Money Fund Intelligence XLS

Money Fund Intelligence XLS Sample

Crane Data released its October Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of September 30, 2020, shows a decrease in every category except VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $94.3 billion to $4.772 trillion last month, after decreasing $12.7 billion in August, $83.1 billion in July and $159.1 billion in June. Money market securities increased $31.6 billion in May, and a staggering $529.4 billion in April and $725.6 billion in March. Treasury securities 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.)

Among taxable money funds, Treasury securities decreased by $6.3 billion (-0.25%) to $2.461 trillion, or 51.6% of holdings, after increasing $3.1 billion in August, decreasing $79.9 billion in July and increasing $60.8 billion in June. Repurchase Agreements (repo) decreased by $6.7 billion (-64%) to $1.041 trillion, or 21.8% of holdings, after increasing $60.8 billion in August, increasing $40.0 billion in July, and decreasing $124.3 billion in June. Government Agency Debt decreased by $28.1 billion (-3.5%) to $768.4 billion, or 16.1% of holdings, after decreasing $37.6 billion in August, $45.1 billion in July and $65.2 billion in June. Repo, Treasuries and Agencies totaled $4.271 trillion, representing a massive 89.5% of all taxable holdings.

Money funds' holdings of CP, CDs and Other (mainly Time Deposits) fell in September, breaking below the $500 billion level for the first time since December 2018, while VDRNs saw assets increase. Commercial Paper (CP) decreased $11.6 billion (-4.8%) to $231.9 billion, or 4.9% of holdings, after decreasing $32.5 billion in August, $10.7 billion in July and $6.5 billion in June. Certificates of Deposit (CDs) fell by $20.8 billion (-11.8%) to $156.1 billion, or 3.3% of taxable assets, after decreasing $19.0 billion in August, $12.3 billion in July and $9.1 billion in June. Other holdings, primarily Time Deposits, decreased $21.0 billion (-18.2%) to $94.6 billion, or 2.0% of holdings, after increasing $15.3 billion in August, $22.3 billion in July and decreasing by $13.7 billion in June. VRDNs increased to $94.6 billion, or 0.4% of assets, from $19.1 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Tuesday.)

Prime money fund assets tracked by Crane Data dropped $149.0 billion to $987.0 billion, or 20.7% of taxable money funds' $4.772 trillion total. Among Prime money funds, CDs represent 15.8% (up from 15.6% a month ago), while Commercial Paper accounted for 23.5% (up from 21.4%). The CP totals are comprised of: Financial Company CP, which makes up 14.3% of total holdings, Asset-Backed CP, which accounts for 5.3%, and Non-Financial Company CP, which makes up 3.9%. Prime funds also hold 6.4% in US Govt Agency Debt, 27.5% in US Treasury Debt, 5.0% in US Treasury Repo, 0.6% in Other Instruments, 5.6% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 6.4% in US Government Agency Repo and 1.0% in VRDNs.

Government money fund portfolios totaled $2.616 trillion (54.8% of all MMF assets), up $111.0 billion from $2.505 trillion in August, while Treasury money fund assets totaled another $1.170 trillion (24.5%), down from $1.226 trillion the prior month. Government money fund portfolios were made up of 27.0% US Govt Agency Debt, 11.7% US Government Agency Repo, 46.1% US Treasury debt, 14.9% in US Treasury Repo, 0.2% in VRDNs and 0.1% in Investment Company . Treasury money funds were comprised of 84.1% US Treasury Debt and 15.8% in US Treasury Repo. Government and Treasury funds combined now total $3.786 trillion, or 79.3% of all taxable money fund assets.

European-affiliated holdings (including repo) decreased by $33.5 billion in September to $626.4 billion; their share of holdings fell to 13.1% from last month's 13.6%. Eurozone-affiliated holdings fell to $430.0 billion from last month's $456.7 billion; they account for 9.0% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $21.1 billion to $227.0 billion (4.8% of the total). Americas related holdings fell $37.0 billion to $3.915 trillion and now represent 82.0% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $29.9 billion, or 5.0%, to $623.4 billion, or 13.1% of assets); US Government Agency Repurchase Agreements (down $22,9 billion, or -5.8%, to $369.4 billion, or 7.7% of total holdings), and Other Repurchase Agreements (down $13.7 billion, or -22.2%, from last month to $48.0 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.0 billion to $141.5 billion, or 3.0% of assets), Asset Backed Commercial Paper (down $3.2 billion to $52.3 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $6.4 billion to $38.2 billion, or 0.8%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2020, include: the US Treasury ($2,477.9 billion, or 51.9%), Federal Home Loan Bank ($460.7B, 9.7%), Fixed Income Clearing Co ($144.9B, 3.0%), BNP Paribas ($132.9B, 2.8%), Federal National Mortgage Association ($113.7B, 2.4%), Federal Farm Credit Bank ($98.3B, 2.1%), RBC ($96.7B, 2.0%), JP Morgan ($92.7B, 1.9%), Federal Home Loan Mortgage Co ($74.7B, 1.6%), Barclays ($64.0B, 1.3%), Mitsubishi UFJ Financial Group Inc ($62.3B, 1.3%), Credit Agricole ($50.5B, 1.1%), Citi ($47.9B, 1.0%), Sumitomo Mitsui Banking Co ($47.0B, 1.0%), Societe Generale ($42.3B, 0.9%), Toronto-Dominion Bank ($39.5B, 0.8%), Bank of Montreal ($37.5B, 0.8%), Bank of America ($37.5B, 0.8%), HSBC ($31.9B, 0.7%) and Canadian Imperial Bank of Commerce ($28.5B, 0.6%).

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: Fixed Income Clearing Co ($144.8B, 13.9%), BNP Paribas ($120.8B, 11.6%), JP Morgan ($83.1B, 8.0%), RBC ($78.8B, 7.6%), Barclays ($46.6B, 4.5%), Credit Agricole ($42.6B, 4.1%), Mitsubishi UFJ Financial Group ($42.4B, 4.1%), Citi ($39.4B, 3.8%), Bank of America ($35.5B, 3.4%) and Societe Generale ($32.9B, 3.2%).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($23.7B, 5.6%), Mitsubishi UFJ Financial Group ($19.9B, 4.7%), RBC ($17.9B, 4.2%), Barclays ($17.4B, 4.1%), Mizuho Corporate Bank Ltd ($17.3B, 4.1%), Sumitomo Mitsui Trust Bank ($16.3B, 3.9%), Credit Suisse ($12.2B, 2.9%), Canadian Imperial Bank of Commerce ($12.0B, 2.8%) and BNP Paribas ($12.0B, 2.8%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($14.2B, 9.1%), Mitsubishi UFJ Financial Group Inc ($14.1B, 9.0%), Sumitomo Mitsui Trust Bank ($10.2B, 6.6%), Bank of Montreal ($10.2B, 6.5%), Mizuho Corporate Bank Ltd ($9.5B, 6.1%), Canadian Imperial Bank of Commerce ($7.7B, 4.9%), Toronto-Dominion Bank ($7.2B, 4.6%), Credit Suisse ($7.1B, 4.5%), Svenska Handelsbanken ($5.9B, 3.7%) and Credit Mutuel ($5.2B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($16.2B, 8.0%), RBC ($10.3B, 5.1%), JP Morgan ($9.6B, 4.8%), Societe Generale ($8.3B, 4.1%), Citi ($7.6B, 3.8%), BNP Paribas ($7.5B, 3.7%), BPCE SA ($7.0B, 3.5%), NRW.Bank ($6.6B, 3.3%), Sumitomo Mitsui Trust Bank ($6.1B, 3.0%) and Toyota ($5.3B, 2.6%).

The largest increases among Issuers include: Fixed Income Clearing Corp (up $31.7B to $144.9B), US Treasury (up $10.4B to $2,477.9B), Barclays PLC (up $4.3B to $64.0B), BNP Paribas (up $3.7B to $132.9B), HSBC (up $3.4B to $31.9B), ABN Amro Bank (up $2.9B to $17.4B), Deutsche Bank AG (up $1.7B to $19.0B), JP Morgan (up $1.5B to $92.7B), Rabobank (up $1.4B to $9.8B) and Natixis (up $1.0B to $25.5B).

The largest decreases among Issuers of money market securities (including Repo) in September were shown by: the Federal Home Loan Bank (down $30.7B to $460.7B), Credit Agricole (down $22.5B to $50.5B), Federal Home Loan Mortgage Corp (down $9.6B to $74.7B), Mizuho Corporate Bank Ltd (down $8.2B to $26.7B), DNB ASA (down $7.9B to $8.1B), Bank of Nova Scotia (down $6.4B to $20.2B), Citi (down $5.9B to $47.9B), RBC (down $5.8B to $96.7B), Mitsubishi UFJ Financial Group Inc (down $5.6B to $62.3B) and Canadian Imperial Bank of Commerce (down $4.2B to $28.5B).

The United States remained the largest segment of country-affiliations; it represents 77.1% of holdings, or $3.679 trillion. France (5.8%, $276.0B) was number two, and Canada (4.9%, $235.3B) was third. Japan (4.5%, $216.3B) occupied fourth place. The United Kingdom (2.6%, $125.5B) remained in fifth place. The Netherlands (1.3%, $59.7B) was in sixth place, followed by Germany (1.2%, $58.1B), Sweden (0.7%, $31.1B), Switzerland (0.6%, $30.0B) and Australia (0.6%, $26.2B). (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 September 30, 2020, Taxable money funds held 35.7% (down from 36.0%) of their assets in securities maturing Overnight, and another 9.5% maturing in 2-7 days (up from 6.9% last month). Thus, 45.2% in total matures in 1-7 days. Another 14.3% matures in 8-30 days, while 13.0% matures in 31-60 days. Note that close to three-quarters, or 72.5% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 9.6% of taxable securities, while 15.8% matures in 91-180 days, and just 2.2% matures beyond 181 days.

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Money Fund Intelligence XLS News

Jan 12
 

Crane Data's January Money Fund Portfolio Holdings, with data as of Dec. 31, 2022, show that Repo holdings jumped to a record $2.94 trillion, while everything else declined and Treasuries continued a 10-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $72.6 billion to $5.039 trillion in December, after decreasing $24.6 billion in November, but increasing $57.7 billion in October and $15.2 billion in September. Repo remained the largest portfolio segment and hit record levels, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York, which surpassed the U.S. Treasury as the largest "Issuer" seven months ago, saw RRP issuance held by MMFs jump $320.2 billion to a record $2.319 trillion. 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) increased $253.2 billion (9.4%) to $2.940 trillion, or 58.3% of holdings, in December, after decreasing $24.4 billion in November and $6.0 billion in October, but increasing $74.4 billion in September. Treasury securities fell $77.5 billion (-6.8%) to $1.069 trillion, or 21.2% of holdings, after decreasing $65.0 billion in November, $41.8 billion in October and $84.8 billion in September. Government Agency Debt was down $24.5 billion, or -4.2%, to $562.2 billion, or 11.2% of holdings, after increasing $53.6 billion in November, $55.0 billion in October and $35.9 billion in September. Repo, Treasuries and Agency holdings now total $4.571 trillion, representing a massive 90.7% of all taxable holdings.

Money fund holdings of CP and CDs dropped in December. Commercial Paper (CP) decreased $16.9 billion (-6.4%) to $245.8 billion, or 4.9% of holdings, after increasing $7.7 billion in November and $19.3 billion in October, but decreasing $7.8 billion in September. Certificates of Deposit (CDs) decreased $4.3 billion (-2.8%) to $149.5 billion, or 3.0% of taxable assets, after increasing $4.4 billion in November and $15.5 billion in October, but decreasing $1.6 billion in September. Other holdings, primarily Time Deposits, decreased $57.0 billion (-47.2%) to $63.8 billion, or 1.3% of holdings, after decreasing $1.0 billion in November, increasing $16.0 billion in October, and decreasing $1.1 billion in September. VRDNs fell to $9.5 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Thursday around noon.)

Prime money fund assets tracked by Crane Data jumped to $1.029 trillion, or 20.4% of taxable money funds' $5.039 trillion total. Among Prime money funds, CDs represent 14.5% (down from 15.1% a month ago), while Commercial Paper accounted for 24.0% (down from 25.8% in November). The CP totals are comprised of: Financial Company CP, which makes up 16.6% of total holdings, Asset-Backed CP, which accounts for 4.2%, and Non-Financial Company CP, which makes up 3.2%. Prime funds also hold 6.2% in US Govt Agency Debt, 2.7% in US Treasury Debt, 36.7% in US Treasury Repo, 0.4% in Other Instruments, 4.0% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 4.6% in US Government Agency Repo and 0.6% in VRDNs.

Government money fund portfolios totaled $2.722 trillion (54.0% of all MMF assets), up from $2.713 trillion in November, while Treasury money fund assets totaled another $1.288 trillion (25.6%), up from $1.234 trillion the prior month. Government money fund portfolios were made up of 18.3% US Govt Agency Debt, 10.1% US Government Agency Repo, 12.6% US Treasury Debt, 58.8% in US Treasury Repo, 0.1% in Other Instruments. Treasury money funds were comprised of 54.2% US Treasury Debt and 45.7% in US Treasury Repo. Government and Treasury funds combined now total $4.010 trillion, or 79.6% of all taxable money fund assets.

European-affiliated holdings (including repo) decreased by $105.4 billion in December to $324.4 billion; their share of holdings dropped to 6.4% from last month's 8.7%. Eurozone-affiliated holdings decreased to $211.4 billion from last month's $266.7 billion; they account for 4.2% of overall taxable money fund holdings. Asia & Pacific related holdings dropped to $189.3 billion (3.8% of the total) from last month's $215.4 billion. Americas related holdings rose to $4.523 trillion from last month's $4.317 trillion, and now represent 89.8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $268.1 billion, or 11.7%, to $2.566 trillion, or 50.9% of assets); US Government Agency Repurchase Agreements (down $19.2 billion, or -5.6%, to $324.3 billion, or 6.4% of total holdings), and Other Repurchase Agreements (up $4.3 billion, or 9.4%, from last month to $49.6 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $7.5 billion to $170.5 billion, or 3.4% of assets), Asset Backed Commercial Paper (up $2.7 billion to $42.8 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $12.1 billion to $32.5 billion, or 0.6%).

The 20 largest Issuers to taxable money market funds as of Dec. 31, 2022, include: the Federal Reserve Bank of New York ($2.319T, 46.0%), US Treasury ($1.069T, 21.2%), Federal Home Loan Bank ($454.0B, 9.0%), Fixed Income Clearing Corp ($109.5B, 2.2%), RBC ($98.8B, 2.0%), Federal Farm Credit Bank ($98.1B, 1.9%), JP Morgan ($63.2B, 1.3%), BNP Paribas ($47.1B, 0.9%), Mitsubishi UFJ Financial Group Inc ($41.1B, 0.8%), Citi ($40.6B, 0.8%), Barclays ($38.3B, 0.8%), Sumitomo Mitsui Banking Corp ($38.2B, 0.8%), Toronto-Dominion Bank ($34.8B, 0.7%), Bank of America ($32.7B, 0.6%), Nomura ($30.3B, 0.6%), Bank of Montreal ($28.8B, 0.6%), Canadian Imperial Bank of Commerce ($27.7B, 0.5%), Mizuho Corporate Bank Ltd ($26.9B, 0.5%), Bank of Nova Scotia ($23.9B, 0.5%) and Credit Agricole ($20.9B, 0.4%).

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 ($2.319T, 78.9%), Fixed Income Clearing Corp ($109.5, 3.7%), RBC ($70.4, 2.4%), JP Morgan ($56.1, 1.9%), BNP Paribas ($38.8, 1.3%), Nomura ($30.3, 1.0%), Bank of America ($28.2, 1.0%), Barclays ($25.5, 0.9%), Citi ($23.9, 0.8%) and Sumitomo Mitsui Banking Corp ($22.3, 0.8%). The largest users of the $2.319 trillion in Fed RRP include: Goldman Sachs FS Govt ($142.3B), Fidelity Govt Money Market ($136.2B), Vanguard Federal MM Fund ($128.2B), Fidelity Govt Cash Reserves ($125.7B), JPMorgan US Govt MM ($118.1B), Federated Hermes Govt ObI ($83.3B), Dreyfus Govt Cash Mgmt ($82.0B), Morgan Stanley Inst Liq Govt ($74.8B), Fidelity Inv MM: Govt Port ($69.1B) and BlackRock Lq FedFund ($59.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($28.3B, 7.0%), Toronto-Dominion Bank ($23.6B, 5.8%), Mizuho Corporate Bank Ltd ($20.8B, 5.1%), Mitsubishi UFJ Financial Group Inc ($20.6B, 5.1%), Bank of Nova Scotia ($17.7B, 4.4%), Citi ($16.7B, 4.1%), Sumitomo Mitsui Banking Corp ($15.9B, 3.9%), Australia & New Zealand Banking Group Ltd ($15.4B, 3.8%), Barclays ($12.8B, 3.1%) and Bank of Montreal ($12.7B, 3.1%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($13.7B, 9.2%), Sumitomo Mitsui Banking Corp ($13.3B, 8.9%), Mizuho Corporate Bank Ltd ($11.3B, 7.5%), Citi ($10.5B, 7.0%), Toronto-Dominion Bank ($10.1B, 6.7%), Canadian Imperial Bank of Commerce ($7.7B, 5.1%), Bank of Nova Scotia ($6.9B, 4.6%), Sumitomo Mitsui Trust Bank ($6.9B, 4.6%), Credit Agricole ($6.0B, 4.0%) and RBC ($5.9B, 3.9%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($15.5B, 7.1%), Toronto-Dominion Bank ($12.5B, 5.7%), Bank of Nova Scotia ($10.3B, 4.7%), Bank of Montreal ($8.7B, 4.0%), National Australia Bank ($8.5B, 3.9%), Barclays ($7.8B, 3.6%), Australia & New Zealand Banking Group ($7.6B, 3.5%), JP Morgan ($7.0B, 3.2%), Societe Generale ($6.6B, 3.0%) and UBS AG ($6.4B, 2.9%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $320.2B to $2,319.0 trillion), RBC (up $11.3B to $98.8B), Bank of New York Mellon (up $5.0B to $5.0B), UOB Group (up $4.8B to $4.8B), Westpac Banking Corp (up $4.7B to $4.7B), Federal Home Loan Mortgage Corp (up $4.6B to $4.6B), Bank of Montreal (up $4.4B to $28.8B), Macquarie Bank Limited (up $4.1B to $4.1B), Toronto-Dominion Bank (up $3.9B to $34.8B) and First Republic Bank (up $3.4B to $5.1B).

The largest decreases among Issuers of money market securities (including Repo) in December were shown by: US Treasury (down $77.5B to $1.069T), Federal Home Loan Bank (down $25.1B to $454.0B), Barclays PLC (down $23.8B to $38.3B), Fixed Income Clearing Corp (down $15.5B to $109.5B), ING Bank (down $13.3B to $12.2B), Skandinaviska Enskilda Banken AB (down $12.7B to $9.0B), Mizuho Corporate Bank Ltd (down $9.7B to $26.9B), Citi (down $8.3B to $40.6B), BNP Paribas (down $8.2B to $47.1B) and Sumitomo Mitsui Banking Corp (down $7.9B to $38.2B).

The United States remained the largest segment of country-affiliations; it represents 85.2% of holdings, or $4.293 trillion. Canada (4.6%, $229.7B) was in second place, while Japan (3.4%, $173.3B) was No. 3. France (2.2%, $109.1B) occupied fourth place. The United Kingdom (1.4%, $69.0B) remained in fifth place. Australia (0.8%, $39.8B) was in sixth place, followed by Sweden (0.6%, $28.8B) Netherlands (0.6%, $27.7B), Germany (0.5%, $23.1B), and Singapore (0.2%, $11.9B). (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 Dec. 31, 2022, Taxable money funds held 8.5% (down from 70.7%) of their assets in securities maturing Overnight, and another 71.4% maturing in 2-7 days (up from 6.4%). Thus, 79.9% in total matures in 1-7 days. Another 5.5% matures in 8-30 days, while 7.6% matures in 31-60 days. Note that over three-quarters, or 93.0% 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 3.4% of taxable securities, while 3.0% matures in 91-180 days, and just 0.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Jan 09
 

The January issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Monday morning, features the articles: "Money Fund Assets Hit Record $5.2 Trillion, Break 2020 High," which reviews the recent surge in MMFs; "Worldwide MF Assets Plunge in Q3'22, Led by China, France," which reviews ICI's latest global money fund asset data; and, "Top Money Funds of 2022; 14th Annual MFI Awards," which covers the highest performing money funds this past year. We also sent out our MFI XLS spreadsheet Monday a.m., and we've updated our Money Fund Wisdom database with 12/31/22 data. Our January Money Fund Portfolio Holdings are scheduled to ship on Wednesday, Jan. 11, and our January Bond Fund Intelligence is scheduled to go out on Friday, Jan. 13.

MFI's "Assets Hit Record" article says, "Money market mutual fund assets jumped to record levels in December and early January. Our Money Fund Intelligence XLS shows assets rising by $70.2 billion last month to an all-time high of $5.184 trillion, and our MFI Daily shows total money fund assets rising by $40.2 billion more in January 2023 (through 1/5) to $5.231 trillion. The latest asset surge breaks May 2020's and December 2021's previous record highs."

It continues, "Assets increased by $47.7 billion in November and by $34.9 billion in October. But according to our MFI XLS, money fund assets increased by just $12.3 billion, or 0.2%, in 2022 (after being in negative territory for most of the year). Taxable Retail MFs increased by $156.2 billion (10.8%) to $1.598 trillion, Taxable Institutional MFs fell by $168.9 billion (-4.6%) to $3.466 trillion, and Tax-Exempt money fund assets rose by $25.0 billion (26.6%) to $119.2 billion."

Our "Worldwide" piece states, "The Investment Company Institute's 'Worldwide Regulated Open-Fund Assets and Flows, Third Quarter 2022' shows that money fund assets globally fell by $176.8 billion, or -2.1%, in Q3’22 to $8.305 trillion. The decreases were led by sharp drops in money funds in China, France, Luxembourg and Ireland. Meanwhile, money funds in the U.S. and Mexico increased. MMF assets worldwide decreased by $145.3 billion, or -1.7%, in the 12 months through 9/30/22, and money funds in the U.S. now represent 55.0% of worldwide assets."

It continues, "ICI's release says, 'Worldwide regulated open-end fund assets decreased 6.1% to $56.19 trillion at the end of the third quarter of 2022, excluding funds of funds. Worldwide net cash outflow to all funds was $33 billion in the third quarter, compared with $146 billion of net outflows in the second 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 second quarter of 2022 contains statistics from 46 jurisdictions.'"

Our "Top Money Funds" piece states, "This issue recognizes the top performing money funds, ranked by total returns, for calendar year 2022, as well as the top funds for the past 5‐year and 10‐year periods. We present the funds below with our annual Money Fund Intelligence Awards. These are given to the No. 1‐ranked funds based on 1‐year, 5‐year and 10‐year returns, through Dec. 31, 2022, in each of our major fund categories -- Prime Institutional, Government Institutional, Treasury Institutional, Prime Retail, Government Retail, Treasury Retail and Tax‐Exempt."

MFI writes, "The Top-Performing Prime Institutional fund (and fund overall) was BlackRock Cash Inst MMF SL (BRC01), which returned 1.79%. Excluding private and internal funds, the best performer in 2022 was Allspring Heritage Select (WFJXX) with a return of 1.76%. Among Prime Retail funds, Allspring Money Market Fund Premier (WMPXX) had the best return in 2022 (1.75%)."

MFI also includes the News brief, "Bloomberg on 'Starving for Yield? Check Out Money-Market Funds.'" It says, "If you think high-yield savings accounts offer juicy rates to park some cash, wait until you see what money-market funds are paying. Yields ... spiked from 0.02% earlier this year to more than 3.6% as of early December, according to Crane Data's 100 money-market fund index. After this week’s rate increase by the Federal Reserve, money-market fund yields are poised to soar even higher."

Another News brief, "Federated Hermes' Deborah Cunningham Writes, 'Sweet Spot: Cash Should Still Reign.' She says, 'The liquidity industry's gain from stock and bond investor pain should continue in 2023. In particular, with yields rising with each Federal Reserve hike, money markets should retain their status as an in-demand asset class. Money funds in particular should hit a sweet spot even when hikes cease because they are able to invest further out the yield curve to seek higher yields.'"

A sidebar, "MMF Yields Break 4.0%," states, "Money fund yields jumped higher again last month; our Crane 100 Money Fund Index (7-Day Yield) rose 48 basis points to 4.05% in December. Yields are up from 3.59% on Nov. 30, up from 2.88% on Oct. 31 and up from 2.​68% on Sept. 30. Yields should be flat or inch higher for a few weeks, then jump again after another expected Feb. 1 hike. The top-yielding money market funds have broken above 4.50% should push towards 5% in 2023."

Another sidebar, "Fed Z.1: Household MFs Jump," says, "The Federal Reserve's latest quarterly 'Z.1 Financial Accounts of the United States' statistical survey shows that Total MMF Assets increased by $52 billion to $5.084 trillion in Q3'22. The Household Sector, by far the largest investor segment with $2.781 trillion, saw an asset increase in Q3. The second largest segment, Nonfinancial Corporate Businesses, also experienced a jump in assets. The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, also shows asset decreases in MMF holdings for the Other Financial Business and Mutual Funds categories in Q3 2022."

Our January MFI XLS, with December 31 data, shows total assets increased $70.2 billion to $5.184 trillion, after increasing $55.4 billion in November, $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 and $74.3 billion in April. MMFs increased $24.1 billion in March, decreased $34.6 billion in February and decreased $128.1 billion in January.

Our broad Crane Money Fund Average 7-Day Yield was up 40 bps to 3.87%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 47 bps to 4.05% in December. On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 4.19% and 4.19%, respectively. Charged Expenses averaged 0.39% and 0.27% 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 12/31/22.) The average WAM (weighted average maturity) for the Crane MFA was 16 days (unchanged from previous month) while the Crane 100 WAM was lower by one day at 14 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Dec 07
 

The December issue of our flagship Money Fund Intelligence newsletter, which will be sent out to subscribers Wednesday morning, features the articles: "Top 10 Stories of 2022: Rising Yields, Reform Reactions, D&I," which highlights Crane Data's biggest News pieces of the past year; "J.P. Morgan's 2023 Outlook: Supply-Demand Gap Narrows," which reviews the outlook for money markets in the coming year; and, "BlackRock's Circle Reserve Fund USDC Stablecoin," which covers the new money market fund used by the USDC stablecoin. We will also send out our MFI XLS spreadsheet Wednesday a.m., and we've updated our Money Fund Wisdom database with 11/30/22 data. Our December Money Fund Portfolio Holdings are scheduled to ship on Friday, Dec. 9, and our December Bond Fund Intelligence is scheduled to go out on Wednesday, Dec. 14. (Note: Our MFI, MFI XLS and Crane Index products are all available to subscribers via our Content center. Note too: Register ASAP for our Money Fund University, Dec. 15-16 in Boston, Mass, at the Hyatt Regency. Clients are welcome to stop by Crane Data's Holiday Cocktail Party at MFU on 12/15 from 5-7pm!)

MFI's "Top 10 Stories" article says, "After almost two years of zero interest rates, money fund yields skyrocketed in 2022, rising from 0.02% to 3.60% (Crane 100 MF Index). While this was the biggest story of the year, money funds also spent time discussing the SEC's Money Fund Reform Proposal from December 2021. (We're still waiting for the final rules to come out any day now.) Other major themes of the past year included: the pivot of ESG money funds towards Social MMFs, carnage in the stock and bond fund markets and asset outflows from ultra-shorts, the increase in yields in European and worldwide markets, and the end of fee waivers. Below, we excerpt from a number of our biggest stories to highlight the major trends of 2022."

It continues, "Crane Data's Top 10 Stories of 2022 include (in chronological order): 'Rolling w/Reform Changes IV: Recap of '21 Exits & Entries, ESG & News' (1/4/22); 'ESMA Proposes Reforms to European Money Market Fund Regulations' (2/22/22); 'Dreyfus Announces New BOLD D&I Share Class with Howard University' (3/1/22); 'BlackRock: Redemption Fee Simpler Than Swing Pricing; Sliding Scale' (4/21/22); 'Money Fund Yields Break 0.50%; Fidelity Hikes Sweep Rate; ICI Holdings' (5/17/22); 'AFP's 2022 Liquidity Shows Deposits, MMFs, T-Bills Still Kings of Cash' (6/17/22); 'Schwab CFO Crawford Discusses Cash 'Sorting,' End of Fee Waivers in Q2' (8/3/22); 'Third 75's a Charm for Fed, Rates Head to 3%; Money Funds in the News' (9/22/22); 'European MMFs Jump on Sterling Surge, Euro Yields Positive; MFII Holds' (10/18/22); 'Money Funds Hot and Getting Hotter: Barron’s, and, WSJ, FT Feature Articles' (10/24/22). (As a bonus #11, see too: 'Fed Hikes 6th Time; Rates Head to 4%; Prime Over $1 Tril.; More Swing (11/3/22).'"

Our "2023 Outlook" piece states, "J.P. Morgan published its 'Short-Term Fixed Income 2023 Outlook' last week, and titled it, 'More supply and higher yields, what's not to like?' Authors Teresa Ho, Pankaj Vohra and Holly Cunningham tell us, 'The sharp rise in rates this year was a welcome relief for the US money markets -- markets that were plagued by the Fed's zero interest rate policy for at least two years. Even so, it was not all good news, as high inflation and tight labor markets pushed the Fed to embark on one of the most aggressive tightening cycles in modern history. In response, liquidity investors significantly shortened duration at a time when the supply-and-demand mismatch in the money markets was substantial.'"

It Continues, "They say, '[T]his pushed short-dated T-bills and SOFR to trade meaningfully through RRP.... All told, balances at the Fed's ON RRP continued to grow, increasing from $1.5tn ... to $2.1tn, as investors used the facility as a source of backstop supply, to shorten duration, and/or to [support] their yields.'"

Our "Circle Reserves" piece states, "BlackRock recently launched a new Treasury (and repo) money market fund, Circle Reserve Fund, exclusively for Circle Internet Financial, which offers one of the largest stablecoins, USDC. The fund, with ticker USDXX (for its Institutional Shares), was launched on November 3, and has already grown to a hefty $15.9 billion. It has an expense ratio of 0.21% (0.17% after waivers), a minimum initial investment of $2 billion, a WAM (weighted average maturity) of 41 days and a 7-day yield of 3.86% (as of 11/30). BlackRock is the Manager and Distributor, while BNY Mellon is the Custodian and Accounting Services Provider, according to the fund's N-1A registration filing. USDC is approximately $43.9 billion in size, while the largest stablecoin, Tether, is $65.9 billion (though the latter has been decreasing of late)."

MFI writes, "An article from Coindesk, entitled, 'Circle Begins Putting Reserves Into New BlackRock Fund,' explains, 'Circle Internet Financial has begun moving the reserves for its USDC stablecoin into a dedicated fund set up by BlackRock and registered with the U.S. Securities and Exchange Commission, the company disclosed.... The Circle Reserve Fund -- a government money market fund managed by BlackRock Advisors -- has been in the works for months after BlackRock initially sought to register it in May. Circle will be its only eligible investor, and the stablecoin issuer has already started putting its reserves there, expecting to be 'fully transitioned' by the end of March.'"

MFI also includes the News brief, "Crane 100 Money Fund Index Hits 3.60%, Top MFs Break 4.0%." It says, "Money fund yields jumped again last month; our Crane 100 (7-Day Yield) rose 72 bps to 3.57% in Nov. (and has risen to 3.61% since). Eight money funds are yielding 4.0% or higher. Sweep rates also continue inching up, as Fidelity hiked its FDIC insured rates to 1.94%. Brokerage Sweeps average 0.43%."

Another News brief, "Retail MMFs Hit Record, Total Poised to Break," explains, "Crane Data's totals show assets rising $55.4 billion in November to $5.121 trillion, just below May 2020's record $5.163 trillion. ICI's latest weekly 'Money Market Fund Assets' report shows money fund assets jumping over the past week, the 4th increase in the past 5 weeks. Retail money fund assets hit a record $1.6 trillion recently."

Also, a sidebar, "NY Fed Blog: Deposit Betas," states, "The Federal Reserve Bank of New York's 'Liberty Street Economics' asks, 'How Do Deposit Rates Respond to Monetary Policy?' It tells us, 'When the Federal Open Market Committee (FOMC) wants to raise the target range for the fed funds rate, it raises the interest on reserve balances (IORB) paid to banks, the primary credit rate offered to banks, and the award rate paid to participants that in- vest in the overnight reverse repo (ON RRP) market to keep the fed funds rate within the target range.'"

Another sidebar, "MFs Bigger Than Bond Funds," says, "The Investment Company Institute's latest monthly 'Trends in Mutual Fund Investing' shows that money fund assets increased $36.8 billion in October to $4.607 trillion. Meanwhile, bond fund assets continued their steep decline, falling by $88.1 billion to $4.445 trillion. Money fund assets surpassed bond fund assets last month for the first time since 2010; bond funds have declined by over $1.1 trillion year-to-date in 2022. (The bond fund totals don't include bond ETFs, which total $1.204 trillion as of 10/31, according to ICI.)"

Our December MFI XLS, with November 30 data, shows total assets increased $55.4 billion to $5.121 trillion, after increasing $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 and $74.3 billion in April. MMFs increased $24.1 billion in March, decreased $34.6 billion in February and decreased $128.1 billion in January. Assets increased $104.6 billion in December and $49.7 billion in November. Our broad Crane Money Fund Average 7-Day Yield was up 63 bps to 3.37%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 72 bps to 3.57% in November.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 3.69% and 3.73%, respectively. Charged Expenses averaged 0.38% and 0.26% for the Crane MFA and the Crane 100. (We'll revise expenses on Thursday once we upload the SEC's Form N-MFP data for 11/30/22.) The average WAM (weighted average maturity) for the Crane MFA was 16 days (up one day from previous month and the first increase in 11 months) while the Crane 100 WAM was also higher by one day at 15 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Nov 29
 

Crane Data is preparing for its next Money Fund University "basic training" conference in just over 2 weeks! Our 12th annual MFU will change slightly from its previous basics format to a more advanced "Master's in Money Markets" program this year. It will take place at the Hyatt Regency in Boston, Mass., December 15-16, 2022. (We're also hosting Crane Data's Holiday Party at MFU on Dec. 15 from 5-7pm, so please join us!) Crane's Money Fund University is designed for those relatively new to the money market fund industry or those in need of a concentrated refresher on a broad core curriculum. The event also focuses on hot topics like money market fund regulations, money fund alternatives, offshore markets, and other recent industry trends. Our educational conference features a faculty of the money fund industry's top lawyers, strategists, and portfolio managers, and the Boston show will include an `extra session on proposed regulations and an extended free training session for Crane Data clients. Money Fund University offers a 2-day crash course on money market mutual funds, educating attendees on the history of money funds, the Fed, interest rates, ratings, rankings, and money market instruments such as commercial paper, Treasury bills, CDs and repo. We also cover portfolio construction and credit analysis. Registrations ($750) are now being taken, and the latest agenda is available here. (E-mail us to request the latest brochure.) Also, join us for our next Bond Fund Symposium, which be held in Boston, Mass., on March 23-24, 2023. Bond Fund Symposium is the only conference devoted entirely to bond mutual funds, bringing together bond fund managers, marketers, and professionals with fixed-income issuers, investors and service providers. The majority of the content is aimed at the growing ultra-short and conservative ultra-short bond fund marketplace. Finally, mark your calendars too for our next big show, Crane's Money Fund Symposium, which will be held in Atlanta, Ga., June 21-23, 2023. Money Fund Symposium attracts money fund managers, marketers and servicers, cash investors, money market securities dealers, issuers, and regulators for 2 1/2 days of sessions, socializing and networking. Let us know if you'd like more details on any of our events, and we hope to see you in Boston next month or in March 2023, or in Atlanta in June 2023.