Money Fund Wisdom

Money Fund Wisdom Sample

Money Fund Wisdom is Crane Data's premium product. The product "suite" includes subscriptions to our Money Fund Intelligence, Money Fund Intelligence XLS, and Money Fund Intelligence Daily, as well as a website which allows users to build custom queries on our historical database of money fund performance information. Wisdom also includes our Money Fund Portfolio Holdings data set and our Money Fund Portfolio Laboratory, a program that allows users to "X-ray" money fund portfolios to see aggregate country, maturity, issuer and composition information.

Money Fund Wisdom Features:

  • Extensive Performance Statistics - Yield (7-day), return (1-mo, 3-mo, YTD, 1-yr, 3-yr, 5-yr, 10-yr, since inception), plus gross yield and returns.
  • Historical Yields and Returns - Annual returns, monthly and weekly yields.
  • Fund Profile Information - Inception dates, phone numbers, ratings, minimums, managers, advisors, and more, as well as a breakout of expenses in a convenient "profile" format.
  • Money Fund Intelligence and XLS - Full access to current and past MFI's, MFI XLS's, and Crane Data's entire library and database of information.
  • Crane Money Fund Indexes - Our benchmark money market averages by fund type on every performance data point.
  • Money Fund Portfolio Holdings & Reports - Our monthly collection of taxable and tax exempt money fund holdings, including our "stacked" file with all the holdings in one XLS, and our "Reports & Pivot Tables" version which allows custom reports.

We're confident that you'll find Money Fund Wisdom faster, cheaper and cleaner than any other investment analysis programs. E-mail us or call 1-508-439-4419 to subscribe or to test drive our high-end product!


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

Product Summary
Price  $4000/yr ( Discount Policy )
News dot dot dot dot ( Research )
Ranks dot dot dot dot ( Custom )
Funds dot dot dot dot ( Full Database )
Archives dot dot dot dot ( Research )
Index dot dot dot dot ( Custom )
Next Steps
Subscribe Now »
See a demo issue.
Call 1-508-439-4419 for order or info.

Money Fund Wisdom News

Sep 13
 

Crane Data released its September Money Fund Portfolio Holdings Tuesday, and our latest collection of taxable money market securities, with data as of August 31, 2017, shows a strong rebound in Repo (after a big drop last month), but a drop in Treasuries and Agencies. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $58.6 billion to $2.751 trillion last month, after increasing $61.5 billion in July and decreasing $60.8 billion in June. Repo remained the largest portfolio segment, while Agencies narrowly beat out Treasuries for the number two spot. CDs remained in fourth place, followed by Commercial Paper, 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 a sample of our latest Portfolio Holdings Reports.)

Among all taxable money funds, Repurchase Agreements (repo) increased $65.1 billion (7.3%) to $963.9 billion, or 35.0% of holdings, after falling $55.6 billion in July but rising $12.4 billion in June, $83.7 billion in May, and $24.6 billion in April. Treasury securities fell $32.7 billion (-4.8%) to $645.5 billion, or 23.5% of holdings, after rising $36.7 billion in July, and falling $31.4 billion in June. Government Agency Debt decreased $11.2 billion (-1.7%) to $665.8 billion, or 24.2% of all holdings, after increasing $48.4 billion in July and decreasing $1.7 billion in June. Repo, Treasuries and Agencies total $2.275 trillion, representing a massive 82.7% of all taxable holdings.

CDs and CPs increased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposit (CDs) increased $3.4 billion (2.0%) to $177.9 billion, or 6.5% of taxable assets, after increasing $13.6 billion in July, but decreasing $19.5 billion in June. Commercial Paper (CP) was up $16.2 billion (9.7%) to $182.9 billion, or 6.6% of holdings (after increasing $8.0 billion in July but decreasing $0.5 billion in June). Other holdings, primarily Time Deposits, rose by $18.5 billion (21.1%) to $106.3 billion, or 3.9% of holdings. VRDNs held by taxable funds decreased by $0.7 billion (-7.3%) to $8.7 billion (0.3% of assets).

Prime money fund assets tracked by Crane Data increased to $610 billion (up from $593 billion last month), or 22.2% (up from 22.0%) of taxable money fund holdings' total of $2.751 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.2% (down from 29.4% a month ago), followed by Commercial Paper at 29.9% (up from 28.1%). The CP totals are comprised of: Financial Company CP, which makes up 18.4% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 4.8%. Prime funds also hold 3.5% in US Govt Agency Debt, 7.4% in US Treasury Debt, 6.0% in US Treasury Repo, 1.5% in Other Instruments, 13.8% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 0.9% in US Government Agency Repo, and 1.1% in VRDNs.

Government money fund portfolios totaled $1.497 trillion (54.4% of all MMF assets), up from $1.468 trillion in July, while Treasury money fund assets totaled another $644 billion (23.4%), up from $631 billion the prior month. Government money fund portfolios were made up of 43.1% US Govt Agency Debt, 19.2% US Government Agency Repo, 11.5% US Treasury debt, and 26.0% in US Treasury Repo. Treasury money funds were comprised of 66.6% US Treasury debt, 33.3% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.141 trillion, or 77.8% of all taxable money fund assets, down from 78.0% last month.

European-affiliated holdings increased $49.0 billion in August to $592.2 billion among all taxable funds (and including repos); their share of holdings increased to 21.5% from 20.2% the previous month. Eurozone-affiliated holdings increased $32.8 billion to $401.4 billion in August; they account for 14.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $11.4 billion to $217.8 billion (7.9% of the total). Americas related holdings decreased $1.8 billion to $1.940 trillion and now represent 70.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $46.3 billion, or 7.8%, to $641.2 billion, or 23.3% of assets; US Government Agency Repurchase Agreements (up $17.8 billion to $293.4 billion, or 10.7% of total holdings), and Other Repurchase Agreements ($29.3 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 $11.9 billion to $112.4 billion, or 4.1% of assets), Asset Backed Commercial Paper (up $4.2 billion to $40.9 billion, or 1.5%), and Non-Financial Company Commercial Paper (up $0.1 billion to $29.6 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of August 31, 2017, include: the US Treasury ($645.5 billion, or 23.5%), Federal Home Loan Bank ($524.5B, 19.1%), Federal Reserve Bank of New York ($201.0B, 7.3%), BNP Paribas ($119.1B, 4.3%), Credit Agricole ($69.3B, 2.5%), RBC ($63.5B, 2.3%), Federal Farm Credit Bank ($62.9B, 2.3%), Wells Fargo ($59.0B, 2.1%), Nomura ($55.3B, 2.0%), Societe Generale ($46.2B, 1.7%), Federal Home Loan Mortgage Co. ($45.4B, 1.6%), HSBC ($40.3B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($39.0B, 1.4%), Barclays PLC ($37.9B, 1.4%), JP Morgan ($34.9B, 1.3%), Bank of America ($33.9B, 1.2%), Bank of Nova Scotia ($33.8B, 1.2%), ING Bank ($32.9B, 1.2%), Natixis ($32.5B, 1.2%), and Citi ($32.1B, 1.2%).

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: Federal Reserve Bank of New York ($201.0B, 20.9%), BNP Paribas ($103.8B, 10.8%), Nomura ($55.3B, 5.7%), Credit Agricole ($53.5B, 5.5%), RBC ($48.0B, 5.0%), Wells Fargo ($46.8B, 4.9%), Societe Generale ($42.0B, 4.4%), HSBC ($34.9B, 3.6%), Bank of America ($29.1B, 3.0%), and Barclays PLC ($28.6B, 3.0%).

The 10 largest Fed Repo positions among MMFs on 8/31 include: JP Morgan US Govt ($17.0B in Fed Repo), Fidelity Cash Central Fund ($13.9B), Northern Trust Trs MMkt ($13.0B), Goldman Sachs FS Gvt ($9.6B), Fidelity Inv MM: Govt Port ($8.9B), Fidelity Inv MM: Treasury Port ($8.9B), BlackRock Lq FedFund ($8.8B), Northern Inst Gvt Select ($8.3B), Vanguard Fed MMkt ($8.3B),and Wells Fargo Gvt MMkt ($7.9B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($15.9B, 3.9%), RBC ($15.5B, 3.8%), BNP Paribas ($15.4B, 3.8%), Mitsubishi UFJ Financial Group Inc. ($14.9B, 3.7%), Toronto-Dominion Bank ($14.5B, 3.6%), Bank of Montreal ($13.5, 3.3%), ING Bank ($13.1B, 3.2%), Canadian Imperial Bank of Commerce ($12.4B, 3.1%), Skandinaviska Enskilda Banken AB ($12.2B, 3.0%), and Wells Fargo ($12.2B, 3.0%).

The 10 largest CD issuers include: Bank of Montreal ($12.9B, 7.3%), Toronto-Dominion Bank ($12.5B, 7.1%), Wells Fargo ($12.1B, 6.8%), Mitsubishi UFJ Financial Group Inc ($10.8B, 6.1%), Sumitomo Mitsui Banking Co ($10.1B, 5.7%), RBC ($9.8B, 5.5%), Sumitomo Mitsui Trust Bank ($7.4B, 4.2%), Landesbank Baden-Wurttemberg ($7.4B, 4.2%), Canadian Imperial Bank of Commerce ($6.5B, 3.7%) and Citi ($6.1B, 3.4%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($7.4B, 4.7%), Commonwealth Bank of Australia ($7.4B, 4.7%), Westpac Banking Co ($7.1B, 4.5%), JP Morgan ($6.8B, 4.3%), BNP Paribas ($6.6B, 4.2%), Credit Agricole ($6.2B, 3.9%), National Australia Bank Ltd ($5.8B, 3.6%), RBC ($5.4B, 3.4%) Canadian Imperial Bank of Commerce ($5.1B, 3.2%), and DnB NOR Bank ASA ($4.9B, 3.1%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $16.9B to $201.0B), BNP Paribas (up $10.0B to $119.1B), Credit Agricole (up $8.7B to $69.3B), Wells Fargo (up $5.6B to $59.0B), Credit Suisse (up $5.0B to $24.6B), Nomura (up $4.9B to $55.3B), Barclays PLC (up $4.8B to $37.9B), Fixed Income Clearing Co (up $4.5B to $9.7B), ING Bank (up $4.5B to $32.9B), and UBS AG (up $4.3B to $9.1B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: the US Treasury (down $32.7B to $645.5B), HSBC (down $5.4B to $40.3B), Deutsche Bank AG (down $4.7B to $12.5B), Federal Home Loan Bank (down $4.6B to $524.5B), Federal Home Loan Mortgage Co (down $3.9B to $45.4B), Goldman Sachs (down $2.1B to $16.1B), Toronto-Dominion Bank (down $2.0B to $28.7B), Federal National Mortgage Association (down $1.8B to $28.3B), Citi (down $0.9B to $32.1B), and JPMorgan (down $0.9B to $34.9B).

The United States remained the largest segment of country-affiliations; it represents 63.7% of holdings, or $1.752 trillion. France (10.3%, $284.4B) remained in second place ahead of Canada (6.8%, $187.4B) in 3rd. Japan (5.9%, $163.4B) stayed in fourth, while the United Kingdom (3.6%, $98.4B) remained in fifth place. The Netherlands (2.1%, $58.0B) remained in sixth place ahead of Germany (1.7%, $46.3B), while Sweden (1.5%, $42.3B) inched ahead of Australia (1.5%, $41.2B). Switzerland (1.3%, $36.0B) ranked tenth. (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 August 31, 2017, Taxable money funds held 33.8% (up from 31.4%) of their assets in securities maturing Overnight, and another 16.2% maturing in 2-7 days (up from 14.1%). Thus, 50.0% in total matures in 1-7 days. Another 20.7% matures in 8-30 days, while 8.2% matures in 31-60 days. Note that over three-quarters, or 78.8% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 9.8% of taxable securities, while 9.4% matures in 91-180 days, and just 2.0% matures beyond 181 days.

Sep 08
 

The September issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "Treasury Funds Dodge Debt Ceiling Again; Reviewing Risks," which discusses the narrow avoidance of a technical Treasury default, "European MMF Reforms & Comment Letters to ESMA," which reviews pending regulatory changes for offshore funds, and, "10 Year Anniversary of Start of Subprime Liquidity Crisis," which looks back at the start of the financial crisis and its impact on money funds a decade ago. We have also updated our Money Fund Wisdom database with August 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 Sept. Money Fund Portfolio Holdings are scheduled to ship Tuesday, Sept. 12, and our Sept. Bond Fund Intelligence is scheduled to go out Friday, Sept. 15.

MFI's "Treasury Funds Dodge Bullet" article says, "While the danger of a technical default on U.S. Treasury bills may have passed for now, we think it's still worth looking at commentary on the subject over the past month. Though it likely won't be an issue again until December, the issues raised stress the need to examine risk, and steps to diffuse them, in the Government fund space (which is much bigger than it was). As they did in 2011, these fleeting concerns may prevent future dangers, but also may end up benefitting Prime MMFs."

The piece continues, "Federated's Sue Hill comments, 'Ultimately, we do not believe the Treasury will be forced into technical default. Treasury Secretary Steven Mnuchin and congressional leaders have pledged to take whatever steps are necessary to raise the debt ceiling. But we understand investors may be concerned by headlines. We expect either a short-term deal that pushes the issue off for a few months or a longer-​term agreement. But short-term markets have begun to reflect concern, with early October Treasury bill yield 10-15 basis points higher than surrounding maturities.'"

She adds, "W​e have been shying away from Treasury coupon-bearing securities that mature within this period: not because we believe they will default, but because we understand our shareholders may perceive a risk in those holdings. It is only prudent to do contingency planning. We have found most of our client concerns are liquidity and price volatility."

Our European update reads, "This month, Money Fund Intelligence reviews pending European Money Market Fund Reforms, and features replies to the European Securities and Markets Authority's (ESMA's) recent technical paper the implementation of these reforms. Irish law firm Dillon Eustace recently published a brief review of the reforms, entitled, "Ireland: A Guide To Money Market Funds Under The MMFR." We review this paper and quote from several comment letters to ESMA below. (Note: Our European Money Fund Symposium, which takes place Sept. 25-​26 at The Renaissance Paris La Defense Hotel in Paris, France, will discuss these issues in-depth. We hope to see many of you there!"

Dillon Eustace's paper states, "After protracted negotiations, the Council and the European Parliament reached political agreement on the final text of the Regulation on MMFs (​the "​MMFR") in November 2016.... ​MMFs in the EU manage assets of approximately E1 trillion representing approximately 15% of the EU's fund industry. As of 31 May 2017, Irish domiciled MMFs had assets ... of approximately E486.5 billion reflecting Ireland's status as the leading European domicile for MMFs."

It continues, "​`The Council formally adopted the MMFR on 16 May 2017 following the Parliament's approval of the agreed text on 5 April 2017 <b:>`_. The MMFR entered into on 20 July 2017 ... will become effective from 21 July 2018.... [E]xisting UCITS and AIFs that meet the definition of an MMF under the MMFR will have 18 months (i.e. by 21 January 2019) to comply with the requirements of the MMFR and submit an application to their national competent authority for authorisation under the MMFR."

The paper tells us, "The purpose of this briefing is to summarise and clarify the: Key elements of the MMFR i.e. scope; types of MMFs; investment policy requirements regarding eligible assets, diversification, concentration and credit quality; risk management requirements regarding portfolio rules (such as WAM, WAL and liquidity buckets), MMF credit ratings, know your customer and stress testing; valuation and dealing requirements; specific requirements for Public Debt CNAV MMFs and LVNAV MMFs; external support; transparency and reporting requirements; and, Next steps in the implementation of the MMFR."

Our "Subprime Crisis" piece says, "We've been writing and talking a little bit over the past month about the start of the Subprime Liquidity Crisis, which began in August and September 2007. (​See our August 11 News and August 8 Link of the Day, "10 Years Ago: Subprime Liquidity Crisis Began in Money Markets With ABCP Extensions.") Below, we take a look back at what, in retrospect, became the biggest challenge to the viability of the money fund industry in its almost 50 year history, and we also quote some of Fed Chair Janet Yellen's comments on the crisis."

The piece continues, "Though money funds were on top of the world going into the fall of 2007, things were about to change in a very bad way. In August 2007, we featured the stories: "Evergreen Removes Some ABCP Holdings to Protect Money Market Funds <i:https://cranedata.com/archives/all-articles/939/>`_" (8/20/07), "Columbia Comfortable With Fractional Extendible CP and CDO Holdings" (8/22), and "CFTC Sentinel Management Pool Is NOT a Money Market Mutual Fund" (8/14). (Note that these archives are still available to subscribers here.)"

In a sidebar, "Western Merges Primes," we write, "A new Prospectus Supplement filing for Western Asset Institutional Cash Reserves Inst (CARXX) tells us, "The Board of Trustees, on behalf of Western Asset Institutional Cash Reserves (​the "Target Fund"), has approved a reorganization pursuant to which the Target Fund's assets would be acquired, and its liabilities would be assumed, by Western Asset Institutional Liquid Reserves (​the "Acquiring Fund"), a series of the Trust, in exchange for shares of the Acquiring Fund."

Our Sept. MFI XLS, with August 31, 2017, data, shows total assets increased $68.7 billion in August to $2.897 trillion after increasing $32.6 billion in July, decreasing $20.2 billion in June, and increasing $20.3 billion in May and $68.9 billion in April. (Note that we added $67.3 billion in new funds in April.) Our broad Crane Money Fund Average 7-Day Yield was up 1 bp to 0.69% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was unchanged at 0.86% (7-day).

On a Gross Yield Basis (7-Day) (before expenses were taken out), the Crane MFA rose 0.02% to 1.15% and the Crane 100 rose 2 bps to 1.17%. Charged Expenses averaged 0.46% and 0.31% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 31 days (unchanged from last month) and for the Crane 100 was 31 days (down 1 day from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Aug 22
 

This month, Money Fund Intelligence interviews Sam Silver, Vice President & Chief Fixed Income Officer at American Beacon Advisors, which manages the American Beacon U.S. Government Money Market Select Fund. We discuss the firm's presence in money funds and in local government investment pools (or LGIPs), the dramatic changes over the past year in the space, and the outlook for the cash investment world going forward. Our Q&A follows. (Note: This interview is reprinted from the August issue of our flagship MFI newsletter; contact us at info@cranedata.com to request the full issue.)

MFI: How long have you been running money funds? Silver: I first joined American Beacon in 1999 and have been involved in the MMF Industry since 1989. American Beacon has provided cash management since 1986 and opened its first MMF in 1987. American Beacon currently manages over $60 billion between Mutual Funds and Separately Managed Accounts. The makeup of the assets includes Equity, Fixed Income and Money Market/Cash Management accounts. In the cash management space, we manage corporate cash accounts along with Local Government Investment Pools (LGIPs).... Our government money market fund is an institutional fund, so it is made up of primarily corporate accounts who are looking for a stable NAV with a reasonable yield.

MFI: What is your biggest priority? Silver: We are primarily focused on the Fed, since they've been active here recently. So [we're watching] the Fed and economic data, just to make sure all the portfolios are properly positioned during this rising interest rate environment.... As far as looking at opportunities ... we continue to look for clients with stable assets that are a good fit for our government money market fund. For those who want a stable value alternative to prime funds, we also offer customized separate accounts. [S]ome clients like to have separate guidelines slightly different from money market funds to provide more flexibility than what a money market fund can offer.

MFI: Did you guys "Go Government" like much of the industry? Silver: Last year, we decided to go with Government only money market funds and ... closed our Prime Institutional MMF. Those assets went over to our government money market fund, and this was primarily the result of our clients wanting to be invested in a stable NAV portfolio over a variable NAV portfolio.

MFI: What's your biggest challenge? Silver: Managing cash with new liquidity requirements is a new challenge. There've also been [some] disconnects over the last couple of years between what the markets are expecting versus what the Fed is actually doing. For a long time, the Fed kept talking about ... rais[ing] rates, and the market really didn't believe it.... Now that the Fed has started, they seem to be on a mission to normalize rates. It was obviously a challenging environment from 2008 until the end of 2015 when we were in that zero interest rate environment, because there were a lot of fee waivers going on with money market funds, especially retail funds. Institutional funds, with lower expense ratios, were in better shape. But [some] still had to waive fees during that environment just to keep a positive yield.

MFI: What are you buying now? Silver: It depends on the account or fund. But many of the portfolios that we manage are rated and we must adhere to those guidelines as well. We are buying top-tier commercial paper, CDs, U.S. Government agencies and U.S. Treasuries. This includes both fixed and floating/variable rate securities, because during this interest rate environment we're not buying long, fixed securities. We're buying shorter fixed and buying some floating and variable rate type of securities.... We have seen pressure in October of this year on some Treasury bills. It is a little unusual right now, but the Treasury rates are above the short agencies in that 3-month period [due to the debt ceiling]. So, we're limiting exposure, but we do have some.

MFI: What are your biggest customer concerns these days? Silver: It depends on the type of account, but mostly structural reform. With the local government investment pools, you have a much more stable asset base and different rules to follow. So there wasn't as much of a concern there once they found out they weren't going to have to follow all the new 2a-7 rules. GASB oversees all the LGIPs, versus the SEC for 2a-7 funds. Otherwise, for years it was the low interest rate environment that was bothering clients.... Now they're feeling much better.

MFI: Do you guys run internal fund cash too? Silver: Yes, we do. We sweep the cash assets from our mutual fund lineup here at American Beacon into the government fund. So we do manage that cash.

MFI: Tell us more about LGIPs and GASB? Silver: There are some slight changes to the LGIPs with new regulations. But GASB was watching all the money market reforms, and they [decided against] the fees and gates. So that's one thing they left out. They do follow the overnight and 7-day liquidity requirements of 10 and 30 percent, respectively, and they also follow the WAM and WAL [limits] for the 60 and 120 days.... That's for the AAA-type local government investment pools... We're mainly involved with LGIPs in Louisiana and Texas.... They're nice accounts because you build a relationship with those involved in the LGIP, and you get a good feel for seasonal flows.... Whereas, in a government fund or within money market funds in general, a lot of times you don't get to know the underlying shareholders as well.

MFI: How did fee waivers impact you? Silver: It's a relief that the fee waivers are no longer in place. Since we only manage institutional money or institutional only money market funds, our fees were fairly low to begin with. We were waiving [some] management fees to keep a positive yield.... That went on basically from 2009 until 2015. Then that's when we got the first rate hike [and didn't have to] waive fees any longer.... So, yes, we were able to get out of that fee waiver situation after the first rate hike. Now that we've had 4 rate hikes, and we're in that 1 to 1 1/4 percent range on Fed funds, I believe all institutional funds and most funds are not waiving any longer. We've seen recent stories that some of the last funds that were waiving are no longer waiving.

MFI: Can you comment further on last year's MMF reforms? Silver: The implementation of MMF Reform by the money market industry seemed to go smoothly, since there was plenty of lead time going into it <b:>`_. This allowed the industry to prepare and get client feedback on their intensions with regards to Prime versus Government MMFs. The hardest part was trying to decide whether to keep a Prime MMF or go all Government, since there was a substantial cost to Prime and the variable NAV.

Silver continues: Also, making sure that all the systems and websites accounted for new disclosures properly was a challenge.... We were able to accommodate [the changes] without any hiccups. There were a lot of questions going into it.... But all in all it seems like the whole money fund industry handled that pretty well. You didn't really hear much about stress in the market, other than just rates in general.

MFI: Do you guys manage ultra-short bonds or offshore funds? Silver: We don't have offshore funds. Some of the separate accounts that we manage have similar characteristics to ultra-short bond funds, and we've been managing LGIPs since 2000. We have close working relationships with these accounts, which allows us to provide responsive investment strategies with a high level of service. American Beacon also has a selection of bond funds that are managed by outside managers, similar to our equity funds. Internally, we focus primarily on money market assets and cash management, which we've been doing for over 30 years.

MFI: What is your outlook for rates and MMFs? Silver: I think the Fed will continue its path of raising short-term rates and begin reducing its balance sheet. I'm expecting one more rate hike of 25 bps before year-end, and that the Fed will begin the reduction of its balance sheet also before the end of the year.... It's nice to see the increases in short-term rates have not disrupted markets, and clients looking for attractive short-term yields are finally starting to get paid again on their cash.

Silver adds: I think MMFs are going to continue to provide a valuable service to those looking for a safe place to park their money. They provide a good alternative to banks, which may not be looking for cash or paying much for it. Investors want liquidity along with attractive short-term yields, so I think money market funds will remain in demand. I believe the shift in MMF assets from Prime to Government Funds will remain, as long as Government Funds continue to transact at a stable $1 NAV and Institutional Prime Funds continue to transact at a variable NAV.

Aug 10
 

Crane Data released its August Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of July 31, 2017, shows a sharp drop in Repo after quarter end but increases in most other composition segments. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $61.5 billion to $2.692 trillion last month, after decreasing $60.8 billion in June, increasing $59.8 billion in May, and decreasing $3.2 billion in April. Repo remained the largest portfolio segment, while `Treasuries and Agencies were neck and neck for the number two spot. CDs increased and remained in fourth place, followed by Commercial Paper, 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 a sample of our latest Portfolio Holdings Reports.)

Among all taxable money funds, Repurchase Agreements (repo) decreased $55.6 billion (-5.8%) to $898.7 billion, or 33.4% of holdings, after rising $12.4 billion in June, $83.7 billion in May, and $24.6 billion in April. Treasury securities rose $36.7 billion (5.7%) to $678.2 billion, or 25.2% of holdings, after falling $31.4 billion in June, $27.5 billion in May, and $53.5 billion in April. Government Agency Debt increased $48.4 billion (7.7%) to $677.0 billion, or 25.1% of all holdings, after decreasing $1.7 billion in June, $1.4 billion in May, and rising $4.0 billion in April. Repo, Treasuries and Agencies total $2.254 trillion, representing a massive 83.7% of all taxable holdings.

CDs and CPs increased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposit (CDs) increased $13.6 billion (8.5%) to $174.5 billion, or 6.5% of taxable assets, after decreasing $19.5 billion in June, remaining unchanged in May, and increasing $8.1 billion in April. Commercial Paper (CP) was up $8.0 billion (5.0%) to $166.7 billion, or 6.2% of holdings (after decreasing $0.5 billion in June, $0.9 billion in May, and increasing $10.4 billion in April). Other holdings, primarily Time Deposits, rose by $14.7 billion (20.1%) to $87.8 billion, or 3.3% of holdings. VRDNs held by taxable funds decreased by $4.2 billion (-31.1%) to $9.4 billion (0.3% of assets).

Prime money fund assets tracked by Crane Data increased to $593 billion (up from $575 billion last month), or 22.0% (up from 21.3%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.4% (up from 28.0% a month ago), followed by Commercial Paper at 28.1% (up from 27.6%). The CP totals are comprised of: Financial Company CP, which makes up 16.9% of total holdings, Asset-Backed CP, which accounts for 6.2%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 3.6% in US Govt Agency Debt, 8.2% in US Treasury Debt, 8.5% in US Treasury Repo, 0.4% in Other Instruments, 12.2% in Non-Negotiable Time Deposits, 1.6% in Other Repo, 1.6% in US Government Agency Repo, and 1.2% in VRDNs.

Government money fund portfolios totaled $1.468 trillion (54.5% of all MMF assets), up from $1.451 trillion in June, while Treasury money fund assets totaled another $631 billion (23.4%), up from $605 billion the prior month. Government money fund portfolios were made up of 44.6% US Govt Agency Debt, 18.0% US Government Agency Repo, 13.9% US Treasury debt, and 23.2% in US Treasury Repo. Treasury money funds were comprised of 67.4% US Treasury debt, 32.3% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.099 trillion, or 78.0% of all taxable money fund assets, up from 76.3% last month.

European-affiliated holdings increased $13.7 billion in July to $543.2 billion among all taxable funds (and including repos); their share of holdings increased to 20.2% from 15.4% the previous month. Eurozone-affiliated holdings increased $11.6 billion to $368.6 billion in July; they account for 13.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $4.4 billion to $206.4 billion (7.7% of the total). Americas related holdings decreased $80.6 billion to $1.942 trillion and now represent 72.1% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $71.9 billion, or -10.8%, to $595.0 billion, or 22.1% of assets; US Government Agency Repurchase Agreements (up $19.1 billion to $275.6 billion, or 10.2% of total holdings), and Other Repurchase Agreements ($28.2 billion, or 1.0% of holdings, down $2.8 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.5 billion to $100.5 billion, or 3.7% of assets), Asset Backed Commercial Paper (down $0.7 billion to $36.7 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $5.2 billion to $29.5 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of July 31, 2017, include: the US Treasury ($678.2 billion, or 25.2%), Federal Home Loan Bank ($529.1B, 19.7%), Federal Reserve Bank of New York ($184.1B, 6.8%), BNP Paribas ($109.1B, 4.1%), Federal Farm Credit Bank ($63.4B, 2.4%), RBC ($62.5B, 2.3%), Credit Agricole ($60.7B, 2.3%), Wells Fargo ($53.4B, 2.0%), Nomura ($50.5B, 1.9%), Federal Home Loan Mortgage Co. ($49.2B, 1.8%), HSBC ($45.7B, 1.7%), Societe Generale ($44.3B, 1.6%), Mitsubishi UFJ Financial Group Inc. ($38.4B, 1.4%), JP Morgan ($35.8B, 1.3%), Citi ($33.0B, 1.2%), Barclays PLC ($33.0B, 1.2%), Bank of America ($32.4B, 1.2%), Bank of Nova Scotia ($32.0B, 1.2%), Natixis ($31.4B, 1.2%), and Toronto-Dominion Bank ($30.7B, 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: Federal Reserve Bank of New York ($184.1B, 20.5%), BNP Paribas ($95.4B, 10.6%), Nomura ($50.5B, 5.6%), Credit Agricole ($48.0B, 5.3%), RBC ($44.7B, 5.0%), Wells Fargo ($40.8B, 4.5%), HSBC ($40.5B, 4.5%), Societe Generale ($39.4B, 4.4%), JP Morgan ($28.9B, 3.2%), and Bank of America ($27.5B, 3.1%).

The 10 largest Fed Repo positions among MMFs on 7/31 include: Northern Trust Trs MMkt ($16.5B in Fed Repo), Fidelity Cash Central Fund ($13.2B), JP Morgan US Govt ($11.9B), Vanguard Market Liquidity Fund ($11.2B), Fidelity Sec Lending Cash Central ($8.7B), Morgan Stanley Inst Lq Gvt Sec ($8.4B), Fidelity Inv MM: Treasury Port ($8.2B), Northern Inst Gvt Select ($6.6B), Goldman Sachs FS Gvt ($6.5B), and Vanguard Prime MMkt Fund ($6.4B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($17.8B, 4.8%), Mitsubishi UFJ Financial Group Inc. ($15.5B, 4.1%), Toronto-Dominion Bank ($14.2B, 3.8%), BNP Paribas ($13.7B, 3.7%), Bank of Montreal ($12.8, 3.4%), Credit Agricole ($12.6B, 3.4%), Wells Fargo ($12.5B, 3.4%), Canadian Imperial Bank of Commerce ($11.8B, 3.1%), Bank of Nova Scotia ($11.5B, 3.1%), and Citi ($10.7B, 2.9%).

The 10 largest CD issuers include: Toronto-Dominion Bank ($12.9B, 7.4%), Wells Fargo ($12.4B, 7.2%), Bank of Montreal ($12.4B, 7.1%), Mitsubishi UFJ Financial Group Inc ($11.0B, 6.3%), Sumitomo Mitsui Banking Co ($9.7B, 5.6%), RBC ($9.7B, 5.6%), Citi ($7.8B, 4.5%), Sumitomo Mitsui Trust Bank ($7.4B, 4.3%), Landesbank Baden-Wurttemberg ($7.0B, 4.0%), and Svenska Handelsbanken ($6.3B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($8.0B, 5.6%), Commonwealth Bank of Australia ($7.3B, 5.1%), Westpac Banking Co ($6.8B, 4.8%), JP Morgan ($6.3B, 4.4%), BNP Paribas ($6.1B, 4.3%), National Australia Bank Ltd ($5.1B, 3.5%), RBC ($4.6B, 3.2%) Canadian Imperial Bank of Commerce ($4.3B, 3.0%), Toyota ($4.2B, 2.9%), and Mitsubishi UFJ Financial Group Inc ($4.1B, 2.9%).

The largest increases among Issuers include: Federal Home Loan Bank (up $48.3B to $529.1B), Credit Agricole (up $38.3B to $60.7B), US Treasury (up $36.7B to $678.2B), Barclays PLC (up $18.0B to $109.1B), Societe Generale (up $15.1B to $44.3B), JP Morgan (up $12.0B to $35.8B), Natixis (up $11.8B to $31.4B), Credit Suisse (up $10.9B to $19.7B), and ING Bank (up $5.4B to $28.4B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Federal Reserve Bank of New York (down $173.5B to $184.1B), Bank of America (down $6.6B to $32.4B), Svenska Handelsbanken (down $5.0B to $10.5B), Federal Home Loan Mortgage Co (down $4.6B to $49.2B), Bank of Montreal (down $3.9B to $27.9B), UBS AG (down $3.3B to $4.8B), RBC (down $3.1B to $62.5B), HSBC (down $1.2B to $45.7B), Nordea Bank (down $1.1B to $10.4B), and Swedbank AB (down $1.1B to $7.0B).

The United States remained the largest segment of country-affiliations; it represents 65.5% of holdings, or $1.762 trillion. France (9.6%, $257.3B) moved up to second place ahead of Canada (6.7%, $179.6B) in 3rd. Japan (5.7%, $154.3B) stayed in fourth, while the United Kingdom (3.6%, $97.3B) remained in fifth place. The Netherlands (1.8%, $49.4B) moved into sixth place ahead of Germany (1.8%, $49.1B) and Australia (1.4%, $38.5B), Sweden (1.4%, $38.0B). Switzerland (1.0%, $26.9B) ranked tenth. (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, 2017, Taxable money funds held 31.4% (down from 36.5%) of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (up from 13.5%). Thus, 45.6% in total matures in 1-7 days. Another 18.6% matures in 8-30 days, while 12.3% matures in 31-60 days. Note that over three-quarters, or 76.4% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 8.5% of taxable securities, while 11.4% matures in 91-180 days, and just 3.7% matures beyond 181 days.