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 (Jan. 1, 2018)

Money Fund Highlights of '17 1
Public Trust Advisors' Palomba 1
Top Money Funds of 2017; MFI Awards 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

Jan 08
 

The January issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "Money Fund Highlights of '17; Yield Jump, Assets Big Stories," which reviews the top stories of 2017 and outlook for 2018; "Public Trust Advisors' Palomba & Waud on LGIPs," which interviews PTA's Randy Palomba and Neil Waud; and, "Top Money Funds of 2017; 8th Annual MFI Awards," which reviews top-performing money market funds for the past 1-, 5- and 10-year periods. We've also updated our Money Fund Wisdom database with Dec. 31, 2017, statistics, and sent out our MFI XLS spreadsheet Monday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our January Money Fund Portfolio Holdings are scheduled to ship Wednesday, January 10, and our January Bond Fund Intelligence is scheduled to go out Monday, January 15.

MFI's "Money Fund Highlights" article says, "This past year was a welcome respite following the dramatic regulatory and portfolio changes of 2016, as slowly rising rates and assets made it money funds' best year in almost a decade. Money fund managers benefited from the end of fee waivers, the slow but steady recovery of Prime funds and the return of that endangered species -- yield. Yields (as measured by our Crane 100) rose from 0.43% to 1.12%, their highest level since the end of 2008. Below, we take a look back at the highlights of 2017, and we also give a brief outlook for 2018."

It continues, "According to Crane Data's numbers, assets rose by $287.0 billion, or 10.4%, to $3.041 trillion in 2017. (Note that our numbers were inflated slightly by the addition of previously unreported funds in 2016.) The ICI's narrower collection recently broke above the $2.8 trillion, its highest level since the end of 2010. YTD, ICI shows MMF assets increased by $113 billion, or 4.1%."

MFI's latest Profile reads, "This month Money Fund Intelligence interviews Public Trust Advisors' CIO Randy Palomba and Head of Portfolio Management Neil Waud. Public Trust manages approximately $25 billion, including more than $18 billion of the estimated $200-300 billion local government investment pool (LGIP) marketplace. LGIPs are run similarly to money market funds and are used by local governments to manage cash. Our Q&A follows."

We asked Palomba to "Give us a little history." He responds, "Public Trust opened its doors in November of 2011 and assumed management of COLOTRUST, a local government investment pool for Colorado, shortly thereafter. With COLOTRUST, my history dates back to 1989.... I assumed the duties of portfolio manager in 1995 and continued through a change in administrator and investment advisor in 1998 (when COLOTRUST selected MBIA as its service provider)."

He continues, "I eventually left Cutwater Asset Management (previously MBIA) in July of 2011 ... to co-found Public Trust.... COLOTRUST wanted to explore other service providers in the market place. We were fortunate enough to be awarded the contract and have been managing those assets ever since. Fast forward to today, and we have grown to manage several more clients, so it has been a very positive story as we moved forward."

Palomba says of their biggest priority, "Our mantra, and we live by it through any kind of market cycle, is 'safety, liquidity, and then yield.' At Public Trust, we have developed a true investment team environment.... We work on these portfolios with a collaborative effort, where there is constant communication and a flow of ideas being generated.... This gives us the opportunity to bounce ideas off one another, thoroughly analyzing all aspects of our investment process. We meet frequently to set overall strategy, then Neil and I determine the assets to purchase for the various portfolios." (Watch for more excerpts from this "profile" later this month, or ask us to see the latest MFI.)

Our "Top Money Funds of 2017" article says, "In this issue, we recognize the top-performing money funds, ranked by total returns, for calendar year 2017, as well as the top funds for the past 5-year and 10-year periods. We present the funds below with our annual Money Fund Intelligence Awards. These are given to the No. 1-ranked funds based on 1-year, 5-year and 10-year returns, through Dec. 31, 2017, in each of our major fund categories -- Prime Institutional, Government Institutional, Treasury Institutional, Prime Retail, Government Retail, Treasury Retail and Tax‐Exempt."

It continues, "The Top-Performing Prime Institutional funds were Morgan Stanley Inst Liq MMP Inst (MPUXX) and UBS Select Prime Money Mkt Pref (SPPXX), which both returned 1.14%. (BlackRock Cash Inst MMF SL, BRC01, would have been No. 1, but this fund is private, only available to internal securities lending clients.) Among Prime Retail funds (and funds overall), Fidelity Inv MM: MM Port Inst (FNSXX) had the best return in 2017 (1.17%)."

The article adds, "The Top‐Performing Government Institutional funds in 2017 were Fidelity Series Govt Money Market Fund (FGNXX) and UBS Liquid Assets Govt Fund (UBS02), which returned 0.86%. TIAA CREF MMkt Fund Advisor (TMHXX) and Vanguard Federal Money Mkt Fund (VMFXX) tied for the Top Government Retail fund spot over a 1‐year period with returns of 0.81%."

Our January MFI XLS, with Dec. 31, 2017, data, shows total assets increased $57.9 billion in December to $3.041 trillion after increasing $46.4 billion in November, decreasing $2.2 billion in October, and increasing $32.0 billion in September and $68 billion in August. Our broad Crane Money Fund Average 7-Day Yield was up 16 basis points to 0.92% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 19 bps to 1.12%.

On a Gross Yield Basis (7-Day) (before expenses were taken out), the Crane MFA rose 15 bps to 1.35% and the Crane 100 rose 18 bps to 1.38%. Charged Expenses averaged 0.44% and 0.28% (unchanged) for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 30 days (up one day from last month) and for the Crane 100 was 30 days (up one from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Dec 21
 

This month, MFI interviews Justin Schwartz, Head of Municipal Money Markets at the Vanguard Group. Vanguard is the 2nd largest manager of tax-exempt MMFs (and MMFs overall) with over $29.4 billion ($285.2B overall). Schwartz manages the $17.4 billion Vanguard Municipal Money Market Fund, the largest fund in the tax-exempt space. We discuss supply, credit, liquidity, and several other topics below. (Note: This interview is reprinted from the December issue of our flagship Money Fund Intelligence newsletter; contact us at inquiry@cranedata.com to request the full issue. Subscriptions to MFI are $500 a year or $1,000 including the MFI XLS spreadsheet "complement.")

MFI: Give us a little background. Schwartz: Vanguard began running tax exempt money market funds in 1980 with the launch of the Vanguard Tax Exempt MMF. At the time we launched, interest rates were in the double digits so it was a much different environment than today. We followed up with the launch of our state funds; most of which [were added] in the late '80s, with our final product being launched in 1997. So we've been managing tax exempt money funds for coming up on four decades.

In terms of my background, I joined the fixed income group of Vanguard in 2005 as a trader with our long-term bond funds. Subsequently, I joined the short-term municipal team in 2008, [which was] a challenging time to start a career in the money market space. But the lessons learned during the financial crisis are invaluable with regards to shaping my perspective on the proper ways to manage risk and liquidity in money market portfolios. I was promoted to fund manager in 2010 and most recently became head of the municipal short desk in 2016 following Pam Tynan's retirement. Along the way I've managed several of our state specific money funds. I currently manage our Vanguard Municipal Money Market and also Vanguard Short Term Tax Exempt Fund. My team consists of three portfolio managers and six traders. In addition to the money funds, we manage all the cash investments for our muni bond funds.

MFI: What's your biggest priority? Schwartz: The biggest priority, currently and always, is managing the product and ensuring the safety and liquidity of all of our money funds. Beyond that, exploring and investing in technology is a key initiative. We're continually looking to improve our current investment tools or add new tools to ensure we are providing best in class risk management, performance and efficiency for the funds.

The fund lineup is pretty set.... We liquidated the Ohio money fund product earlier this year. That leaves us with our flagship national product in the Vanguard Municipal MMF, and our four state funds for clients in California, New York, New Jersey and Pennsylvania.... We've always been very retail focused.... We do manage one institutional municipal money fund, but that product is only available internally to our municipal funds. I don't foresee us looking to publicly offer an institutional municipal fund at this point.

MFI: What's your biggest challenge? Schwartz: I think one of the biggest challenges ... is really adjusting to the dynamics of a new buyer base in the short term municipal market. Fifty percent of assets left the municipal money fund industry in a pretty short timeframe last year. However, most of this money didn't actually leave the front end; it just changed investment vehicles.... Our experience is that SMA or corporate cash managers often behave very differently than money fund managers do for varying reasons, including not being subject to the same set of regulations. So really learning and adjusting to the way these new buyers operate ... has been something we've been highly focused on

MFI: What are you buying? Schwartz: In terms of securities, we're very well diversified.... New issue supply has certainly been a challenge in the muni money market space post financial crisis, but there's plenty of product to buy.... Not much has changed in terms of what types of products we're buying. The dominant product in the municipal money market space continues to be the variable rate demand note. Our portfolios consist of 70-80% between daily variable rates and weekly variable rates; that includes TOB positions. Outside of that, on the margins we've been investing in slightly higher percentages of commercial paper.

One thing that we have been avoiding and mainly just from a valuation standpoint is fixed rates securities. Until recently, we really didn't think that they offered attractive break-evens given our projected path for Fed rate hikes.... With tax reform on the horizon and ... supply that's been pulled forward into the market, this dynamic has changed. Rates have backed up to a point where we are comfortable adding more fixed-rate paper and extended the funds WAMs.

We're always well in excess of the 30% weekly liquidity threshold, and this holds true across the board in the muni money market industry. The excess liquidity is due to the nature of the securities available for purchase in our market. It would take a large, wholesale shift away from VRDNs by the issuer and underwriting communities to really see liquidity numbers come down much.

MFI: Who are the biggest issuers? Schwartz: The national portfolio is very well diversified, geographically.... There are certain states -- California, Texas, New York -- that are heavy issuers in the municipal market.... Obviously there's a handful of states and cities that have some credit challenges in the market.... `Given our mandate in the money funds to focus on high quality credits that represent minimal credit risk for the portfolio, these are credits that we've been out of for quite some time. At Vanguard, we have what I believe to be a best in class credit team that helps us steer clear of these issuers, well before they become an a potential problem.

MFI: What about regulatory changes? Schwartz: Bank regulations have had a huge impact on these products over the years. [There's] declining supply in the VRDN space.... We can certainly attribute quite a bit of the drop off in supply to Basel III and the liquidity coverage ratio.... It makes issuing a letter of credit or a standby bond purchase agreement much less attractive for a bank.... This results in increased costs for municipal issuers.... Another substitute for VRDNs has been floating rate notes, which are products that generally are being bought by short-term bond funds.... Finally with historically low long-term fixed rates, you've seen a lot of issuers opt to term out their debt and lock in attractive long term financing rates.

MFI: Any customer concerns of late? Schwartz: I think the best feedback mechanism is cash flows. So I'd say, from that angle, we're certainly seeing investors pick their heads up and notice the higher yields that the funds are offering. We've seen solid growth in our funds this year, about $1 billion dollars in new inflows.... Looking forward, I would expect money funds to continue to become even more of a compelling option. When you think about the backdrop of a dramatically flattening yield curve, combined with the potential of four additional Fed hikes through 2018, we are entering the environment where money funds thrive. Looking back over time, money funds tend to see some of their best cash flows in periods when the yield curve is flattening or is very flat. Importantly, money funds are getting to a point where the rates we're offering are increasingly competitive relative to banking products ... even inclusive of high yield saving accounts. So, given all these things, I think we'd expect to see significant growth in these funds over the next couple years.

MFI: What about fees and waivers? Schwartz: The fees on our products are consistent with where they've been over the long term.... There were certain points in time where we did have to limit our expenses in order to maintain a positive yield for the investors. But we've returned to our full expense charge at this point.... We continue to offer very competitive expenses, relative to the industry.

MFI: Any thoughts on last year's reforms? Schwartz: Stepping back and looking at reform as a whole, it was an enormous effort internally and within the industry to make all of the necessary changes to become compliant with the new regulations. We saw a very rapid change in the investor landscape in the short-term municipal space, but ultimately despite a brief dislocation the market quickly found an equilibrium. The market has adapted to the new landscape and I think that we're left with a set of money fund products that will be able to continue to reliably serve our clients cash management needs for many decades to come.

MFI: Talk about the short-term muni fund. Schwartz: We have a full suite of funds across the maturity spectrum here. We've offered the Short-Term Tax-Exempt Fund since 1977. So it's ... not a new product for us.... The fund invests in bonds with maturities out to five years and in normal environments we maintain a duration of just over a one-year. It's generally a very high credit quality fund [but] we do have the ability to invest down the credit quality spectrum. These levers provide us opportunities to add some additional return relative to 2a-7 funds.

MFI: Tell us about your outlook. Schwartz: I do expect the Fed to hike rates 25 basis points this month and likely 3 more times in 2018. This should lead to a significantly higher 7-day SIFMA index as it adjust to the new effective Fed funds rate. What we've seen over the last year or so, is that yields in the municipal market do take a few weeks to effectively adjust to any rate hike. In this regard we do tend to lag the taxable market a bit. But the market always works itself out. If municipal rates are too low relative to taxable, investors will move their cash to the higher yielding option until the relative rates normalize.

As we look forward to the rest of this year and into next year, we expect [the funds to be] more attractive to our shareholders as the Fed continues to raise rates. It's rewarding as a fund manager to be able to offer a more attractive product in terms of yield. [But] as we found out from many years of offering very little yield, our shareholders [also] value very much the safety of principle and liquidity of the product offering.

Dec 12
 

Crane Data released its December Money Fund Portfolio Holdings late yesterday, and our most recent collection of taxable money market securities, with data as of Nov. 30, 2017, shows a drop in Repo and Treasuries, but increases in CP, Agencies and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $18.4 billion to $2.856 trillion last month, after increasing $77.7 billion in October, $8.5 billion in September, and $58.6 billion in August. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CP moved into fourth place 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 if you'd like to see our latest Money Fund Portfolio Holdings reports.)

Among all taxable money funds, Repurchase Agreements (repo) decreased $16.4 billion (-1.7%) to $939.2 billion, or 32.9% of holdings, after decreasing $3.9 billion in October and $4.4 billion in September but increasing $65.1 billion in August. Treasury securities fell $3.0 billion (-0.4%) to $736.3 billion, or 25.8% of holdings, after rising $66.0 billion in October and $27.8 billion in September but falling $32.7 billion in August. Government Agency Debt increased $10.5 billion (1.6%) to $675.3 billion, or 23.6% of all holdings, after falling $2.2 billion in October, rising $1.2 billion in September, and falling $11.2 billion in August. Repo, Treasuries and Agencies total $2.351 trillion, representing a massive 82.3% of all taxable holdings.

CP, CDs and Other (mainly Time Deposits) securities jumped in the latest month. Commercial Paper (CP) was up $14.9 billion (8.2%) to $196.7 billion, or 6.9% of holdings (after increasing $3.3 billion in October, decreasing $4.4 in September, and increasing $16.2 billion in August). Certificates of Deposits (CDs) increased $8.9 billion (4.8%) to $193.5 billion, or 6.8% of taxable assets (after increasing $14.1 billion in October, decreasing $7.3 billion in September, and increasing $3.4 billion in August). Other holdings, primarily Time Deposits, rose by $3.7 billion (3.6%) to $106.4 billion, or 3.7% of holdings. VRDNs held by taxable funds decreased by $0.2 billion (-2.2%) to $8.2 billion (0.3% of assets).

Prime money fund assets tracked by Crane Data increased to $655 billion (up from $632 billion last month), or 22.9% (up from 22.3%) of taxable money fund holdings' total of $2.856 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.5% (up from 29.2% a month ago), followed by Commercial Paper at 29.9% (up from 28.7%). The CP totals are comprised of: Financial Company CP, which makes up 18.9% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 1.9% in US Govt Agency Debt, 8.7% in US Treasury Debt, 5.9% in US Treasury Repo, 2.2% in Other Instruments, 13.2% in Non-Negotiable Time Deposits, 4.6% in Other Repo, 1.9% in US Government Agency Repo, and 1.0% in VRDNs.

Government money fund portfolios totaled $1.549 trillion (54.2% of all MMF assets), up from $1.541 trillion in October, while Treasury money fund assets totaled another $651 billion (22.8%), up from $664 billion the prior month. Government money fund portfolios were made up of 42.5% US Govt Agency Debt, 19.4% US Government Agency Repo, 15.6% US Treasury debt, and 22.3% in US Treasury Repo. Treasury money funds were comprised of 67.2% US Treasury debt, 32.5% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.200 trillion, or 77.0% of all taxable money fund assets, down from 77.7% last month.

European-affiliated holdings increased $20.8 billion in November to $654.1 billion among all taxable funds (and including repos); their share of holdings increased to 22.9% from 22.3% the previous month. Eurozone-affiliated holdings increased $14.5 billion to $447.7 billion in November; they account for 15.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $13.1 billion to $227.9 billion (8.0% of the total). Americas related holdings decreased $25.6 billion to $1.972 trillion and now represent 69.1% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $16.8 billion, or -2.7%, to $595.3 billion, or 20.8% of assets; US Government Agency Repurchase Agreements (down $0.7 billion to $313.7 billion, or 11.1% of total holdings), and Other Repurchase Agreements ($30.2 billion, or 1.1% of holdings, up $1.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $11.1 billion to $123.9 billion, or 4.3% of assets), Asset Backed Commercial Paper (up $2.2 billion to $40.3 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $1.5 billion to $32.5 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of Nov. 30, 2017, include: the US Treasury ($736.3 billion, or 25.8%), Federal Home Loan Bank ($524.2B, 18.4%), BNP Paribas ($150.8B, 5.3%), Federal Reserve Bank of New York ($96.2B, 3.4%), RBC ($75.7B, 2.7%), Credit Agricole ($69.5B, 2.4%), Federal Farm Credit Bank ($68.3B, 2.4%), Wells Fargo ($64.7B, 2.3%), Federal Home Loan Mortgage Co ($55.6B, 1.9%), Barclays PLC ($54.3B, 1.9%), Societe Generale ($44.6B, 1.6%), Nomura ($43.5B, 1.5%), Mitsubishi UFJ Financial Group Inc ($38.8B, 1.4%), Bank of Nova Scotia ($36.8B, 1.3%), Toronto-Dominion Bank ($35.2B, 1.2%), Natixis ($34.7B, 1.2%), Bank of America ($34.7B, 1.2%), HSBC ($34.2B, 1.2%), JP Morgan ($33.5B, 1.2%), and Canadian Imperial Bank of Commerce ( $30.8B, 1.1%).

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 ($133.8B, 14.2%), Federal Reserve Bank of New York ($96.2B, 10.2%), RBC ($53.5B, 5.7%), Credit Agricole ($52.8B, 5.6%), Wells Fargo ($51.2B, 5.5%), Nomura ($43.5B, 4.6%), Barclays PLC ($43.4B, 4.6%), Societe Generale ($40.4B, 4.3%), Bank of America ($29.1B, 3.1%) and HSBC ($27.8B, 3.0%). NY Fed RRP Repo reached its lowest point since July 2016 (the last time it wasn't the largest repo program). (Fixed Income Clearing Corp repo ranked No. 12 with $13.2 billion from 13 funds.)

The 10 largest Fed Repo positions among MMFs on 11/30 include:Northern Trust Trs MMkt ($16.6B in Fed Repo), Fidelity Cash Central Fund ($11.0B), JP Morgan US Govt ($11.0B ), Morgan Stanley Inst Liq Govt Sec ($8.0B), Fidelity Sec Lending Cash Central ($7.1B), Northern Inst Govt Select ($5.7B), BlackRock Lq FedFund ($4.5B), Goldman Sachs FS Treas Sol ($3.9B), Vanguard Market Liquidity Fund ($3.9B), and Wells Fargo Govt MMkt ($3.8B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($22.2B, 5.1%), BNP Paribas ($17.1B, 3.9%), Credit Agricole ($16.8, 3.9%), Toronto-Dominion Bank ($16.2B, 3.7%), Mitsubishi UFJ Financial Group Inc. ($15.6B, 3.6%), Canadian Imperial Bank of Commerce ($14.6B, 3.4%), Bank of Nova Scotia ($14.0B, 3.2%), Bank of Montreal ($13.8, 3.2%), Wells Fargo ($13.5B, 3.1%), and Australia & New Zealand Banking Group Ltd ($13.3, 3.1%).

The 10 largest CD issuers include: Bank of Montreal ($13.5B, 7.0%), Wells Fargo ($13.4, 7.0%B), RBC ($11.7, 6.1%), Sumitomo Mitsui Banking Co ($11.2B, 5.8%), Mitsubishi UFJ Financial Group Inc ($10.2B, 5.3%), Mizuho Corporate Bank Ltd ($9.4B, 4.9%), Toronto-Dominion Bank ($9.3B, 4.8%), Sumitomo Mitsui Trust Bank ($8.6B, 4.5%), KBC Group NV ($7.7B, 4.0%), and Canadian Imperial Bank of Commerce ($7.4B, 3.9%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($9.0B, 5.3%), JP Morgan ($7.9B, 4.7%), Westpac Banking Co ($7.5B, 4.4%), BNP Paribas ($7.2B, 4.3%), Bank Nederlandse Gemeenten ($6.6B, 3.9%), Bank of Nova Scotia ($6.3B, 3.7%), Credit Agricole ($6.2B, 3.6%), UBS AG ($5.9B, 3.5%), National Australia Bank Ltd ($5.8B, 3.4%), and Toronto-Dominion Bank ($5.7B, 3.3%).

The largest increases among Issuers include: BNP Paribas (up $12.5B to $150.8B), Federal Home Loan Mortgage Co (up $9.3B to $55.6B), JP Morgan (up $8.5B to $33.5B), RBC (up $7.7B to $75.7B), Canadian Imperial Bank of Commerce (up $7.0B to $30.8B), Bank of Montreal (up $6.8B to $29.2B), Mizuho Corporate Bank Ltd (up $5.4B to $24.4B), Deutsche Bank AG (up $4.5B to $25.8B), Credit Suisse (up $4.0B to $25.6), and Wells Fargo (up $3.1B to $64.7B).

The largest decreases among Issuers of money market securities (including Repo) in November were shown by: Federal Reserve Bank of New York (down $66.0B to $96.2B), ING Bank (down $8.5B to $27.8B), Societe Generale (down $3.5B to $44.6B), US Treasury (down $3.0B to $736.3B), Skandinaviska Enskilda Banken AB (down $2.2B to 10.6B), Canadian Imperial Bank of Commerce (down $2.5B to $23.8B), Skandinaviska Enskilda Banken AB (down $2.5B to $12.8B), Goldman Sachs (down $1.5B to $17.9B), KBC Group NV (down $1.3B to $10.0B), and Federal National Mortgage Association (down $1.1B to $21.7B).

The United States remained the largest segment of country-affiliations; it represents 61.4% of holdings, or $1.754 trillion. France (11.0%, $313.7B) remained in second place ahead of Canada (7.6%, $218.0B) in third. Japan (5.9%, $169.0B) stayed in fourth, while the United Kingdom (4.0%, $113.9B) remained in fifth place. Germany (2.2%, $62.0B) moved into sixth place ahead of The Netherlands (2.1%, $58.4B), while Australia (1.6%, $46.0B) moved ahead of Sweden (1.5%, $42.2B). Switzerland (1.3%, $36.9B) remained in tenth place. (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 Nov. 30, 2017, Taxable money funds held 31.2% (down from 32.2%) of their assets in securities maturing Overnight, and another 17.3% maturing in 2-7 days (up from 16.1%). Thus, 48.5% in total matures in 1-7 days. Another 24.8% matures in 8-30 days, while 9.2% matures in 31-60 days. Note that over three-quarters, or 82.5% 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 7.6% of taxable securities, while 7.7% matures in 91-180 days, and just 2.0% matures beyond 181 days.

Dec 11
 

Crane Data's latest Money Fund Market Share rankings show assets were up across almost all U.S. money fund complexes in November. Overall assets increased by $55.6 billion, or 1.9%. Total assets have increased by $90.1 billion, or 3.1%, over the past 3 months. They've increased by $342.0 billion, or 12.9%, over the past 12 months through November 30, but note that our asset totals have been inflated by the addition of a number of funds. (Crane Data added batches of previously untracked funds in December 2016, and in February and April 2017. These funds, which total over $200 billion, include a number of internal funds that we hadn't been aware of prior to disclosures of the SEC's Form N-MFP.) The biggest gainers in November were Fidelity, whose MMFs rose by $9.7 billion, or 1.7%, BlackRock, whose MMFs rose by $9.4 billion, or 3.5%, and Morgan Stanley, whose MMFs rose by $8.9 billion, or 8.2%.

JPMorgan, Western, Deutsche, Wells Fargo, and Vanguard, also saw assets increase in November, rising by $5.2B, $3.9B, $3.7B, and $3.7B, $2.3B, respectively. Declines among the 25 largest managers were seen by Federated, HSBC and PNC. (Our domestic U.S. "Family" rankings are available in our MFI XLS product, our global rankings are available in our MFI International product, and the combined "Family & Global Rankings" are available to Money Fund Wisdom subscribers.) We review these market share totals below, and we also look at money fund yields the past month, which increased in November.

Over the past year through Nov. 30, 2017, Fidelity (up $104.7B, or 22.6%), Vanguard (up $83.4B, or 40.8%), Dreyfus (up $34.0B, or 23.6%), and T Rowe Price (up $22.8B, or 143.0%) were the largest gainers. (All of these families' totals but Dreyfus' were inflated by the addition of new funds earlier this year.) These 1-year gainers were followed by Prudential (up $14.0B, or 2220.7%), Columbia (up $13.2B, or 913.5%), Northern (up $11.4B, or 12.1%) and Invesco (up $9.0B, or 16.1%).

Fidelity, Vanguard, Wells Fargo, and BlackRock had the largest money fund asset increases over the past 3 months, rising by $14.1B, $13.1B, $11.8B, and $10.6B, respectively. The biggest decliners over 12 months include: Goldman Sachs (down $23.6B, or -12.2%), Morgan Stanley (down $16.1B, or -12.1%), Federated (down $4.7B, or -2.4%), and Western (down $4.5B, or -13.1%).

Our latest domestic U.S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $567.7 billion, or 19.0% of all assets. It was up $9.7 billion in Nov., up $14.1 billion over 3 mos., and up $104.7B over 12 months. Vanguard is second with $287.9 billion, or 9.6% market share (up $2.3B, up $13.1B, and up $83.4B for the past 1-month, 3-mos. and 12-mos., respectively), while BlackRock is third with $280.7 billion, or 9.4% market share (up $9.4B, up $10.6B, and up $32.3B). JP Morgan ranked fourth with $257.1 billion, or 8.6% of assets (up $5.2B, up $8.9B, and up $6.2B for the past 1-month, 3-mos. and 12-mos., respectively), while Federated was ranked fifth with $189.4 billion, or 6.3% of assets (down $1.3B, down $913M, and down $4.7B).

Dreyfus was in sixth place with $178.1 billion, or 6.0% of assets (up $963M, up $2.8B, and up $34.0B), while Goldman Sachs was in seventh place with $169.7 billion, or 5.7% (up $206M, down $126M, and down $23.6B). Schwab ($158.4B, or 5.3%) was in eighth place, followed by Morgan Stanley in ninth place ($117.1B, or 3.9%) and Wells Fargo in tenth place ($111.1B, or 3.7%).

The eleventh through twentieth largest U.S. money fund managers (in order) include: Northern ($105.0B, or 3.5%), SSGA ($84.4B, or 2.8%), Invesco ($65.0B, or 2.2%), First American ($49.2B, or 1.6%), UBS ($44.1B, or 1.5%), T Rowe Price ($38.7B, or 1.3%), Western ($30.0B, or 1.0%), Deutsche ($26.5B, or 0.9%), DFA ($25.3B, or 0.8%), and Franklin ($22.7B, or 0.8%). The 11th through 20th ranked managers are the same as last month, except Western and Deutsche moved ahead of DFA. Crane Data currently tracks 66 U.S. MMF managers, the same number as last month.

When European and "offshore" money fund assets -- those domiciled in places like Ireland, Luxembourg, and the Cayman Islands -- are included, the top 10 managers match the U.S. list, except JPMorgan moves ahead of Vanguard and BlackRock, BlackRock moves ahead of Vanguard, Goldman Sachs moves ahead of Federated and Dreyfus, Dreyfus moves ahead of Federated, and Northern moves ahead Wells Fargo.

Looking at our Global Money Fund Manager Rankings, the combined market share assets of our MFI XLS (domestic U.S.) and our MFI International ("offshore") products, the largest money market fund families include: Fidelity ($576.5 billion), JP Morgan ($433.8B), BlackRock ($415.4B), Vanguard ($287.9B), and Goldman Sachs ($272.3B). Dreyfus/BNY Mellon ($202.7B) was sixth and Federated ($198.6B) was in seventh, followed by Schwab ($158.4B), Morgan Stanley ($151.9B), and Northern ($133.3B), which round out the top 10. These totals include "offshore" US Dollar money funds, as well as Euro and Pound Sterling (GBP) funds converted into US dollar totals.

The December issue of our Money Fund Intelligence and MFI XLS, with data as of 11/30/17, shows that yields were up in November across our Taxable Crane Money Fund Indexes. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 755), was up 3 bps to 0.75% for the 7-Day Yield (annualized, net) Average, and the 30-Day Yield was up 2 bps to 0.73%. The MFA's Gross 7-Day Yield increased 3 bps to 1.19%, while the Gross 30-Day Yield was up 2 bps to 1.17%.

Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 0.93% (up 3 bps) and an average 30-Day Yield of 0.92% (up 3 bps). The Crane 100 shows a Gross 7-Day Yield of 1.19% (up 3 bps), and a Gross 30-Day Yield of 1.19% (up 3 bps). For the 12 month return through 11/30/17, our Crane MF Average returned 0.50% and our Crane 100 returned 0.68%. The total number of funds, including taxable and tax-exempt, decreased to 956, down 2 from last month. There are currently 755 taxable and 201 tax-exempt money funds.

Our Prime Institutional MF Index (7-day) yielded 1.00% (up 2 bps) as of November 30, while the Crane Govt Inst Index was 0.81% (up 5 bps) and the Treasury Inst Index was 0.85% (up 6 bps). Thus, the spread between Prime funds and Treasury funds is 15 basis points, down 4 bps from last month, while the spread between Prime funds and Govt funds is 19 basis points, down 3 bps from last month. The Crane Prime Retail Index yielded 0.79% (up one bp), while the Govt Retail Index yielded 0.49% (up 3 bps) and the Treasury Retail Index was 0.57% (up 5 bps). The Crane Tax Exempt MF Index yield increased to 0.50% (up 3 bps).

Gross 7-Day Yields for these indexes in November were: Prime Inst 1.36% (up 2 bps), Govt Inst 1.12% (up 4 bps), Treasury Inst 1.14% (up 6 bps), Prime Retail 1.35% (up 3 bps), Govt Retail 1.10% (up 2 bps), and Treasury Retail 1.14% (up 5 bps). The Crane Tax Exempt Index increased 2 basis points to 0.99%. The Crane 100 MF Index returned on average 0.08% for 1-month, 0.22% for 3-month, 0.65% for YTD, 0.68% for 1-year, 0.30% for 3-years (annualized), 0.19% for 5-years, and 0.40% for 10-years. (Contact us if you'd like to see our latest MFI XLS, Crane Indexes or Market Share report.)