Crane Index Archives
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| 11/01/2008 (2/11) |
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| 10/01/2008 (2/10) |
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| 09/01/2008 (2/9) |
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9/9
Taxable money market mutual fund yields were flat in August and will remain remain flat for the foreseeable future. Tax-exempt money fund yields, however, plunged in August after jumping in July. Our Crane Money Fund Average, which is comprised of 900 taxable money market mutual funds, yielded 1.96% (7-day simple) as of Aug. 31, 2008, unchanged from the prior month. The Crane Tax Exempt MF Index, which is comprised of 455 municipal and tax-free money funds, yielded 1.35% at the end of August vs. 1.82% as of July 31. The Crane 100 Money Fund Index, a benchmark of the 100 largest taxable funds, remained flat at 2.24% in August. A year ago, the Crane 100 was 5.01%, and at the start of 2008 the index was 4.49%. Through August 31, 2008, the Crane 100 shows the following unannualized returns: 0.19% for 1-month 0.55% for 3 months; and 1.88% for YTD. For the pasy 1-year it returned 3.50%. Average annualized returns for money fund investors were 4.29% over 3 years, 3.16% for 5 years, and 3.48% for 10 years. All of these returns are net of fees. Expense ratios for money funds declined slightly in August. The average expense ratio among the largest money funds, as measured by the Crane 100, was 0.37% (annualized) for the latest month. The broader Crane Money Fund Average shows taxable money fund expenses at 0.47%, while Tax Exempt funds averaged 0.54%. Money fund portfolio maturities extended slightly. Our Crane MF Average remained at a 40 day AM (average maturity), but our Crane 100 Index's AM rose from 45 to 47 days. Tax exempt AMs went from 29 days to 30 days. Average maturity measures the duration of fund investments and the length of time, in days, it takes a portfolio to turn over. As you can see, money fund portfolios have an extremely short lifespan. For more on our Crane Money Fund Indexes and Averages, see the latest issue of Crane Index, Money Fund Intelligence, Money Fund Intelligence XLS, or Money Fund Intelligence Daily. Crane Indexes are also available on Bloomberg Professional -- enter 'ALLX CRNI' for a listing. |
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| 08/01/2008 (2/8) |
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8/7
The August issue of Crane Data's flagship Money Fund Intelligence was e-mailed to subscribers this morning. The latest newsletter features the articles "Looking at Money Fund Portfolio Composition," "Federated's Ochson Debunks Muni Myths," and "Clearwater, DB Launch M-Fund Transparency." MFI also includes the latest money fund news (in more detail than the website), indexes, performance, and statistics. The monthly "Fund Profile" and manager interview features a discussion with Mary Jo Ochson, Senior portfolio manager and CIO of Federated Investors' Tax-Exempt Money Market Group. Ochson tells MFI readers about the new money fund eligible variable-rate demand preferreds (VRDPs) being issued by closed-end funds to retire auction-rate preferred securities (ARPS). She also addresses concerns over monoline insurers and discusses asset growth and other issues in the tax-free money fund marketplace. As of July 31, the Crane Money Fund Average, our broadest measure of taxable money fund performance including 885 funds, remained unchanged yielding (7-day simple) 1.96%. The Crane 100 Index declined by 0.03% to 2.24% during July. The Crane Institutional MF Index fell 1 basis point to 2.23%, the Crane Individual MF Index was unchanged at 1.80%, and the Crane Tax-Exempt MF Index jumped 0.54% to 1.82%. Through July 31, 2008, the Crane 100 Index returned 0.19% for one-month, 0.55% for 3 months, 1.68% YTD, 3.75% over 1-year, 4.31% over 3 years (annualized), 3.14% over 5 years, and 3.50% over 10 years. Its average maturity rose by one day to 45 days. To request the latest issue of Money Fund Intelligence or Crane Index, e-mail Pete Crane (pete@cranedata.us). |
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| 07/01/2008 (2/7) |
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| 06/01/2008 (2/6) |
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| 05/01/2008 (2/5) |
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| 04/01/2008 (2/4) |
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4/8
The April issue of our Money Fund Intelligence and Crane Index publications show that money market fund yields continued to decline in March. The benchmark Crane 100 Money Fund Index fell 51 basis points (0.51%) to 2.76% (7-day simple yield) in the month ended March 31, 2008. This index has fallen 173 bps since Dec. 31, 2007, and has fallen 224 bps (from 5.00%) since March 31, 2007. The Crane 100 Index returned the following for March 2008: 1-month (0.25%), 3-mo (0.89%), YTD (0.89%), 1-Year (4.65%), 3-Yr (4.35%), 5-Yr (3.04%), and 10-Yr (3.60%). Its 30-Day yield was 2.96% as of month-end. The broader Crane Money Fund Average, which tracks 861 taxable money market mutual funds, yielded 2.26% (7-day) and 2.52% (30-day) as of March 31, down 61 bps (its 7-day yield) from a month earlier and down 263 bps from a year earlier. The Crane Institutional MF Index declined 60 bps to 2.56% and the Crane Individual MF Index declined 63 bps to 2.08% in March. Our Crane Tax Exempt Index fell 50 bps to 1.86%. During the month, the Federal funds target rate was reduced from 3.00 to 2.25 percent. Brokerage cash and bank rates also declined during the month, though the former is starting to slow its descent (due to some rates approaching zero). Our monthly Crane Brokerage Cash Index fell to 1.80% (down 29 bps), and our Crane Top Bank MM Index fell by 31 bps to 3.35%. For more details on the Crane Indexes or to request a copy of our monthly Crane Index product, e-mail Pete or call 1-508-439-4419. (You can also type "ALLX CRNI" to see the list of Crane Indexes available on the Bloomberg(r) Professional service.) |
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| 03/10/2008 (2/3) |
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| 02/01/2008 (2/2) |
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| 01/01/2008 (2/1) |
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1/10
Crane 100 Return 5% in 2007; Indexes Continue Lower in December. Money market mutual funds, as measured by the Crane 100 Money Fund Index, returned 5.01% for calendar 2007. The Crane 100 returned 0.38% in December, 1.18% for Q4'07, and returned an annualized rate of 4.24% over 3 years, 2.90% over 5 years, and 3.64% over 10 years through December 31, 2007. The Crane 100 began 2007 with a 7-day annualized current yield of 4.98% (and spend the first half of the year there) and ended the year yielding 4.49%. For calendar 2007, the broad Crane Money Fund Average returned 4.79%; the Crane Institutional MF Index returned 5.09%; the Crane Individual MF Index returned 4.62%; and, the Crane Tax Exempt MF Index returned 3.17%. Among subcategories, the Crane Prime Institutional MF Index returned 5.23% and the Prime Individual Index returned 4.78% in 2007. Average maturities of money funds decreased in December, with the Crane 100 AM (average maturity) declining from 41 to 38 days on average. (AM measures the average length of time for a money fund portfolio to turn over.) See the January issue of our Crane Index or Money Fund Intelligence for a full listing of index returns by category. |
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| 12/01/2007 (1/9) |
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12/5
Crane 100 Money Fund Index Continues March Downward in November. Crane Data's flagship benchmark Crane 100 Money Fund Index, an average 7-day yield (simple) of the 100 largest taxable money market mutual funds, declined by 23 basis points in November, from 4.79% on Oct. 31 to 4.56% Nov. 30. The daily index (available on Bloomberg, symbol 'CRNI100D') has continued drifting lower in December. It was 4.54% as of Dec. 4. The Crane 100 had been at 5.00% as of July 31, 2007, prior to the credit crisis, rose to 5.04% as of Aug. 31, then fell to 4.95% as of Sept. 30. Money market mutual fund yields should continue their downward trend once, if as expected, the Federal Reserve lowers its Fed funds target rate from its current 4.5% level on Tuesday. E-mail Pete for a copy of our Crane Index product, which includes a number of additional cash benchmarks, or for a list of funds that make up the Crane 100. |
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| 11/01/2007 (1/8) |
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| 10/01/2007 (1/7) |
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10/4
Bloomberg Adds Crane 100 Money Fund Index and Crane Averages. Starting today, users of the Bloomberg Professional service now may access current and historical data on the Crane 100 Money Fund Index, Crane Data LLC's flagship average yield benchmark measuring the 100 largest taxable money market mutual funds. Bloomberg users will also have access to monthly performance data on the Crane Money Fund Average, which tracks a broader universe of 780 taxable money funds, and the Crane Tax Exempt Money Fund Index, which tracks 405 tax-free and municipal money funds. The list of indexes and data points available may be seen by Bloomberg users that enter "ALLX CRNI", and the Crane 100 is ticker "CRNI100D". Contact Pete for a listing of all indexes and for sample of our monthly Crane Index product. |
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| 09/01/2007 (1/6) | |||||||||||||
| 08/01/2007 (1/5) | |||||||||||||
| 07/01/2007 (1/4) | |||||||||||||
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7/18
June 2007 Crane Money Fund Indexes Show 5% Yields Propagating. The most recent Money Fund Intelligence (July) and Crane Index publications showed money market mutual fund and "cash" averages remaining relatively steady in the month ended June 30, 2007, but longer-term returns continue to be pulled upwards. The Crane Money Fund Average, our broadest measure of money fund performance (740 taxable funds) yielded 4.80% and 4.82% (7-day and 30-day current yields, respectively, as of June 30, 2007). For 1-month, the Crane Average returned 0.40%; for 3-mos. 1.21%; year-to-date (6 mos) 2.42%; 1-year 4.94%; 3-yr 3.47%; 5-yr 2.40%; and, 10-yr 3.50%. The higher-yielding Crane 100 Money Fund Index, an average of the 100 largest funds, returned: 0.41% (1-mo); 1.24% (3-mo); 2.49% (YTD); 5.08% (1-yr, up from 5.06% last month); 3.63% (3-yr, up from 3.52%); 2.56% (5-yr, up from 2.50%); and 3.66% (10-yr). The Crane Brokerage Sweep Index, which tracks the largest "bankerage" programs, returned 2.80% in June (annualized). Contact us to see the July issue of Crane Index. |
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| 06/01/2007 (1/3) |
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6/14
Crane Index, Monthly Money Fund Average Product, Goes Live. After two months of "beta" testing, the Crane Index our low-cost monthly money market mutual fund, bank sweep and cash investment benchmarking product went live last month. The Crane Index product lists all of the Crane Money Fund Indexes from Money Fund Intelligence, providing a convenient one-page summary of average current yields and longer-term returns on money funds, so funds, banks, investors, and consultants can conveniently measure their cash returns against a series of benchmarks. |
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| 05/01/2007 (1/2) |
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| 04/01/2007 (1/1) |
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Link of the Day
more links »Money Fund Assets Hit Record $3.68 Tril.
ICI's latest weekly "Money Market Mutual Fund Assets" report show that assets increased by $43.88 billion to a record $3.681 trillion the week ended Wednesday, Nov. 19. Money fund assets rose for the ninth consecutive week, following two weeks of declines due to Reserve Primary's "breaking the buck" and have increased by $225 billion since Sept. 24. Retail assets rose by $8.41 billion to $1.273 trillion, while Institutional assets rose by $35.47 billion to $2.408 billion. Prime Institutional assets increased by over 2% for the second consecutive week, gaining $24.5 billion to $1.098 trillion. In other news, see WSJ' "Treasury Will Help Liquidate Reserve Fund".
"SEC puts off vote on rules for rating agencies"
The Associate Press writes "SEC puts off vote on rules for rating agencies", saying, "The Securities and Exchange Commission on Wednesday delayed a plan to adopt new rules aimed at stemming conflicts of interest in Wall Street's credit rating industry." The SEC will next discuss the issue at a public meeting Dec. 3. Regarding money funds, AP says, "The SEC also proposed another set of rules that could reduce the influence of the credit rating industry by, among other things, making it possible for money-market funds to buy short-term debt without the current requirement that it be highly rated by the agencies. The SEC will consider all the proposals at next month's meeting, though the conflict-of-interest rules may be the only ones adopted." Another link to check today is the Federal Reserve's H.4.1 "Factors Affecting Reserve Balances" Series, which discloses weekly totals in the Fed's "Asset-backed commercial paper money market mutual fund liquidity facility" (currently $80.2 billion, down $11.5 billion from last week) and its "Net portfolio holdings of Commercial Paper Funding Facility LLC" (which total $249.9 billion). They will also post the MMIFF numbers once the program goes live next week.
Fitch Publishes Presale on 5 Money Mkt Investor Funding Facility ABCP Programs
"Fitch Publishes Presale on 5 Money Mkt Investor Funding Facility Related ABCP Programs," says a press release on MarketWatch via Businesswire. The release says, "Fitch Ratings has published a pre-sale report on 5 money market investor funding facility related (MMIFF) asset-backed commercial paper (ABCP) programs. As detailed in the report, Fitch expects to assign an 'F1' [First Tier] rating to each of five ABCP programs that have been created in conjunction with the MMIFF. This Federal Reserve Board initiative is designed to provide liquidity to U.S. money market investors by facilitating the sales of money market instruments in the secondary market. The five programs are structurally identical and differ only with respect to each one's unique list of approved obligors." ABCP will be issued by the following programs: Hadrian Funding, $220 billion; Trajan Funding, $150 billion; Aurelius Funding, $140 billion; Antoninus Funding, $70 billion; and Nerva Funding, $20 billion. The MMIFF program is expected to go live next week. Also, see Bloomberg's "ABCPMMMFLF Spells Fed Relief for JPMorgan, Citi Shadow Banking", which says, "The U.S. Federal Reserve's emergency lending programs, intended to thaw commercial paper and money markets, are also helping banks limit losses from some of their $4 trillion in off-the-books guarantees and loan commitments," and Bloomberg's "Citi Agrees to Acquire SIV Assets for $17.4 Billion". Finally, see Reserve Yield Plus Update and "Joseph T. Monagle, Jr. Hired to Advise on [Reserve] Money Fund Liquidation."