Money Fund Intelligence XLS

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Money Fund Intelligence XLS News

Oct 11
 

Crane Data released its October Money Fund Portfolio Holdings Tuesday, and our latest collection of taxable money market securities, with data as of Sept. 30, 2017, shows a strong rebound in Treasuries (after a big drop last month), but most other segments were flat. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $8.5 billion to $2.759 trillion last month, after increasing $58.6 billion in August and $61.5 billion in July. Repo remained the largest portfolio segment, while Treasuries reclaimed the No. 2 spot from Agencies. CDs remained in fourth place, followed by Commercial Paper, 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 if you'd like to see a sample of our latest Money Fund Portfolio Holdings reports.)

Among all taxable money funds, Repurchase Agreements (repo) decreased $4.4 billion (-0.5%) to $959.5 billion, or 34.8% of holdings, after increasing $65.1 billion in August, falling $55.6 billion in July, and rising $12.4 billion in June. Treasury securities rose $27.8 billion (4.3%) to $673.3 billion, or 24.4% of holdings, after falling $32.7 billion in August and rising $36.7 billion in July. Government Agency Debt increased $1.2 billion (0.2%) to $667.0 billion, or 24.2% of all holdings, after falling $11.2 billion in August and increasing $48.4 billion in July. Repo, Treasuries and Agencies total $2.300 trillion, representing a massive 83.3% of all taxable holdings.

CDs and CPs decreased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposits (CDs) decreased $7.3 billion (-4.1%) to $170.5 billion, or 6.2% of taxable assets, after increasing $3.4 billion in August, after increasing $13.6 billion in July. Commercial Paper (CP) was down $4.4 billion (-2.4%) to $178.5 billion, or 6.5% of holdings (after increasing $16.2 in August and $8.0 billion in July. Other holdings, primarily Time Deposits, fell by $5.5 billion (-5.2%) to $100.8 billion, or 3.7% of holdings. VRDNs held by taxable funds increased by $1.1 billion (12.2%) to $9.8 billion (0.4% of assets).

Prime money fund assets tracked by Crane Data increased to $625 billion (up from $610 billion last month), or 22.7% (up from 22.2%) of taxable money fund holdings' total of $2.759 trillion. Among Prime money funds, CDs represent just under a third of holdings at 27.3% (down from 29.2% a month ago), followed by Commercial Paper at 28.6% (down from 29.9%). The CP totals are comprised of: Financial Company CP, which makes up 17.8% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 4.7%. Prime funds also hold 4.8% in US Govt Agency Debt, 6.4% in US Treasury Debt, 8.0% in US Treasury Repo, 1.8% in Other Instruments, 13.3% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 1.8% in US Government Agency Repo, and 1.1% in VRDNs.

Government money fund portfolios totaled $1.498 trillion (54.3% of all MMF assets), up from $1.497 trillion in August, while Treasury money fund assets totaled another $636 billion (23.1%), up from $644 billion the prior month. Government money fund portfolios were made up of 43.0% US Govt Agency Debt, 18.1% US Government Agency Repo, 12.7% US Treasury debt, and 26.0% in US Treasury Repo. Treasury money funds were comprised of 69.8% US Treasury debt, 29.9% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.134 trillion, or 77.3% of all taxable money fund assets, down from 77.8% last month.

European-affiliated holdings decreased $101.2 billion in September to $491.0 billion among all taxable funds (and including repos); their share of holdings decreased to 17.8% from 21.5% the previous month. Eurozone-affiliated holdings decreased $76.3 billion to $325.1 billion in September; they account for 11.8% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $7.8 billion to $210 billion (7.6% of the total). Americas related holdings increased $115 billion to $2.055 trillion and now represent 74.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $12.5 billion, or -2.0%, to $628.7 billion, or 22.8% of assets; US Government Agency Repurchase Agreements (up $10.1 billion to $303.5 billion, or 11.0% of total holdings), and Other Repurchase Agreements ($27.4 billion, or 1.0% of holdings, down $1.9 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.4 billion to $111.0 billion, or 4.0% of assets), Asset Backed Commercial Paper (down $2.8 billion to $38.1 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $0.1 billion to $29.4 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2017, include: the US Treasury ($673.3 billion, or 24.4%), Federal Home Loan Bank ($520.7B, 18.9%), Federal Reserve Bank of New York ($294.3B, 10.7%), BNP Paribas ($115.6B, 4.2%), RBC ($68.9B, 2.5%), Federal Farm Credit Bank ($64.9B, 2.4%), Wells Fargo ($54.5B, 2.0%), Nomura ($44.4B, 1.6%), Mitsubishi UFJ Financial Group Inc ($39.7B, 1.4%), Societe Generale ($38.1B, 1.4%), Bank of America ($35.3B, 1.3%), Bank of Nova Scotia ($33.2B, 1.2%), HSBC ($33.1B, 1.2%), Bank of Montreal ($32.8B, 1.2%), Credit Agricole ($32.4B, 1.2%), Toronto-Dominion Bank ($31.1B, 1.1%), Barclays PLC ($29.4B, 1.1%), Citi ($28.0B, 1.0%), and Federal National Mortgage Association ($27.8B, 1.0%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Federal Reserve Bank of New York ($294.3B, 30.7%), BNP Paribas ($99.5B, 10.4%), RBC ($50.2B, 5.2%), Nomura ($44.4B, 4.6%), Wells Fargo ($42.0B, 4.4%), Societe Generale ($33.4B, 3.5%), Bank of America ($29.9B, 3.1%), HSBC ($27.7B, 2.9%), Mitsubishi UFJ Financial Group Inc ($24.1B, 2.5%), and Citi ($22.0B, 2.3%).

The 10 largest Fed Repo positions among MMFs on 9/30 include: JP Morgan US Govt ($30.0B in Fed Repo), Fidelity Cash Central Fund ($21.4B), Goldman Sachs FS Gvt ($16.9B), Northern Trust Trs MMkt ($15.1B), Federated Govt Oblg ($13.0B), Vanguard Market Liquidity Fund ($12.8B), Fidelity Sec Lending Cash Central ($11.4B), Morgan Stanley Inst Lq Govt ($10.3B), Vanguard Prime MMkt Fund ($9.9B), and BlackRock Lq T-Fund ($9.7B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($18.7B, 4.8%), BNP Paribas ($16.1B, 4.1%), Mitsubishi UFJ Financial Group Inc. ($15.7B, 4.0%), Skandinaviska Enskilda Banken AB ($15.4B, 3.9%), Toronto-Dominion Bank ($15.1B, 3.9%), Canadian Imperial Bank of Commerce ($14.4B, 3.7%), Svenska Handelsbanken ($13.3B, 3.4%), Bank of Montreal ($12.9, 3.3%), Wells Fargo ($12.4B, 3.2%), and Sumitomo Mitsui Banking Co ($12.4B, 3.2%).

The 10 largest CD issuers include: Bank of Montreal ($12.4B, 7.3%), Wells Fargo ($12.4B, 7.3%), Mitsubishi UFJ Financial Group Inc ($11.2B, 6.6%), Sumitomo Mitsui Banking Co ($11.1B, 6.5%), Toronto-Dominion Bank ($10.9B, 6.5%), RBC ($10.4B, 6.1%), Sumitomo Mitsui Trust Bank ($8.7B, 5.1%), Mizuho Corporate Bank Ltd ($7.2B, 4.3%), Canadian Imperial Bank of Commerce ($7.2B, 4.3%), and Landesbank Baden-Wurttemberg ($6.3B, 3.7%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($8.4B, 5.4%), Westpac Banking Co ($7.9B, 5.1%), BNP Paribas ($7.2B, 4.6%), JP Morgan ($7.0B, 4.5%), Bank Nederlandse Gemeenten ($6.5B, 4.2%), Bank of Nova Scotia ($6.0B, 3.9%), National Australia Bank Ltd ($6.0B, 3.9%), RBC ($5.5B, 3.6%) UBS AG ($5.0B, 3.3%), and Australia & New Zealand Banking Group Ltd ($4.7B, 3.0%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $93.3B to $294.3B), US Treasury (up $27.8B to $673.3B), Fixed Income Clearing Co (up $5.9B to $15.6B), RBC (up $5.4B to $68.9B), Svenska Handelsbanken (up $3.4B to $13.3B), Canadian Imperial Bank of Commerce (up $3.3B to $26.3B), Skandinaviska Enskilda Banken AB (up $3.2B to $15.4B), Federal Home Loan Mortgage Co (up $2.8B to $48.2B), and Norinchukin Bank (up $2.4B to $11.1B).

The largest decreases among Issuers of money market securities (including Repo) in September were shown by: Credit Agricole (down $36.9B to $32.4B), Credit Suisse (down $15.2B to $9.4B), Natixis (down $11.2B to $21.2B), Nomura (down $10.9B to $44.4B), JP Morgan (down $10.2B to $24.7B), Barclays PLC (down $8.5B to $29.4B), Societe Generale (down $8.1B to $31.1B), ING Bank (down $7.8B to $25.1B), HSBC (down $7.3B to $33.1B), and Mizuho Corporate Bank Ltd (down $4.5B to $14.9B).

The United States remained the largest segment of country-affiliations; it represents 67.2% of holdings, or $1.854 trillion. France (7.9%, $217.4B) remained in second place ahead of Canada (7.3%, $200.7B) in third. Japan (5.5%, $152.8B) stayed in fourth, while the United Kingdom (3.0%, $83.6B) remained in fifth place. The Netherlands (1.9%, $51.4B) remained in sixth place ahead of Germany (1.8%, $48.7B), while Sweden (1.7%, $48.0B) remained ahead of Australia (1.6%, $43.3B). Switzerland (0.8%, $21.2B) ranked tenth. (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 Sept. 30, 2017, Taxable money funds held 35.3% (up from 33.8%) of their assets in securities maturing Overnight, and another 15.1% maturing in 2-7 days (down from 16.2%). Thus, 50.4% in total matures in 1-7 days. Another 19.4% matures in 8-30 days, while 11.0% matures in 31-60 days. Note that over three-quarters, or 80.8% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 9.9% of taxable securities, while 8.2% matures in 91-180 days, and just 1.2% matures beyond 181 days.

Oct 06
 

The October issue of our flagship Money Fund Intelligence newsletter was sent out to subscribers Friday morning. It features the articles: "Money Fund Reform One Year Later; Slow Recovery, Changes," which reviews the past year since radical reforms were implemented, "IMMFA's Lowe on European Money Fund Reforms, LVNAV," which excerpts from the IMMFA Secretary General's recent keynote speech, and, "Worldwide MMF Assets: China Surges, Ireland Up," which reviews MMF assets in different countries. We also updated our Money Fund Wisdom database with Sept. 30, 2017, 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 October Money Fund Portfolio Holdings are scheduled to ship Tuesday, October 10, and our October Bond Fund Intelligence is scheduled to go out Friday, October 13.

MFI's "Money Fund Reforms" article says, "One year ago, regulatory changes dramatically transformed the money fund landscape. (See our Oct. 14, 2016, News, "SEC's Money Fund Reforms Go Live; NAVs Float, Emergency Gates, Fees.") In addition to triggering a massive $1.2 trillion shift from Prime and Tax Exempt money funds into Government funds, a host of other changes were implemented. Given the major stresses, money funds have had a surprisingly good first year under the new regime, with a steady but gradual recovery of Prime funds. Below, we celebrate the first birthday of MMF Reforms, look back at flows over the past year, and examine the continued changes in the money fund arena."

The piece continues, "Though the months leading up to October 2016 saw dramatic asset shifts, the year since then has been remarkably calm. Very gradually rising rates, a slow, steady return of Prime assets, and the lack of any credit events to test the new 30% weekly liquidity thresholds and emergency gates and fees have allowed money fund managers much needed rest and revenue recuperation."

Our IMMFA Keynote piece reads, "This month, Money Fund Intelligence recaps the keynote session from our 5th Annual European Money Fund Symposium, which took place early last week on Paris, France. The segment, "IMMFA Update: The State of European CNAV MMFs," featured IMMFA Secretary General Jane Lowe. She told the record EMFS audience, "I'm going to say a little but about the scope of regulatory reform, and then move on to ... some of the cultural differences that I think trick people up if they come from one side of the pond or the other."

Lowe explains, "Rather than having what you've got at the moment, which is a regulated product where all the investments controls are kind of backed up by what the rating agencies do, the IMMFA Code, etc., [the new regulations] will be imbedded in law, common across Europe. [This] is game changing in ways that you probably won'​t notice at first but will [grow] over time. In a way that the people in the U.S. totally understand the SEC's [Rule] 2a-7, for example, they know what it is.... Even though the regulation has many bits in it that are difficult, not well done, etc., overall it will probably be pretty positive for the industry. That's my prediction. Also, I should mention that we have a Code that will not be needed once this reform comes into place, [though a] reduced form may very well be needed."

She continues, "Looking at the CNAV [industry], it has been pretty steady, even across the crisis. When you reach the period of negative yield, it is a little bit choppier on the Euro. The VNAV has had a much more dramatic set of changes, but also showing quite a steady picture. I think the drop off after the crisis, which you can see pretty clearly there, had to do with money funds that left the market. In Germany, there are relatively few money funds relative to pre-crisis. [On the other hand], the French money fund industry is a very big one and has shown very obvious growth.... Obviously with the Euro going into negative yield that sort of really dampened down activity. But it hasn't disappeared; it is in a modest upswing."

Our "Worldwide" update says, "The Investment Company Institute released its "Worldwide Regulated Open-End Fund Assets and Flows Second Quarter 2017" Wednesday. The latest data collection on mutual funds in other countries (as well as the U.S.) shows that money fund assets globally rose by $172.2 billion, or 3.3%, in Q2'17, led by a huge jump in Chinese money funds. U.S. money funds fell while Irish MMFs rose. MMF assets worldwide have increased by $333.7 billion, or 6.7%, the past 12 months."

The article continues, "China, Ireland and Luxembourg showed the biggest asset increases in Q2'17, while China, Japan, Luxembourg, France and Ireland showed the largest increases over 12 months. The U.S. and Belgium posted the largest declines over the past year. We review the latest Worldwide MMF totals below."

A sidebar, "Fed Z.1: Securities Lending Bigger Than Corps in MMFs," explains, "The Federal Reserve's latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (formerly the "Flow of Funds"), Second Quarter, 2017, shows that the Household Sector remains the largest investor segment in money market funds; assets here fell in Q2 after rising in Q1. The next largest segments, Funding Corporations (primarily Securities Lending reinvestment money) and Nonfinancial Corporate Businesses, also saw assets decline in the second quarter."

Our October MFI XLS, with Sept. 30, 2017, data, shows total assets increased $32.0 billion in September to $2.929 trillion after increasing $68 billion in August and $32.6 billion in July, but decreasing $20.2 billion in June. (Note that we added $67.3 billion in new funds in April.) Our broad Crane Money Fund Average 7-Day Yield was up 1 basis point to 0.70% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was also up 1 bp to 0.87%.

On a Gross Yield Basis (7-Day) (before expenses were taken out), the Crane MFA fell 1 bp to 1.14% and the Crane 100 fell 2 bps to 1.15%. Charged Expenses averaged 0.44% and 0.29% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 32 days (down one day from last month) and for the Crane 100 was 31 days (unchanged from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Sep 13
 

Crane Data released its September Money Fund Portfolio Holdings Tuesday, and our latest collection of taxable money market securities, with data as of August 31, 2017, shows a strong rebound in Repo (after a big drop last month), but a drop in Treasuries and Agencies. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $58.6 billion to $2.751 trillion last month, after increasing $61.5 billion in July and decreasing $60.8 billion in June. Repo remained the largest portfolio segment, while Agencies narrowly beat out Treasuries for the number two spot. CDs remained in fourth place, followed by Commercial Paper, 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 if you'd like to see a sample of our latest Portfolio Holdings Reports.)

Among all taxable money funds, Repurchase Agreements (repo) increased $65.1 billion (7.3%) to $963.9 billion, or 35.0% of holdings, after falling $55.6 billion in July but rising $12.4 billion in June, $83.7 billion in May, and $24.6 billion in April. Treasury securities fell $32.7 billion (-4.8%) to $645.5 billion, or 23.5% of holdings, after rising $36.7 billion in July, and falling $31.4 billion in June. Government Agency Debt decreased $11.2 billion (-1.7%) to $665.8 billion, or 24.2% of all holdings, after increasing $48.4 billion in July and decreasing $1.7 billion in June. Repo, Treasuries and Agencies total $2.275 trillion, representing a massive 82.7% of all taxable holdings.

CDs and CPs increased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposit (CDs) increased $3.4 billion (2.0%) to $177.9 billion, or 6.5% of taxable assets, after increasing $13.6 billion in July, but decreasing $19.5 billion in June. Commercial Paper (CP) was up $16.2 billion (9.7%) to $182.9 billion, or 6.6% of holdings (after increasing $8.0 billion in July but decreasing $0.5 billion in June). Other holdings, primarily Time Deposits, rose by $18.5 billion (21.1%) to $106.3 billion, or 3.9% of holdings. VRDNs held by taxable funds decreased by $0.7 billion (-7.3%) to $8.7 billion (0.3% of assets).

Prime money fund assets tracked by Crane Data increased to $610 billion (up from $593 billion last month), or 22.2% (up from 22.0%) of taxable money fund holdings' total of $2.751 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.2% (down from 29.4% a month ago), followed by Commercial Paper at 29.9% (up from 28.1%). The CP totals are comprised of: Financial Company CP, which makes up 18.4% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 4.8%. Prime funds also hold 3.5% in US Govt Agency Debt, 7.4% in US Treasury Debt, 6.0% in US Treasury Repo, 1.5% in Other Instruments, 13.8% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 0.9% in US Government Agency Repo, and 1.1% in VRDNs.

Government money fund portfolios totaled $1.497 trillion (54.4% of all MMF assets), up from $1.468 trillion in July, while Treasury money fund assets totaled another $644 billion (23.4%), up from $631 billion the prior month. Government money fund portfolios were made up of 43.1% US Govt Agency Debt, 19.2% US Government Agency Repo, 11.5% US Treasury debt, and 26.0% in US Treasury Repo. Treasury money funds were comprised of 66.6% US Treasury debt, 33.3% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.141 trillion, or 77.8% of all taxable money fund assets, down from 78.0% last month.

European-affiliated holdings increased $49.0 billion in August to $592.2 billion among all taxable funds (and including repos); their share of holdings increased to 21.5% from 20.2% the previous month. Eurozone-affiliated holdings increased $32.8 billion to $401.4 billion in August; they account for 14.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $11.4 billion to $217.8 billion (7.9% of the total). Americas related holdings decreased $1.8 billion to $1.940 trillion and now represent 70.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $46.3 billion, or 7.8%, to $641.2 billion, or 23.3% of assets; US Government Agency Repurchase Agreements (up $17.8 billion to $293.4 billion, or 10.7% of total holdings), and Other Repurchase Agreements ($29.3 billion, or 1.1% of holdings, up $1.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $11.9 billion to $112.4 billion, or 4.1% of assets), Asset Backed Commercial Paper (up $4.2 billion to $40.9 billion, or 1.5%), and Non-Financial Company Commercial Paper (up $0.1 billion to $29.6 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of August 31, 2017, include: the US Treasury ($645.5 billion, or 23.5%), Federal Home Loan Bank ($524.5B, 19.1%), Federal Reserve Bank of New York ($201.0B, 7.3%), BNP Paribas ($119.1B, 4.3%), Credit Agricole ($69.3B, 2.5%), RBC ($63.5B, 2.3%), Federal Farm Credit Bank ($62.9B, 2.3%), Wells Fargo ($59.0B, 2.1%), Nomura ($55.3B, 2.0%), Societe Generale ($46.2B, 1.7%), Federal Home Loan Mortgage Co. ($45.4B, 1.6%), HSBC ($40.3B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($39.0B, 1.4%), Barclays PLC ($37.9B, 1.4%), JP Morgan ($34.9B, 1.3%), Bank of America ($33.9B, 1.2%), Bank of Nova Scotia ($33.8B, 1.2%), ING Bank ($32.9B, 1.2%), Natixis ($32.5B, 1.2%), and Citi ($32.1B, 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: Federal Reserve Bank of New York ($201.0B, 20.9%), BNP Paribas ($103.8B, 10.8%), Nomura ($55.3B, 5.7%), Credit Agricole ($53.5B, 5.5%), RBC ($48.0B, 5.0%), Wells Fargo ($46.8B, 4.9%), Societe Generale ($42.0B, 4.4%), HSBC ($34.9B, 3.6%), Bank of America ($29.1B, 3.0%), and Barclays PLC ($28.6B, 3.0%).

The 10 largest Fed Repo positions among MMFs on 8/31 include: JP Morgan US Govt ($17.0B in Fed Repo), Fidelity Cash Central Fund ($13.9B), Northern Trust Trs MMkt ($13.0B), Goldman Sachs FS Gvt ($9.6B), Fidelity Inv MM: Govt Port ($8.9B), Fidelity Inv MM: Treasury Port ($8.9B), BlackRock Lq FedFund ($8.8B), Northern Inst Gvt Select ($8.3B), Vanguard Fed MMkt ($8.3B),and Wells Fargo Gvt MMkt ($7.9B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($15.9B, 3.9%), RBC ($15.5B, 3.8%), BNP Paribas ($15.4B, 3.8%), Mitsubishi UFJ Financial Group Inc. ($14.9B, 3.7%), Toronto-Dominion Bank ($14.5B, 3.6%), Bank of Montreal ($13.5, 3.3%), ING Bank ($13.1B, 3.2%), Canadian Imperial Bank of Commerce ($12.4B, 3.1%), Skandinaviska Enskilda Banken AB ($12.2B, 3.0%), and Wells Fargo ($12.2B, 3.0%).

The 10 largest CD issuers include: Bank of Montreal ($12.9B, 7.3%), Toronto-Dominion Bank ($12.5B, 7.1%), Wells Fargo ($12.1B, 6.8%), Mitsubishi UFJ Financial Group Inc ($10.8B, 6.1%), Sumitomo Mitsui Banking Co ($10.1B, 5.7%), RBC ($9.8B, 5.5%), Sumitomo Mitsui Trust Bank ($7.4B, 4.2%), Landesbank Baden-Wurttemberg ($7.4B, 4.2%), Canadian Imperial Bank of Commerce ($6.5B, 3.7%) and Citi ($6.1B, 3.4%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($7.4B, 4.7%), Commonwealth Bank of Australia ($7.4B, 4.7%), Westpac Banking Co ($7.1B, 4.5%), JP Morgan ($6.8B, 4.3%), BNP Paribas ($6.6B, 4.2%), Credit Agricole ($6.2B, 3.9%), National Australia Bank Ltd ($5.8B, 3.6%), RBC ($5.4B, 3.4%) Canadian Imperial Bank of Commerce ($5.1B, 3.2%), and DnB NOR Bank ASA ($4.9B, 3.1%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $16.9B to $201.0B), BNP Paribas (up $10.0B to $119.1B), Credit Agricole (up $8.7B to $69.3B), Wells Fargo (up $5.6B to $59.0B), Credit Suisse (up $5.0B to $24.6B), Nomura (up $4.9B to $55.3B), Barclays PLC (up $4.8B to $37.9B), Fixed Income Clearing Co (up $4.5B to $9.7B), ING Bank (up $4.5B to $32.9B), and UBS AG (up $4.3B to $9.1B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: the US Treasury (down $32.7B to $645.5B), HSBC (down $5.4B to $40.3B), Deutsche Bank AG (down $4.7B to $12.5B), Federal Home Loan Bank (down $4.6B to $524.5B), Federal Home Loan Mortgage Co (down $3.9B to $45.4B), Goldman Sachs (down $2.1B to $16.1B), Toronto-Dominion Bank (down $2.0B to $28.7B), Federal National Mortgage Association (down $1.8B to $28.3B), Citi (down $0.9B to $32.1B), and JPMorgan (down $0.9B to $34.9B).

The United States remained the largest segment of country-affiliations; it represents 63.7% of holdings, or $1.752 trillion. France (10.3%, $284.4B) remained in second place ahead of Canada (6.8%, $187.4B) in 3rd. Japan (5.9%, $163.4B) stayed in fourth, while the United Kingdom (3.6%, $98.4B) remained in fifth place. The Netherlands (2.1%, $58.0B) remained in sixth place ahead of Germany (1.7%, $46.3B), while Sweden (1.5%, $42.3B) inched ahead of Australia (1.5%, $41.2B). Switzerland (1.3%, $36.0B) ranked tenth. (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, 2017, Taxable money funds held 33.8% (up from 31.4%) of their assets in securities maturing Overnight, and another 16.2% maturing in 2-7 days (up from 14.1%). Thus, 50.0% in total matures in 1-7 days. Another 20.7% matures in 8-30 days, while 8.2% matures in 31-60 days. Note that over three-quarters, or 78.8% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 9.8% of taxable securities, while 9.4% matures in 91-180 days, and just 2.0% matures beyond 181 days.

Sep 08
 

The September issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "Treasury Funds Dodge Debt Ceiling Again; Reviewing Risks," which discusses the narrow avoidance of a technical Treasury default, "European MMF Reforms & Comment Letters to ESMA," which reviews pending regulatory changes for offshore funds, and, "10 Year Anniversary of Start of Subprime Liquidity Crisis," which looks back at the start of the financial crisis and its impact on money funds a decade ago. We have also updated our Money Fund Wisdom database with August 31, 2017, 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 Sept. Money Fund Portfolio Holdings are scheduled to ship Tuesday, Sept. 12, and our Sept. Bond Fund Intelligence is scheduled to go out Friday, Sept. 15.

MFI's "Treasury Funds Dodge Bullet" article says, "While the danger of a technical default on U.S. Treasury bills may have passed for now, we think it's still worth looking at commentary on the subject over the past month. Though it likely won't be an issue again until December, the issues raised stress the need to examine risk, and steps to diffuse them, in the Government fund space (which is much bigger than it was). As they did in 2011, these fleeting concerns may prevent future dangers, but also may end up benefitting Prime MMFs."

The piece continues, "Federated's Sue Hill comments, 'Ultimately, we do not believe the Treasury will be forced into technical default. Treasury Secretary Steven Mnuchin and congressional leaders have pledged to take whatever steps are necessary to raise the debt ceiling. But we understand investors may be concerned by headlines. We expect either a short-term deal that pushes the issue off for a few months or a longer-​term agreement. But short-term markets have begun to reflect concern, with early October Treasury bill yield 10-15 basis points higher than surrounding maturities.'"

She adds, "W​e have been shying away from Treasury coupon-bearing securities that mature within this period: not because we believe they will default, but because we understand our shareholders may perceive a risk in those holdings. It is only prudent to do contingency planning. We have found most of our client concerns are liquidity and price volatility."

Our European update reads, "This month, Money Fund Intelligence reviews pending European Money Market Fund Reforms, and features replies to the European Securities and Markets Authority's (ESMA's) recent technical paper the implementation of these reforms. Irish law firm Dillon Eustace recently published a brief review of the reforms, entitled, "Ireland: A Guide To Money Market Funds Under The MMFR." We review this paper and quote from several comment letters to ESMA below. (Note: Our European Money Fund Symposium, which takes place Sept. 25-​26 at The Renaissance Paris La Defense Hotel in Paris, France, will discuss these issues in-depth. We hope to see many of you there!"

Dillon Eustace's paper states, "After protracted negotiations, the Council and the European Parliament reached political agreement on the final text of the Regulation on MMFs (​the "​MMFR") in November 2016.... ​MMFs in the EU manage assets of approximately E1 trillion representing approximately 15% of the EU's fund industry. As of 31 May 2017, Irish domiciled MMFs had assets ... of approximately E486.5 billion reflecting Ireland's status as the leading European domicile for MMFs."

It continues, "​`The Council formally adopted the MMFR on 16 May 2017 following the Parliament's approval of the agreed text on 5 April 2017 <b:>`_. The MMFR entered into on 20 July 2017 ... will become effective from 21 July 2018.... [E]xisting UCITS and AIFs that meet the definition of an MMF under the MMFR will have 18 months (i.e. by 21 January 2019) to comply with the requirements of the MMFR and submit an application to their national competent authority for authorisation under the MMFR."

The paper tells us, "The purpose of this briefing is to summarise and clarify the: Key elements of the MMFR i.e. scope; types of MMFs; investment policy requirements regarding eligible assets, diversification, concentration and credit quality; risk management requirements regarding portfolio rules (such as WAM, WAL and liquidity buckets), MMF credit ratings, know your customer and stress testing; valuation and dealing requirements; specific requirements for Public Debt CNAV MMFs and LVNAV MMFs; external support; transparency and reporting requirements; and, Next steps in the implementation of the MMFR."

Our "Subprime Crisis" piece says, "We've been writing and talking a little bit over the past month about the start of the Subprime Liquidity Crisis, which began in August and September 2007. (​See our August 11 News and August 8 Link of the Day, "10 Years Ago: Subprime Liquidity Crisis Began in Money Markets With ABCP Extensions.") Below, we take a look back at what, in retrospect, became the biggest challenge to the viability of the money fund industry in its almost 50 year history, and we also quote some of Fed Chair Janet Yellen's comments on the crisis."

The piece continues, "Though money funds were on top of the world going into the fall of 2007, things were about to change in a very bad way. In August 2007, we featured the stories: "Evergreen Removes Some ABCP Holdings to Protect Money Market Funds <i:https://cranedata.com/archives/all-articles/939/>`_" (8/20/07), "Columbia Comfortable With Fractional Extendible CP and CDO Holdings" (8/22), and "CFTC Sentinel Management Pool Is NOT a Money Market Mutual Fund" (8/14). (Note that these archives are still available to subscribers here.)"

In a sidebar, "Western Merges Primes," we write, "A new Prospectus Supplement filing for Western Asset Institutional Cash Reserves Inst (CARXX) tells us, "The Board of Trustees, on behalf of Western Asset Institutional Cash Reserves (​the "Target Fund"), has approved a reorganization pursuant to which the Target Fund's assets would be acquired, and its liabilities would be assumed, by Western Asset Institutional Liquid Reserves (​the "Acquiring Fund"), a series of the Trust, in exchange for shares of the Acquiring Fund."

Our Sept. MFI XLS, with August 31, 2017, data, shows total assets increased $68.7 billion in August to $2.897 trillion after increasing $32.6 billion in July, decreasing $20.2 billion in June, and increasing $20.3 billion in May and $68.9 billion in April. (Note that we added $67.3 billion in new funds in April.) Our broad Crane Money Fund Average 7-Day Yield was up 1 bp to 0.69% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was unchanged at 0.86% (7-day).

On a Gross Yield Basis (7-Day) (before expenses were taken out), the Crane MFA rose 0.02% to 1.15% and the Crane 100 rose 2 bps to 1.17%. Charged Expenses averaged 0.46% and 0.31% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 31 days (unchanged from last month) and for the Crane 100 was 31 days (down 1 day from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)