Money Fund Intelligence

Money Fund Intelligence Sample

Money Fund Intelligence is a must-read for money market mutual fund and cash investment professionals. The monthly PDF contains:

  • Money Market News - Coverage of cash happenings, new products, companies in the news, people, and more.
  • Feature Articles - Stories like "Trading Portals", "Enhanced Cash", and "Brokerages Push Banks".
  • Money Fund Profiles - In-depth interviews with portfolio managers and management teams.
  • Fund Performance/Rankings - Full listings of fund 7-day yields, monthly and longer-term returns (1-, 3-, 5-, and 10-year), assets, expense ratios, and more.
  • Crane Money Fund Indexes - Our benchmark money market averages by fund type, plus Brokerage Sweep and Bank Indexes.

Whether you're comparing a fund to the competition, benchmarking your cash portfolio to the market, looking for an investment, or looking for new product ideas, Money Fund Intelligence is the answer. E-mail us for the latest issue!

Latest Contents (June 1, 2021)

Asset Growth Continues, But No Yield 1
JPMorgan AM's Chris Tufts: Focused on 1
Boston Fed Proposed Only Govt MMFs 1
Money Mkt News, Benchmarks 1
Brokerage Sweep & Bank Saving 8
People, Calendar, Subscription 8
Top Performing Tables, Indexes 9-12
Fund Performance Listings 13-26

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Money Fund Intelligence News

Jun 22
 

This month, MFI speaks with Christopher Tufts, the new Global Head of Portfolio Management and Trading for the money market fund business at J.P. Morgan Asset Management. Tufts had been Head of Portfolio Management for the U.S. funds before taking on an expanded role late last year. We discuss the current rate environment, supply and pending regulatory issues, among other things. Our Q&A follows. (Note: The following is reprinted from the June issue of Money Fund Intelligence, which was published on June 7. Contact us at info@cranedata.com to request the full issue or to subscribe.)

MFI: Give us a little history. Tufts: J.P. Morgan Asset Management has been managing money market funds since 1987, and as an institution, J.P. Morgan has been solving client liquidity needs for over 200 years. Today, we manage about $885 billion in short-term fixed income assets, of which roughly $735 billion sits in money market funds and liquidity separately managed accounts.... The money market fund offering has evolved and expanded significantly over time, and today is comprised of over 30 funds, managed in 8 different currencies across an array of on- and offshore vehicles, including our pioneering AAA-rated RMB offering in Asia.

The portfolio management team is distributed across the U.S., London and Hong Kong with an average of 22 years of experience. Without a doubt, I think that global reach and depth of experience throughout multiple rate cycles and stressed scenarios over the years helped us emerge from last year's volatility in a strong position across the platform.... I've been with J.P. Morgan my entire career, having started with the firm in the summer analyst program in 1995.

MFI: What is your biggest priority? Tufts: It may sound obvious, but the top priority for the portfolio management team never really changes -- we're focused first and foremost on the core deliverables that clients expect from us: prudent liquidity management and capital stability. We've learned over the years that discipline around our core investment philosophy and investment process is the best path to long-term success for our clients and our business. Having said that, the market and industry context that surrounds those objectives seems to be in constant motion.

Right now, we've really got our work cut out for us just getting cash invested every day at yields north of zero. And that holds true across locations and currencies, not just in the U.S. dollar money market funds. In some ways, the investment process becomes a bit more simplified in a zero-rate environment -- there are fewer decisions to be made. But in a market like this one, which is feeling the cumulative impact of so many different technical liquidity factors, the trading days can feel especially challenging. Our current focus from a portfolio management point of view is on matching increased client liquidity balances with investable supply that's being pressured in the opposite direction. We kept our Treasury and Government funds open for client subscriptions during the peak of the inflows last year, and doing the same going forward is really the key priority.

One example of how we're doing that is the work we've done around repo counterparties to ensure we have the deepest possible list of repo relationships and the most potential avenues for supply. We've been active in cleared repo, we've added trading capabilities with insurance companies, and we've leveraged broader bank relationships at J.P. Morgan to uncover new sources of collateral. In the prime funds, we work with a global team of dedicated credit research analysts to ensure that we're tapping into every issuer possible of high-quality, short term debt in the market across every global jurisdiction.

MFI: What about other challenges? Tufts: In many ways, today's most significant challenges are very familiar. This is not our first experience with managing liquidity funds in a zero-rate environment, or a negative-rate environment in the case of our European funds. Nor is it the first time we've been faced with potential changes to the product regulatory structure. I think what feels different and perhaps a bit more challenging from a market perspective this time is just the trend and outlook for technicals in the market. In the U.S., during the last run of near-zero rates, you had a pretty steady decline of money market fund balances -- roughly $1 trillion from 2009 to 2015. In contrast, you've seen industry assets move up about $1 trillion since March of last year.

The demand for high-quality short-term assets from the money market fund industry, particularly Treasury and Government funds, has been far outpacing available supply. We're also seeing lower market rates this cycle across the board.... So, the combination of robust fund flows, scant supply and low market rates are undoubtedly the biggest challenges.

MFI: What are you buying? Tufts: In USD Government and Treasury MMFs, where yield curves are particularity flat and supply challenges are particularly acute, we're leaning heavily on the overnight and 1-week repo markets. We've been less interested in buying U.S. Treasury and Agency paper further out the curve. We made those trades toward the end of last year and early this year, while we still had a bit of yield to work with. So the recent trades have favored repo, and more and more of that repo activity is being directed to the Fed's overnight Reverse Repo Program (RRP). You've seen the recent surge in the overall program balances. For now, the marginal new dollar coming in to our Government and Treasury repo funds will likely land with the Fed. We're also obviously using the regular T-Bill auctions to get invested … given the current zero floor at auctions.

In our prime funds, we've generally had a bit more to work with in terms of trading out the curve. But the CP and CD markets have not been immune to the effects of excess liquidity in the system and curves have flattened there as well, leading us to shorten our purchasing activity more recently. The challenge there has been finding banks that want to take new overnight and 1-week deposit balances. So, I think you'll see our prime funds start to lean more heavily on the Fed RRP as well in the coming weeks and months.

MFI: How about customer concerns? Tufts: In general, clients haven't been expressing any particular points of concern. I think the low-rate environment globally is frustrating for everyone, but as we discussed, that hasn't really slowed down the inflows thus far. Certainly, potential regulatory changes for prime funds, globally, is a topic of active discussion.... They're keen to understand the potential range of outcomes and also the timing.

We're seeing continued, significant interest in ultra-short bond funds, both U.S. dollar and non-dollar, and that's been a consistent theme with clients since central banks dropped rates globally last year.... We're talking through offerings in that space with clients and trying to understand their visibility and accuracy of cash flow projections to make sure that we pair them with the right product.... Our ultra-short Managed Reserves strategy, which is led by David Martucci and a team of seasoned, global portfolio managers, is sitting at all-time high of more than $100 billion.

MFI: What about ESG? Tufts: I think we've tried to take a very measured and deliberate approach around ESG. We started with integrating ESG factors into the investment process and reflecting those inputs in the prospectus and the other fund documentation. Really, it was just about calling out ESG factors more explicitly, since we're using those within our credit analysis process in terms of building approved issuer lists for the funds.... We've also done some more targeted ESG initiatives like our new Empowering Change program.

MFI: Are fee waivers hurting? Tufts: Fee waivers are just a fact of life in multiple currencies and funds at the moment. The low-rate environment impacts clients, intermediaries and obviously the economics of our business. We're fortunate that the platform at J.P. Morgan Asset Management is very broad and we operate at considerable scale.... The scale really gives us the ability to weather periods like this one.... In terms of fee competition, you've seen some outliers occasionally in terms of net yields and waiver levels, but in general, the pack is pretty tightly clustered. I wouldn't expect to see much deviation from here. Not until there's more of a curve to work with and we start to talk about Fed liftoff, which we think is still quite a ways off.

MFI: Tell us about the trading portal. Tufts: We made sure when we launched Morgan Money that it was based on state-of-the-art technology with all the features any client could ask for. [The portal] was developed to meet the needs of modern liquidity managers, powered by a trading and analytics platform that integrates seamlessly with a client's existing technology set.... We have over 1,800 clients on the platform today, that represents about $157 billion in AUM.... I think that speaks to the value proposition that clients are finding in the Morgan Money platform.

MFI: What's your outlook going forward? Tufts: Even at these very low levels of income, money funds continue to offer critical benefits that clients have always valued: same-day liquidity, diversification, professional management and credit analysis. So, we're seeing clients continue to pump money into this sector at a pretty good clip.

On the regulatory side, we do anticipate further regulatory changes coming down the pipeline for prime funds both onshore and offshore. But we’re still in the early stages of that process. Regulators did a lot after the financial crisis to make these funds more resilient to credit and liquidity shocks.... I think the good news is that regulators seem more or less intent on building on the work that they've already done, and they appear focused on adjusting the existing regulations to enhance the resilience of these funds in stressed markets rather than fundamentally changing the product structure altogether.

In terms of our stance on reform, you can read it in our comment letter to the SEC regarding the President's Working Group (PWG) report. We think the 30% weekly liquidity linkage to gates and fees created a 'bright line' for clients that sped up redemption activity last spring. We think the single most impactful change they could make would be to delink gates and fees from that 30% liquidity requirement which would substantially improve the resilience of prime and tax-free money funds in the future.

Beyond that, regulators are also evaluating the entire short-term fixed-income market for potential improvements. This is a positive for the sector overall and for the clients who rely on these products.... So, we'll march forward, and as they say: 'Liquidity rolls on.'

Jun 21
 

A release from the Investment Company Institute tells us that, "Retirement Assets Total $35.4 Trillion in First Quarter 2021." It includes data tables showing that money market funds held in retirement accounts fell to $557 billion (from $574 billion) in total, or 12% of the total $4.497 trillion in money funds. MMFs represent just 4.9% of the total $11.483 trillion of mutual funds in retirement accounts. The release says, "Total US retirement assets were $35.4 trillion as of March 31, 2021, up 1.8 percent from December 31, 2020. Retirement assets accounted for 32 percent of all household financial assets in the United States at the end of March 2021. Assets in individual retirement accounts (IRAs) totaled $12.6 trillion at the end of the first quarter of 2021, an increase of 2.8 percent from the end of the fourth quarter of 2020. Defined contribution (DC) plan assets were $9.9 trillion at the end of the first quarter, up 2.1 percent from December 31, 2020. Government defined benefit (DB) plans -- including federal, state, and local government plans—held $7.1 trillion in assets as of the end of March 2021, a 0.7 percent increase from the end of December 2020. Private-sector DB plans held $3.4 trillion in assets at the end of the first quarter of 2021, and annuity reserves outside of retirement accounts accounted for another $2.5 trillion." The ICI tables also show money funds accounting for $381 billion, or 7%, of the $5.647 trillion in IRA mutual fund assets and $176 billion, or 3%, of the $5.837 trillion in defined contribution plan holdings. (Money funds in 401k plans totaled $119 billion, or 3% of the $4.559 trillion of mutual funds in 401k's.)

Jun 07
 

The June issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Monday morning, features the articles: "Asset Growth Continues, But No Yields in Sight; Record RRP," which tracks the continued jumps in assets despite yields sitting at rock bottom; "J.P. Morgan A.M.'s Chris Tufts: Focused on Core Deliverables," which profiles the new JPMAM Head of Liquidity; and, "Boston Fed Proposes Only Govt MMFs; Already 80%," which highlights the possibility of banning Prime MMFs. We also sent out our MFI XLS spreadsheet Monday a.m., and updated our Money Fund Wisdom database query system with 5/31/21 data. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our June Money Fund Portfolio Holdings are scheduled to ship on Wednesday, June 9, and our June Bond Fund Intelligence is scheduled to go out Monday, June 14.

MFI's lead article says, "Money fund assets continue to see strong growth, but fund managers aren't celebrating as any yield becomes increasingly difficult to find. Assets broke back above the $5 trillion level ($4.6 trillion if you're looking at ICI's totals), and the inflows show no signs of subsiding. Charged expenses and gross yields are pushing to record lows, though, and the business model of money market funds is coming into question. We look at the latest asset and yield trends, the record usage of the Fed’s RRP program, and whether funds can survive with gross yields of 0.00%, below."

It continues, "Crane Data's latest MFI XLS shows money fund assets increasing by $74.0 billion in May 2021 to $5.066 trillion, up $341.9 billion, or 7.2% year-to-date. Our numbers just broke back above the $5.0 trillion mark for the first time since June 2020, and they're approaching the record level of $5.163 set in April 2020."

Our latest profile reads, "This month, MFI speaks with Christopher Tufts, the new Global Head of Portfolio Management and Trading for the money market fund business at J.P. Morgan Asset Management. Tufts had been Head of Portfolio Management for the U.S. funds before taking on the expanded role late last year. We discuss the current rate environment, supply and pending regulatory issues, among other things. Our Q&A follows."

MFI says, "Give us a little history." Tufts tell us, "J.P. Morgan Asset Management has been managing money market funds since 1987, and as an institution, J.P. Morgan has been solving client liquidity needs for over 200 years. Today, we manage about $885 billion in short-term fixed income assets, of which roughly $735 billion sits in money market funds and liquidity separately managed accounts.... The money market fund offering has evolved and expanded significantly over time, and today is comprised of over 30 funds, managed in 8 different currencies across an array of on- and offshore vehicles, including our pioneering AAA-rated RMB offering in Asia."

Tufts adds, "The portfolio management team is distributed across the U.S., London and Hong Kong with an average of 22 years of experience. Without a doubt, I think that global reach and depth of experience throughout multiple rate cycles and stressed scenarios over the years helped us emerge from last year's volatility in a strong position across the platform.... I've been with J.P. Morgan my entire career, having started with the firm in the summer analyst program in 1995."

The "Boston Fed" article tells readers, "The Federal Reserve Bank of Boston's new paper, 'Money Market Mutual Funds: Runs, Emergency Liquidity Facilities, and Potential Reforms,' is causing quite a stir in the money fund industry. Authored by Kenechukwu Anadu and Siobhan Sanders, it states, 'Twice in the past 12 years, prime and tax-exempt money market mutual funds (MMMFs), collectively non-government MMMFs, have experienced large investor redemptions and runs.... These strains only abated after the Board of Governors of the Federal Reserve System and the United States Department of the Treasury took emergency actions, including the establishment of lending facilities for non-government MMMFs.'"

The piece continues, "Policymakers are now examining potential reform options to enhance non-government funds' resilience and reduce run risk. An option worth examining is a requirement that all non-government MMMFs convert to government MMMFs, which remained resilient -- and even experienced large inflows -- during periods in which non-government funds experienced runs. An option worth examining is a requirement that all non-government MMMFs convert to government MMMFs, which remained resilient -- and even experienced large inflows -- during periods in which non-​govt funds experienced runs."

MFI also includes the News brief, "NY Fed Blogs on WLAs and Retail vs. Inst Prime Runs," It says, "The Federal Reserve Bank of New York published, ‘Sophisticated and Unsophisticated Runs,’ written by Marco Cipriani and Gabriele La Spada. The piece tells us, 'In March 2020, U.S. prime money market funds (MMFs) suffered heavy outflows following the liquidity shock triggered by the COVID-19 crisis.... In this post, based on a recent Staff Report, we contrast the behaviors of retail and institutional investors during the run and explain the different reasons behind the run.'"

Another News brief, "SEC Stats: Assets Retake $5 Trillion; Govt MMFs Break $4T," explains, "The SEC's 'Money Market Fund Statistics' summary shows total money fund assets increased $46.3 billion in April to $5.040 trillion. (According to Crane Data, MMFs assets rose by $74.0 billion in May.) Prime MMFs rose by $1.3 billion in April to $929.2 billion, Govt & Treasury funds increased $48.4 billion to $4.006 trillion and Tax Exempt funds decreased $3.4 billion to $104.8 billion. Yields were down again in April."

Our June MFI XLS, with May 31 data, shows total assets increased $74.0 billion in May to $5.066 trillion, after increasing $62.2 billion in April, jumping $151.0 billion in March, rising $30.8 billion in February and $5.6 billion in January. Assets decreased $6.7 billion in December, $11.7 billion in November, $46.8 billion in October, $121.2 billion in September, $42.3 billion in August, $44.2 billion in July and $113.0 billion in June. Our broad Crane Money Fund Average 7-Day Yield was unchanged at 0.02%, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.02%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both stand at 0.09%. Charged Expenses averaged 0.07% for the Crane MFA and 0.07% for the Crane 100. (We'll revise expenses on Tuesday once we upload the SEC's Form N-MFP data for 5/31.) The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 38 (down two days from the previous month) and 39 days (down three days), respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

May 07
 

The May issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "ICI's PWG Comment Defends MMFs; Crane Celebrates 15th," which excerpts from ICI's comment letter to the SEC; "Big Fund Companies Respond to SEC, PWG Report Reforms," which highlights comment letters from the largest money fund complexes; and, "ICI 2021 Fact Book Shows Money Fund Trends in '20," which reviews ICI's annual statistical work. We also sent out our MFI XLS spreadsheet Friday a.m., and updated our Money Fund Wisdom database query system with 4/30/21 data. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our May Money Fund Portfolio Holdings are scheduled to ship on Tuesday, May 11, and our May Bond Fund Intelligence is scheduled to go out Friday, May 14.

MFI's lead article says, "The big news last month was the submission of comment letters to the SEC ahead of potential changes to money fund regulations. We quote from mutual fund trade association, the Investment Company Institute, who writes, 'Money market funds did not cause the stresses in the short-term funding markets last March. US public institutional and retail prime money market funds accounted for just 19% of the reduction in financial and nonfinancial commercial paper outstanding during the week-ended March 18.... Other market participants accounted for 81% of the decline.... In addition, even at the height of the liquidity crisis, money market funds, including institutional prime money market funds, still had liquidity to meet new redemptions if they had meaningful opportunity to use part of their 30% weekly liquid asset buffers.'"

The ICI continues, "To the extent policymakers seek to mitigate the possibility of future distress in the short-term funding markets, they should prioritize the examination of the activities and behavior of all market participants. Only by doing so will policymakers make progress toward their goal of making the financial system more resilient in the face of a liquidity shock of the nature experienced in March 2020."

Our second article reads, "Following the April 12 deadline, we've been detailing comment letters to the SEC in response to its 'Request for Comment on Potential Money Market Fund Reform Measures in President's Working Group Report.' Below we highlight excerpts of the letters submitted by the largest money fund complexes. (Note: For more, please join us for our webinar, 'Handicapping Money Fund Reforms,' Thursday, May 20 from 2-3pmET.)"

The piece continues, "Fidelity Investments explains, 'While we view the PWG Report as a productive first step in considering potential reform measures, we encourage the SEC to now narrow the range of options under consideration by eliminating those options that have no nexus to the events of 2020 and therefore would not achieve any of the goals for reform stated in the PWG Report. The details of any measures that the SEC wishes to pursue further remain to be considered and, as such, we anticipate having more viewpoints to offer once more of these details are made public."

The "ICI Fact Book" article tells readers, "ICI's new '2021 Investment Company Fact Book' looks at the crazy events of 2020 and the huge inflows into Government money market funds. Overall, money funds assets were $4.333 trillion at year-end 2020, making up 18.1% of the $23.9 trillion in overall mutual fund assets. Retail investors held $1.529 trillion, while institutional investors held $2.804 trillion."

ICI tells us, "In 2020, money market funds received $691 billion in net new cash flows, up from $553 billion in 2019.... Government money market funds received substantial inflows ($835 billion) while prime money market funds and tax-exempt money market funds had outflows of $111 billion and $33 billion, respectively."

MFI also includes the News piece, "MMF Assets Stay Strong in April." It says, "Crane's MFI shows assets rising $62.2 in April to $4.991 trillion, but ICI's weekly "Money Market Fund Assets" report shows MMFs falling $​17.2 billion to $4.512 trillion in the latest week."

An additional News brief, "Powell Hits MMFs on 60 Minutes," tells us, "Federal Reserve Chair Jerome Powell discussed money funds during a recent '60 Minutes.' He comments, "Most parts of the financial system made it through quite a stress test last year, [but] some parts of the financial system had to be bailed out again, places like money market funds ... where we had to step in again and provide liquidity.... There's a structural issue and we know this, and it really is time to address it decisively."

Our May MFI XLS, with April 30 data, shows total assets increased $62.2 billion in April to $4.991 trillion, after jumping $151.0 billion in March, rising $30.8 billion in February and $5.6 billion in January. Assets decreased $6.7 billion in December, $11.7 billion in November, $46.8 billion in October, $121.2 billion in September, $42.3 billion in August, $44.2 billion in July and $113.0 billion in June. Our broad Crane Money Fund Average 7-Day Yield was unchanged at 0.02%, our Crane 100 Money Fund Index (the 100 largest taxable funds) also remained flat at 0.02%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both stand at 0.10%. Charged Expenses averaged 0.08% for the Crane MFA and 0.08% for the Crane 100. (We'll revise expenses on Monday once we upload the SEC's Form N-MFP data for 4/30.) The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 40 (down two days from the previous month) and 42 days (down two days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)