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 (Aug. 1, 2020)

Summer Asset Swoon Ending But Totals 1
PM Perspectives: Walczak, Hill & Yi 1
Bank Regulators Getting Jump on Change 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

The content page contains archives and delivery settings for all subscriptions.

Product Summary
Price   $500/yr ( Discount Policy )
News dot dot dot ( Articles )
Ranks dot dot ( All )
Funds dot dot dot ( Profile Info )
Archives dot dot ( Summaries )
Index dot dot dot ( Components )
Next Steps
Subscribe Now »
See a demo issue.
Request a trial issue.
Call 1-508-439-4419 for order or info.

Money Fund Intelligence News

Aug 12
 

Crane Data released its August Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of July 31, 2020, shows an increase in Repo and big drops in Treasuries and Government Agency Debt last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $83.1 billion to $4.879 trillion last month, after decreasing $159.1 billion in June, increasing $31.6 billion in May, increasing a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). 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 $79.9 billion (-3.1%) to $2.464 trillion, or 50.5% of holdings, after increasing $60.8 billion in June, $355.9 billion in May and $795.7 billion in April. Repurchase Agreements (repo) increased by $40.0 billion (4.2%) to $986.7 billion, or 20.2% of holdings, after decreasing $124.3 billion in June, $216.7 billion in May and $238.4 billion in April. Government Agency Debt decreased by $45.1 billion (-5.1%) to $834.1 billion, or 17.1% of holdings, after decreasing $65.2 billion in June, $99.8 billion in May and increasing $6.9 billion in April. Repo, Treasuries and Agencies totaled $4.285 trillion, representing a massive 87.8% of all taxable holdings.

Money funds' holdings of CP and CDs fell in July, while Other (mainly Time Deposits) and VDRNs saw asset increases. Commercial Paper (CP) decreased $10.7 billion (-3.7%) to $276.1 billion, or 5.7% of holdings, after decreasing $6.5 billion in June, increasing $5.2 billion in May and decreasing $11.9 billion in April. Certificates of Deposit (CDs) fell by $12.3 billion (-5.9%) to $195.8 billion, or 4.0% of taxable assets, after decreasing $9.1 billion in June, $7.4 billion in May and increasing $12.6 billion in April. Other holdings, primarily Time Deposits, increased $22.3 billion (28.6%) to $100.3 billion, or 2.1% of holdings, after decreasing by $13.7 billion in June, $5.7 billion in May and $5.7 billion in April. VRDNs increased to $22.0 billion, or 0.5% of assets, from $19.4 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Wednesday.)

Prime money fund assets tracked by Crane Data increased $20.0 billion to $1.134 trillion, or 23.2% of taxable money funds' $4.879 trillion total. Among Prime money funds, CDs represent 17.3% (down from 18.0% a month ago), while Commercial Paper accounted for 24.3% (down from 24.8%). The CP totals are comprised of: Financial Company CP, which makes up 13.6% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 8.1% in US Govt Agency Debt, 28.1% in US Treasury Debt, 3.3% in US Treasury Repo, 0.6% in Other Instruments, 5.3% in Non-Negotiable Time Deposits, 4.2% in Other Repo, 4.7% in US Government Agency Repo and 1.1% in VRDNs.

Government money fund portfolios totaled $2.503 trillion (51.3% of all MMF assets), down $55.0 billion from $2.558 trillion in June, while Treasury money fund assets totaled another $1.243 trillion (25.5%), down from $1.251 trillion the prior month. Government money fund portfolios were made up of 29.6% US Govt Agency Debt, 12.5% US Government Agency Repo, 44.6% US Treasury debt, 12.8% in US Treasury Repo, 0.2% in VRDNs and 0.2% in Investment Company. Treasury money funds were comprised of 82.8% US Treasury Debt and 17.1% in US Treasury Repo. Government and Treasury funds combined now total $3.746 trillion, or 76.8% of all taxable money fund assets.

European-affiliated holdings (including repo) rose by $77.6 billion in July to $624.5 billion; their share of holdings rose to 12.8% from last month's 11.0%. Eurozone-affiliated holdings rose to $424.3 billion from last month's $353.5 billion; they account for 8.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $3.1 billion to $269.4 billion (5.5% of the total). Americas related holdings fell $157 billion to $3.979 trillion and now represent 81.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $48.9 billion, or 9.4%, to $570.7 billion, or 11.7% of assets); US Government Agency Repurchase Agreements (down $8.0 billion, or -2.1%, to $368.1 billion, or 7.5% of total holdings), and Other Repurchase Agreements (down $0.8 billion, or -1.7%, from last month to $47.9 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.4 billion to $154.2 billion, or 3.2% of assets), Asset Backed Commercial Paper (down $3.6 billion to $66.1 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $2.3 billion to $55.7 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of July 31, 2020, include: the US Treasury ($2,464.4 billion, or 50.5%), Federal Home Loan Bank ($510.3B, 10.5%), Federal National Mortgage Association ($121.5B, 2.5%), BNP Paribas ($118.1B, 2.4%), Fixed Income Clearing Co ($105.7B, 2.2%), Federal Farm Credit Bank ($101.3B, 2.1%), RBC ($101.2B, 2.1%), Federal Home Loan Mortgage Co ($95.4B, 2.0%), JP Morgan ($87.9B, 1.8%), Credit Agricole ($72.2B, 1.5%), Mitsubishi UFJ Financial Group Inc ($63.8B, 1.3%), Barclays ($58.6B, 1.2%), Citi ($53.3B, 1.1%), Sumitomo Mitsui Banking Co ($47.1B, 1.0%), Toronto-Dominion Bank ($41.8B, 0.9%), Societe Generale ($41.4B, 0.8%), Bank of Montreal ($41.1B, 0.8%), Bank of America ($33.4B, 0.7%), Mizuho Corporate Bank Ltd ($32.4B, 0.7%) and Canadian Imperial Bank of Commerce ($32.0B, 0.7%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: BNP Paribas ($108.7B, 11.0%), Fixed Income Clearing Co ($105.5B, 10.7%), JP Morgan ($77.8B, 7.9%), RBC ($74.0B, 7.5%), Credit Agricole ($53.7B, 5.4%), Citi ($45.4B, 4.6%), Mitsubishi UFJ Financial Group ($43.3B, 4.4%), Barclays ($40.9B, 4.1%), Societe Generale ($32.3B, 3.3%) and Bank of America ($30.5B, 3.1%). Fed Repo positions among MMFs on 7/31/20 still include only Franklin US Govt Money Market Fund ($0.2B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($27.8B, 5.7%), RBC ($27.2B, 5.6%), Mizuho Corporate Bank Ltd ($21.5B, 4.4%), Mitsubishi UFJ Financial Group ($20.5B, 4.2%), Sumitomo Mitsui Banking Co ($19.4B, 4.0%), Credit Agricole ($18.5B, 3.8%), Barclays ($17.7B, 3.6%), Sumitomo Mitsui Trust Bank ($17.6B, 3.6%), Canadian Imperial Bank of Commerce ($16.2B, 3.3%) and Bank of Montreal ($13.8B, 2.8%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.9B, 8.1%), Mitsubishi UFJ Financial Group Inc ($15.5B, 7.9%), Bank of Montreal ($12.6B, 6.4%), Toronto-Dominion Bank ($11.7B, 6.0%), Sumitomo Mitsui Trust Bank ($11.6B, 5.9%), Mizuho Corporate Bank Ltd ($11.3B, 5.8%), Bank of Nova Scotia ($7.9B, 4.0%), Natixis ($7.7B, 3.9%), Svenska Handelsbanken ($7.5B, 3.8%) and Landesbank Baden-Wurttemberg ($7.4B, 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($17.3B, 7.3%), Toronto-Dominion Bank ($15.1B, 6.4%), JP Morgan ($10.1B, 4.3%), Societe Generale ($8.2B, 3.5%), Caisse des Depots et Consignations ($7.6B, 3.2%), NRW.Bank ($7.5B, 3.2%), Canadian Imperial Bank of Commerce ($7.4B, 3.1%), FMS Wertmanagement ($7.2B, 3.1%), Credit Suisse ($6.9B, 2.9%) and BNP Paribas ($6.5B, 2.7%).

The largest increases among Issuers include: Credit Agricole (up $28.7B to $72.2B), BNP Paribas (up $11.3B to $118.1B), Societe Generale (up $7.6B to $41.4B), Mizuho Corporate Bank Ltd (up $7.3B to $32.4B), Barclays PLC (up $6.9B to $58.6B), Credit Suisse (up $6.0B to $25.0B), Deutsche Bank AG (up $4.9B to $18.6B), Landesbank Baden-Wurttemberg (up $2.7B to $10.6B), DNB ASA (up $2.5B to $12.4B) and Lloyds Banking Group (up $2.4B to $11.0B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the US Treasury (down $79.9B to $2,464.4B), Federal Home Loan Bank (down $32.0B to $510.3B), Federal Home Loan Mortgage Corp (down $8.3B to $95.4B), RBC (down $8.0B to $101.2B), Bank of Nova Scotia (down $6.8B to $27.7B), Sumitomo Mitsui Banking Corp (down $6.1B to $47.1B), Fixed Income Clearing Corp (down $5.6B to $105.7B), Bank of America (down $3.7B to $33.4B), Federal National Mortgage Association (down $3.5B to $121.5B) and HSBC (down $3.4B to $27.5B).

The United States remained the largest segment of country-affiliations; it represents 76.2% of holdings, or $3.720 trillion. France (5.9%, $285.8B) was number two, and Canada (5.3%, $258.5B) was third. Japan (4.6%, $223.9B) occupied fourth place. The United Kingdom (2.5%, $120.3B) remained in fifth place. Germany (1.5%, $72.8B) was in sixth place, followed by The Netherlands (1.2%, $56.7B), Switzerland (0.7%, $35.7B), Australia (0.6%, $29.3B) and Sweden (0.6%, $29.2B). (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 July 31, 2020, Taxable money funds held 29.3% (up from 28.7%) of their assets in securities maturing Overnight, and another 11.0% maturing in 2-7 days (up from 9.2% last month). Thus, 40.3% in total matures in 1-7 days. Another 14.6% matures in 8-30 days, while 16.4% matures in 31-60 days. Note that over three-quarters, or 71.3% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 12.2% of taxable securities, while 13.9% matures in 91-180 days, and just 2.7% matures beyond 181 days.

Aug 07
 

The August issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Friday morning, features the articles: "Summer Asset Swoon Ending But Totals Back Below $5 Trillion," which focuses on recent declines in money market fund assets; "PM Perspectives: Walczak, Hill & Yi Discuss MMFs," which excerpts from our latest webinar; and, "Bank Regulators Getting Jump on Future Reg Changes," which discusses the potential for future reforms. We've also updated our Money Fund Wisdom database with July 31 statistics, and sent out our MFI XLS spreadsheet Friday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our August Money Fund Portfolio Holdings are scheduled to ship on Tuesday, August 11, and our August Bond Fund Intelligence is scheduled to go out Friday, August 14.

MFI's "Summer Swoon" article says, "Money fund assets declined by $44.2 billion in July to $4.991 trillion, after falling $127.9 billion in June. Prime MMFs saw their first drop since March (down $18.9 billion to $1.122 trillion), while Govt MMFs showed their third monthly drop in a row (down $18.9 billion to $3.738 trillion last month). MMFs fell below $5.0 trillion for the first time since late April according to our MFI XLS data series. They'd increased by a huge $1.192 trillion during the March through May period."

It continues, "Prime money fund assets fell by $123.9 billion in March, dropping below the $1.0 trillion level to $957.7 billion, but they rebounded by $104.7 billion in April, $53.2 billion in May and $25.6 billion in June, prior to this month's decline."

Our "Profile" reads, "We recently hosted 'Crane's Money Fund Webinar: Portfolio Manager Perspectives,' which featured Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak. The three senior PMs discussed money market supply, asset flows, yields and the outlook for Prime money market funds, among other things. We quote some of the highlights of the webinar below. (Click here to access the recording and here for our Webinar page, and register for our next event, 'Crane's Money Fund Webinar: Mini Fund Symposium,' which will be August 26, 2020, 1-4pm EDT.)

Hill says, "We all know that in March there were enormous inflows of assets ... into government money market funds. We know the massive Fed actions across the board to support the market, support functioning, market liquidity. We know there's been massive fiscal support as a result to address the impact of the coronavirus and the shutdown."

She continues, "Government funds absorbed the inflows relatively well. Initially in March, through issuance on the agency side, Federal Home Loan banks in particular [supported the] growth. As we flipped the calendar into April and May, [we saw] substantial issuance, at a pace never seen before, of Treasury bills, through regular Treasury bill issuance and cash management bills. So we got through that time period reasonably well. That issuance by Treasury removes that threat of negative rates in the secondary market that we saw in late March and into early April."

The "Reg Changes" article tells readers, "As the money markets continue to stabilize and yields slowly grind down to zero, many, especially bank regulators, have begun discussing potential reforms to money funds, again. We think it will be some time before anything happens, and a lot depends on the elections, but the early conversations bear watching."

The piece continues, "The Centre for Economic Policy Research (VoxEU.org) published a brief from Federal Reserve economists entitled, "Runs on prime money funds during the COVID-19 crisis." The piece explains, "Liquidity restrictions on investors, like the redemption gates and liquidity fees introduced in the 2016 money market fund (MMF) reform, are meant to improve financial stability during a crisis. However, by comparing the latest outflow episode due to COVID-19 to those in 2008 and 2011, this column finds evidence that these liquidity restrictions might have exacerbated the run on prime MMFs in this episode."

The latest MFI also includes the News brief, "Dreyfus Liquidation General NJ MF," which says, "A Prospectus Supplement filing for Dreyfus's General New Jersey Money Market Fund tells us, 'The Board of Directors of General New Jersey Municipal Money Market Fund, Inc. has approved the liquidation of the Fund, effective on or about Sept. 11, 2020.' The fund had filed a Form N-CR after hitting a shadow price of 0.9975 a share in March. Also, Schwab filed a 'Form N-1A' for new 'Ultra Share' classes of its Schwab Govt Money Fund, Schwab Treasury Obligations MF and Schwab U.S. Treasury MF."

A second News piece titled, "SEC Statistics: Assets Fall Back to $5.1 Trillion in June, Yields Down," says, "The Securities and Exchange Commission's latest monthly 'Money Market Fund Statistics' summary shows that total money fund assets dropped by $127.3 billion in June to $5.104 trillion, just the 2nd decrease in the past 24 months. The SEC shows that Prime MMFs increased $21.3 billion in June to $1.162 trillion, while Govt & Treasury funds plummeted $145.1 billion to $3.806 trillion. Tax Exempt funds decreased by $3.5 billion to $136.6 billion. Yields were down across the board in June, except for a slight increase in Tax Exempt Institutional yields.

Our July MFI XLS, with July 31 data, shows total assets decreased by $44.2 billion in July to $4.991 trillion, after decreasing $113.0 billion in June, increasing $31.6 billion in May, jumping $417.9 billion in April and skyrocketing $688.1 billion in March. Our broad Crane Money Fund Average 7-Day Yield fell 2 bps to 0.05% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 3 bps to 0.08%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down at 0.28% while the Crane 100 fell to 0.27%. Charged Expenses averaged 0.23% (unchanged from last month) and 0.20% (down 3 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.)

Jul 22
 

While we still hope to hold our flagship Money Fund Symposium in Minneapolis later this year (Oct. 26-28, 2020), we're officially cancelling our European Money Fund Symposium, which was scheduled for Nov. 19-20, 2020 in Paris, France. (We'll likely hold a slimmed-down, virtual European MFS on Nov. 19.) Crane Data continues to monitor travel restrictions and will give full refunds or credits for any events that are cancelled or that registered attendees can't make it to, and we continue to ramp up our virtual event capabilities. We review our latest events below. (Join us at 1pm Wednesday (7/22) for our next online event, "Crane's Money Fund Webinar: Portfolio Manager Perspectives," which will feature Peter Crane hosting a panel including Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak.)

We're sorry to have to cancel, but given the restrictions on international travel, we didn't think our European event had much of a chance this year. European Money Fund Symposium offers European, global and "offshore" money market portfolio managers, investors, issuers, dealers and service providers a concentrated and affordable educational experience, and an excellent and informal networking venue,. Our mission for EMFS, and all our events, is to deliver the best possible conference content at an affordable price to money market fund professionals. Our 2019 European Crane Symposium event in Dublin attracted 110 attendees, sponsors and speakers, and we hope to be back and even bigger in Paris in 2021. Watch for details in coming months on our Nov. 19 virtual event, and mark your calendars for next year's European MFS, scheduled for Oct. 20-21, 2021 in Paris.

As we told Sponsors and Speakers last month, we also shifted back the dates of our annual Money Fund Symposium conference due to the coronavirus pandemic and continued travel restrictions. Crane's Money Fund Symposium is now scheduled for October 26-28, 2020 at the Hyatt Regency Minneapolis, but we'll be prepared to cancel and to host a virtual event if the pandemic persists. In the meantime, our planning goes on. The latest agenda is available and registrations are still being taken at: www.moneyfundsymposium.com. (Registrations for our earlier June and August dates have been transferred to the October dates, and earlier hotel reservations were cancelled if you registered through us.)

Our MF Symposium Agenda is, for now, scheduled to kick off on Monday, October 26 with a keynote on "Money Funds through the Decades" from Paul Schott Stevens of the Investment Company Institute. The rest of the Day 1 agenda includes: "Treasury Issuance & Repo Update," with Mark Cabana of Bank of America, Dina Marchioni of the Federal Reserve Bank of New York and Tom Katzenbach of the U.S. Department of the Treasury; a "Corporate Investor, Portal & ESG MMF Discussion" with Tom Callahan of BlackRock, Tom Hunt of AFP, and Mark Adamson of Wells Fargo Securities; and, a "Major Money Fund Issues 2020" panel with Tracy Hopkins of Dreyfus/BNY Mellon Cash Investment Strategies, Jeff Weaver of Wells Fargo Asset Management and Peter Yi of Northern Trust Asset Management. (The evening's reception is sponsored by BofA Securities.)

Day 2 of Money Fund Symposium 2020 will begin with "The State of the Money Fund Industry," which features Peter Crane, Deborah Cunningham of Federated Investors and Michael Morin of Fidelity Investments, followed by a "Senior Portfolio Manager Perspectives" panel, including Linda Klingman of Charles Schwab I.M., Nafis Smith of Vanguard and John Tobin of J.P. Morgan Asset Mgmt. Next up is "Government & Treasury Money Fund Issues," with moderator, Joseph Abate of Barclays, Mike Bird of Wells Fargo Funds and Geoff Gibbs of DWS. The morning concludes with a "Muni & Tax Exempt Money Fund Update," featuring Colleen Meehan of Dreyfus, John Vetter of Fidelity and Sean Saroya of J.P. Morgan Securities.

The Afternoon of Day 2 (after a Dreyfus-sponsored lunch) features the segments: "Dealer's Choice: Supply, New Securities & CP" with moderator, Jeff Plotnik of U.S. Bancorp Asset Mgmt., Rob Crowe of Citi Global Markets, John Kodweis of JPM and Stewart Cutler of Barclays; "Ratings Focus: Governance, Global & LGIPs" with Robert Callagy of Moody's Investors Service, Greg Fayvilevich of Fitch Ratings and Michael Masih of S&P Global Ratings; "Ultra-Short, ETFs & Alt-Cash Update," with Alex Roever of J.P. Morgan Securities and Laurie Brignac of Invesco. The day's wrap-up presentation is "Brokerage Sweeps, Bank Deposits & Fin-Tech" involving Chris Melin of Ameriprise Financial and Kevin Bannerton of Total Bank Solutions. (The Day 2 reception is sponsored by Barclays.)

The third day of the Symposium features the sessions: "Strategists Speak '20: Fed Rates, Repo & SOFR" with Priya Misra of TD Securities and Garret Sloan of Wells Fargo Securities; "Regulatory & Misc. Issues: ESG, ETF, European," with Brenden Carroll of Dechert LLP, Rob Sabatino of UBS Asset Mgmt and Jonathan Curry of HSBC Global A.M.; "FICC Repo & Agency Roundtable," with Owen Nichols of State Street and Kyle Lynch of FHLBanks Office of Finance and, "Money Fund Statistics & Disclosures" with Peter Crane.

Visit the MF Symposium website at www.moneyfundsymposium.com for more details. Registration is $750, and discounted hotel reservations are available. We hope it'll be safe to travel and you'll join us in Minneapolis this October! When and if you're ready, attendees, speakers and sponsors should register here and make hotel reservations here. We'll keep you posted on our plans, so watch for updates in coming months. E-mail us at info@cranedata.com to request the full brochure, or click here to see the latest.

Finally, mark your calendars for next year's Money Fund University, which is scheduled for Jan. 21-22, 2021, in Pittsburgh, Pa, and our next Bond Fund Symposium, which is scheduled for March 25-26, 2021 in Newport Beach, Calif. Watch for details in coming months, and let us know if you're interested in sponsoring or speaking. (No hurry of course; we'll see how travel develops in coming months.) Contact us if you have any feedback or questions. Attendees to Crane Conferences and Crane Data subscribers may access the latest recordings, Powerpoints and binder materials at the bottom of our "Content page." Let us know if you'd like more details on any of our events, and we hope to see you in Minneapolis later this fall or at some point in 2021!

In other "offshore" money fund news, a press release entitled, "Moody's assigns Aaa-mf rating to LGIM Euro Liquidity Fund" tells us, "Moody's Investors Service ('Moody's) has assigned a Aaa-mf to LGIM Euro Liquidity Fund (the 'Fund'), a Low Volatility Net Asset Value (LVNAV) money market fund, domiciled in Ireland and managed by Legal & General Investment Management Limited (LGIM). The Fund's primary investment objective is to achieve a return in line with money market rates while preserving capital and providing daily liquidity. The Aaa-mf rating reflects Moody's view that the Fund has a very strong ability to meet its objectives of providing liquidity and preserving capital."

It continues, "The Fund invests in high credit quality securities, primarily short-dated commercial paper and deposit securities as well as short-dated bonds from government, agency, corporate and financial issuers. The Fund's weighted average maturity (WAM) is below 60 days. The Fund maintains a strong liquidity profile supported by high levels of overnight and weekly liquidity in the portfolio, in excess of regulatory requirements."

Moody's adds, "The Fund’s exposure to market risk is low, supported by the high credit quality of the fund's investment portfolio, strong liquidity and relatively short WAM. Moody's expects the Fund's adjusted NAV score to be '1' or '2' in Moody's money market fund rating scorecard. LGIM is an investment manager with GBP1.2 trillion assets under management, out of which GBP51.6 billion in the liquidity management, as of December 2019."

Jul 13
 

Crane Data released its July Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of June 30, 2020, shows another increase in Treasuries and big drops in Government Agency Debt and Repo last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $159.1 billion to $4.963 trillion last month, after increasing $31.6 billion in May, a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). Treasury securities broke the $2.5 trillion level, and 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 increased by $60.8 billion (2.5%) to $2.544 trillion, or 51.3% of holdings, after increasing $355.9 billion in May, $795.7 billion in April and $303.1 billion in March. Repurchase Agreements (repo) decreased by $124.3 billion (-11.6%) to $946.6 billion, or 19.1% of holdings, after decreasing $216.7 billion in May, $238.4 billion in April and increasing $225.1 billion in March. Government Agency Debt decreased by $65.2 billion (-6.9%) to $879.2 billion, or 17.7% of holdings, after decreasing $99.8 billion in May, increasing $6.9 billion in April and $292.5 billion in March. Repo, Treasuries and Agencies totaled $4.370 trillion, representing a massive 88.1% of all taxable holdings.

Money funds' holdings of CP, CDs, Other (mainly Time Deposits) and VDRNs all fell in June. Commercial Paper (CP) decreased $6.5 billion (-2.2%) to $286.8 billion, or 5.8% of holdings, after increasing $5.2 billion in May and decreasing $11.9 billion in April and $24.1 billion in March. Certificates of Deposit (CDs) fell by $9.1 billion (-4.2%) to $208.2 billion, or 4.2% of taxable assets, after decreasing $7.4 billion in May, increasing $12.6 billion in April and falling $74.3 billion in March. Other holdings, primarily Time Deposits, decreased $13.7 billion (-14.9%) to $78.0 billion, or 1.6% of holdings, after decreasing by $5.7 billion in May, $5.7 billion in April and $8.0 billion in March. VRDNs decreased to $19.4 billion, or 0.4% of assets, from $20.6 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Monday.)

Prime money fund assets tracked by Crane Data increased $19.0 billion to $1.154 trillion, or 23.3% of taxable money funds' $4.963 trillion total. Among Prime money funds, CDs represent 18.0% (down from 19.1% a month ago), while Commercial Paper accounted for 24.8% (down from 25.7%). The CP totals are comprised of: Financial Company CP, which makes up 14.2% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 6.7% in US Govt Agency Debt, 29.6% in US Treasury Debt, 3.4% in US Treasury Repo, 0.7% in Other Instruments, 3.7% in Non-Negotiable Time Deposits, 4.2% in Other Repo, 5.6% in US Government Agency Repo and 0.9% in VRDNs.

Government money fund portfolios totaled $2.558 trillion (51.5% of all MMF assets), down $98.0 billion from $2.656 trillion in June, while Treasury money fund assets totaled another $1.251 trillion (25.2%), down from $1.330 trillion the prior month. Government money fund portfolios were made up of 31.3% US Govt Agency Debt, 12.2% US Government Agency Repo, 44.3% US Treasury debt, 11.9% in US Treasury Repo, 0.2% in VRDNs and 0.1% in Investment Company. Treasury money funds were comprised of 85.6% US Treasury Debt, 14.3% in US Treasury Repo and 0.1% U.S. Government Agency Debt. Government and Treasury funds combined now total $3.809 trillion, or 76.7% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $92.3 billion in June to $546.9 billion; their share of holdings fell to 11.0% from last month's 12.5%. Eurozone-affiliated holdings fell to $353.5 billion from last month's $435.3 billion; they account for 7.1% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $17.8 billion to $272.5 billion (5.5% of the total). Americas related holdings fell $49.0 billion to $4.136 trillion and now represent 83.4% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $93.7 billion, or -15.2%, to $521.8 billion, or 10.5% of assets); US Government Agency Repurchase Agreements (down $30.2 billion, or -7.4%, to $376.1 billion, or 7.6% of total holdings), and Other Repurchase Agreements (down $0.5 billion, or -1.0%, from last month to $48.7 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $25.7 billion to $163.6 billion, or 3.3% of assets), Asset Backed Commercial Paper (up $1.2 billion to $69.7 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $33.4 billion to $53.5 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of June 30, 2020, include: the US Treasury ($2,544.4 billion, or 51.3%), Federal Home Loan Bank ($542.3B, 10.9%), Federal National Mortgage Association ($124.9B, 2.5%), Fixed Income Clearing Co ($111.3B, 2.2%), RBC ($109.1B, 2.2%), BNP Paribas ($106.8B, 2.2%), Federal Home Loan Mortgage Co ($103.7B, 2.1%), Federal Farm Credit Bank ($102.5B, 2.1%), JP Morgan ($86.3B, 1.7%), Mitsubishi UFJ Financial Group Inc ($62.4B, 1.3%), Citi ($55.8B, 1.1%), Sumitomo Mitsui Banking Co ($53.2B, 1.1%), Barclays ($51.7B, 1.0%), Toronto-Dominion Bank ($44.4B, 0.9%), Credit Agricole ($43.4B, 0.9%), Bank of Montreal ($39.7B, 0.8%), Bank of America ($37.2B, 0.7%), Canadian Imperial Bank of Commerce ($35.1B, 0.7%), Bank of Nova Scotia ($34.5B, 0.7%) and Societe Generale ($33.8B, 0.7%).

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 ($111.1B, 11.7%), BNP Paribas ($95.3B, 10.1%), RBC ($78.9B, 8.3%), JP Morgan ($75.5B, 8.0%), Citi ($47.5B, 5.0%), Mitsubishi UFJ Financial Group ($41.9B, 4.4%), Barclays ($36.0B, 3.8%), Sumitomo Mitsui Banking Corp ($34.1B, 3.6%), Bank of America ($33.8B, 3.6%) and Credit Agricole ($32.1B, 3.4%). Fed Repo positions among MMFs on 6/30/20 still include only Franklin US Govt Money Market Fund ($1.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($30.3B, 6.1%), Toronto-Dominion Bank ($29.2B, 5.9%), Mitsubishi UFJ Financial Group ($20.5B, 4.2%), Sumitomo Mitsui Banking Co ($19.1B, 3.9%), Canadian Imperial Bank of Commerce ($18.5B, 3.8%), Sumitomo Mitsui Trust Bank ($17.4B, 3.5%), Bank of Nova Scotia ($16.9B, 3.4%), Mizuho Corporate Bank Ltd ($16.7B, 3.4%), Barclays ($15.7B, 3.2%) and Credit Suisse ($13.3B, 2.7%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.1B, 7.2%), Mitsubishi UFJ Financial Group Inc ($15.0B, 7.2%), Toronto-Dominion Bank ($13.1B, 6.3%), Sumitomo Mitsui Trust Bank ($12.3B, 5.9%) Bank of Montreal ($11.1B, 5.4%), Natixis ($9.4B, 4.5%), Bank of Nova Scotia ($9.2B, 4.4%), Mizuho Corporate Bank Ltd ($9.2B, 4.4%), Svenska Handelsbanken ($8.7B, 4.2%) and Canadian Imperial Bank of Commerce ($7.5B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($18.0B, 7.3%), Toronto-Dominion Bank ($15.7B, 6.3%), JP Morgan ($10.8B, 4.4%), Societe Generale ($9.9B, 4.0%), Canadian Imperial Bank of Commerce ($9.8B, 3.9%), Caisse des Depots et Consignations ($8.9B, 3.6%), ING Bank ($7.3B, 2.9%), Barclays PLC ($7.2B, 2.9%), Credit Suisse ($7.2B, 2.9%) and Credit Suisse ($7.0B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $60.8B to $2.544 trillion), Toronto-Dominion Bank (up $5.2B to $44.4B), Citi (up $4.9B to $55.8B), Bank of Montreal (up $4.4B to $39.7B), Sumitomo Mitsui Trust Bank (up $4.1B to $23.0B), Federal Home Loan Mortgage Corp (up $2.2B to $103.7B), Skandinaviska Enskilda Banken AB (up $1.5B to $9.6B), Wells Fargo (up $1.4B to $29.2B), UBS AG (up $1.3B to $9.5B) and Caisse des Depots et Consignations (up $1.3B to $9.1B).

The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Federal Home Loan Bank (down $64.1B to $542.3B), Fixed Income Clearing Corp (down $24.9B to $111.3B), BNP Paribas (down $21.5B to $106.8B), JP Morgan (down $13.5B to $86.3B), Societe Generale (down $12.4B to $33.8B), Credit Agricole (down $11.3B to $43.4B), Barclays PLC (down $8.3B to $51.7B), Natixis (down $7.4B to $26.6B), Deutsche Bank AG (down $7.0B to $13.7B) and RBC (down $6.6B to $109.1B).

The United States remained the largest segment of country-affiliations; it represents 77.7% of holdings, or $3.856 trillion. Canada (5.6%, $279.5B) was number two, and France (4.8%, $236.7B) was third. Japan (4.5%, $222.5B) occupied fourth place. The United Kingdom (2.3%, $114.7B) remained in fifth place. Germany (1.2%, $58.0B) was in sixth place, followed by The Netherlands (1.1%, $52.5B), Sweden (0.7%, $35.9B), Australia (0.7%, $32.2B) and Switzerland (0.6%, $30.2B). (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 June 30, 2020, Taxable money funds held 28.7% (down from 32.4%) of their assets in securities maturing Overnight, and another 9.2% maturing in 2-7 days (down from 10.3% last month). Thus, 37.9% in total matures in 1-7 days. Another 18.1% matures in 8-30 days, while 14.7% matures in 31-60 days. Note that over three-quarters, or 70.0% 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 11.8% of taxable securities, while 14.9% matures in 91-180 days, and just 2.7% matures beyond 181 days.