversity Target for Trading,' explains, 'The $7.5 billion Federated Hermes Government Obligations Tax-Managed Fund will 'generally seek' to direct trades to women-, minority- and veteran-owned broker-dealers starting on Oct. 1.... The change applies to all three of the fund's share classes."

The piece continues, "This fund becomes the third 'social' money fund, joining Goldman Sachs and Dreyfus in offering funds that attempt to drive trading business through minority brokerages; it also joins a number of ESG money market funds focused on environmental investment screens."

The latest MFI also includes the News brief, "The Wall Street Journal Writes, 'Money Funds Waive Charges to Keep Yields From Falling Below Zero." It tells us, "Fidelity Investments, Federated Hermes Inc. and J.P. Morgan Asset Management are ... ceding some fees to stave off negative yields. The moves are the latest sign of how a roughly $5 trillion piece of the financial system is bracing for new pressure."

A second News piece titled, "MMF Yields Near Record Lows," says, "Money market fund yields continue to bottom out just above zero; our flagship Crane 100 was down 4 basis points in August to a near-record low of 0.​04%. (The record low was set in 2014 at 0.02%.)"

Our September MFI XLS, with August 31 data, shows total assets decreased by $42.3 billion in August to $4.924 trillion, after decreasing $44.2 billion in July and $113.0 billion in June, but increasing $31.6 billion in May, $417.9 billion in April and $688.1 billion in March. Our broad Crane Money Fund Average 7-Day Yield fell 2 bps to 0.03% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 4 bps to 0.04%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down one bp to 0.24% while the Crane 100 fell 3 bps to 0.23%. Charged Expenses averaged 0.21% (unchanged from last month) and 0.19% (down 2 bps and 1 basis point from the previous month), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 39 (down 1 day) and 42 days (down a day) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Aug 12

Crane Data released its August Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of July 31, 2020, shows an increase in Repo and big drops in Treasuries and Government Agency Debt last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $83.1 billion to $4.879 trillion last month, after decreasing $159.1 billion in June, increasing $31.6 billion in May, increasing a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). 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.)

Among taxable money funds, Treasury securities decreased by $79.9 billion (-3.1%) to $2.464 trillion, or 50.5% of holdings, after increasing $60.8 billion in June, $355.9 billion in May and $795.7 billion in April. Repurchase Agreements (repo) increased by $40.0 billion (4.2%) to $986.7 billion, or 20.2% of holdings, after decreasing $124.3 billion in June, $216.7 billion in May and $238.4 billion in April. Government Agency Debt decreased by $45.1 billion (-5.1%) to $834.1 billion, or 17.1% of holdings, after decreasing $65.2 billion in June, $99.8 billion in May and increasing $6.9 billion in April. Repo, Treasuries and Agencies totaled $4.285 trillion, representing a massive 87.8% of all taxable holdings.

Money funds' holdings of CP and CDs fell in July, while Other (mainly Time Deposits) and VDRNs saw asset increases. Commercial Paper (CP) decreased $10.7 billion (-3.7%) to $276.1 billion, or 5.7% of holdings, after decreasing $6.5 billion in June, increasing $5.2 billion in May and decreasing $11.9 billion in April. Certificates of Deposit (CDs) fell by $12.3 billion (-5.9%) to $195.8 billion, or 4.0% of taxable assets, after decreasing $9.1 billion in June, $7.4 billion in May and increasing $12.6 billion in April. Other holdings, primarily Time Deposits, increased $22.3 billion (28.6%) to $100.3 billion, or 2.1% of holdings, after decreasing by $13.7 billion in June, $5.7 billion in May and $5.7 billion in April. VRDNs increased to $22.0 billion, or 0.5% of assets, from $19.4 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Wednesday.)

Prime money fund assets tracked by Crane Data increased $20.0 billion to $1.134 trillion, or 23.2% of taxable money funds' $4.879 trillion total. Among Prime money funds, CDs represent 17.3% (down from 18.0% a month ago), while Commercial Paper accounted for 24.3% (down from 24.8%). The CP totals are comprised of: Financial Company CP, which makes up 13.6% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 8.1% in US Govt Agency Debt, 28.1% in US Treasury Debt, 3.3% in US Treasury Repo, 0.6% in Other Instruments, 5.3% in Non-Negotiable Time Deposits, 4.2% in Other Repo, 4.7% in US Government Agency Repo and 1.1% in VRDNs.

Government money fund portfolios totaled $2.503 trillion (51.3% of all MMF assets), down $55.0 billion from $2.558 trillion in June, while Treasury money fund assets totaled another $1.243 trillion (25.5%), down from $1.251 trillion the prior month. Government money fund portfolios were made up of 29.6% US Govt Agency Debt, 12.5% US Government Agency Repo, 44.6% US Treasury debt, 12.8% in US Treasury Repo, 0.2% in VRDNs and 0.2% in Investment Company. Treasury money funds were comprised of 82.8% US Treasury Debt and 17.1% in US Treasury Repo. Government and Treasury funds combined now total $3.746 trillion, or 76.8% of all taxable money fund assets.

European-affiliated holdings (including repo) rose by $77.6 billion in July to $624.5 billion; their share of holdings rose to 12.8% from last month's 11.0%. Eurozone-affiliated holdings rose to $424.3 billion from last month's $353.5 billion; they account for 8.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $3.1 billion to $269.4 billion (5.5% of the total). Americas related holdings fell $157 billion to $3.979 trillion and now represent 81.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $48.9 billion, or 9.4%, to $570.7 billion, or 11.7% of assets); US Government Agency Repurchase Agreements (down $8.0 billion, or -2.1%, to $368.1 billion, or 7.5% of total holdings), and Other Repurchase Agreements (down $0.8 billion, or -1.7%, from last month to $47.9 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.4 billion to $154.2 billion, or 3.2% of assets), Asset Backed Commercial Paper (down $3.6 billion to $66.1 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $2.3 billion to $55.7 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of July 31, 2020, include: the US Treasury ($2,464.4 billion, or 50.5%), Federal Home Loan Bank ($510.3B, 10.5%), Federal National Mortgage Association ($121.5B, 2.5%), BNP Paribas ($118.1B, 2.4%), Fixed Income Clearing Co ($105.7B, 2.2%), Federal Farm Credit Bank ($101.3B, 2.1%), RBC ($101.2B, 2.1%), Federal Home Loan Mortgage Co ($95.4B, 2.0%), JP Morgan ($87.9B, 1.8%), Credit Agricole ($72.2B, 1.5%), Mitsubishi UFJ Financial Group Inc ($63.8B, 1.3%), Barclays ($58.6B, 1.2%), Citi ($53.3B, 1.1%), Sumitomo Mitsui Banking Co ($47.1B, 1.0%), Toronto-Dominion Bank ($41.8B, 0.9%), Societe Generale ($41.4B, 0.8%), Bank of Montreal ($41.1B, 0.8%), Bank of America ($33.4B, 0.7%), Mizuho Corporate Bank Ltd ($32.4B, 0.7%) and Canadian Imperial Bank of Commerce ($32.0B, 0.7%).

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: BNP Paribas ($108.7B, 11.0%), Fixed Income Clearing Co ($105.5B, 10.7%), JP Morgan ($77.8B, 7.9%), RBC ($74.0B, 7.5%), Credit Agricole ($53.7B, 5.4%), Citi ($45.4B, 4.6%), Mitsubishi UFJ Financial Group ($43.3B, 4.4%), Barclays ($40.9B, 4.1%), Societe Generale ($32.3B, 3.3%) and Bank of America ($30.5B, 3.1%). Fed Repo positions among MMFs on 7/31/20 still include only Franklin US Govt Money Market Fund ($0.2B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($27.8B, 5.7%), RBC ($27.2B, 5.6%), Mizuho Corporate Bank Ltd ($21.5B, 4.4%), Mitsubishi UFJ Financial Group ($20.5B, 4.2%), Sumitomo Mitsui Banking Co ($19.4B, 4.0%), Credit Agricole ($18.5B, 3.8%), Barclays ($17.7B, 3.6%), Sumitomo Mitsui Trust Bank ($17.6B, 3.6%), Canadian Imperial Bank of Commerce ($16.2B, 3.3%) and Bank of Montreal ($13.8B, 2.8%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.9B, 8.1%), Mitsubishi UFJ Financial Group Inc ($15.5B, 7.9%), Bank of Montreal ($12.6B, 6.4%), Toronto-Dominion Bank ($11.7B, 6.0%), Sumitomo Mitsui Trust Bank ($11.6B, 5.9%), Mizuho Corporate Bank Ltd ($11.3B, 5.8%), Bank of Nova Scotia ($7.9B, 4.0%), Natixis ($7.7B, 3.9%), Svenska Handelsbanken ($7.5B, 3.8%) and Landesbank Baden-Wurttemberg ($7.4B, 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($17.3B, 7.3%), Toronto-Dominion Bank ($15.1B, 6.4%), JP Morgan ($10.1B, 4.3%), Societe Generale ($8.2B, 3.5%), Caisse des Depots et Consignations ($7.6B, 3.2%), NRW.Bank ($7.5B, 3.2%), Canadian Imperial Bank of Commerce ($7.4B, 3.1%), FMS Wertmanagement ($7.2B, 3.1%), Credit Suisse ($6.9B, 2.9%) and BNP Paribas ($6.5B, 2.7%).

The largest increases among Issuers include: Credit Agricole (up $28.7B to $72.2B), BNP Paribas (up $11.3B to $118.1B), Societe Generale (up $7.6B to $41.4B), Mizuho Corporate Bank Ltd (up $7.3B to $32.4B), Barclays PLC (up $6.9B to $58.6B), Credit Suisse (up $6.0B to $25.0B), Deutsche Bank AG (up $4.9B to $18.6B), Landesbank Baden-Wurttemberg (up $2.7B to $10.6B), DNB ASA (up $2.5B to $12.4B) and Lloyds Banking Group (up $2.4B to $11.0B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the US Treasury (down $79.9B to $2,464.4B), Federal Home Loan Bank (down $32.0B to $510.3B), Federal Home Loan Mortgage Corp (down $8.3B to $95.4B), RBC (down $8.0B to $101.2B), Bank of Nova Scotia (down $6.8B to $27.7B), Sumitomo Mitsui Banking Corp (down $6.1B to $47.1B), Fixed Income Clearing Corp (down $5.6B to $105.7B), Bank of America (down $3.7B to $33.4B), Federal National Mortgage Association (down $3.5B to $121.5B) and HSBC (down $3.4B to $27.5B).

The United States remained the largest segment of country-affiliations; it represents 76.2% of holdings, or $3.720 trillion. France (5.9%, $285.8B) was number two, and Canada (5.3%, $258.5B) was third. Japan (4.6%, $223.9B) occupied fourth place. The United Kingdom (2.5%, $120.3B) remained in fifth place. Germany (1.5%, $72.8B) was in sixth place, followed by The Netherlands (1.2%, $56.7B), Switzerland (0.7%, $35.7B), Australia (0.6%, $29.3B) and Sweden (0.6%, $29.2B). (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, 2020, Taxable money funds held 29.3% (up from 28.7%) of their assets in securities maturing Overnight, and another 11.0% maturing in 2-7 days (up from 9.2% last month). Thus, 40.3% in total matures in 1-7 days. Another 14.6% matures in 8-30 days, while 16.4% matures in 31-60 days. Note that over three-quarters, or 71.3% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 12.2% of taxable securities, while 13.9% matures in 91-180 days, and just 2.7% matures beyond 181 days.

Aug 07

The August issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Friday morning, features the articles: "Summer Asset Swoon Ending But Totals Back Below $5 Trillion," which focuses on recent declines in money market fund assets; "PM Perspectives: Walczak, Hill & Yi Discuss MMFs," which excerpts from our latest webinar; and, "Bank Regulators Getting Jump on Future Reg Changes," which discusses the potential for future reforms. We've also updated our Money Fund Wisdom database with July 31 statistics, and sent out our MFI XLS spreadsheet Friday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our August Money Fund Portfolio Holdings are scheduled to ship on Tuesday, August 11, and our August Bond Fund Intelligence is scheduled to go out Friday, August 14.

MFI's "Summer Swoon" article says, "Money fund assets declined by $44.2 billion in July to $4.991 trillion, after falling $127.9 billion in June. Prime MMFs saw their first drop since March (down $18.9 billion to $1.122 trillion), while Govt MMFs showed their third monthly drop in a row (down $18.9 billion to $3.738 trillion last month). MMFs fell below $5.0 trillion for the first time since late April according to our MFI XLS data series. They'd increased by a huge $1.192 trillion during the March through May period."

It continues, "Prime money fund assets fell by $123.9 billion in March, dropping below the $1.0 trillion level to $957.7 billion, but they rebounded by $104.7 billion in April, $53.2 billion in May and $25.6 billion in June, prior to this month's decline."

Our "Profile" reads, "We recently hosted 'Crane's Money Fund Webinar: Portfolio Manager Perspectives,' which featured Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak. The three senior PMs discussed money market supply, asset flows, yields and the outlook for Prime money market funds, among other things. We quote some of the highlights of the webinar below. (Click here to access the recording and here for our Webinar page, and register for our next event, 'Crane's Money Fund Webinar: Mini Fund Symposium,' which will be August 26, 2020, 1-4pm EDT.)

Hill says, "We all know that in March there were enormous inflows of assets ... into government money market funds. We know the massive Fed actions across the board to support the market, support functioning, market liquidity. We know there's been massive fiscal support as a result to address the impact of the coronavirus and the shutdown."

She continues, "Government funds absorbed the inflows relatively well. Initially in March, through issuance on the agency side, Federal Home Loan banks in particular [supported the] growth. As we flipped the calendar into April and May, [we saw] substantial issuance, at a pace never seen before, of Treasury bills, through regular Treasury bill issuance and cash management bills. So we got through that time period reasonably well. That issuance by Treasury removes that threat of negative rates in the secondary market that we saw in late March and into early April."

The "Reg Changes" article tells readers, "As the money markets continue to stabilize and yields slowly grind down to zero, many, especially bank regulators, have begun discussing potential reforms to money funds, again. We think it will be some time before anything happens, and a lot depends on the elections, but the early conversations bear watching."

The piece continues, "The Centre for Economic Policy Research ( published a brief from Federal Reserve economists entitled, "Runs on prime money funds during the COVID-19 crisis." The piece explains, "Liquidity restrictions on investors, like the redemption gates and liquidity fees introduced in the 2016 money market fund (MMF) reform, are meant to improve financial stability during a crisis. However, by comparing the latest outflow episode due to COVID-19 to those in 2008 and 2011, this column finds evidence that these liquidity restrictions might have exacerbated the run on prime MMFs in this episode."

The latest MFI also includes the News brief, "Dreyfus Liquidation General NJ MF," which says, "A Prospectus Supplement filing for Dreyfus's General New Jersey Money Market Fund tells us, 'The Board of Directors of General New Jersey Municipal Money Market Fund, Inc. has approved the liquidation of the Fund, effective on or about Sept. 11, 2020.' The fund had filed a Form N-CR after hitting a shadow price of 0.9975 a share in March. Also, Schwab filed a 'Form N-1A' for new 'Ultra Share' classes of its Schwab Govt Money Fund, Schwab Treasury Obligations MF and Schwab U.S. Treasury MF."

A second News piece titled, "SEC Statistics: Assets Fall Back to $5.1 Trillion in June, Yields Down," says, "The Securities and Exchange Commission's latest monthly 'Money Market Fund Statistics' summary shows that total money fund assets dropped by $127.3 billion in June to $5.104 trillion, just the 2nd decrease in the past 24 months. The SEC shows that Prime MMFs increased $21.3 billion in June to $1.162 trillion, while Govt & Treasury funds plummeted $145.1 billion to $3.806 trillion. Tax Exempt funds decreased by $3.5 billion to $136.6 billion. Yields were down across the board in June, except for a slight increase in Tax Exempt Institutional yields.

Our July MFI XLS, with July 31 data, shows total assets decreased by $44.2 billion in July to $4.991 trillion, after decreasing $113.0 billion in June, increasing $31.6 billion in May, jumping $417.9 billion in April and skyrocketing $688.1 billion in March. Our broad Crane Money Fund Average 7-Day Yield fell 2 bps to 0.05% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 3 bps to 0.08%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down at 0.28% while the Crane 100 fell to 0.27%. Charged Expenses averaged 0.23% (unchanged from last month) and 0.20% (down 3 bps and 1 basis point from the previous month), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 39 (down 1 day) and 42 days (down a day) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Jul 22

While we still hope to hold our flagship Money Fund Symposium in Minneapolis later this year (Oct. 26-28, 2020), we're officially cancelling our European Money Fund Symposium, which was scheduled for Nov. 19-20, 2020 in Paris, France. (We'll likely hold a slimmed-down, virtual European MFS on Nov. 19.) Crane Data continues to monitor travel restrictions and will give full refunds or credits for any events that are cancelled or that registered attendees can't make it to, and we continue to ramp up our virtual event capabilities. We review our latest events below. (Join us at 1pm Wednesday (7/22) for our next online event, "Crane's Money Fund Webinar: Portfolio Manager Perspectives," which will feature Peter Crane hosting a panel including Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak.)

We're sorry to have to cancel, but given the restrictions on international travel, we didn't think our European event had much of a chance this year. European Money Fund Symposium offers European, global and "offshore" money market portfolio managers, investors, issuers, dealers and service providers a concentrated and affordable educational experience, and an excellent and informal networking venue,. Our mission for EMFS, and all our events, is to deliver the best possible conference content at an affordable price to money market fund professionals. Our 2019 European Crane Symposium event in Dublin attracted 110 attendees, sponsors and speakers, and we hope to be back and even bigger in Paris in 2021. Watch for details in coming months on our Nov. 19 virtual event, and mark your calendars for next year's European MFS, scheduled for Oct. 20-21, 2021 in Paris.

As we told Sponsors and Speakers last month, we also shifted back the dates of our annual Money Fund Symposium conference due to the coronavirus pandemic and continued travel restrictions. Crane's Money Fund Symposium is now scheduled for October 26-28, 2020 at the Hyatt Regency Minneapolis, but we'll be prepared to cancel and to host a virtual event if the pandemic persists. In the meantime, our planning goes on. The latest agenda is available and registrations are still being taken at: (Registrations for our earlier June and August dates have been transferred to the October dates, and earlier hotel reservations were cancelled if you registered through us.)

Our MF Symposium Agenda is, for now, scheduled to kick off on Monday, October 26 with a keynote on "Money Funds through the Decades" from Paul Schott Stevens of the Investment Company Institute. The rest of the Day 1 agenda includes: "Treasury Issuance & Repo Update," with Mark Cabana of Bank of America, Dina Marchioni of the Federal Reserve Bank of New York and Tom Katzenbach of the U.S. Department of the Treasury; a "Corporate Investor, Portal & ESG MMF Discussion" with Tom Callahan of BlackRock, Tom Hunt of AFP, and Mark Adamson of Wells Fargo Securities; and, a "Major Money Fund Issues 2020" panel with Tracy Hopkins of Dreyfus/BNY Mellon Cash Investment Strategies, Jeff Weaver of Wells Fargo Asset Management and Peter Yi of Northern Trust Asset Management. (The evening's reception is sponsored by BofA Securities.)

Day 2 of Money Fund Symposium 2020 will begin with "The State of the Money Fund Industry," which features Peter Crane, Deborah Cunningham of Federated Investors and Michael Morin of Fidelity Investments, followed by a "Senior Portfolio Manager Perspectives" panel, including Linda Klingman of Charles Schwab I.M., Nafis Smith of Vanguard and John Tobin of J.P. Morgan Asset Mgmt. Next up is "Government & Treasury Money Fund Issues," with moderator, Joseph Abate of Barclays, Mike Bird of Wells Fargo Funds and Geoff Gibbs of DWS. The morning concludes with a "Muni & Tax Exempt Money Fund Update," featuring Colleen Meehan of Dreyfus, John Vetter of Fidelity and Sean Saroya of J.P. Morgan Securities.

The Afternoon of Day 2 (after a Dreyfus-sponsored lunch) features the segments: "Dealer's Choice: Supply, New Securities & CP" with moderator, Jeff Plotnik of U.S. Bancorp Asset Mgmt., Rob Crowe of Citi Global Markets, John Kodweis of JPM and Stewart Cutler of Barclays; "Ratings Focus: Governance, Global & LGIPs" with Robert Callagy of Moody's Investors Service, Greg Fayvilevich of Fitch Ratings and Michael Masih of S&P Global Ratings; "Ultra-Short, ETFs & Alt-Cash Update," with Alex Roever of J.P. Morgan Securities and Laurie Brignac of Invesco. The day's wrap-up presentation is "Brokerage Sweeps, Bank Deposits & Fin-Tech" involving Chris Melin of Ameriprise Financial and Kevin Bannerton of Total Bank Solutions. (The Day 2 reception is sponsored by Barclays.)

The third day of the Symposium features the sessions: "Strategists Speak '20: Fed Rates, Repo & SOFR" with Priya Misra of TD Securities and Garret Sloan of Wells Fargo Securities; "Regulatory & Misc. Issues: ESG, ETF, European," with Brenden Carroll of Dechert LLP, Rob Sabatino of UBS Asset Mgmt and Jonathan Curry of HSBC Global A.M.; "FICC Repo & Agency Roundtable," with Owen Nichols of State Street and Kyle Lynch of FHLBanks Office of Finance and, "Money Fund Statistics & Disclosures" with Peter Crane.

Visit the MF Symposium website at for more details. Registration is $750, and discounted hotel reservations are available. We hope it'll be safe to travel and you'll join us in Minneapolis this October! When and if you're ready, attendees, speakers and sponsors should register here and make hotel reservations here. We'll keep you posted on our plans, so watch for updates in coming months. E-mail us at to request the full brochure, or click here to see the latest.

Finally, mark your calendars for next year's Money Fund University, which is scheduled for Jan. 21-22, 2021, in Pittsburgh, Pa, and our next Bond Fund Symposium, which is scheduled for March 25-26, 2021 in Newport Beach, Calif. Watch for details in coming months, and let us know if you're interested in sponsoring or speaking. (No hurry of course; we'll see how travel develops in coming months.) Contact us if you have any feedback or questions. Attendees to Crane Conferences and Crane Data subscribers may access the latest recordings, Powerpoints and binder materials at the bottom of our "Content page." Let us know if you'd like more details on any of our events, and we hope to see you in Minneapolis later this fall or at some point in 2021!

In other "offshore" money fund news, a press release entitled, "Moody's assigns Aaa-mf rating to LGIM Euro Liquidity Fund" tells us, "Moody's Investors Service ('Moody's) has assigned a Aaa-mf to LGIM Euro Liquidity Fund (the 'Fund'), a Low Volatility Net Asset Value (LVNAV) money market fund, domiciled in Ireland and managed by Legal & General Investment Management Limited (LGIM). The Fund's primary investment objective is to achieve a return in line with money market rates while preserving capital and providing daily liquidity. The Aaa-mf rating reflects Moody's view that the Fund has a very strong ability to meet its objectives of providing liquidity and preserving capital."

It continues, "The Fund invests in high credit quality securities, primarily short-dated commercial paper and deposit securities as well as short-dated bonds from government, agency, corporate and financial issuers. The Fund's weighted average maturity (WAM) is below 60 days. The Fund maintains a strong liquidity profile supported by high levels of overnight and weekly liquidity in the portfolio, in excess of regulatory requirements."

Moody's adds, "The Fund’s exposure to market risk is low, supported by the high credit quality of the fund's investment portfolio, strong liquidity and relatively short WAM. Moody's expects the Fund's adjusted NAV score to be '1' or '2' in Moody's money market fund rating scorecard. LGIM is an investment manager with GBP1.2 trillion assets under management, out of which GBP51.6 billion in the liquidity management, as of December 2019."