Sep 09

 

The September issue of our flagship Money Fund Intelligence newsletter, which will be sent out to subscribers Monday morning, features the articles: "SSGA, Columbia Stick with Prime Inst MMFs; Changes," which breaks down the latest news in the Prime Inst space; "MMFs Hit Record $​6.​68 Trillion; Falling Rates Driving Inflows," which covers the recent (​and pending) asset surge; and, "More Scrutiny on Sweeps; Investment News, UBS," which follows the most recent news on brokerage sweeps. We will also send out our MFI XLS spreadsheet Monday a.​m., and we'​ve updated our Money Fund Wisdom database with 8/​31/​24 data. Our Sept. Money Fund Portfolio Holdings are scheduled to ship on Wednesday, September 11, and our Sept. Bond Fund Intelligence is scheduled to go out on Monday, September 16. (Note: We'​re still taking registrations for our upcoming European Money Fund Symposium, which will be held Sept. 19-​20, 2024 in London, England. See you in London next week!)

MFI'​s "Prime Inst" article says, "State Street Global Advisors (​SSGA) recently confirmed that they'​ll be sticking with their Prime Institutional money fund offering. They published an update titled, 'Money Market Reform 2024,' which reviews the current round of regulatory changes impacting money market mutual funds. It explains, '​During March of 2020 and the onset of the pandemic, there was broader stress in the short‐​term funding markets and significant redemptions of Prime Fund assets. In response, the SEC proposed additional regulations to further strengthen the Institutional Prime Fund space during periods of volatility with the goal to disincentivize any first mover advantage.'"

They continue, "​SSGA writes, 'In October 2024, the final wave of the SEC'​s money market fund reform rule changes will take effect, marking the most substantial shift since the 2016 reforms. These changes are set to redefine the landscape of Institutional Prime Money Market funds. This transition signifies a pivotal moment for the industry, reflecting the evolving regulatory environment and the drive for greater stability and transparency in the financial markets.'"

We write in our MMFs Hit Record $​6.​68 Tril.; Falling Rates Driving Inflows article, "Crane Data'​s Money Fund Intelligence Daily series shows that money fund assets have surged by $​66.​9 billion in the first 5 days of September (​through 9/​5) to a record $​6.​682 trillion. According to our monthly MFI XLS, assets rose by $​105.​6 billion in August (​to a record $​6.​620 trillion), $​16.​6 billion in July, $​15.​​7 billion in June and $​91.​4 billion in May, but they fell $​15.​8 billion in April and $​68.​8 billion in March."

It tells us, "Everyone within the money fund space knows that assets will jump following rate cuts (​though people outside apparently believe the opposite). But the question is by how much? We looked at Institutional money fund assets on a monthly basis compared to the Fed funds effective rate going back to 1990. Money fund assets increased by an average of 3.​79% a month during months with interest rate cuts, which would push assets up a massive $​253.​2 billion in September. (​We of course could already be seeing some of these flows since direct market rates have already begun falling.)"

Our "Sweeps" piece says, "Brokerage sweep accounts using low‐​yielding bank deposit options continue to attract the interest of regulators, lawyers and the financial press. A new posting on the website JDSupra from lawyers at Katten, Muchin, Rosenman, titled, 'SEC Scrutiny into Cash Sweep Programs: What Investment Advisers Need to Know,' explains, 'In recent years, the `​US Securities and Exchange Commission (​SEC) has initiated several probes into how advisory firms manage their cash sweep programs.... While broker‐​dealers also provide cash sweep programs, the SEC probes have been limited to an investment advisor'​s use of cash sweep accounts and potential breaches of an advisor'​s fiduciary duty to its managed accounts.'"

The piece states, "​It continues, '[​T]​he SEC also took a deep interest in disclosures and conflicts related to cash sweep arrangements, with a particular focus on the potential for breaches of fiduciary duties, undisclosed conflicts, and revenue‐​sharing payments received in connection with cash sweep programs. In recent weeks, there have been reports of ongoing probes by the SEC into how advisory firms are managing their bank deposit sweep programs.'"

MFI also includes the News brief, "Cash Investors Digging In. Reuters writes 'Cash‐​loving investors dig in even as US rate cuts threaten payouts,' which tells us, 'A golden era for cash may be winding down as the Federal Reserve gets ready to cut interest rates. Many fans of the investment class are staying put anyway. Assets in U.​S. money markets hit a record $​6.​24 trillion this month, data from the Investment Company Institute showed on Aug. 21, even as markets became increasingly confident that the Fed was gearing up to lower rates.'"

Another News brief, "Barron'​s Writes 'JPMorgan Is Latest Brokerage Hit With Cash‐​Sweep Lawsuit.' They state, 'JPMorgan Chase and its subsidiary J.​P. Morgan Securities are the latest targets of a proposed class‐​action lawsuit involving their interest payments on clients' uninvested cash.'"

A third News brief, "Dreyfus NY Muni MMF Liquidating," tells readers, "​A Prospectus Supplement filing tells us, '​The Board of Trustees of General New York Municipal Money Market Fund has approved the liquidation of Dreyfus New York Municipal Money Market Fund ... effective on or about October 28, 2024.' See also our Jan. 26, 2024 News, 'More Muni MMF Liquidations.'"

A sidebar, "'T‐​Bill and Chill' Still Cool," says, "Bloomberg writes 'T‐​Bill and Chill' Is a Hard Habit for Investors to Break,' which is more about money market funds and cash investing than T‐​bills. They tell us, 'It'​s been the ultimate no‐​brainer for more than a year: Park your money in super‐​safe Treasury bills, earn yields of more than 5%, rinse and repeat.... Even now, with Federal Reserve officials poised to ease benchmark interest rates from a two‐​decade high -- a move that would instantly push down yields on bills and other short‐​term debt -- money‐​market funds are thriving. They raked in $​106 billion this month alone and their balances, at $​6.​24 trillion, have never been higher.'"

Our September MFI XLS, with Aug. 31 data, shows total assets increased $​105.​6 billion to $​6.​620 trillion, after increasing $​19.​7 billion in July, $​11.​8 billion in June, $​79.​7 billion in May, decreasing $​17.​6 billion in April, $​66.​7 billion in March, increasing $​50.​0 billion in February, $​87.​0 billion in January, $​24.​5 billion in December and $​219.​8 billion in November. Assets decreased $​39.​3 billion in October, but increased $​77.​8 billion in September.

Our broad Crane Money Fund Average 7-​Day Yield was down 3 bps at 4.​99%, and our Crane 100 Money Fund Index (​the 100 largest taxable funds) was also down 3 bps at 5.​10% in August. On a Gross Yield Basis (​7-​Day) (​before expenses are taken out), the Crane MFA and the Crane 100 averaged 5.​36% and 5.​37%. Charged Expenses averaged 0.​37% and 0.​27% for the Crane MFA and the Crane 100. (​We'​ll revise expenses once we upload the SEC'​s Form N-​MFP data for 8/​31/​24 on Tuesday, 9/​10.) The average WAM (​weighted average maturity) for the Crane MFA was 33 days (​down 1 bp) and the Crane 100 WAM was unchanged from previous month at 33 days. (​See our Crane Index or craneindexes.​xlsx history file for more on our averages.)

Aug 12

 

Crane Data'​s August Money Fund Portfolio Holdings, with data as of July 31, 2024, show that Other, Treasuries and Agencies jumped while, Repo holdings dropped last month. Money market securities held by Taxable U.​S. money funds (​tracked by Crane Data) increased by $​90.​4 billion to $​6.​437 trillion in July, after decreasing by $​0.​4 billion in June, increasing $​105.​6 billion in May and decreasing $​61.​4 billion in April. Repo decreased $​21.​5 billion in July after increasing $​99.​3 billion in June. It remains the largest portfolio segment. Treasuries increased by $​24.​3 billion, staying at the No. 2 spot. (​The U.​S. Treasury continues to be the single largest Issuer to MMFs. `​In July, U.​S. Treasury holdings increased to $​2.​453 trillion, while NY Fed Repo decreased by $​234.​3 billion to $​380.​6 billion.) Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/​Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: Register soon for our European Money Fund Symposium, which is Sept. 19-​20, 2024 in London, England. Our discounted hotel rate expires on Wednesday!)

Among taxable money funds, Repurchase Agreements (​repo) decreased $​21.​5 billion (-​0.​8%) to $​2.​559 trillion, or 39.​8% of holdings, in July, after increasing $​99.​3 billion in June, $​26.​8 billion in May, and $​94.​9 billion in April. Treasury securities increased $​24.​3 billion (​1.​0%) to $​2.​453 trillion, or 38.​1% of holdings, after decreasing $​17.​3 billion in June, increasing $​51.​0 billion in May and decreasing $​144.​9 billion in April. Government Agency Debt was up $​22.​9 billion, or 3.​2%, to $​747.​0 billion, or 11.​6% of holdings. Agencies decreased $​16.​9 billion in June, increased $​19.​9 billion in May and $​3.​8 billion in April, but decreased $​14.​2 billion in March and $​6.​7 billion in February. Repo, Treasuries and Agency holdings now total $​5.​758 trillion, representing a massive 89.​5% of all taxable holdings.

Money fund holdings of Other (​Time Deposits), CP and CDs increased in July. Commercial Paper (​CP) increased $​8.​2 billion (​3.​1%) to $​276.​7 billion, or 4.​3% of holdings. CP holdings decreased $​2.​0 billion in June, $​2.​8 billion in May and $​30.​7 billion in April. Certificates of Deposit (​CDs) increased $​6.​9 billion (​3.​6%) to $​200.​7 billion, or 3.​1% of taxable assets. CDs decreased $​5.​6 billion in June, $​15.​8 billion in May and $​2.​2 billion in April. Other holdings, primarily Time Deposits, increased $​49.​0 billion (​35.​2%) to $​188.​2 billion, or 2.​9% of holdings, after decreasing $​57.​5 billion in June and increasing $​26.​2 billion. VRDNs increased to $​12.​4 billion, or 0.​2% of assets. (​Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Monday around noon.)

Prime money fund assets tracked by Crane Data increased to $​1.​171 trillion, or 18.​2% of taxable money funds' $​6.​437 trillion total. Among Prime money funds, CDs represent 17.​1% (​up from 16.​6% a month ago), while Commercial Paper accounted for 23.​6% (​up from 23.​0% in June). The CP totals are comprised of: Financial Company CP, which makes up 15.​9% of total holdings, Asset-​Backed CP, which accounts for 6.​3%, and Non-​Financial Company CP, which makes up 1.​4%. Prime funds also hold 0.​4% in US Govt Agency Debt, 4.​5% in US Treasury Debt, 20.​9% in US Treasury Repo, 0.​8% in Other Instruments, 13.​5% in Non-​Negotiable Time Deposits, 7.​6% in Other Repo, 10.​3% in US Government Agency Repo and 0.​8% in VRDNs.

Government money fund portfolios totaled $​3.​503 trillion (​54.​4% of all MMF assets), up from $​3.​426 trillion in June, while Treasury money fund assets totaled another $​1.​762 trillion (​27.​4%), up from $​1.​754 trillion the prior month. Government money fund portfolios were made up of 21.​2% US Govt Agency Debt, 17.​0% US Government Agency Repo, 31.​7% US Treasury Debt, 29.​6% in US Treasury Repo, 0.​4% in Other Instruments. Treasury money funds were comprised of 73.​2% US Treasury Debt and 26.​5% in US Treasury Repo. Government and Treasury funds combined now total $​5.​265 trillion, or 81.​8% of all taxable money fund assets.

European-​affiliated holdings (​including repo) increased by $​140.​9 billion in July to $​798.​0 billion; their share of holdings rose to 12.​4% from last month'​s 10.​4%. Eurozone-​affiliated holdings increased to $​510.​9 billion from last month'​s $​438.​2 billion; they account for 7.​9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $​336.​1 billion (​5.​2% of the total) from last month'​s $​293.​1 billion. Americas related holdings fell to $​5.​293 trillion from last month'​s $​5.​391 trillion, and now represent 82.​2% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (​down $​39.​2 billion, or -​2.​2%, to $​1.​747 trillion, or 27.​1% of assets); US Government Agency Repurchase Agreements (​up $​17.​5 billion, or 2.​5%, to $​717.​5 billion, or 11.​1% of total holdings), and Other Repurchase Agreements (​up $​0.​3 billion, or 0.​3%, from last month to $​94.​0 billion, or 1.​5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (​up $​8.​2 billion to $​186.​0 billion, or 2.​9% of assets), Asset Backed Commercial Paper (​up $​2.​0 billion to $​74.​2 billion, or 1.​2%), and Non-​Financial Company Commercial Paper (​down $​1.​9 billion to $​16.​6 billion, or 0.​3%).

The 20 largest Issuers to taxable money market funds as of July 31, 2024, include: the US Treasury ($​2.​453T, 38.​1%), Fixed Income Clearing Corp ($​646.​3B, 10.​0%), Federal Home Loan Bank ($​598.​6B, 9.​3%), the Federal Reserve Bank of New York ($​380.​6B, or 5.​9%), JP Morgan ($​201.​1B, 3.​1%), Citi ($​162.​4B, 2.​5%), BNP Paribas ($​144.​2B, 2.​2%), RBC ($​140.​8B, 2.​2%), Federal Farm Credit Bank ($​133.​2B, 2.​1%), Barclays PLC ($​126.​2B, 2.​0%), Bank of America ($​125.​1B, 1.​9%), Goldman Sachs ($​110.​2B, 1.​7%), Mitsubishi UFJ Financial Group Inc ($​83.​3B, 1.​3%), Credit Agricole ($​72.​4B, 1.​1%), Wells Fargo ($​67.​9B, 1.​1%), Sumitomo Mitsui Banking Corp ($​65.​5B, 1.​0%), Mizuho Corporate Bank Ltd ($​57.​4B, 0.​9%), Societe Generale ($​56.​7B, 0.​9%), Toronto-​Dominion Bank ($​54.​1B, 0.​8%) and Canadian Imperial Bank of Commerce ($​54.​1B, 0.​8%).

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 Corp ($​630.​3B, 24.​6%), the Federal Reserve Bank of New York ($​380.​6B, 14.​9%), JP Morgan ($​192.​7B, 7.​5%), Citi ($​150.​6B, 5.​9%), BNP Paribas ($​133.​2B, 5.​2%), RBC ($​111.​8B, 4.​4%), Barclays PLC ($​111.​7B, 4.​4%), Goldman Sachs ($​110.​0B, 4.​3%), Bank of America ($​104.​7B, 4,​1%) and Wells Fargo ($​63.​1B, 2.​5%). The largest users of the $​380.​6 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($​71.​8B), Fidelity Cash Central Fund ($​46.​5B), Vanguard Cash Reserves Federal MM ($​22.​7B), Fidelity Govt Money Market ($​20.​2B), Fidelity Sec Lending Cash Central Fund ($​20.​0B), Fidelity Inv MM: MM Port ($​17.​6B), Fidelity Inv MM: Treas Port ($​15.​9B), Fidelity Money Market ($​15.​4B), American Funds Central Cash ($​14.​5B) and Vanguard Market Liquidity Fund ($​13.​6B).

The 10 largest issuers of "​credit" -- CDs, CP and Other securities (​including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc ($​33.​4B, 5.​6%), RBC ($​29.​1B, 4.​8%), Mizuho Corporate Bank Ltd ($​28.​9B, 4.​8%), Toronto-​Dominion Bank ($​28.​4B, 4.​7%), Credit Agricole ($​23.​2B, 3.​9%), Skandinaviska Enskilda Banken AB ($​22.​5B, 3.​7%), Sumitomo Mitsui Trust Bank ($​21.​6B, 3.​6%), Canadian Imperial Bank of Commerce ($​20.​8B, 3.​5%), Bank of America ($​20.​4B, 3.​4%) and ING Bank ($​19.​8B, 3.​3%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($​23.​9B, 11.​9%), Credit Agricole ($​13.​9B, 6.​9%), Bank of America ($​13.​5B, 6.​7%), Sumitomo Mitsui Banking Corp ($​12.​8B, 6.​4%), Sumitomo Mitsui Trust Bank ($​12.​2B, 6.​1%), Toronto-​Dominion Bank ($​10.​6B, 5.​3%), Canadian Imperial Bank of Commerce ($​8.​4B, 4.​2%), Mitsubishi UFJ Trust and Banking Corporation ($​8.​2B, 4.​1%), Mizuho Corporate Bank Ltd ($​7.​2B, 3.​6%) and Bank of Montreal ($​6.​7B, 3.​3%).

The 10 largest CP issuers (​we include affiliated ABCP programs) include: Toronto-​Dominion Bank ($​17.​7B, 7.​0%), RBC ($​16.​8B, 6.​6%), Barclays PLC ($​12.​4B, 4.​9%), Bank of Montreal ($​11.​0B, 4.​3%), BPCE SA ($​10.​4B, 4.​1%), BSN Holdings Ltd ($​9.​4B, 3.​7%), Sumitomo Mitsui Trust Bank ($​9.​3B, 3.​7%), Bank of Nova Scotia ($​8.​6B, 3.​4%), Canadian Imperial Bank of Commerce ($​8.​5B, 3.​3%) and JP Morgan ($​8.​4B, 3.​3%).

The largest increases among Issuers include: Fixed Income Clearing Corp (​up $​110.​5B to $​646.​3B), Barclays PLC (​up $​45.​0B to $​126.​2B), Citi (​up $​26.​9B to $​162.​4B), Credit Agricole (​up $​25.​1B to $​72.​4B), US Treasury (​up $​24.​3B to $​2.​453T), Mitsubishi UFJ Financial Group Inc (​up $​18.​8B to $​83.​3B), Societe Generale (​up $​16.​2B to $​56.​7B), Federal Home Loan Bank (​up $​15.​5B to $​598.​6B), Mizuho Corporate Bank Ltd (​up $​13.​6B to $​57.​4B) and Bank of America (​up $​10.​1B to $​125.​1B).

The largest decreases among Issuers of money market securities (​including Repo) in July were shown by: the Federal Reserve Bank of New York (​down $​234.​3B to $​380.​6B), RBC (​down $​31.​4B to $​140.​8B), Wells Fargo (​down $​12.​5B to $​67.​9B), JP Morgan (​down $​8.​9B to $​201.​1B), Sumitomo Mitsui Banking Corp (​down $​5.​2B to $​65.​5B), Bank of Nova Scotia (​down $​2.​4B to $​27.​9B), BPCE SA (​down $​1.​2B to $​10.​4B), HSBC (​down $​0.​8B to $​32.​7B), Canadian Imperial Bank of Commerce (​down $​0.​7B to $​54.​1B) and Norinchukin Bank (​down $​0.​7B to $​7.​3B).

The United States remained the largest segment of country-​affiliations; it represents 77.​0% of holdings, or $​4.​956 trillion. Canada (​5.​2%, $​336.​3B) was in second place, while France (​5.​0%, $​322.​4B) was No. 3. Japan (​4.​7%, $​300.​5B) occupied fourth place. The United Kingdom (​3.​2%, $​204.​4B) remained in fifth place. Netherlands (​1.​0%, $​61.​3B) was in sixth place, followed by Australia (​0.​8%, $​49.​1B), Germany (​0.​8%, $​48.​8B), Sweden (​0.​8%, $​48.​0B), and Spain (​0.​4%, $​26.​4B). (​Note: Crane Data attributes Treasury and Government repo to the dealer'​s parent country of origin, though money funds themselves "​look-​through" and consider these U.​S. government securities. All money market securities must be U.​S. dollar-​denominated.)

As of July 31, 2024, Taxable money funds held 50.​3% (​up from 48.​6%) of their assets in securities maturing Overnight, and another 10.​1% maturing in 2-​7 days (​down from 12.​2%). Thus, 60.​4% in total matures in 1-​7 days. Another 11.​2% matures in 8-​30 days, while 9.​0% matures in 31-​60 days. Note that over three-​quarters, or 80.​6% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-​90 days, holds 5.​9% of taxable securities, while 9.​6% matures in 91-​180 days, and just 3.​9% matures beyond 181 days. (​Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Jun 07

 

The June issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Friday morning, features the articles: "Allspring, UBS, Dreyfus, DWS All File Plans to Leave Prime," which covers the continued exodus from Prime Institutional MMFs; "ICI 2024 Fact Book Shows Money Fund Trends in '​23," which quotes from ICI'​s annual compilation of fund statistics; and, "Money Funds Largest Buyers of T-​Bills Says JPM; Berkshire," which looks at holders of Treasuries. We also sent out our MFI XLS spreadsheet Friday a.​m., and we'​ve updated our Money Fund Wisdom database with 5/​31/​24 data. Our June Money Fund Portfolio Holdings are scheduled to ship on Tuesday, June 11, and our June Bond Fund Intelligence is scheduled to go out on Monday, June 17. (Note: Register ASAP for our Money Fund Symposium next week in Pittsburgh, June 12-​14. We hope you'​ll join us!)

MFI'​s "Prime Exit" article says, “Another batch of Prime Institutional money market funds filed to liquidate or convert to Government in May, bringing the total of Prime exits to 10 to date. Allspring, formerly the Wells Fargo Funds, is the latest to announce an exit ahead of the SEC'​s pending emergency mandatory liquidity fee rules (​which go into effect October 2). A Product Alert titled, 'Allspring to Merge Two Money Market Funds' tells us, 'The Allspring Funds Board of Trustees has approved the merger of the [$​3.​1 billion] Allspring Heritage Money Market Fund into the Allspring Government Money Market Fund. The merger is expected to take place at the close of business on or around August 16, 2024."

The piece continues, "​It adds, '​Note that the Service Class of the Heritage Money Market Fund will merge into the Administrator Class of the Government Money Market Fund, and the Administrator Class of the Heritage Money Market Fund will merge into the Institutional Class of the Government Money Market Fund.' (​See the Prospectus Supplement for the Allspring Institutional Money Market Funds.)"

We write in our ICI 2024 Fact Book article, “​The Investment Company Institute released its '2024 Investment Company Fact Book’ an annual compilation of statistics and commentary on the mutual fund space. Subtitled, 'A Review of Trends and Activities in the Investment Company Industry,' the latest edition tells us, 'Worldwide net sales of money market funds totaled $​1.​5 trillion in 2023, up from $​161 billion in 2022 (​Figure 1.​7). The increase in worldwide demand for money market funds was spread across all geographical regions but was primarily driven by a substantial increase in net inflows in the United States. Investor demand for money market funds in the United States increased from $​1 billion in 2022 to $​1.​1 trillion in 2023. In the Asia-​Pacific region, money market funds experienced net inflows of $​136 billion in 2023, about even with the net inflows of $​132 billion in 2022.'"

ICI continues, "​It explains, '​Investors use money market funds because they are professionally managed, tightly regulated vehicles with holdings limited to high-​quality, short-​term debt instruments <​b:>`​_. As such, they are highly liquid, attractive, cash-​like alternatives to bank deposits. [​D]​emand for money market funds is dependent upon their yields and interest rate risk exposure relative to other high-​quality fixed-​income securities.'"

Our "Treasury Bills" piece says, "​J.​P. Morgan'​s most recent '​Short-​Term Market Outlook And Strategy' writes that, 'Yes, T-​bill demand should remain robust.' They comment, '​While the outcome of the upcoming November election remains highly uncertain, the one thing we know is that the US fiscal deficit will remain large in the coming years, regardless of who wins. As our Treasury strategists note, given Treasury'​s current net coupon borrowing capacity and their estimates of the budget deficit forecasts over the medium term, Treasury will likely remain underfunded in FY26 and beyond.... Reading between the lines, it appears there is a possibility that the T-​bill share of the market could migrate above the current recommended range over time.'"

It tells us, "​The piece continues, '​If so, we believe the markets will have no issues digesting the additional T-​bill supply, with demand remaining robust. Indeed, even as T-​bill outstandings have grown by $​2tn over the past year, the impact on T-​bill/​SOFR spreads has been marginal thanks to the available pool of liquidity at the ON RRP, underscoring the sheer amount of demand for T-​bills in the current market environment.... Perhaps more importantly, when we look at the buyer base of the T-​bill market, we see the demand from several key buyers remaining substantial, if not expanding, in the near term.'"

MFI also includes the News brief, "MMF Assets Rebound in May." It states, "Money fund assets jumped $​79.​7 billion to $​6.​466 trillion in May (​after falling $​17.​6 billion in April and $​68.​5B in March). Year-​to-​date, MMFs are up by $​147.​3 billion, or 2.​3%. Over 12 months, money funds have risen by $​611.​3 billion, or 10.​4%."

Another News brief, "Citi'​s Williams on Impact from MMF Reforms: No Big Deal; Assets Higher. Citi Research recently published a research piece titled, 'Short-​End Notes Impact from MMF reform and AUM expectations,' which tells us, 'Do not expect a repeat of 2016 this October.' Author Jason Williams writes, 'We'​ve gotten multiple questions on the front-​end impact due to the full implementation of the new money market fund reform, specifically the SEC'​s liquidity fee which is set to turn on in October.'"

A sidebar, "DWS ESG Fund Liquidating," says, "​A Prospectus Supplement filing for the $​505 million DWS ESG Liquidity Fund tells us, 'Upon the recommendation of DWS Investment Management Americas, Inc., the investment advisor for DWS ESG Liquidity Fund, the Board of Trustees of Investors Cash Trust has authorized, on behalf of the fund, the fund'​s termination and liquidation, which will be effective on or about August 14, 2024. Accordingly, the fund will redeem all of its outstanding shares on the Liquidation Date. The liquidation will be effected according to a Plan of Liquidation and Termination. The costs of the liquidation, including the mailing of notification to shareholders, will be borne by the fund but reimbursed by the Advisor, after taking into account applicable contractual expense caps.'"

Our June MFI XLS, with May 31 data, shows total assets increased $​79.​7 billion to $​6.​466 trillion, after decreasing $​17.​6 billion in April, $​66.​7 billion in March, increasing $​50.​0 billion in February, $​87.​0 billion in January, $​24.​5 billion in December and $​219.​8 billion in November. Assets decreased $​39.​3 billion in October, but increased $​77.​8 billion in September, $​104.​2 billion in August, $​21.​0 billion in July and $​20.​3 billion in June.

Our broad Crane Money Fund Average 7-​Day Yield was unchanged at 5.​03%, and our Crane 100 Money Fund Index (​the 100 largest taxable funds) was up 1 bp to 5.​14% in May. On a Gross Yield Basis (​7-​Day) (​before expenses are taken out), the Crane MFA and the Crane 100 averaged 5.​40% and 5.​41%, respectively. Charged Expenses averaged 0.​37% and 0.​27% for the Crane MFA and the Crane 100. (​We'​ll revise expenses on Monday once we upload the SEC'​s Form N-​MFP data for 5/​31/​24.) The average WAM (​weighted average maturity) for the Crane MFA was 34 days (​down 1 bp from previous month) and the Crane 100 WAM was unchanged at 35 days. (​See our Crane Index or craneindexes.​xlsx history file for more on our averages.)

May 10

 

Crane Data'​s May Money Fund Portfolio Holdings, with data as of April 30, 2024, show that Repo holdings jumped while Treasuries plunged and CP fell. Money market securities held by Taxable U.​S. money funds (​tracked by Crane Data) decreased by $​61.​4 billion to $​6.​241 trillion in April, after decreasing $​63.​1 billion in March. Assets increased $​66.​9 in February, $​86.​6 in January, $​51.​1 billion in December and $​244.​0 billion in November. They decreased $​57.​9 billion in October, but increased $​56.​1 in September, $​106.​7 billion in August and $​78.​3 billion in July. Repo continued to bounce back and reclaimed its spot as the largest portfolio segment, increasing $​94.​9 billion, after a steep slide two months prior. Treasuries plummeted by $​144.​9 billion, falling to the No. 2 spot among portfolio segments. The U.​S. Treasury continues to be the single largest Issuer to MMFs. `​In April, U.​S. Treasury holdings fell to $​2.​395 trillion, while FICC Repo jumped $​20.​4 billion to $​512.​3 billion, surpassing the Fed RRP'​s $​508.​0 billion total (​which fell $​28.​8 billion). Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/​Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics.

Among taxable money funds, Repurchase Agreements (​repo) increased $​94.​9 billion (​4.​0%) to $​2.​454 trillion, or 39.​3% of holdings, in April, after increasing $​13.​4 billion in March, decreasing $​137.​6 billion in February, decreasing $​163.​2 billion in January and increasing $​74.​8 billion in December. Treasury securities fell $​144.​9 billion (-​5.​7%) to $​2.​395 trillion, or 38.​4% of holdings, after decreasing $​19.​6 billion in March. Treasuries increased $​206.​2 billion in February, $​104.​7 billion in January and $​69.​6 billion in December. Government Agency Debt was up $​3.​8 billion, or 0.​5%, to $​721.​0 billion, or 11.​6% of holdings. Agencies decreased $​14.​2 billion in March and $​6.​7 billion in February. They increased $​43.​9 billion in January, but decreased $​21.​8 billion in December. Repo, Treasuries and Agency holdings now total $​5.​570 trillion, representing a massive 89.​2% of all taxable holdings.

Money fund holdings of CP and CDs decreased in April, while Time Deposits rose. Commercial Paper (​CP) decreased $​30.​7 billion (-​10.​1%) to $​273.​3 billion, or 4.​4% of holdings. CP holdings decreased $​3.​9 billion in March and $​2.​1 billion in February, increased $​18.​6 billion in January and decreased $​14.​8 billion in December. Certificates of Deposit (​CDs) decreased $​2.​2 billion (-​1.​0%) to $​215.​2 billion, or 3.​4% of taxable assets. CDs decreased $​18.​7 billion in March, increased $​0.​8 billion in February and $​19.​5 billion in January, and decreased $​5.​4 billion in December. Other holdings, primarily Time Deposits, increased $​17.​7 billion (​11.​6%) to $​170.​5 billion, or 2.​7% of holdings, after decreasing $​20.​3 billion in March, increasing $​5.​7 billion in February and $​63.​4 billion in January, and decreasing $​52.​1 billion in December. VRDNs rose to $​12.​2 billion, or 0.​2% of assets. (​Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Friday around noon.)

Prime money fund assets tracked by Crane Data fell to $​1.​363 trillion, or 21.​8% of taxable money funds' $​6.​241 trillion total. Among Prime money funds, CDs represent 15.​8% (​up from 15.​7% a month ago), while Commercial Paper accounted for 20.​1% (​down from 21.​8% in March). The CP totals are comprised of: Financial Company CP, which makes up 13.​1% of total holdings, Asset-​Backed CP, which accounts for 5.​2%, and Non-​Financial Company CP, which makes up 1.​8%. Prime funds also hold 3.​6% in US Govt Agency Debt, 16.​4% in US Treasury Debt, 17.​4% in US Treasury Repo, 0.​3% in Other Instruments, 10.​5% in Non-​Negotiable Time Deposits, 6.​2% in Other Repo, 7.​5% in US Government Agency Repo and 0.​7% in VRDNs.

Government money fund portfolios totaled $​3.​180 trillion (​51.​0% of all MMF assets), down from $​3.​190 trillion in March, while Treasury money fund assets totaled another $​1.​698 trillion (​27.​2%), down from $​1.​724 trillion the prior month. Government money fund portfolios were made up of 21.​1% US Govt Agency Debt, 18.​8% US Government Agency Repo, 29.​8% US Treasury Debt, 30.​1% in US Treasury Repo, 0.​0% in Other Instruments. Treasury money funds were comprised of 72.​1% US Treasury Debt and 27.​9% in US Treasury Repo. Government and Treasury funds combined now total $​4.​878 trillion, or 78.​2% of all taxable money fund assets.

European-​affiliated holdings (​including repo) increased by $​101.​9 billion in April to $​778.​9 billion; their share of holdings rose to 12.​4% from last month'​s 10.​7%. Eurozone-​affiliated holdings increased to $​499.​5 billion from last month'​s $​453.​7 billion; they account for 7.​9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $​299.​7 billion (​4.​8% of the total) from last month'​s $​281.​0 billion. Americas related holdings fell to $​5.​157 trillion from last month'​s $​5.​336 trillion, and now represent 81.​8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (​up $​79.​0 billion, or 5.​0%, to $​1.​668 trillion, or 26.​7% of assets); US Government Agency Repurchase Agreements (​up $​11.​9 billion, or 1.​7%, to $​701.​0 billion, or 11.​2% of total holdings), and Other Repurchase Agreements (​up $​3.​9 billion, or 4.​9%, from last month to $​84.​7 billion, or 1.​4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (​down $​18.​4 billion to $​178.​0 billion, or 2.​9% of assets), Asset Backed Commercial Paper (​down $​5.​6 billion to $​71.​2 billion, or 1.​1%), and Non-​Financial Company Commercial Paper (​down $​6.​7 billion to $​24.​1 billion, or 0.​4%).

The 20 largest Issuers to taxable money market funds as of April 30, 2024, include: the US Treasury ($​2.​395T, 38.​4%), Federal Home Loan Bank ($​590.​3B, 9.​5%), Fixed Income Clearing Corp ($​512.​3B, 8.​2%), the Federal Reserve Bank of New York ($​508.​0B, or 8.​1%), JP Morgan ($​171.​7B, 2.​8%), Citi ($​143.​3B, 2.​3%), BNP Paribas ($​140.​4B, 2.​2%), RBC ($​138.​6B, 2.​2%), Federal Farm Credit Bank ($​124.​7B, 2.​0%), Bank of America ($​123.​9B, 2.​0%), Barclays PLC ($​119.​7B, 1.​9%), Goldman Sachs ($​109.​3B, 1.​8%), Credit Agricole ($​70.​3B, 1.​1%), Wells Fargo ($​68.​9B, 1.​1%), Sumitomo Mitsui Banking Corp ($​64.​1B, 1.​0%), Mitsubishi UFJ Financial Group Inc ($​63.​9B, 1.​0%), Societe Generale ($​55.​7B, 0.​9%), Mizuho Corporate Bank Ltd ($​52.​5B, 0.​8%), Toronto-​Dominion Bank ($​51.​6B, 0.​8%) and Canadian Imperial Bank of Commerce ($​48.​8B, 0.​8%).

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 Corp ($​512.​3B, 20.​9%), the Federal Reserve Bank of New York ($​508.​0B, 20.​7%), JP Morgan ($​162.​2B, 6.​6%), Citi ($​131.​2B, 5.​3%), BNP Paribas ($​127.​7B, 5.​2%), RBC ($​111.​4B, 4.​5%), Goldman Sachs ($​108.​7B, 4.​4%), Bank of America ($​99.​6B, 4.​1%), Barclays ($​98.​7B, 4.​0%) and Wells Fargo ($​58.​5B, 2.​4%). The largest users of the $​508.​0 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($​95.​6B), Vanguard Cash Reserves Federal MM ($​34.​0B), Fidelity Cash Central Fund ($​32.​6B), Goldman Sachs FS Govt ($​32.​0B), Fidelity Govt Money Market ($​26.​7B), Northern Instit Treasury MMkt ($​24.​4B), Schwab Value Adv MF ($​21.​7B), Federated Hermes Govt Oblig ($​20.​0B), Fidelity Sec Lending Cash Central Fund ($​18.​2B) and Fidelity Inv MM: Treas Port ($​16.​7B).

The 10 largest issuers of "​credit" -- CDs, CP and Other securities (​including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($​32.​0B, 5.​4%), RBC ($​27.​3B, 4.​6%), Toronto-​Dominion Bank ($​26.​0B, 4.​4%), Bank of America ($​24.​3B, 4.​1%), Credit Agricole ($​23.​2B, 3.​9%), DNB ASA ($​22.​3B, 3.​7%), Barclays PLC ($​21.​0B, 3.​5%), Bank of Montreal ($​19.​9B, 3.​3%), Mitsubishi UFJ Financial Group Inc ($​18.​7B, 3.​1%) and Canadian Imperial Bank of Commerce ($​18.​0B, 3.​0%).

The 10 largest CD issuers include: Bank of America ($​16.​4B, 7.​6%), Sumitomo Mitsui Banking Corp ($​14.​8B, 6.​9%), Credit Agricole ($​13.​7B, 6.​3%), Mizuho Corporate Bank Ltd ($​13.​4B, 6.​2%), Toronto-​Dominion Bank ($​12.​3B, 5.​7%), Sumitomo Mitsui Trust Bank ($​10.​5B, 4.​9%), Mitsubishi UFJ Financial Group Inc ($​10.​5B, 4.​9%), Wells Fargo ($​10.​4B, 4.​8%), Canadian Imperial Bank of Commerce ($​9.​2B, 4.​3%) and Mitsubishi UFJ Trust and Banking Corporation ($​8.​7B, 4.​1%).

The 10 largest CP issuers (​we include affiliated ABCP programs) include: RBC ($​16.​8B, 6.​8%), Toronto-​Dominion Bank ($​13.​6B, 5.​5%), Bank of Montreal ($​11.​9B, 4.​8%), Barclays PLC ($​11.​4B, 4.​6%), JP Morgan ($​9.​5B, 3.​9%), BPCE SA ($​9.​4B, 3.​8%), Mitsubishi UFJ Financial Group Inc ($​8.​1B, 3.​3%), Bank of Nova Scotia ($​7.​7B, 3.​1%), Landesbank Baden-​Wurttemberg ($​7.​6B, 3.​1%) and BSN Holdings Ltd ($​7.​0B, 2.​9%).

The largest increases among Issuers include: Barclays PLC (​up $​39.​2B to $​119.​7B), Citi (​up $​29.​1B to $​143.​3B), JP Morgan (​up $​22.​7B to $​171.​7B), Credit Agricole (​up $​22.​5B to $​70.​3B), Fixed Income Clearing Corp (​up $​20.​4B to $​512.​3B), Societe Generale (​up $​12.​6B to $​55.​7B), Federal Home Loan Bank (​up $​11.​8B to $​590.​3B), Bank of America (​up $​10.​1B to $​123.​9B), Mizuho Corporate Bank Ltd (​up $​9.​5B to $​52.​5B) and Erste Group Bank AG (​up $​8.​5B to $​9.​0B).

The largest decreases among Issuers of money market securities (​including Repo) in April were shown by: US Treasury (​down $​144.​9B to $​2.​395T), RBC (​down $​66.​1B to $​138.​6B), the Federal Reserve Bank of New York (​down $​28.​8B to $​508.​0B), Goldman Sachs (​down $​5.​3B to $​109.​3B), National Bank of Canada (​down $​4.​8B to $​7.​8B), Bank of Nova Scotia (​down $​4.​7B to $​26.​4B), Canadian Imperial Bank of Commerce (​down $​4.​5B to $​48.​8B), Mitsubishi UFJ Financial Group Inc (​down $​4.​2B to $​63.​9B), Rabobank (​down $​2.​5B to $​12.​9B) and HSBC (​down $​2.​3B to $​33.​4B).

The United States remained the largest segment of country-​affiliations; it represents 77.​5% of holdings, or $​4.​835 trillion. Canada (​5.​2%, $​322.​4B) was in second place, while France (​5.​1%, $​315.​9B) was No. 3. Japan (​4.​4%, $​272.​3B) occupied fourth place. The United Kingdom (​3.​2%, $​196.​5B) remained in fifth place. Netherlands (​1.​1%, $​65.​6B) was in sixth place, followed by Germany (​0.​9%, $​57.​0B), Sweden (​0.​8%, $​51.​0B), Australia (​0.​6%, $​38.​7B), and Norway (​0.​4%, $​22.​3B). (​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 April 30, 2024, Taxable money funds held 48.​2% (​up from 44.​6%) of their assets in securities maturing Overnight, and another 11.​4% maturing in 2-​7 days (​down from 12.​4%). Thus, 59.​6% in total matures in 1-​7 days. Another 12.​1% matures in 8-​30 days, while 9.​7% matures in 31-​60 days. Note that over three-​quarters, or 81.​3% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-​90 days, holds 5.​4% of taxable securities, while 8.​3% matures in 91-​180 days, and just 5.​0% matures beyond 181 days. (​Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)