MFI Daily Data

MFI Daily Data Sample

MFI Daily Data offers the largest and most competitive funds and investors a nightly look at dividend factors and daily yields. Available in Excel, RSS, or custom FTP, Money Fund Intelligence Daily contains:

  • Daily Dividend Factors - Factors or "mill rates" show the amount paid, or credited, by each fund.
  • Yields (1-day, 7-day, 30-day) - Daily 1-day, 7-day and 30-day yields are included, along with rankings.
  • Assets, AMs, Ratings, Cutoffs - Other data includes assets, average maturities, AAA ratings and trading deadlines.
  • Custom Sorts, Rankings - Sort by 1-day yield, or by 30-day, and select your own custom peer group.
  • Crane Money Fund Indexes - Our benchmark money market averages by fund type on every performance data point.

We've begun collecting funds on a daily basis and expect to go live with this product in April. E-mail us for a sample!

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MFI Daily Data News

Oct 05
 

The October issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Friday morning, features the articles: "Prime MFs Clawing Back Two Years After Reform's 'Big Sort'," which looks at how Prime assets have fared of late; "Highlights from European MFS: Irish Funds' Rooney," which quotes a recent presentation from Irish Funds' Pat Rooney; and, "China, Ireland Still Dominate Global Money Fund Ranks," which reviews the latest statistics on money fund markets outside the U.S. We've also updated our Money Fund Wisdom database with Sept. 30 statistics, and sent out our MFI XLS spreadsheet Monday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our October Money Fund Portfolio Holdings are scheduled to ship on Wednesday, October 10, and our Oct. Bond Fund Intelligence is scheduled to go out Monday, October 15.

MFI's "Prime MFs Clawing Back" article says, "Two years after the SEC's Money Fund Reforms triggered a $1.1 trillion shift out of Prime money market funds and into Govt, Prime assets continue to extend a slow and steady recovery. While assets dipped in the latest month (Sept.), Prime MMFs are up $170 billion, or 30.3%, since hitting their low of $562 billion on 10/31/16."

It continues, "Year-to-date through Aug. 31, the SEC shows Prime MMF assets up $66 billion, or 10.0%, to $733 billion, and up $91 billion, or 14.2%, over 12 months. Govt MMF assets are down $49 billion, or -2.1%, YTD and up just $62 billion, or 2.8% over 12 months."

Our "EMFS Highlights" excerpt reads, "Crane Data hosted its 6th annual European Money Fund Symposium two weeks ago in London, and European Money Market Fund Reforms took center stage. Below, we highlight from one the sessions, 'Irish & European Fund Issues' featuring Pat Rooney, Senior Regulatory Affairs Manager at Irish Funds. He presented a number of statistics on money funds domiciled in Ireland, the largest segment of the European money fund industry, and gave an Irish take on the new regulations and the fate of the RDM, reverse distribution mechanism."

Rooney says, "Firstly, the MMF industry in Ireland is one of very significant scale.... We're talking about E490 billion in terms of assets ... the largest domicile by quite some margin in Europe, followed by France and Luxembourg. There has been significant growth ... in the past 5 years dating back to 2013, with 77% growth since then. So it is a very strong and growing industry in Ireland."

He continues, "The number of funds stands at 115 today; that is down slightly from 122 in 2012. So while the assets have been growing, there has been a slight amount of consolidation in the industry. This is an industry of scale.... We have quite a few big players with very big funds, so there is a lot of concentration. But also there is also still broad diversity, too. We've counted 48 MMF managers ... from 11 countries."

Rooney tells us, "Predominantly the managers in funds of scale are coming from the U.S., the U.K. and Germany. This industry accounts for 20% of our [overall fund] assets. So it is an industry that is vital to Irish Funds and one that we have fought vigorously to defend throughout the MMF reform, which hasn't been easy, in order to ensure that this is a sector that can continue to thrive." (Watch for more Rooney and European Money Fund Symposium excerpts in coming weeks, or see the latest issue of MFI for the full article.)

MFI's "China, Ireland" piece says, "The Investment Company Institute's 'Worldwide Regulated Open-Fund Assets and Flows, Second Quarter 2018' shows that money fund assets globally fell by $135.6 billion, or -2.2%, in Q2'18, led by big drops in Chinese and French money funds. Money funds in the U.S. and India rose substantially. MMF assets worldwide have increased by $632.8 billion, or 11.9%, the past 12 months."

ICI's release says, "On a US dollar denominated basis, ... bond fund assets decreased by 2.9 percent to $10.25 trillion in the second quarter ..., while money market fund assets decreased by 2.3% globally to $5.96 trillion."

Also, MFI includes a sidebar, "ESMA Seeks Feedback on European MF Stress Testing," which says "A statement posted Friday and entitled, 'ESMA consults on stress testing rules for money market funds,' tells us, 'The European Securities and Markets Authority (ESMA) has today opened a public consultation on how European money market funds (MMFs) should conduct their internal stress testing."

Our October MFI XLS, with Sept. 30, 2018, data, shows total assets inched up by $1.6 billion in September to $3.072 trillion, after increasing $29.2 billion in August, increasing $36.3 billion in July, and decreasing $49.9 billion in June. Our broad Crane Money Fund Average 7-Day Yield rose 8 bps to 1.69% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was also up 8 bps to 1.88% (its highest level since Oct. 2008).

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA rose 7 bps to 2.13% and the Crane 100 rose to 2.16%. Charged Expenses averaged 0.44% (unchanged) and 0.28% (unchanged), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 30 and 31 days, respectively (up 1 day). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Sep 20
 

This month, Money Fund Intelligence speaks with Kim Hochfeld, the new Chair of IMMFA, the London-based Institutional Money Market Funds Association (www.immfa.org). Hochfeld, who is also Managing Director at Morgan Stanley Investment Management, gives us the latest on European Money Market Fund Reforms and talks about what's next for money funds in Europe. Our Q&A follows. (Note: Hochfeld and IMMFA MD Jane Lowe will keynote our European Money Fund Symposium, which starts Thursday morning in London. For those in attendance, welcome to London! Note too that this article is reprinted from the September issue of our Money Fund Intelligence newsletter. Contact us at inquiry@cranedata.com to request the full issue.)

MFI: When did you become Chair? Hochfeld: I was elected Chair for a three year term at the beginning of July by members at our Annual General Meeting. Our former Chair, Reyer Kooy, was re-elected to the Board, which is a positive for IMMFA as it allows a level of continuity. Kathleen Hughes from GSAM and Ian Lloyd from LGIM are still on the Board too, and we have been joined by Beccy Milchem from BlackRock. So it's a team with plenty of experience.

MFI: What's been IMMFA's main focus? Hochfeld: European Money Market Reform has absolutely been a key focus for us, especially over the last 18 months. It has been a long time coming. We have been focused on defining our LVNAV structure and working with clients to make sure they understand how LVNAV works, and then obviously there are challenges for our members as to how they position their Euro funds. There's still much work to do, by the vendors, the money fund managers, the transfer agents, the fund administrators, the portal providers, their trading systems, etc., in order to be ready for the coming changes.

One of the challenges is the clarity around Euro MMFs. For example, there is still an element of uncertainty as to whether share cancellation as a mechanism for handling negative yield will be permitted under new Regulations. This is the so-called RDM [reverse distribution mechanism]. It seems that most providers have built for different outcomes, although the market has different viewpoints as to which scenario will prevail.

MFI: What happens after reforms? Hochfeld: I think where IMMFA can really add value is around education and marketing, particularly if RDM does not continue … and managers have to make choices about what they will offer instead. IMMFA's expectation is that over time the membership will offer most types of short-term money funds, both VNAV and CNAV.

It will therefore be important to educate our existing and any prospective investors about the difference in running short-term VNAV Euro funds vs. how some of the existing short-term Euro VNAV funds are managed. There will be big differences in the old IMMFA-style universe of short-term money funds that are all AAA-rated, compared to some of the VNAV funds that are out there at the moment, which generally don’t have a rating and have a lot more flexibility to take more risk to generate a higher return.

Over the next year, the IMMFA will be focused on broadening our investor base globally and tackling challenges related to accounting treatment, to see if we can achieve more consistency and certainty on the accounting treatment of short-term money funds in the European Regulation, much as the S.E.C. offered for U.S. 2a-7 money funds.

MFI: Does IMMFA only deal with short-term money market funds? Hochfeld: Not any more. Historically IMMFA only represented CNAV short-term money funds. Yes, we had accumulating share classes, but they still use amortized cost accounting. However the Association always viewed the European Regulation as a game changer, because it codified the regime for money funds across the whole of the European Union. So IMMFA responded to it by changing its constitution effective 1 January 2018 to cover all types of money market fund permitted under the Regulation. It means that now we cover CNAV and VNAV short term MMFs, and also VNAV standard MMFs. To put it in context, the VNAV standard MMFs in Europe are essentially the same product as U.S. ultra-short bond funds.

Also, once the Regulation came into force, the need for the IMMFA Code of Practice diminished, as much of what is in the Code now appears in the Regulation. The Code still applies to members, but from January 2019 it will be replaced entirely by the IMMFA Principles of Best Practice. Details are available on the IMMFA website. All IMMFA members are bound by the Principles of Best Practice. In replacing the Code, IMMFA sets out what the Principles would do instead.

To quote: "The Principles have two purposes, both of which are intended to support investor confidence in the industry: To describe in plain English the key requirements that apply to money market funds and that operate to protect investors and markets; and to describe additional practices beyond the applicable regulatory requirements where these are considered necessary for the good governance of the funds."

MFI: Accumulating funds are different than VNAV, right? Hochfeld: They're very different. Today's accumulating share classes are share classes whereby the accrued interest is rolled up into the NAV every day. The capital portion, the part which would otherwise be 1.00 in a CNAV share class, does not change in an accumulating share class. That is stable, because accumulating share classes today still use amortized cost accounting to value the underlying assets. So, the change in the price is merely reflective of the accrued income. For a VNAV fund, the change in the price is reflective of both the accrued income and the mark-to-market on the underlying assets.

MFI: What are some of the main differences with U.S. reforms? Hochfeld: There are aspects of European reforms which are more complex than the U.S. 2a-7 reforms, although the new product types are arguably better aligned to existing funds. The LVNAV product is a new fund type, so the market is having to come to grips with its complexities. It is much easier to understand the public debt CNAV product, as this is ... like today's government funds.

Another difference is that we do not have trigger-based fees and gates on our VNAV funds but we do have them on our treasury fund equivalent. For VNAV, we still have the provision for fees and gates at board discretion under UCITS rules, which is what we have at the moment on our existing CNAV funds.

MFI: Can you talk about investors? Hochfeld: I speak to investors all the time, and from a relative value perspective `our euro funds still offer great value to clients that are holding cash in euros. From a risk-return perspective, the funds still represent the gold standard.

There is a wide variety of different investors types in our European funds, including corporations and financial institutions, [and] it is specific to different currencies. [For example], local authorities in the U.K. are able to use money funds, as are pension funds in the Netherlands. It's not that money funds are more attractive to one market or another, it's that they're more attractive to one investor type specific to one market or another.... A big chunk of investment also comes from financial institutions, whether they're funds or third-party, sweep money or insurers. [Recent IMMFA statistics show corporates, funds, third parties, financials, insurers, and the public sector as the largest investor segments.]

I'd say a major theme that the industry is working on through IMMFA, as well as on a fund by fund basis, is getting money funds accepted as collateral at clearing houses. Money market funds do qualify for holding client monies in Europe, but it has to be implemented on a country by country basis (because of the link into insolvency law). So at the moment we have mostly focused on the U.K. Getting a wider acceptance of the use of money funds for that cash would be a great boon in assets for the industry.

MFI: Is there fee pressure? What about MMF competitors? Hochfeld: Fee pressures come from within the industry and from competing products.... In terms of our competitors, bank deposits are clearly a big competitor, but it's not just depo. It's repo, ultra-short or short duration strategies, whether those are pooled funds or separately managed accounts. Structured deposits are also competing for short term cash, as are other funds, for example, that invest in supply-chain receivables. There are a lot of options out there.

MFI: What's your outlook overall? Hochfeld: I'm optimistic about the future. These reforms will bring substantial change to our industry and we will work with investors to ensure they understand the implications. But longer-term, we think they're a real positive for money funds. They're designed to make the product more robust and more transparent, and that in turn should incentivize cash rich investors to use money funds to manage excess liquidity rather than using a bank account or a repo.

We think that along with new markets and new technology platforms that are being developed, money funds are going to become more attractive and more prolific for cash investors. I don't think that Basel III and bank appetite for short-dated deposits are going to go away any time soon. So along with a more attractive yield environment in dollars and sterling, and hopefully euro in the not too distant future, IMMFA and its member firms firmly believe that money funds remain an attractive yield and risk diversification play for short-term cash investors.

Sep 13
 

Crane Data released its September Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of August 31, 2018, shows an increase Treasuries but declines in other sectors, especially Agencies and Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $24 billion to $2.937 trillion last month, after increasing by $90.0 billion in July, decreasing by $53.8 billion in June, and increasing by $16.7 billion in May. Repo continued to be the largest portfolio segment, followed by Treasury securities, 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, Repurchase Agreements (repo) fell $11.3 billion (-1.2%) to $949.6 billion, or 32.3% of holdings, after rising $8.0 billion in July and falling $31.4 billion in June. Treasury securities rose $22.1 billion (2.7%) to $837.5 billion, or 28.5% of holdings, after rising $42.4 billion in July and falling $6.3 billion in June. Government Agency Debt fell by $24.9 billion (-3.7%) to $650.2 billion, or 22.1% of all holdings, after rising by $0.9 billion in July and falling $9.3 billion in June. Repo, Treasuries and Agencies total $2.437 trillion, representing a massive 83.0% of all taxable holdings.

Money funds' holdings of CP and CDs fell, but Other (mainly Time Deposits) holding inched higher in August. Commercial Paper (CP) was down $3.2 billion (-1.4%) to $233.3 billion, or 7.9% of holdings, after rising $22.5 billion in July and falling $10.0 billion in June. Certificates of Deposits (CDs) fell by $7.6 billion (-4.2%) to $173.8 billion, or 5.9% of taxable assets (after rising $12.0 billion in July and rising $1.6 billion in June). Other holdings, primarily Time Deposits, rose by $1.0 billion (1.2%) to $84.4 billion, or 2.9% of holdings. VRDNs fell by $0.3B (-3.4%) to $8.0 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately later today.)

Prime money fund assets tracked by Crane Data jumped to $711 billion (up from $687 billion last month), or 24.2% (up from 23.2%) of taxable money fund total taxable holdings of $2.937 trillion. Among Prime money funds, CDs represent almost a quarter of holdings at 24.4% (down from 26.4% a month ago), while Commercial Paper accounted for 32.8% (down from 34.5%). The CP totals are comprised of: Financial Company CP, which makes up 20.4% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.9%. Prime funds also hold 4.6% in US Govt Agency/ Debt, 11.8% in US Treasury Debt, 4.2% in US Treasury Repo, 1.3% in Other Instruments, 8.8% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 4.9% in US Government Agency Repo, and 0.9% in VRDNs.

Government money fund portfolios totaled $1.544 trillion (52.6% of all MMF assets), down from $1.568 trillion in July, while Treasury money fund assets totaled another $682 billion (23.2%), down from $706 billion the prior month. Government money fund portfolios were made up of 40.0% US Govt Agency Debt, 20.9% US Government Agency Repo, 18.2% US Treasury debt, and 20.6% in US Treasury Repo. Treasury money funds were comprised of 69.4% US Treasury debt, 30.5% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.226 trillion, or 75.8% of all taxable money fund assets.

European-affiliated holdings fell $11.8 billion in August to $669.2 billion among all taxable funds (and including repos); their share of holdings fell to 22.8% from 23.0% the previous month. Eurozone-affiliated holdings fell $18.5 billion to $421.7 billion in August; they account for 14.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $5.5 billion to $259.1 billion (8.8% of the total). Americas related holdings fell $1.8 billion to $2.006 trillion and now represent 68.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $20.2 billion, or -3.5%, to $556.0 billion, or 18.9% of assets); US Government Agency Repurchase Agreements (up $12.0 billion, or 3.5%, to $358.8 billion, or 12.2% of total holdings), and Other Repurchase Agreements (down $3.0 billion from last month to $34.8 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.3 billion to $144.9 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $1.7 billion to $46.2 billion, or 1.6%), and Non-Financial Company Commercial Paper (down $3.6 billion to $42.3 billion, or 1.4%).

The 20 largest Issuers to taxable money market funds as of August 31, 2018, include: the US Treasury ($837.5 billion, or 28.5%), Federal Home Loan Bank ($520.6B, 17.7%), BNP Paribas ($139.8B, 4.8%), RBC ($86.5B, 2.9%), Federal Farm Credit Bank ($74.1B, 2.5%), Barclays ($69.9B, 2.4%), Wells Fargo ($63.3B, 2.2%), Credit Agricole ($59.0B, 2.0%), JP Morgan ($55.4B, 1.9%), Mitsubishi UFJ Financial Group Inc ($49.8B, 1.7%), HSBC ($48.0B, 1.6%), Nomura ($41.2B, 1.4%), Sumito Mitsui Banking Co ($40.9B, 1.4%), Societe Generale ($40.6B, 1.4%), ING Bank ($39.8B, 1.4%), Natixis ($39.7B, 1.4%), Fixed Income Clearing Co ($37.4B, 1.3%), Bank of America ($37.4B, 1.3%), Federal Home Loan Mortgage Co ($35.5B, 1.2%), and Mizuho Corporate Bank Ltd ($35.0B, 1.2%).

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 ($131.4B, 13.8%), RBC ($67.8B, 7.1%), Barclays PLC ($57.6B, 6.1%), Wells Fargo ($52.0B, 5.5%), Credit Agricole ($45.3B, 4.8%), JP Morgan ($45.2B, 4.8%), Nomura ($41.2B, 4.3%), HSBC ($39.8B, 4.2%), Fixed Income Clearing Co ($37.4B, 3.9%), and Societe Generale ($34.8B, 3.7%). Fed Repo positions among MMFs on 8/31/18 include a record low of just two funds: Columbia Short-Term Cash Fund ($0.4B) and Western Asset Inst Govt ($0.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($20.5B, 5.0%), RBC ($18.7B, 4.5%), Mitsubishi UFJ Financial Group Inc. ($16.5B, 4.0%), Credit Agricole ($13.7B, 3.3%), Sumitomo Mitsui Banking Co ($13.6B, 3.3%), ING Bank ($13.0B, 3.1%), Mizuho Corporate Bank Ltd ($12.8B, 3.1%), Bank of Montreal ($12.8B, 3.1%), Canadian Imperial Bank of Commerce ($12.7B, 3.1%), and Sumitomo Mitsui Trust Bank ($12.6, 3.0%).

The 10 largest CD issuers include: Bank of Montreal ($12.4B, 7.2%), RBC ($11.2B, 6.5%), Wells Fargo ($11.2B, 6.4%), Mitsubishi UFJ Financial Group Inc ($10.9B, 6.3%), Svenska Handelsbanken ($10.3B, 6.0%), Sumitomo Mitsui Banking Co ($8.9B, 5.2%), Sumitomo Mitsui Trust Bank ($8.4B, 4.9%), Mizuho Corporate Bank Ltd ($8.4B, 4.8%), Toronto-Dominion Bank ($6.9B, 4.0%), and Landesbank Baden-Wurttemberg ($6.6B, 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($12.4B, 6.4%), JPMorgan ($10.2B, 5.2%), UBS AG ($7.3B, 3.8%), Toyota ($6.2B, 3.2%), Barclays PLC ($5.9B, 3.0%), RBC ($5.8B, 3.0%), ING Bank ($5.8B, 3.0%), Bank of Nova Scotia ($5.7B, 2.9%), Mitsubishi UFJ Financial Group Inc ($5.6B, 2.9%), and Canadian Imperial Bank of Commerce ($5.5B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $22.1B to $837.5B), Barclays PLC (up $12.4B to $69.9B), JP Morgan (up $9.5B to $55.4B), Mizuho Corporate Bank Ltd (up $6.6B to $35.0B), Bank of Nova Scotia (up $4.0B to $27.2B), ING Bank (up $3.6B to $39.8B), Nordea Bank (up $3.3B to $10.8B), Toronto-Dominion Bank (up $2.7B to $32.4B), Nomura (up $2.1B to $41.2B), and National Australia Bank Ltd (up $1.4B to $8.8B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Home Loan Bank (down $21.1B to $520.6B), BNP Paribas (down $7.8B to $139.8B), Fixed Income Clearing Co (down $6.9B to $37.4B), Wells Fargo (down $5.6B to $63.3B), Citi (down $4.8B to $27.1B), Sumitomo Mitsui Banking Co (down $4.5B to $40.9B), Credit Suisse (down $4.0B to $23.5B), Credit Agricole (down $3.7B to $59.0B), DNB ASA (down $3.3B to $8.2B), and Bank of Montreal (down $2.7B to $33.1B).

The United States remained the largest segment of country-affiliations; it represents 60.9% of holdings, or $1.787 trillion. France (10.0%, $293.1B) remained in the No. 2 spot and Canada (7.4%, $218.1B) remained No. 3. Japan (7.2%, $212.5B) stayed in fourth place, while the United Kingdom (5.1%, $151.1B) remained in fifth place. The Netherlands (2.1%, $61.3B) stayed ahead of Germany (2.0%, $58.5B), while Sweden (1.6%, $46.3B) remained in 8th place. Switzerland (1.4%, $39.6B) stayed ahead of Australia (1.1%, $33.2B) in 9th and 10th place. (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 August 31, 2018, Taxable money funds held 33.6% (up from 31.2%) of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (down from 16.2% last month). Thus, 47.7% in total matures in 1-7 days. Another 24.8% matures in 8-30 days, while 10.0% matures in 31-60 days. Note that over three-quarters, or 82.5% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 8.9% of taxable securities, while 7.0% matures in 91-180 days, and just 1.6% matures beyond 181 days.

Sep 10
 

The September issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "Ten Years After: Reserve Fund ‘Breaks the Buck’," which discusses the anniversary of the Financial Crisis; "New IMMFA Chair Hochfeld on European MMF Reforms," which profiles Morgan Stanley's Kim Hochfeld; and, "DWS Launches ESG Liquidity, Socially Responsible MMF," which reviews a new fund conversion from DWS. We've also updated our Money Fund Wisdom database with Aug. 31, 2018, statistics, and sent out our MFI XLS spreadsheet Monday 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 Wednesday, September 12, and our Sept. Bond Fund Intelligence is scheduled to go out Monday, September 17.

MFI's "Ten Years After" article says, "It was ten years ago this month that the bankruptcy of Lehman Brothers caused Reserve Primary Fund, the first and one of the largest money funds, to "break the buck," or drop below $1.00 per share. The event, following a year of subprime mortgage related tremors and runs on segments of the asset-backed and enhanced cash markets, triggered a full-scale financial meltdown. The week of Sept. 15, 2008, started with the Lehman Brothers bankruptcy, and ended with President George W. Bush stepping in to guarantee money funds and the broader banking system in its entirety. Below, we excerpt from some of our News during that fateful month, and we look back at the events that shook the money fund world."

Our lead piece continues, "On Wed., Sept. 17, 2008, we wrote the story, 'Reserve Primary Fund 'Breaks the Buck' Following Run on Assets.' It says, 'In just the second case of a money market mutual fund 'breaking the buck,' or dropping below the $1.00 a share level, in history, The Reserve Primary Fund cuts its NAV to $0.97 cents on Tuesday. The top-ranked fund, which held $785 million in Lehman Brothers CP and MTNs, was besieged by redemptions over the past two days. Assets of the total portfolio, which is largely institutional but which includes some retail assets, declined a massive $27.3 billion Monday and Tuesday to $35.3 billion.'"

It added, "As we wrote Monday, several other firms have protected their investors from fallout from the Lehman Brothers bankruptcy.... A total of 21 money funds to date have taken action to protect shareholders, but the privately-held Reserve was unable to arrange credit supports in time to prevent a run.... The combination of high yields, hot money and a lack of deep pockets likely will prove fatal to the first, and oldest money market mutual fund. As happened in 1994 with the liquidation of Community Bankers U.S. Government Money Market Fund at $0.96 a share [the only other money fund to ever 'break the buck'], we expect money market funds to soldier on with just a single case of a fund 'breaking the buck.'"

Our IMMFA Profile reads, "This month, Money Fund Intelligence speaks with Kim Hochfeld, the new Chair of IMMFA, the London-based Institutional Money Market Funds Association (www.immfa.org). Hochfeld, who is also Managing Director at Morgan Stanley Investment Management, gives us the latest on European Money Market Fund Reforms and talks about what's next for money funds in Europe. Our Q&A follows. (Note: Hochfeld and IMMFA MD Jane Lowe will keynote our upcoming European Money Fund Symposium in London, Sept. 20-21.)"

MFI asks, "MFI: When did you become Chair? Hochfeld responds, "I was elected chair for a three year term at the beginning of July by members at our Annual General Meeting. Our former Chair, Reyer Kooy, was re-elected to the Board, which is a positive for IMMFA as it allows a level of continuity. Kathleen Hughes from GSAM and Ian Lloyd from LGIM are still on the Board too, and we have been joined by Beccy Milchem from BlackRock, so it’s a team with plenty of experience."

We also query, "What has been IMMFA’s main focus?" Hochfeld tells MFI, "European Money Market Reform has absolutely been a key focus for us, especially over the last 18 months. It has been a long time coming, just trying to build for LVNAV and understand it, and then obviously there are challenges for our members as to how they position their Euro funds. There’s still much work to do, by the vendors, the money fund managers, the transfer agents, the fund administrators, the portal providers, their trading systems, etc., in order to be ready for the coming changes." (Watch for more excerpts in coming weeks, or see the latest issue of MFI for the full "profile".)

MFI's "DWS Launches ESG" piece says, "As we mentioned in our August 13 News, 'DWS Converts Variable NAV to DWS ESG Money Fund, First ESG Offering,' the manager formerly known as Deutsche just converted an existing fund into an “ESG” money market fund. Their press release, entitled, “DWS launches first ESG money market fund in the U.S.,” tells us “DWS Group today announced the launch of DWS ESG Liquidity Fund (ESGXX), the first money market fund available in the U.S. to apply ESG (Environmental, Social and Governance) criteria. The fund will invest in high-quality, short-term, U.S. dollar-denominated money market instruments paying a fixed, variable or floating interest rate while also filtering for various ESG factors using DWS’s proprietary software -- the ESG Engine.”

We quote DWS's Sonelius Kendrick-Smith, Head of Liquidity Solutions, Americas, “As a global asset manager, it is crucial for DWS to enable our clients to invest in a sustainable future by incorporating ESG factors into their global investment process across asset classes. Through the DWS ESG Liquidity Fund, investors will now be able to take advantage of our proprietary ESG Engine software while effectively managing their liquidity.”

Finally, we write in a sidebar, "More Brokerage Sweep Hits," "The hits keep coming for brokerage sweep accounts. Last month, ignites published, 'Rising Rates Give Brokerage Sweep Programs a Run for Their Money,' which discusses the huge rate differential between FDIC-insured sweeps and money funds. They write, 'The fatter margins that bank deposits offer pushed many large brokerages to dump money funds as sweep vehicles in favor of bank products…. But as interest rates rise, money funds are regaining appeal, and the amount brokerages must pay out on deposits … is inching up.'"

Our September MFI XLS, with August 31, 2018, data, shows total assets increased $29.2 billion in August to $3.071 trillion, after increasing $36.3 billion in July, decreasing $49.9 billion in June, and increasing $53.7 billion in May. Our broad Crane Money Fund Average 7-Day Yield rose 3 bps to 1.61% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 4 bps to 1.80% (its highest levels since Oct. 2008).

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA rose 3 bps to 2.06% and the Crane 100 rose to 2.07%. Charged Expenses averaged 0.44% (unchanged) and 0.27% (unch.), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 28 and 29 days, respectively (the former unchanged and the latter up 1 day). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)