Money Fund Intelligence XLS

Money Fund Intelligence XLS Sample

Crane Data released its October Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of September 30, 2020, shows a decrease in every category except VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $94.3 billion to $4.772 trillion last month, after decreasing $12.7 billion in August, $83.1 billion in July and $159.1 billion in June. Money market securities increased $31.6 billion in May, and a staggering $529.4 billion in April and $725.6 billion in March. 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 $6.3 billion (-0.25%) to $2.461 trillion, or 51.6% of holdings, after increasing $3.1 billion in August, decreasing $79.9 billion in July and increasing $60.8 billion in June. Repurchase Agreements (repo) decreased by $6.7 billion (-64%) to $1.041 trillion, or 21.8% of holdings, after increasing $60.8 billion in August, increasing $40.0 billion in July, and decreasing $124.3 billion in June. Government Agency Debt decreased by $28.1 billion (-3.5%) to $768.4 billion, or 16.1% of holdings, after decreasing $37.6 billion in August, $45.1 billion in July and $65.2 billion in June. Repo, Treasuries and Agencies totaled $4.271 trillion, representing a massive 89.5% of all taxable holdings.

Money funds' holdings of CP, CDs and Other (mainly Time Deposits) fell in September, breaking below the $500 billion level for the first time since December 2018, while VDRNs saw assets increase. Commercial Paper (CP) decreased $11.6 billion (-4.8%) to $231.9 billion, or 4.9% of holdings, after decreasing $32.5 billion in August, $10.7 billion in July and $6.5 billion in June. Certificates of Deposit (CDs) fell by $20.8 billion (-11.8%) to $156.1 billion, or 3.3% of taxable assets, after decreasing $19.0 billion in August, $12.3 billion in July and $9.1 billion in June. Other holdings, primarily Time Deposits, decreased $21.0 billion (-18.2%) to $94.6 billion, or 2.0% of holdings, after increasing $15.3 billion in August, $22.3 billion in July and decreasing by $13.7 billion in June. VRDNs increased to $94.6 billion, or 0.4% of assets, from $19.1 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Tuesday.)

Prime money fund assets tracked by Crane Data dropped $149.0 billion to $987.0 billion, or 20.7% of taxable money funds' $4.772 trillion total. Among Prime money funds, CDs represent 15.8% (up from 15.6% a month ago), while Commercial Paper accounted for 23.5% (up from 21.4%). The CP totals are comprised of: Financial Company CP, which makes up 14.3% of total holdings, Asset-Backed CP, which accounts for 5.3%, and Non-Financial Company CP, which makes up 3.9%. Prime funds also hold 6.4% in US Govt Agency Debt, 27.5% in US Treasury Debt, 5.0% in US Treasury Repo, 0.6% in Other Instruments, 5.6% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 6.4% in US Government Agency Repo and 1.0% in VRDNs.

Government money fund portfolios totaled $2.616 trillion (54.8% of all MMF assets), up $111.0 billion from $2.505 trillion in August, while Treasury money fund assets totaled another $1.170 trillion (24.5%), down from $1.226 trillion the prior month. Government money fund portfolios were made up of 27.0% US Govt Agency Debt, 11.7% US Government Agency Repo, 46.1% US Treasury debt, 14.9% in US Treasury Repo, 0.2% in VRDNs and 0.1% in Investment Company . Treasury money funds were comprised of 84.1% US Treasury Debt and 15.8% in US Treasury Repo. Government and Treasury funds combined now total $3.786 trillion, or 79.3% of all taxable money fund assets.

European-affiliated holdings (including repo) decreased by $33.5 billion in September to $626.4 billion; their share of holdings fell to 13.1% from last month's 13.6%. Eurozone-affiliated holdings fell to $430.0 billion from last month's $456.7 billion; they account for 9.0% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $21.1 billion to $227.0 billion (4.8% of the total). Americas related holdings fell $37.0 billion to $3.915 trillion and now represent 82.0% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $29.9 billion, or 5.0%, to $623.4 billion, or 13.1% of assets); US Government Agency Repurchase Agreements (down $22,9 billion, or -5.8%, to $369.4 billion, or 7.7% of total holdings), and Other Repurchase Agreements (down $13.7 billion, or -22.2%, from last month to $48.0 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.0 billion to $141.5 billion, or 3.0% of assets), Asset Backed Commercial Paper (down $3.2 billion to $52.3 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $6.4 billion to $38.2 billion, or 0.8%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2020, include: the US Treasury ($2,477.9 billion, or 51.9%), Federal Home Loan Bank ($460.7B, 9.7%), Fixed Income Clearing Co ($144.9B, 3.0%), BNP Paribas ($132.9B, 2.8%), Federal National Mortgage Association ($113.7B, 2.4%), Federal Farm Credit Bank ($98.3B, 2.1%), RBC ($96.7B, 2.0%), JP Morgan ($92.7B, 1.9%), Federal Home Loan Mortgage Co ($74.7B, 1.6%), Barclays ($64.0B, 1.3%), Mitsubishi UFJ Financial Group Inc ($62.3B, 1.3%), Credit Agricole ($50.5B, 1.1%), Citi ($47.9B, 1.0%), Sumitomo Mitsui Banking Co ($47.0B, 1.0%), Societe Generale ($42.3B, 0.9%), Toronto-Dominion Bank ($39.5B, 0.8%), Bank of Montreal ($37.5B, 0.8%), Bank of America ($37.5B, 0.8%), HSBC ($31.9B, 0.7%) and Canadian Imperial Bank of Commerce ($28.5B, 0.6%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Fixed Income Clearing Co ($144.8B, 13.9%), BNP Paribas ($120.8B, 11.6%), JP Morgan ($83.1B, 8.0%), RBC ($78.8B, 7.6%), Barclays ($46.6B, 4.5%), Credit Agricole ($42.6B, 4.1%), Mitsubishi UFJ Financial Group ($42.4B, 4.1%), Citi ($39.4B, 3.8%), Bank of America ($35.5B, 3.4%) and Societe Generale ($32.9B, 3.2%).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($23.7B, 5.6%), Mitsubishi UFJ Financial Group ($19.9B, 4.7%), RBC ($17.9B, 4.2%), Barclays ($17.4B, 4.1%), Mizuho Corporate Bank Ltd ($17.3B, 4.1%), Sumitomo Mitsui Trust Bank ($16.3B, 3.9%), Credit Suisse ($12.2B, 2.9%), Canadian Imperial Bank of Commerce ($12.0B, 2.8%) and BNP Paribas ($12.0B, 2.8%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($14.2B, 9.1%), Mitsubishi UFJ Financial Group Inc ($14.1B, 9.0%), Sumitomo Mitsui Trust Bank ($10.2B, 6.6%), Bank of Montreal ($10.2B, 6.5%), Mizuho Corporate Bank Ltd ($9.5B, 6.1%), Canadian Imperial Bank of Commerce ($7.7B, 4.9%), Toronto-Dominion Bank ($7.2B, 4.6%), Credit Suisse ($7.1B, 4.5%), Svenska Handelsbanken ($5.9B, 3.7%) and Credit Mutuel ($5.2B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($16.2B, 8.0%), RBC ($10.3B, 5.1%), JP Morgan ($9.6B, 4.8%), Societe Generale ($8.3B, 4.1%), Citi ($7.6B, 3.8%), BNP Paribas ($7.5B, 3.7%), BPCE SA ($7.0B, 3.5%), NRW.Bank ($6.6B, 3.3%), Sumitomo Mitsui Trust Bank ($6.1B, 3.0%) and Toyota ($5.3B, 2.6%).

The largest increases among Issuers include: Fixed Income Clearing Corp (up $31.7B to $144.9B), US Treasury (up $10.4B to $2,477.9B), Barclays PLC (up $4.3B to $64.0B), BNP Paribas (up $3.7B to $132.9B), HSBC (up $3.4B to $31.9B), ABN Amro Bank (up $2.9B to $17.4B), Deutsche Bank AG (up $1.7B to $19.0B), JP Morgan (up $1.5B to $92.7B), Rabobank (up $1.4B to $9.8B) and Natixis (up $1.0B to $25.5B).

The largest decreases among Issuers of money market securities (including Repo) in September were shown by: the Federal Home Loan Bank (down $19.0B to $491.3B), Federal Home Loan Mortgage Corp (down $11.0B to $84.3B), Federal National Mortgage Association (down $5.3B to $116.2B), Credit Suisse (down $3.9B to $21.1B), Wells Fargo (down $3.8B to $23.2B), Federal Farm Credit Bank (down $1.6B to $99.7B), Deutsche Bank AG (down $1.3B to $17.3B), Landesbank Baden-Wurttemberg (down $1.2B to $9.4B), Bank of Nova Scotia (down $1.1B to $26.6B) and National Australia Bank Ltd (down $1.)B to $7.4B).

Federal Home Loan Bank (down $30.7B to $460.7B), Credit Agricole (down $22.5B to $50.5B), Federal Home Loan Mortgage Corp (down $9.6B to $74.7B), Mizuho Corporate Bank Ltd (down $8.2B to $26.7B), DNB ASA (down $7.9B to $8.1B), Bank of Nova Scotia (down $6.4B to $20.2B), Citi (down $5.9B to $47.9B), RBC (down $5.8B to $96.7B), Mitsubishi UFJ Financial Group Inc (down $5.6B to $62.3B) and Canadian Imperial Bank of Commerce (down $4.2B to $28.5B).

The United States remained the largest segment of country-affiliations; it represents 77.1% of holdings, or $3.679 trillion. France (5.8%, $276.0B) was number two, and Canada (4.9%, $235.3B) was third. Japan (4.5%, $216.3B) occupied fourth place. The United Kingdom (2.6%, $125.5B) remained in fifth place. The Netherlands (1.3%, $59.7B) was in sixth place, followed by Germany (1.2%, $58.1B), Sweden (0.7%, $31.1B), Switzerland (0.6%, $30.0B) and Australia (0.6%, $26.2B). (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 September 30, 2020, Taxable money funds held 35.7% (down from 36.0%) of their assets in securities maturing Overnight, and another 9.5% maturing in 2-7 days (up from 6.9% last month). Thus, 45.2% in total matures in 1-7 days. Another 14.3% matures in 8-30 days, while 13.0% matures in 31-60 days. Note that close to three-quarters, or 72.5% 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 9.6% of taxable securities, while 15.8% matures in 91-180 days, and just 2.2% matures beyond 181 days.

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Money Fund Intelligence XLS News

Oct 15
 

The October issue of our Bond Fund Intelligence, which was sent to subscribers Thursday morning, features the lead story, "Worldwide Bond Funds Jump $820B in Q2'20 to $11.6 Trillion," which discusses the latest jump in bond fund assets globally, and "Lord Abbett Rules in Short-Term Bond Kingdom," which interviews Portfolio Manager and MD Yoana Koleva. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund yields were higher and returns were lower in September. We excerpt from the new issue below. (Contact us if you'd like to see our Bond Fund Intelligence and BFI XLS spreadsheet, or our Bond Fund Portfolio Holdings data.)

Our Worldwide piece reads, "Bond fund assets worldwide skyrocketed by $816.9 billion in Q2'20 to $11.6 trillion, driven higher by increases in the U.S., Luxembourg and Ireland. Brazil was the only major country showing a decrease in the latest quarter. We review the ICI's 'Worldwide Open-End Fund Assets and Flows, Second Quarter 2020' release and statistics below."

ICI says, "Worldwide regulated open-end fund assets increased 12.4% to $53.87 trillion at the end of the second quarter of 2020.... The Investment Company Institute compiles worldwide regulated open-end fund statistics on behalf of the International Investment Funds Association (IIFA).... On a US dollar-denominated basis ... bond fund assets rose by 7.5% to $11.63 trillion in the second quarter. Balanced/mixed fund assets increased by 10.7% to $6.48 trillion.... Money market fund assets rose by 6.1% to $8.16 trillion."

Our latest Fund Profile says, "This month, BFI profiles Yoana Koleva, Managing Director at Lord Abbett and Portfolio Manager of Lord Abbett Ultra Short Fund. The Jersey City-based manager runs the largest Ultra-Short Bond Fund and second largest Short-Term Bond Fund and ranks 12th overall in our bond fund family rankings. Koleva discusses the firm's history, the fund's strategies and a number of other topics in the ultra-short space. Our Q&A follows."

BFI says, "Give us a little history." Koleva responds, "Lord Abbett was actually founded back in 1929, so we've been around for a very long time. Within the short duration space, we also have a very long history and a pretty significant presence. Our Short Duration Income Fund was launched in early 2008. We invest in short-term, credit-oriented securities and the goal is to generate strong, consistent returns with low volatility. We have a multi-sector approach where we invest in investment grade, high yield corporate securities, CMBS and ABS, and the way we add value is through sector rotation and security selection. Currently, the short duration strategy has over $60 billion in assets."

She continues, "Given our experience and our success in short duration, in 2016 we decided to launch our Ultra Short Bond product. If you recall, 2016 was the year when we had a major change in the regulatory landscape driven by the Money Market Reform. We believe that created an opportunity for a new product. You saw significant outflows from the Prime money market space as gates and floating NAVs were introduced. Prime money markets dropped by nearly $1 trillion driven by investor outflows and fund conversions into government money market funds. For the investor that focuses on principal preservation and return above Treasuries there were really very limited opportunities. We saw that market dynamic and identified it as an opportunity for the ultra short space. We currently manage over $20 billion in assets in the space, so it's been a huge success."

Our Bond Fund News includes the brief, "Yields Up, Returns Dip in September," which explains, "Bond fund yields inched higher while returns were mostly lower last month. Our BFI Total Index returned -0.12% over 1-month and 3.83% over 12 months. The BFI 100 fell 0.10% in Sept. but rose 4.80% over 1 year. Our BFI Conservative Ultra-Short Index returned 0.05% over 1-mo and 1.75% over 1-yr; Ultra-Shorts averaged 0.10% in Sept. and 1.78% over 12 mos. Short-Term returned -0.02% and 3.33%, and Intm-Term fell 0.04% last month and 6.14% over 1-year. BFI's Long-Term Index fell by 0.17% in Sept. but rose 7.94% for 1-year. Our High Yield Index fell 0.57% last month and is up just 1.54% over 1-year."

In another News brief, we quote the Economic Times', "Bonds Suck in $26B, Pricing in US Democrats Win," which says, "Bond funds have seen the second-largest weekly inflows ever of $25.9 billion, BofA said on Friday, as the market continues to price in a Democrats victory.... Riskier high yield bond funds attracted $5 billion in the week to Oct. 7, the highest in 11 weeks, while government bond funds sucked in $3.8 billion, the largest inflows in 14 weeks."

A third News update tells readers, "The SEC Published, 'U.S. Credit Markets: Interconnectedness and the Effects of the COVID-19 Economic Shock' (and hosted a Roundtable Oct. 14). It says, 'Though many observers have been concerned about the ability of bond funds to access liquidity to meet redemption requests during periods of market stress, these concerns did not materialize during the market turmoil in March. Commission staff estimate that bond mutual funds experienced $255 billion of net outflows during March 2020, with another $21 billion in outflows from bond ETFs.' ICI also published, 'The Impact of COVID-​19 on Economies and Financial Markets.'"

BFI also features a sidebar entitled, "Barron's on Best Bond Funds." Their article, 'The Best Bond Funds for Uncertain Times.' explains, 'The drastic changes in the fixed-income market in recent months -- largely driven by the Federal Reserve's signaling that interest rates will stay near zero until 2023 ... -- necessitates a reassessment of bond portfolios.... With CDs and money markets paying nothing, income investors tend to gravitate toward short- or ultrashort-term bond funds. But many of these have taken on credit risk to bolster their yields, so they took bigger losses at the height of the crisis than most investors would expect from their 'safe' investment bucket, says Morningstar analyst Garrett Heine.'"

Finally, a brief entitled, "BF Inflows Slow, Then Jump," explains, "Bond funds continue to see strong inflows and asset gains, but they paused briefly in late September. ICI's 'Combined Estimated Long-Term Fund Flows and ETF Net Issuance,' says, 'Bond funds had estimated inflows of $25.02 billion for the week, compared to estimated inflows of $4.40 billion during the previous week [and $5.04B the prior week]. Taxable bond funds saw estimated inflows of $22.54 billion, and municipal bond funds had estimated inflows of $2.48 billion.' Over the past 5 weeks, bond funds and bond ETFs have seen inflows of $63.3 billion.'"

Oct 13
 

Crane Data released its October Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of September 30, 2020, shows a decrease in every category except VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $94.3 billion to $4.772 trillion last month, after decreasing $12.7 billion in August, $83.1 billion in July and $159.1 billion in June. Money market securities increased $31.6 billion in May, and a staggering $529.4 billion in April and $725.6 billion in March. 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 $6.3 billion (-0.25%) to $2.461 trillion, or 51.6% of holdings, after increasing $3.1 billion in August, decreasing $79.9 billion in July and increasing $60.8 billion in June. Repurchase Agreements (repo) decreased by $6.7 billion (-64%) to $1.041 trillion, or 21.8% of holdings, after increasing $60.8 billion in August, increasing $40.0 billion in July, and decreasing $124.3 billion in June. Government Agency Debt decreased by $28.1 billion (-3.5%) to $768.4 billion, or 16.1% of holdings, after decreasing $37.6 billion in August, $45.1 billion in July and $65.2 billion in June. Repo, Treasuries and Agencies totaled $4.271 trillion, representing a massive 89.5% of all taxable holdings.

Money funds' holdings of CP, CDs and Other (mainly Time Deposits) fell in September, breaking below the $500 billion level for the first time since December 2018, while VDRNs saw assets increase. Commercial Paper (CP) decreased $11.6 billion (-4.8%) to $231.9 billion, or 4.9% of holdings, after decreasing $32.5 billion in August, $10.7 billion in July and $6.5 billion in June. Certificates of Deposit (CDs) fell by $20.8 billion (-11.8%) to $156.1 billion, or 3.3% of taxable assets, after decreasing $19.0 billion in August, $12.3 billion in July and $9.1 billion in June. Other holdings, primarily Time Deposits, decreased $21.0 billion (-18.2%) to $94.6 billion, or 2.0% of holdings, after increasing $15.3 billion in August, $22.3 billion in July and decreasing by $13.7 billion in June. VRDNs increased to $94.6 billion, or 0.4% of assets, from $19.1 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Tuesday.)

Prime money fund assets tracked by Crane Data dropped $149.0 billion to $987.0 billion, or 20.7% of taxable money funds' $4.772 trillion total. Among Prime money funds, CDs represent 15.8% (up from 15.6% a month ago), while Commercial Paper accounted for 23.5% (up from 21.4%). The CP totals are comprised of: Financial Company CP, which makes up 14.3% of total holdings, Asset-Backed CP, which accounts for 5.3%, and Non-Financial Company CP, which makes up 3.9%. Prime funds also hold 6.4% in US Govt Agency Debt, 27.5% in US Treasury Debt, 5.0% in US Treasury Repo, 0.6% in Other Instruments, 5.6% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 6.4% in US Government Agency Repo and 1.0% in VRDNs.

Government money fund portfolios totaled $2.616 trillion (54.8% of all MMF assets), up $111.0 billion from $2.505 trillion in August, while Treasury money fund assets totaled another $1.170 trillion (24.5%), down from $1.226 trillion the prior month. Government money fund portfolios were made up of 27.0% US Govt Agency Debt, 11.7% US Government Agency Repo, 46.1% US Treasury debt, 14.9% in US Treasury Repo, 0.2% in VRDNs and 0.1% in Investment Company . Treasury money funds were comprised of 84.1% US Treasury Debt and 15.8% in US Treasury Repo. Government and Treasury funds combined now total $3.786 trillion, or 79.3% of all taxable money fund assets.

European-affiliated holdings (including repo) decreased by $33.5 billion in September to $626.4 billion; their share of holdings fell to 13.1% from last month's 13.6%. Eurozone-affiliated holdings fell to $430.0 billion from last month's $456.7 billion; they account for 9.0% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $21.1 billion to $227.0 billion (4.8% of the total). Americas related holdings fell $37.0 billion to $3.915 trillion and now represent 82.0% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $29.9 billion, or 5.0%, to $623.4 billion, or 13.1% of assets); US Government Agency Repurchase Agreements (down $22,9 billion, or -5.8%, to $369.4 billion, or 7.7% of total holdings), and Other Repurchase Agreements (down $13.7 billion, or -22.2%, from last month to $48.0 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.0 billion to $141.5 billion, or 3.0% of assets), Asset Backed Commercial Paper (down $3.2 billion to $52.3 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $6.4 billion to $38.2 billion, or 0.8%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2020, include: the US Treasury ($2,477.9 billion, or 51.9%), Federal Home Loan Bank ($460.7B, 9.7%), Fixed Income Clearing Co ($144.9B, 3.0%), BNP Paribas ($132.9B, 2.8%), Federal National Mortgage Association ($113.7B, 2.4%), Federal Farm Credit Bank ($98.3B, 2.1%), RBC ($96.7B, 2.0%), JP Morgan ($92.7B, 1.9%), Federal Home Loan Mortgage Co ($74.7B, 1.6%), Barclays ($64.0B, 1.3%), Mitsubishi UFJ Financial Group Inc ($62.3B, 1.3%), Credit Agricole ($50.5B, 1.1%), Citi ($47.9B, 1.0%), Sumitomo Mitsui Banking Co ($47.0B, 1.0%), Societe Generale ($42.3B, 0.9%), Toronto-Dominion Bank ($39.5B, 0.8%), Bank of Montreal ($37.5B, 0.8%), Bank of America ($37.5B, 0.8%), HSBC ($31.9B, 0.7%) and Canadian Imperial Bank of Commerce ($28.5B, 0.6%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Fixed Income Clearing Co ($144.8B, 13.9%), BNP Paribas ($120.8B, 11.6%), JP Morgan ($83.1B, 8.0%), RBC ($78.8B, 7.6%), Barclays ($46.6B, 4.5%), Credit Agricole ($42.6B, 4.1%), Mitsubishi UFJ Financial Group ($42.4B, 4.1%), Citi ($39.4B, 3.8%), Bank of America ($35.5B, 3.4%) and Societe Generale ($32.9B, 3.2%).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($23.7B, 5.6%), Mitsubishi UFJ Financial Group ($19.9B, 4.7%), RBC ($17.9B, 4.2%), Barclays ($17.4B, 4.1%), Mizuho Corporate Bank Ltd ($17.3B, 4.1%), Sumitomo Mitsui Trust Bank ($16.3B, 3.9%), Credit Suisse ($12.2B, 2.9%), Canadian Imperial Bank of Commerce ($12.0B, 2.8%) and BNP Paribas ($12.0B, 2.8%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($14.2B, 9.1%), Mitsubishi UFJ Financial Group Inc ($14.1B, 9.0%), Sumitomo Mitsui Trust Bank ($10.2B, 6.6%), Bank of Montreal ($10.2B, 6.5%), Mizuho Corporate Bank Ltd ($9.5B, 6.1%), Canadian Imperial Bank of Commerce ($7.7B, 4.9%), Toronto-Dominion Bank ($7.2B, 4.6%), Credit Suisse ($7.1B, 4.5%), Svenska Handelsbanken ($5.9B, 3.7%) and Credit Mutuel ($5.2B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($16.2B, 8.0%), RBC ($10.3B, 5.1%), JP Morgan ($9.6B, 4.8%), Societe Generale ($8.3B, 4.1%), Citi ($7.6B, 3.8%), BNP Paribas ($7.5B, 3.7%), BPCE SA ($7.0B, 3.5%), NRW.Bank ($6.6B, 3.3%), Sumitomo Mitsui Trust Bank ($6.1B, 3.0%) and Toyota ($5.3B, 2.6%).

The largest increases among Issuers include: Fixed Income Clearing Corp (up $31.7B to $144.9B), US Treasury (up $10.4B to $2,477.9B), Barclays PLC (up $4.3B to $64.0B), BNP Paribas (up $3.7B to $132.9B), HSBC (up $3.4B to $31.9B), ABN Amro Bank (up $2.9B to $17.4B), Deutsche Bank AG (up $1.7B to $19.0B), JP Morgan (up $1.5B to $92.7B), Rabobank (up $1.4B to $9.8B) and Natixis (up $1.0B to $25.5B).

The largest decreases among Issuers of money market securities (including Repo) in September were shown by: the Federal Home Loan Bank (down $19.0B to $491.3B), Federal Home Loan Mortgage Corp (down $11.0B to $84.3B), Federal National Mortgage Association (down $5.3B to $116.2B), Credit Suisse (down $3.9B to $21.1B), Wells Fargo (down $3.8B to $23.2B), Federal Farm Credit Bank (down $1.6B to $99.7B), Deutsche Bank AG (down $1.3B to $17.3B), Landesbank Baden-Wurttemberg (down $1.2B to $9.4B), Bank of Nova Scotia (down $1.1B to $26.6B) and National Australia Bank Ltd (down $1.)B to $7.4B).

Federal Home Loan Bank (down $30.7B to $460.7B), Credit Agricole (down $22.5B to $50.5B), Federal Home Loan Mortgage Corp (down $9.6B to $74.7B), Mizuho Corporate Bank Ltd (down $8.2B to $26.7B), DNB ASA (down $7.9B to $8.1B), Bank of Nova Scotia (down $6.4B to $20.2B), Citi (down $5.9B to $47.9B), RBC (down $5.8B to $96.7B), Mitsubishi UFJ Financial Group Inc (down $5.6B to $62.3B) and Canadian Imperial Bank of Commerce (down $4.2B to $28.5B).

The United States remained the largest segment of country-affiliations; it represents 77.1% of holdings, or $3.679 trillion. France (5.8%, $276.0B) was number two, and Canada (4.9%, $235.3B) was third. Japan (4.5%, $216.3B) occupied fourth place. The United Kingdom (2.6%, $125.5B) remained in fifth place. The Netherlands (1.3%, $59.7B) was in sixth place, followed by Germany (1.2%, $58.1B), Sweden (0.7%, $31.1B), Switzerland (0.6%, $30.0B) and Australia (0.6%, $26.2B). (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 September 30, 2020, Taxable money funds held 35.7% (down from 36.0%) of their assets in securities maturing Overnight, and another 9.5% maturing in 2-7 days (up from 6.9% last month). Thus, 45.2% in total matures in 1-7 days. Another 14.3% matures in 8-30 days, while 13.0% matures in 31-60 days. Note that close to three-quarters, or 72.5% 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 9.6% of taxable securities, while 15.8% matures in 91-180 days, and just 2.2% matures beyond 181 days.

Oct 07
 

The October issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Wednesday morning, features the articles: "MMFs Turn 50 But Zero Yields, Reform Talks Dim Celebration," which discusses the birth and present challenges of money market funds; "Bond Funds: Junker, Roever, Walczak on Ultra-Shorts," which quotes from our recent Bond Fund Webinar; and, "Tax Exempt Money Fund Liquidations Hit State Funds," which discusses the consolidation gripping Municipal MMFs. We've also updated our Money Fund Wisdom database with September 30 statistics, and sent out our MFI XLS spreadsheet Wednesday 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 Friday, October 9, and our October Bond Fund Intelligence is scheduled to go out Thursday, October 15.

MFI's "MMFs Turn 50" article says, "Money market mutual funds should be celebrating their 50th birthday this month, but the party is somewhat muted given the myriad challenges they now face. Reserve Primary Fund, which famously 'broke the buck' in 2008, became the first money fund when it launched in October 1970. But Reserve is in the news again as regulators and others discuss yet more potential regulatory changes."

It continues, "Of course, turmoil, regulatory change and dramatic moves in interest rates are nothing new to money funds. While their first decade and a half was marked by oil price shocks, inflation and rates approaching 20%, their most recent decade-plus has been one of zero yields and dramatic market events. Both periods saw a series of regulatory changes, marked by Rule 2a-7's official birth in 1983, and the Money Fund Reforms of 2010 and 2014 (put into effect in 2016). In the interim, MMFs experienced huge growth along with other types of mutual funds in the '80's, '90's and '00's."

Our latest "Profile" reads, "Late last month, Crane Data hosted its latest online event, Bond Fund Webinar: Ultra-Shorts and Alt-Cash. The hour-long session, led by Peter Crane, featured a panel including J.P. Morgan Asset Management's Cecilia Junker, UBS Asset Management's David Walczak and J.P. Morgan Securities' Alex Roever. The discussion involved ultra-short bond fund and separately managed account investment strategies, the latest on flows and assets, and the search for yield in the current zero yield environment. (Click here to hear the Bond Fund Webinar replay, and register here for our next virtual event, Money Fund Symposium Online, which will be held on Tuesday, October 27 from 1-4pm ET.)"

Crane comments, "You saw $1.2 trillion move into money funds but $350 billion has moved out over the last few months. Some of that money is starting to seek alternatives, to seek higher yields. Bank deposits have [also] had a huge cash buildup as well, [so] there's a tremendous amount of cash.... A big chunk of that is, as we’ve seen in the past, yield sensitive and should start moving into ultra shorts and other options as it scrambles for yield."

He explains, "Bond funds have had just tremendous inflows.... Inflows into ultra-shorts have been strong, but the big money in bond funds is out in the Core, the Intermediate, the High-Yield. Looking at the segments ... Conservative Ultra-Shorts and Ultra-Shorts are about $100 billion each. Combined ... you're talking about $200 billion dollars. When you look at the Short-Term space, it's double that, $400, maybe $500 billion depending on who's counting. And then Intermediate is double that again. The Conservative and Ultra-Short spaces have been growing rapidly, they're up 20% ... and ETFs are up 30%."

The "Tax Exempt MFs" article tells readers, "Consolidation continues to grip the money fund space, particularly Tax Exempt MMFs. Today's Wall Street Journal covers the topic in its piece, 'Coronavirus Pandemic Hastens the Demise of at-Risk Municipal Money Funds.' They say, 'In September, Vanguard Group told investors it would shutter New Jersey and Pennsylvania-focused funds. Bank of New York Mellon's Dreyfus liquidated one state-specific fund last month and in August, Federated Hermes said it would wind four down in February.'"

The piece continues, "The Prospectus Supplement for the $1.8 billion Vanguard Pennsylvania Municipal Money Market Fund and the $1.2 billion Vanguard New Jersey Municipal Money Market Fund tells us, 'On Sept. 24, 2020, the board ... of the Vanguard Pennsylvania Municipal Money Market Fund and the Vanguard New Jersey Municipal Money Market Fund approved a proposal to liquidate and dissolve the Funds on or about November 24, 2020.... In anticipation of the liquidation ..., the Funds will be closed to new investors at the start of business on Sept. 25, 2020.'"

The latest MFI also includes the News brief, "BlackRock to Launch 'Social' Mischler Shares." The release, "Mischler Financial and BlackRock to Partner to Provide Dedicated Cash Management Share Class," announces the 'partnership with Mischler Financial Group, a leading disabled veteran-owned broker dealer' for shares of FedFund and LEAF. It says, "Increasingly, we believe clients are looking to maximize their social impact and partner with minority, women and disabled-veteran broker dealers."

A second News piece titled, "Money Fund Assets Slide Again, Huge Shift from Prime to Govt Occurs," says, "Assets fell again in the latest month, declining $121.2 billion to $4.797 trillion. Prime assets plunged as Vanguard's huge Prime MMF converted to a Govt Retail fund (and renamed Cash Reserves Federal MM). (See our Aug. 28 News, "Vanguard Prime MMF Going Govt.")

Our October MFI XLS, with September 30 data, shows total assets dropped by $121.2 billion in September to $4.797 trillion, after decreasing $42.3 billion in August, $44.2 billion in July, and $113.0 billion in June. Assets increased $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 remained at 0.03% during the month, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained unchanged at 0.04%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down three bps to 0.21% while the Crane 100 fell two bps to 0.21%. Charged Expenses averaged 0.18% (down from 0.21% last month) and 0.17% (down from 0.19% 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 40 (up one day) and 44 days (up two days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

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 ignites.com 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.)