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Capital Advisors Group published a new research piece entitled, "Liquidity in Question – What Do We Do with Prime Money Market Funds?" Author Lance Pan says in the "Abstract," "After sudden shareholder redemptions in March stressed money market funds, it became clear that several rounds of reforms since the 2008 crisis have failed to bolster institutional prime money market funds as liquidity vehicles. While extraordinary government measures once again helped to stabilize the market, they should not be recurrent policy decisions. Regulations have reduced the systemic status of prime funds in commercial paper (CP) funding and the overall economy."

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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.)

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Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out later Friday, and we'll be writing our normal monthly update on the June 30 data for Monday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Thursday. (We continue to merge the two series, and the N-MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of June 30, 2020, includes holdings information from 1,078 money funds (up 2 from last month), representing assets of a record $5.153 trillion (down $168 billion). We review the new N-MFP data below.

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Crane Data's latest Money Fund Market Share rankings show assets decreased for the vast majority of U.S. money fund complexes in June. Money market fund assets decreased $104.6 billion, or -2.1%, last month to $5.047 trillion. Assets have fallen by $81.7 billion, or -1.6%, over the past 3 months, but they've increased by $1.426 trillion, or 39.4%, over the past 12 months through June 30, 2020. The biggest increases among the 25 largest managers last month were seen by Vanguard, Northern, Wells Fargo, Dreyfus, DWS and Western, which increased assets by $17.9 billion, $7.9B, $7.7B, $3.9B, $3.7B and $2.8B, respectively. The largest declines in assets among the largest complexes in June were seen by JP Morgan, Fidelity, BlackRock, Federated Hermes, Morgan Stanley and Goldman Sachs, which decreased assets by $31.1 billion, $22.1B, $20.4B, $18.4B, $15.7B and $12.4B, respectively. Our domestic U.S. "Family" rankings are available in our MFI XLS product, our global rankings are available in our MFI International product. The combined "Family & Global Rankings" are available to Money Fund Wisdom subscribers. We review the latest market share totals below, and we also look at money fund yields in June.

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The July issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Wednesday morning, features the articles: "Fidelity Exits Prime Inst Space, Though Assets Growing Nicely," which focuses on the closing of some institutional prime money market funds; "T. Rowe Price's Lynagh Says Stay True to MMF Mandate," which profiles the VP and leader of TRP's cash business; and, "AFP Liquidity Survey: Safety, Bank Relationships Still Key," which reviews the latest preferences of corporate treasurers. We've also updated our Money Fund Wisdom database with June 30 statistics, and we sent out our MFI XLS spreadsheet Wednesday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our July Money Fund Portfolio Holdings are scheduled to ship on Friday, July 10, and our July Bond Fund Intelligence is scheduled to go out Wednesday, July 15.

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Last week, we published excerpts from our latest online event, "Crane's Money Fund Webinar: Portfolio Holdings Update." (See our July 2 News, "Crane and Ho Discuss Inflows, Waivers and Prime Exits on 2nd Webinar.") The session, which featured Crane Data's Peter Crane and J.P. Morgan Securities' Teresa Ho, discussed the latest trends in the money fund space with a focus on recent Money Fund Portfolio Holdings data. Today, we highlight the second half of the webinar. Readers may access the video recording and materials via our Webinar page here. (Also, register for our next event, "Crane's Money Fund Webinar: Portfolio Manager Perspectives," which is scheduled for Wednesday, July 22 at 1:00pm (EDT). It will feature our Peter Crane hosting a panel of PMs, including Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak.)

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Money market fund assets fell sharply at quarter-end, their sixth weekly decline in a row. Since the week ended May 20, assets have fallen by $134.0 billion, but this follows 15 straight weeks of inflows (during which time assets increased by $1.175 trillion). ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets decreased by $27.67 billion to $4.66 trillion for the week ended Wednesday, July 1, the Investment Company Institute reported.... Among taxable money market funds, government funds decreased by $22.45 billion and prime funds decreased by $4.71 billion. Tax-exempt money market funds decreased by $508 million." ICI's stats show Institutional MMFs decreasing $24.5 billion and Retail MMFs decreasing $3.2 billion. Total Government MMF assets, including Treasury funds, were $3.764 trillion (80.9% of all money funds), while Total Prime MMFs were $761.1 billion (16.4%). Tax Exempt MMFs totaled $130.6 billion, 2.8%.

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Late last week, Crane Data hosted its second online event, "Crane's Money Fund Webinar: Portfolio Holdings Update," which featured Peter Crane and J.P. Morgan Securities' Teresa Ho. The pair gave an update on the latest trends in the money fund space with a focus on the latest Money Fund Portfolio Holdings data. We excerpt highlights from the first half of the webinar below, but readers may also access the video recording and materials via our Webinar page here. (Mark your calendars and register for our next event, "Crane's Money Fund Webinar: Portfolio Manager Perspectives," which is scheduled for Wednesday, July 22 at 1:00pm (EDT). It will feature our Peter Crane hosting a panel of PMs, including Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak.)

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The ICI released its "Trends in Mutual Fund Investing" and its "Month-End Portfolio Holdings of Taxable Money Funds" for May 2020 late yesterday. The former report shows that money fund assets increased by $31.8 billion to $4.769 trillion in May, after increases of $399.4 billion in April, $690.6 billion in March and $32.9 billion in February. For the 12 months through May 31, 2020, money fund assets have increased by a breath-taking $1.609 trillion, or 50.9%. (Crane Data's separate MFI Daily series shows money fund assets decreasing by $85.5 billion month-to-date in June through 6/26.)

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We wrote last week about the Association for Financial Professionals' new "2020 AFP Liquidity Survey," and quoted from the press release and the survey's summary report. Today, we excerpt more from the major sections on cash and money markets. The survey reports, "At 47 percent of organizations, investment policies call out and/or separate cash holdings used for day-to-day liquidity from the rest of the company's cash and short-term investment holding -- a five-percentage-point decrease from last year. Those policies include guidance stipulating the amount of cash holdings that is set aside for day-to-day liquidity versus other uses. The decline in the percentage of companies that have policies calling out cash holdings might be correlated with the lower percentage of organizations having written investment policies. The share reported in the current survey is closer to the 45 percent figure in 2018."

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Money market fund assets inched lower in the latest week, their fifth weekly decline in a row. Since the week ended May 20, assets have declined by $106.3 billion, but this follows 15 straight weeks of inflows (during which time assets increased by $1.175 trillion). ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets decreased by $1.58 billion to $4.68 trillion for the week ended Wednesday, June 24, the Investment Company Institute reported.... Among taxable money market funds, government funds decreased by $1.06 billion and prime funds increased by $1.07 billion. Tax-exempt money market funds decreased by $1.59 billion." ICI's stats show Institutional MMFs increasing $720 million and Retail MMFs decreasing $2.3 billion. Total Government MMF assets, including Treasury funds, were $3.786 trillion (80.8% of all money funds), while Total Prime MMFs were $765.8 billion (16.4%). Tax Exempt MMFs totaled $131.1 billion, 2.8%.

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The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $31.0 billion in May to a record $5.231 trillion, the 22nd increase in the past 23 months. (Month-to-date in June through 6/23, assets have decreased by $63.9 billion according to our MFI Daily.) The SEC shows that Prime MMFs increased $50.6 billion in May to $1.141 trillion, while Govt & Treasury funds fell by $18.6 billion to $3.951 trillion. Tax Exempt funds decreased by $1.0 billion to $140.1 billion. Yields were down across the board for Prime, Govt and Tax-Exempt MMFs in May. The SEC's Division of Investment Management summarizes monthly Form N-MFP data and includes asset totals and averages for yields, liquidity levels, WAMs, WALs, holdings, and other money market fund trends. We review their latest numbers below. (Note: Crane's Money Fund Webinar: Portfolio Holdings Update takes place today at 2:00pm EDT. Crane Data's Peter Crane and J.P. Morgan Securities' Teresa Ho will discuss the latest trends in money funds and portfolios. To register, click here.)

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