MFI Distribution Survey

MFI Distribution Survey Sample Wells Fargo Securities' Garret Sloan and Vanessa Hubbard write in their latest "Daily Short Stuff," "Last week we commented on the significant week-over-week jump in the SIFMA index.... This week there has been another dramatic increase as the index reset 31 basis points higher yesterday, beating last week's move as the largest weekly climb since the end of 2008. All of the reasons we gave last week for the recent rise are still relevant, most notably end of year supply and liquidity dynamics. In the month of December, the weekly SIFMA index has gained 71 basis points over four short weeks. To put this move into perspective, from January 2017 to the first week in December, the index has climbed just 32 basis points. This 32 basis point move over 49 weeks withstood three Fed fund rate hikes of 25 basis points each. Year-end liquidity constraints are exasperating the upward trajectory in the weekly SIFMA index." They add, "Similarly, but not as dramatic, commercial paper rates have risen quickly over the past few weeks as well mostly attributed to end of year liquidity dynamics. The 5-day moving average for 30 day Tier-1 nonfinancial CP according to Fed data has risen by about 27 basis points in the month of December and the index for Tier-1 financial CP has risen by 24 basis points. Tier-2 CP rates have climbed in aggregate an average of 35 basis points over this same timeframe. Supply has also increased over this period with commercial paper outstanding on a seasonally adjusted basis growing from $1.05 trillion at the beginning of December to $1.08 trillion last week."

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MFI Distribution Survey News

Sep 12

Crane Data's September Money Fund Portfolio Holdings, with data as of Aug. 31, 2023, show that Treasury holdings surged in August while Repo plunged. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $106.7 billion to a record $5.919 trillion, after increasing $78.3 billion in July, $46.1 billion in June, $92.6 billion in May, $81.2 billion in April and $390.5 billion in March. Repo dropped but continues to lead as the largest portfolio segment, falling by nearly $100 billion. Treasuries jumped by over $160 billion but remained in the No. 2 spot. But the U.S. Treasury surpassed the Federal Reserve Bank of New York as the largest Issuer to MMFs, jumping to $1.586 trillion vs. the Fed RRP's $1.560 trillion (down $188.5 billion). Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics.

Among taxable money funds, Repurchase Agreements (repo) decreased $96.8 billion (-3.1%) to $3.005 trillion, or 50.8% of holdings, in August, after decreasing $99.4 billion in July and $146.4 billion in June. Repo increased $111.8 billion in May and $33.1 billion in April. Treasury securities rose $163.3 billion (11.5%) to $1.586 trillion, or 26.8% of holdings, after increasing $185.5 billion in July and $355.7 billion in June. They decreased $116.9 billion in May and $32.3 billion in April. Government Agency Debt was up $16.4 billion, or 2.5%, to $683.7 billion, or 11.6% of holdings. Agencies decreased $66.5 billion in July and $119.3 billion in June, but increased $58.8 billion in May and $18.5 billion in April. Repo, Treasuries and Agency holdings now total $5.275 trillion, representing a massive 89.1% of all taxable holdings.

Money fund holdings of CP and CDs both increased in August. Commercial Paper (CP) increased $4.8 billion (1.7%) to $280.2 billion, or 4.7% of holdings. CP holdings increased $22.0 billion in July, decreased $2.3 billion in June and increased $6.5 billion in May. Certificates of Deposit (CDs) increased $14.4 billion (7.7%) to $202.5 billion, or 3.4% of taxable assets. CDs increased $7.2 billion in July, $7.9 billion in June and $2.1 billion in May. Other holdings, primarily Time Deposits, increased $4.3 billion (2.9%) to $151.2 billion, or 2.6% of holdings, after increasing $29.3 billion in July, decreasing $49.8 billion in June and increasing $30.4 billion in May. VRDNs rose to $10.3 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)

Prime money fund assets tracked by Crane Data rose to $1.239 trillion, or 20.9% of taxable money funds' $5.919 trillion total. Among Prime money funds, CDs represent 16.3% (up from 15.5% a month ago), while Commercial Paper accounted for 22.7% (unchanged from 22.7% in July). The CP totals are comprised of: Financial Company CP, which makes up 14.8% of total holdings, Asset-Backed CP, which accounts for 4.7%, and Non-Financial Company CP, which makes up 3.2%. Prime funds also hold 4.2% in US Govt Agency Debt, 7.3% in US Treasury Debt, 24.4% in US Treasury Repo, 0.6% in Other Instruments, 10.0% in Non-Negotiable Time Deposits, 5.2% in Other Repo, 7.3% in US Government Agency Repo and 0.6% in VRDNs.

Government money fund portfolios totaled $3.124 trillion (52.8% of all MMF assets), up from $3.059 trillion in July, while Treasury money fund assets totaled another $1.557 trillion (26.3%), up from $1.539 trillion the prior month. Government money fund portfolios were made up of 20.2% US Govt Agency Debt, 17.0% US Government Agency Repo, 19.4% US Treasury Debt, 43.3% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 57.2% US Treasury Debt and 42.8% in US Treasury Repo. Government and Treasury funds combined now total $4.680 trillion, or 79.1% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $28.4 billion in August to $680.3 billion; their share of holdings rose to 11.5% from last month's 11.2%. Eurozone-affiliated holdings increased to $456.6 billion from last month's $442.1 billion; they account for 7.7% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $253.5 billion (4.3% of the total) from last month's $238.6 billion. Americas related holdings rose to $4.975 trillion from last month's $4.911 trillion, and now represent 84.1% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $113.1 billion, or -4.7%, to $2.319 trillion, or 39.2% of assets); US Government Agency Repurchase Agreements (up $17.3 billion, or 2.9%, to $621.6 billion, or 10.5% of total holdings), and Other Repurchase Agreements (down $1.0 billion, or -1.6%, from last month to $65.1 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $4.7 billion to $183.3 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $1.3 billion to $57.7 billion, or 1.0%), and Non-Financial Company Commercial Paper (up $1.4 billion to $39.1 billion, or 0.7%).

The 20 largest Issuers to taxable money market funds as of August 31, 2023, include: the US Treasury ($1.586T, 26.8%), the Federal Reserve Bank of New York ($1.560 trillion, or 26.4%), Federal Home Loan Bank ($560.9B, 9.5%), Fixed Income Clearing Corp ($358.3B, 6.1%), RBC ($135.4B, 2.3%), BNP Paribas ($110.5B, 1.9%), Citi ($105.0B, 1.8%), Federal Farm Credit Bank ($103.9B, 1.8%), Barclays PLC ($102.4B, 1.7%), JP Morgan ($91.8B, 1.6%), Bank of America ($86.9B, 1.5%), Goldman Sachs ($73.7B, 1.2%), Credit Agricole ($58.4B, 1.0%), Wells Fargo ($56.0B, 0.9%), Societe Generale ($54.7B, 0.9%), Mitsubishi UFJ Financial Group Inc ($53.0B, 0.9%), Sumitomo Mitsui Banking Corp ($47.7B, 0.8%), Mizuho Corporate Bank Ltd ($41.9B, 0.7%), ING Bank ($40.5B, 0.7%) and Bank of Montreal ($38.6B, 0.7%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Federal Reserve Bank of New York ($1.560T, 51.9%), Fixed Income Clearing Corp ($358.3B, 11.9%), RBC ($114.1B, 3.8%), BNP Paribas ($96.7B, 3.2%), Citi ($92.6B, 3.1%), Barclays PLC ($86.1B, 2.9%), JP Morgan ($81.5B, 2.7%), Goldman Sachs ($73.4B, 2.4%), Bank of America ($62.8B, 2.1%), and Wells Fargo ($46.9B, 1.6%). The largest users of the $1.560 trillion in Fed RRP include: JPMorgan US Govt MM ($100.3B), Vanguard Federal Money Mkt Fund ($87.5B), Goldman Sachs FS Govt ($86.0B), Fidelity Govt Money Market ($74.0B), Fidelity Inv MM: Govt Port ($61.2B), Fidelity Govt Cash Reserves ($58.8B), Morgan Stanley Inst Liq Govt ($54.2B), BlackRock Lq T-Fund ($50.5B), BlackRock Lq FedFund ($50.3B) and Schwab Treasury Oblig MF ($49.4B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($28.7B, 5.0%), Bank of America ($24.0B, 4.2%), Credit Agricole ($22.9B, 4.0%), RBC ($21.2B, 3.7%), Toronto-Dominion Bank ($20.7B, 3.6%), Bank of Montreal ($19.5B, 3.4%), Mitsubishi UFJ Financial Group Inc ($19.3B, 3.4%), Svenska Handelsbanken ($17.9B, 3.1%), ING Bank ($17.3B, 3.0%) and Bank of Nova Scotia ($17.3B, 3.0%).

The 10 largest CD issuers include: Bank of America ($14.7B, 7.2%), Mitsubishi UFJ Trust and Banking Corporation ($12.9B, 6.4%), Sumitomo Mitsui Banking Corp ($12.3B, 6.1%), Credit Agricole ($12.1B, 6.0%), Mitsubishi UFJ Financial Group Inc ($11.8B, 5.8%), Toronto-Dominion Bank ($11.8B, 5.8%), Canadian Imperial Bank of Commerce ($10.6B, 5.2%), Mizuho Corporate Bank Ltd ($10.4B, 5.1%), Sumitomo Mitsui Trust Bank ($10.3B, 5.1%), and Wells Fargo ($9.1B, 4.5%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($15.3B, 6.1%), RBC ($11.4B, 4.5%), Bank of Nova Scotia ($11.2B, 4.5%), Societe Generale ($11.0B, 4.4%), JP Morgan ($10.4B, 4.1%), Barclays PLC ($9.8B, 3.9%), UBS AG ($8.9B, 3.6%), Toronto-Dominion Bank ($8.5B, 3.4%), BPCE SA ($7.8B, 3.1%) and Mitsubishi UFJ Financial Group Inc ($7.4B, 3.0%).

The largest increases among Issuers include: US Treasury (up $163.3B to $1.586T), Fixed Income Clearing Corp (up $35.4B to $358.3B), Federal Home Loan Bank (up $16.1B to $560.9B), BNP Paribas (up $11.6B to $110.5B), Citi (up $11.2B to $105.0B), Wells Fargo (up $10.1B to $56.0B), Barclays PLC (up $9.4B to $102.4B), RBC (up $7.4B to $135.4B), Bank of America (up $6.0B to $86.9B) and Svenska Handelsbanken (up $4.5B to $17.9B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Reserve Bank of New York (down $188.5B to $1.560T), JP Morgan (down $9.1B to $91.8B), Goldman Sachs (down $4.1B to $73.7B), Rabobank (down $2.4B to $6.7B), Australia & New Zealand Banking Group Ltd (down $1.6B to $13.6B), Swedbank AB (down $1.4B to $9.1B), Societe Generale (down $1.0B to $54.7B), Federal Home Loan Mortgage Corp (down $0.9B to $10.5B), Toronto-Dominion Bank (down $0.7B to $37.3B) and National Australia Bank Ltd (down $0.5B to $8.0B).

The United States remained the largest segment of country-affiliations; it represents 79.1% of holdings, or $4.683 trillion. Canada (4.9%, $291.0B) was in second place, while France (4.7%, $280.1B) was No. 3. Japan (3.9%, $230.5B) occupied fourth place. The United Kingdom (2.6%, $151.3B) remained in fifth place. Netherlands (1.2%, $68.9B) was in sixth place, followed by Germany (1.0%, $57.7B), Sweden (0.9%, $53.6B), Australia (0.5%, $28.1B), and Spain (0.3%, $18.8B). (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, 2023, Taxable money funds held 61.7% (down from 65.4%) of their assets in securities maturing Overnight, and another 9.2% maturing in 2-7 days (up from 7.4%). Thus, 70.8% in total matures in 1-7 days. Another 7.6% matures in 8-30 days, while 8.5% matures in 31-60 days. Note that over three-quarters, or 86.9% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 5.2% of taxable securities, while 4.8% matures in 91-180 days, and just 3.1% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Aug 29

J.P. Morgan Securities' most recent "Short-Term Market Outlook and Strategy" features, "An update on short-term bond funds and money market spreads. The "Short-duration bond fund update" comments, "YTD, short-duration bond fund AUMs have declined by an estimated $32bn (or 4%), led by short-term credit and short-term multi-asset bond funds.... This isn't surprising, as these funds tend to maintain a longer average effective duration than ultra-short funds and MMFs. Indeed, 6-month short-term fund returns averaged between 0.47% and 0.99%, while 6-month ultra-short fund returns ranged from 2.33-2.39% and `money funds from 2.25-2.34% as of July-end." (Note: Please join us next month for our European Money Fund Symposium, which takes place Sept. 25-26, 2024 in Edinburgh!)

They explain, "In fact, average government MMF yields have surpassed short-duration bond fund yields since early this year, with the spread between these funds registering 66bp as of July-end. Needless to say, since the Fed began raising interest rates, flows seem to have gravitated towards MMF AUMs at the expense of short-duration AUMs. Since February-end 2022, taxable MMF balances have increased by $940bn, while short-duration fund AUMs have declined by an estimated $162bn."

JPM also writes, "In light of the annual Jackson Hole Economic Symposium, we thought it might be worth revisiting how money market spreads have performed so far this year. While monetary policy often plays a key role in setting rates, so too do technicals. To be sure, total money market supply (excluding Fed RRP) has grown substantially this year (+$1.5tn), thanks to a surge in net T-bill issuance (+$1.3tn). At present, we estimate total money market supply (excluding Fed RRP) stands at ~$15tn, surpassing the peak we saw in mid-2020 when Treasury issued about $2.5tn of T-bills to fund the CARES package.... Meanwhile, the demand for money market supply (as proxied by AUMs of taxable MMFs and GSE liquidity portfolios) has continued to grow, albeit to a smaller extent (+$800bn)."

The piece continues, "Still, even with the growth in supply relative to demand, it's been notable that this has had minimal impact on money market spreads, underscoring the notion that there is still an abundance of cash in the front end, most of which is sitting at the ON RRP. Indeed, in the overnight space, the SOFR/EFFR spread has remained relatively steady, trading mostly in a narrow range between -2bp and -3bp. The same is true of the TGCR/RRP spread."

It states, "Farther out the money markets rates curve, T-bill valuations remain rich, thanks to a mix of RRP and non-RRP investors actively deploying liquidity into this asset class. Combining that with investors' desire to extend duration, longer-dated T-bills (i.e., 3m and 6m) are now trading below their 3m averages on a spread-to-OIS basis, while shorter-dated T-bills have remained rangebound.... Meanwhile, Agency discos continue to trade rich to T-bills as diversification remains a focus among liquidity investors."

JPM adds, "In money market credit, bank CP/CD yields have also not been impacted by the increased T-bill supply so far this year. In fact, since early June, 3m and 6m fixed-rate bank CP/CD spreads to OIS have tightened by 12bp and 10bp, respectively, and 6m SOFR FRNs have also narrowed by 5-10bp.... The same is true of Tier 1 and Tier 2 non-financial CP, though we have seen some recent widening in Tier 1 non-financial CP given additional supply in recent weeks."

Finally, they tell us, "We are not at the end of the rise in total money market supply balances. In particular, our Treasury strategists forecast an additional ~$540bn of net T-bill issuance between now and the end of the year. All else equal, this would bring the year-over-year change in total money market supply balances to +$2.1tn, the second-highest year-over-year increase we've seen in the past decade and only slightly behind the year-over-year increase of $2.2tn in 2020. And yet, given what we have seen so far this year, we suspect the additional supply will continue to be easily digested, limiting its impact on money market spreads."

In other news, money fund yields inched higher over the past week to 5.16% on average, their highest levels since 1999. They broke the 5.0% level for the first time since August 2007 five weeks ago <b:>`_. The Crane 100 Money Fund Index (7-Day Yield) rose by 1 basis point to 5.16% in the week ended Friday, 8/25, after increasing by 1 bp the previous week. We expect yields to inch higher in coming days as they finish digesting the Fed's July 26th 25 basis point hike.

Yields are up from 4.94% on June 30, 4.61% on March 31 and 4.05% on 12/31/22. Three-quarters of money market fund assets now yield 5.0% or higher. (They should get more company in coming days.) Assets of money market funds rose by $24.5 billion last week to $5.955 trillion according to Crane Data's Money Fund Intelligence Daily, and they have risen by $73.9 billion in the month of August (after rising $34.7 billion in July). Weighted average maturities were unchanged last week, and were mostly unchanged in July (at 24 days), after increasing by 3 days during June.

The broader Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 681), shows a 7-day yield of 5.04%, unchanged in the week through Friday. Prime Inst MFs were up 1 bp at 5.26% in the latest week. Government Inst MFs were up 1 bp at 5.11%. Treasury Inst MFs up 1 bps for the week at 5.09%. Treasury Retail MFs currently yield 4.87%, Government Retail MFs yield 4.81%, and Prime Retail MFs yield 5.07%, Tax-exempt MF 7-day yields were up 68 bps to 3.52%.

According to Monday's Money Fund Intelligence Daily, with data as of Friday (8/25), 10 money funds (out of 810 total) yield under 3.0% with $2.9 billion in assets, or 0.0%; 115 funds yield between 3.00% and 3.99% ($107.5 billion, or 1.8%), 244 funds yield between 4.0% and 4.99% ($1.284 trillion, or 21.6%) and 441 funds now yield 5.0% or more ($4.560 trillion, or 76.6%).

Our Brokerage Sweep Intelligence Index, an average of FDIC-insured cash options from major brokerages, was unchanged at 0.62% after rising 1 bp two weeks prior. The latest Brokerage Sweep Intelligence, with data as of Aug 25, shows that there was no changes over the past week. Three of the 11 major brokerages tracked by our BSI still offer rates of 0.01% for balances of $100K (and lower tiers). These include: E*Trade, Merrill Lynch and Morgan Stanley.

Aug 07

The August issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "Money Fund Managers Comment on SEC Reforms," which reviews various articles on MMF Reforms; "SEC’s Money Fund Reforms: Swing Pricing Out, Liquidity In," which excerpts from the latest pending money fund rules; and, "European Commission Report on EU MMF Regs; LVNAVs OK," which reviews Europe's 5-year review of money fund rules. We also sent out our MFI XLS spreadsheet Monday a.m., and we've updated our Money Fund Wisdom database with 7/31/23 data. Our August Money Fund Portfolio Holdings are scheduled to ship on Wednesday, August 9, and our August Bond Fund Intelligence is scheduled to go out on Monday, August 14. (Note: Click here to see the replay of our recent Money Fund Wisdom Demo & Training, and register soon and make hotel reservations ASAP for our European Money Fund Symposium, which is Sept. 25-26, 2024 in Edinburgh.)

MFI's "MF Managers" article says, "In the 3 1/2 weeks since the SEC passed its latest 'Money Market Fund Reforms,' a number of money fund managers and others have published summaries and commentary. We quote from a number of these below, and we’ll continue to monitor the postings in coming days."

It explains, "The first, Allspring’s 'Amendments to Rules Governing Money Market Funds,' explains, 'On July 12, 2023, the Securities and Exchange Commission (SEC) approved amendments to Rule 2a-7 of the Investment Company Act of 1940, which governs money market funds (MMFs). The amendments are designed to improve the resilience and transparency of MMFs. The amended rule includes the following changes: Increased portfolio minimum liquidity requirements; Removal of temporary redemption gates and the link between portfolio liquidity and liquidity fees; New liquidity fee framework; Measures to address potential negative interest rate environment.'"

We write in our SEC Reforms recap, "We continue analyzing the SEC’s 424-page “Money Market Fund Reforms” final rules, and we continue to like what we see. (See the MMF Reforms press release and the Fact Sheet.) The rule’s summary explains, 'The Securities and Exchange Commission is adopting amendments to certain rules that govern money market funds under the Investment Company Act of 1940. These amendments are designed to improve the resilience and transparency of money market funds. The amendments will revise the primary rule that governs money market funds to remove the ability for a fund board to temporarily suspend redemptions if the fund’s liquidity falls below a threshold. In addition, the amendments will remove the tie between liquidity thresholds and the potential imposition of liquidity fees. The amendments will also require certain money market funds to implement a liquidity fee framework that will better allocate the costs of providing liquidity to redeeming investors. In addition, the Commission is increasing the daily liquid asset and weekly liquid asset minimum requirements to 25% and 50%, respectively.”

The rule continues, “The Commission also is amending certain reporting requirements on Form N-MFP and Form N-CR and making certain conforming changes to Form N-1A to reflect amendments to the regulatory framework for money market funds. In addition, the Commission is addressing how money market funds with stable net asset values may handle a negative interest rate environment, including by adopting amendments that will permit these funds to use share cancellation, subject to certain conditions…. In addition, the Commission is adopting amendments to Form PF concerning the information large liquidity fund advisers must report for the liquidity funds they advise.”

Our "European Commission" piece states, "The European Commission published 'Report from the Commission to the European Parliament and the Council' on the 'adequacy of Regulation (EU) 2017/1131 of the European Parliament and of the Council on money market funds from a prudential and economic point of view.' Its Intro says, 'Regulation (EU) 2017/1131 on money market funds (the MMF Regulation) was proposed in the aftermath of the global financial crisis, which exposed certain weaknesses of financial markets and their regulatory regimes around the globe. Since entering into application in January 2019, this Regulation has significantly strengthened the regulatory regime for MMFs in the EU, following recommendations by the Financial Stability Board (FSB), the International Organization of Securities Commissions (IOSCO) and the European Systemic Risk Board (ESRB)."

It adds, "The new regulatory framework was put to the test by the market stress related to the COVID-19 pandemic. The impact of this stress on MMFs differed across jurisdictions due to differences in the structures of MMF markets (e.g the predominant types of MMFs, investor profiles, and underlying investments) and residual differences in the regulatory framework for MMFs.”

MFI also includes the News brief, "Money Fund Yields Break 5.0%," which says, "Money fund yields rose over the past month, breaking the 5.0% level on average for the first time since August 2007. We expect them to keep rising in coming day and weeks following the July 26 25-basis point hike by the Federal Reserve. Our Crane 100 Money Fund Index (7-Day Yield) was up 14 bps to 5.08% in the month ended 7/31/23.'"

Another News brief, "Money Fund Assets Break $5.9 Trillon (Crane) or $5.5 Trillion (ICI)," tells readers, "Assets rose for the 10th month in a row, increasing $21.0 billion to a record $5.896 trillion in July, according to our MFI XLS. Our MFI Daily shows assets breaking $5.9 trillion as we move into August. The Investment Company Institute’s latest 'Money Market Fund Assets' series broke the $5.5 trillion level for the first time ever, and shows MMFs up almost $1.0 trillion, and over 20%, over the past year. Assets are up by $781 billion, or 16.5%, year-to-date in 2023. Over the past 52 weeks, money fund assets have risen $940 billion, or 20.5%, with Retail MMFs rising by $576 billion (39.1%) and Inst MMFs rising by $364 billion (11.7%)."

A third News brief, "MarketWatch Asks, 'Want 5% yields? After Fed hike, it may be time to ditch high-yield savings accounts for money-market funds.' The article says, 'People focused on saving cash are poised to get another boost from the Federal Reserve <b:>`_…. Even so, `rising interest rates have not been lifting all accounts equally. The Fed raised the benchmark rate by 25 basis points to 5.25%-5.50%, the highest rate in 22 years. It marks the 11th rate hike of the Fed’s last 12 meetings. Many high-yield savings accounts now have annual percentage yields of around 4%, up from an average of approximately 0.5% in March 2022, according to <b:>`_…. `However, yields for many money-market mutual funds are now hovering at 5%, up from an average of 0.43% in March 2022, according to Crane Data.'"

A sidebar, "Earnings: Cash Sorting Slows," says, "A number of asset managers, brokerages and banks reported second-quarter in July, and the few glimpses of money fund and bank deposit trends so far show that the massive 'cash sorting' and shift into money funds from bank deposits continued but slowed in Q2. Charles Schwab CFO Peter Crawford states, “Net interest revenue declined 10% from the prior year to $2.3 billion as the incorporation of higher cost liabilities brought our net interest margin down by 32 basis points sequentially to 1.87%. While anticipated client cash realignment, along with net equity buying during June, pushed cash levels lower, we observed a continued and substantial deceleration in the daily pace of cash outflows versus prior months. The continuation of this trend through the end of the quarter further strengthens our conviction that this realignment activity will inflect before the end of 2023, unlocking growth in client cash held on the balance sheet."

Our August MFI XLS, with June 30 data, shows total assets increased $21.0 billion to a record $5.896 trillion, after increasing $20.3 billion in June, $152.7 billion in May, $56.5 billion in April, $345.1 billion in March, $56.0 billion in February, $22.5 billion in January, $70.2 billion in December and $55.4 billion in November. MMFs rose $42.2 billion in October, $1.7 billion in September, $2.3 billion in August and $26.0 billion in July.

Our broad Crane Money Fund Average 7-Day Yield was up 13 bps to 4.94%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 14 bps to 5.08% in July. On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 5.21% and 5.13%, respectively. Charged Expenses averaged 0.38% and 0.26% for the Crane MFA and the Crane 100. (We'll revise expenses on Tuesday once we upload the SEC's Form N-MFP data for 7/31/23.) The average WAM (weighted average maturity) for the Crane MFA was 24 days (down 1 day from previous month) while the Crane 100 WAM was down 1 to 23 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Jul 10

The July issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "AFP's 2023 Liquidity Survey: Deposits Plunge, MMFs Jump," which discusses the annual survey of corporate treasurers; "Money Fund Symposium '23: Funds Party Like 1999," which quotes highlights from our recent big show in Atlanta; and, "ICI Worldwide: MFs Jump in Q1 Led by US, China, France," which reviews money fund markets outside the U.S. We also sent out our MFI XLS spreadsheet Monday a.m., and we've updated our Money Fund Wisdom database with 6/30/23 data. Our July Money Fund Portfolio Holdings are scheduled to ship on Wednesday, July 12, and our July Bond Fund Intelligence is scheduled to go out on Monday, July 17. (Reminder: Please join us on July 27 at 2pm Eastern for a "Money Fund Wisdom Demo & Training" session, where we'll review Crane Data's product suite and database query system with a focus on our MFI Daily asset series.)

MFI's "Liquidity Survey" article says, "The Association for Financial Professionals, a group representing corporate treasurers, published its '2023 AFP Liquidity Survey' last month. The cover letter explains, 'Invesco is very proud to partner once again with the Association for Financial Professionals (AFP) to sponsor the 2023 AFP Liquidity Survey Report, the 18th annual exploration of current and emerging corporate cash management trends.... [L]iquidity investors once again continued to face a remarkable -- and quickly changing -- investment landscape, from aggressive monetary tightening by central banks around the globe to sharply higher stock and bond market volatility to the collapse of several high-profile banks.'"

The introduction states, "This year's survey identifies a number of interesting, high-level themes: Corporate liquidity reserves remain near record highs, taking advantage of rapidly rising yields and principal safety in the uncertain market environment. Cash allocations have been shifting from bank deposits to money market funds in response to the 2023 banking crisis, [and] Caution remains a dominant theme, as companies continue to navigate inflationary pressures, slowing global economies and elevated uncertainties around macro risks."

We write in our MF Symposium recap, "Crane Data recently hosted its big Money Fund Symposium show in Atlanta, where over 530 money market professionals discussed rates, pending reforms, asset inflows and a number of other hot topics in cash. The opening session, 'Keynote: The Elevation of Money Funds II,' featured Invesco's Laurie Brignac and Tony Wong. Brignac comments, 'There was a difference in flows. When you started to see the Fed raise rates as quickly as they did, obviously, we know the storyline around bank deposits. But also, the volatility in the market spiked, and you also saw retail investors turn more risk-off. That's when you saw the retail flows. So, yeah, it has been a story of two sets of flows for different reasons.' (Note: Conference materials and recordings are available in our 'Money Fund Symposium 2023 Download Center.')"

It continues, "Asked about fears over bank deposits and money funds, Wong tells us, 'I think the fear factor was very high. From folks that were in money market liquidity products, we certainly had a number of calls. I personally went and had conversations with policymakers, regulators in this period.... We need a healthy and strong banking sector to impact credit creation and economic [growth].... I think it's manageable, but if we continue to see tightening by the Fed.... We all have years of experience and when you see tightening ... things usually break.... Something tells me maybe that's [SVB and Credit Suisse] not the final chapter of the movie. It's something we're watching carefully.'"

Our "Worldwide" piece states, "ICI's 'Worldwide Regulated Open-Fund Assets and Flows, First Quarter 2023' shows that money fund assets globally jumped by $610.0 billion, or 6.9%, in Q1'23 to $9.461 trillion. The jump was led by gains in the U.S., China, France and Luxembourg. Money funds in Ireland were lower. MMF assets worldwide increased by $825.6 billion, or 9.6%, in the 12 months through 3/31/22, and money funds in the U.S. now represent 55.4% of worldwide assets."

ICI's release says, "Worldwide regulated open-end fund assets increased 5.0% to $63.12 trillion at the end of the first quarter of 2023, excluding funds of funds. Worldwide net cash inflow to all funds was $706 billion in the first quarter, compared with $122 billion of net inflows in the fourth quarter of 2022. The Investment Company Institute compiles worldwide regulated open-end fund statistics on behalf of the International Investment Funds Association (IIFA), the organization of national fund associations. The collection for the first quarter of 2023 contains statistics from 46 jurisdictions.'"

MFI also includes the News brief, "SEC to Vote on MMF Reforms 7/12." It states, "The SEC meets on Money Market Fund Reforms, Wed., July 12 at 10am. Their notice says, 'The Commission will consider whether to adopt amendments to certain rules that govern money market funds and related form amendments.'"

Another News brief, "Assets & Yields Grind Higher in June," tells readers, "Assets rose $6.9 billion to (eke out) a record $5.861 trillion according to our MFI XLS. Over 12 months, assets have increased by $875.9 billion, or 17.6%. (ICI's latest weekly series shows MMF assets rebounding to a record $5.47 trillion following 3 weeks of declines.) Yields inched higher; our Crane 100 rose to 4.94%."

A third News brief, "MarketWatch on $6 Trillion Pile of Cash." says, "The article, 'Why this $6 trillion pile of cash isn't heading for stocks any time soon,' explains, 'Even with U.S. stocks in a new bull market, investors aren't showing many signs of backing away from money-market funds and other cash-like investments offering yields of about 5%, the highest in about 15 years. Money-market funds hit a record of $5.9 trillion in assets as of Tuesday [6/13], signaling a continuing drain out of bank deposits into higher-yielding 'cash-like' investments, according to Peter Crane.... He expects the tally soon to eclipse $6 trillion and then to stay elevated, even though money-market assets already grew almost 18% in May from a year ago. 'It's clear that bank deposits have sprung a leak,' Crane said.'"

A sidebar, "Fed Z1 Shows Household Jump," states, "The Federal Reserve's latest quarterly 'Z.1 Financial Accounts of the United States' statistical survey (a.k.a. 'Flow of Funds') for the First Quarter 2023, which includes 4 tables on money market mutual funds, shows that Total MMF Assets increased by $470 billion to $5.693 trillion in Q1'23. The Household Sector, by far the largest investor segment with $3.366 trillion, saw the biggest asset increase in Q1, followed by Nonfinancial Corporate Businesses. The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, also showed noticeable increases for the Other Financial Business (formerly Funding Corps), the Rest of World and the Mutual Fund categories in Q1 2023."

Our July MFI XLS, with June 30 data, shows total assets increased $6.9 billion to a (barely) record $5.861 trillion, after increasing $152.7 billion in May, $56.5 billion in April, $345.1 billion in March, $56.0 billion in February, $22.5 billion in January, $70.2 billion in December and $55.4 billion in November. MMFs rose $42.2 billion in October, $1.7 billion in September, $2.3 billion in August, $26.0 billion in July and $31.9 billion in June. They decreased $10.7 billion in May 2022.

Our broad Crane Money Fund Average 7-Day Yield was up 6 bps to 4.81%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 4 bps to 4.94% in June. On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 5.10% and 5.02%, respectively. Charged Expenses averaged 0.38% and 0.26% for the Crane MFA and the Crane 100. (We'll revise expenses on Tuesday once we upload the SEC's Form N-MFP data for 6/30/23.) The average WAM (weighted average maturity) for the Crane MFA was 24 days (up 2 days from previous month) while the Crane 100 WAM was up 3 at 23 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)