Dec 07

 

The December issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Thursday morning, features the articles: "Top 10 Stories of 2023: Assets Surge $​1T to $​6.​2T; Yields 5%," which reviews the biggest news stories of 2023; "J.​P. Morgan'​s 2024 Outlook: Cash to Remain Attractive," which covers JPM’​s expectations for the year to come; and, "CFTC Proposal Allows Only Govt MMFs for Collateral," which reviews the potential changes to investments by FCMs. We also sent out our MFI XLS spreadsheet Thursday a.​m., and we'​ve updated our Money Fund Wisdom database with 11/​30/​23 data. Our December Money Fund Portfolio Holdings are scheduled to ship on Monday, December 11, and our December Bond Fund Intelligence is scheduled to go out on Thursday, December 14. (Note: Register ASAP for our Money Fund University, Dec. 18-​19 in Jersey City, New Jersey, at the Westin Jersey City Newport. Clients and friends are also welcome to stop by Crane Data'​s Holiday Cocktail Party at MFU on 12/​18 from 5-​7:​30pm!)

MFI'​s "Top 10 Stories of 2023: Assets Surge $​1T to $​6.​2T; Yields 5%" article says, "Money fund assets soaring $​1.​1 trillion to a record $​6.​2 trillion was the biggest story of the year in 2023. With 3 weeks still to go, money funds will likely show the biggest annual increase in their 50+ year history. Last year, rising yields were the big news, and yields continuing to climb and breaking 5% was also major this year. Other top stories of 2023 included: the long-​awaited passage of the SEC'​s Money Fund Reform Proposal, the continued growth of Social MMFs and the increase in yields in European and worldwide markets. Below, we excerpt from a number of these to highlight the major trends of the past year."

It continues, "Crane Data'​s Top 10 Stories of 2023 include: 'Schwab'​s Crawford Comments on Cash Sorting, Purchase Money Funds' (​2/​2/​23); 'FT on Cash Pouring Into MMFs; MFs Record $​5.​4T; $​9.​2 Trillion Uninsured' (​3/​20/​23); 'Fed Hikes Rates 10th Time to 5.​0-​5.​25%' (​5/​4/​23); 'SEC'​s Money Market Fund Reforms: Swing Pricing Out, More Liquidity In' (​7/​14/​23); 'Money Fund Assets Resume Record Run, Up 20% in 12 Months; Repo Dip' (​7/​28/​23); 'Crane 100 Money Fund Index Breaks 5.​0%; WSJ on MF Reforms' (​8/​1/​23); 'European Money Fund Assets Hit Record E1.​5 Trillion; Yields Hit 5.​15%' (​8/​22/​23); 'Fund Companies Prep for Liquidity Fees Via Filings, Discretionary Fees' (​10/​26/​23); 'HSBC Launches '​P' Purpose Share Class; Cavu Paper on DEI Money Funds' (​11/​2/​23); and, 'Money Fund Assets Hit Record $​6.​2 Trillion' (​11/​29/​23).

We write in our 2024 Outlook article, "J.​P. Morgan published its 'Short-​Term Fixed Income 2024 Outlook' last week, which is entitled, 'More of more and less of less.' Authors Teresa Ho, Pankaj Vohra and Holly Cunningham tell us, '​In contrast to the long end of the Treasury curve, it was a remarkably stable year in the money markets. Despite the regional banking crisis, massive T-​bill issuance, finalization of MMF reform, all the while with QT going on in the background, spreads in the money markets traded mostly in a narrow range. That stability underscored the abundance of liquidity still in the financial system, most of which seemed to be sitting in the very front end. Indeed, MMF AUMs grew by nearly $​1tn this year, with balances currently registering $​6tn, as investors could not ignore the 5% yield on an overnight asset, a dynamic we haven'​t seen since 2007.'"

It tells us, "​They continue, 'To be sure, markets have made use of that liquidity, as Fed ON RRP balances declined by a substantial $​1.​3tn. It helped too that the Fed was nearing the end of its tightening cycle, giving MMFs a reason to rotate out of the facility and into T-​bills. As of the time of writing, usage at the Fed ON RRP has fallen below $​1tn.'"

Our "CFTC" piece states, "​A release entitled, 'CFTC Seeks Public Comment on a Proposal on Investment of Customer Funds' tells us, 'The Commodity Futures Trading Commission ... issued, for public comment, a proposed rule on the Investment of Customer Funds by Futures Commission Merchants and Derivatives Clearing Organizations. The proposal would amend the Commission'​s regulations governing the safeguarding and investment by futures commission merchants (​FCMs) and derivatives clearing organizations of funds held for the benefit of customers engaging in futures, foreign futures, and cleared swaps transactions. The proposed amendments would specifically revise the list of permitted investments in Regulation 1.​25 and introduce certain related changes and specifications."

It continues, "​The 'Fact Sheet and Q&​A' explain, 'Commission Regulation 1.​25 permits FCMs to invest funds deposited by customers to margin futures, foreign futures, and cleared swap transactions ('​Customer Funds') in specified categories of investments. Regulation 1.​25 further permits DCOs to invest Customer Funds that FCMs post with the DCOs as margin for their customers' positions in the same specified categories of investments. Regulation 1.​25(​a)(​1) currently lists seven specific investments that FCMs and DCOs may enter into with Customer Funds: (​i) obligations of the U.​S. and obligations fully guaranteed as to principal and interest by the U.​S.; (​ii) general obligations of any State or political subdivision; (​iii) obligations of any U.​S. government corporation or enterprise sponsored by the U.​S.; (​iv) certificates of deposit issued by a bank; (​v) commercial paper fully guaranteed by the U.​S. under the TLGP as administered by the FDIC; (​vi) corporate notes and bonds fully guaranteed as to principal and interest by the U.​S. under the TLGP; and (​vii) interests in money market funds ('​MMF').'"

MFI also includes the News brief, "MMMF Assets Surge in November," which says, "Our MFI XLS shows assets jumping $​219.​8 billion, or 3.​6%, to a record $​6.​281 trillion. YTD, MMFs are up over $​1.​1 trillion (​21.​5%) with Taxable Retail MMFs up $​557.​0 (​34.​1%) and Taxable Inst MMFs up $​544.​1 (​15.​9%). Over 12 months, MMFs are up a massive $​1.​168 trillion, or 22.​8%. Assets continue surging higher in December too, rising by $​29.​6 billion in the first 5 days of Dec., according to MFI Daily. (​We should break the $​6.​3 trillion level this week.)"

Another News brief, "Money Fund Yields Inch Up to 5.​20%," explains, "Yields rose by another basis point in the month ended 11/​​30 to 5.​20%, as measured by our Crane 100, an average of 7-​day yields for the 100 largest taxable money funds."

A third News brief, "Nov. Portfolio Holdings: Treasuries Continue Surge; Repos, Assets Slide," says, "​Our latest Money Fund Portfolio Holdings show that Treasury holdings surged in October while Repo fell. Repo declined $​329.​2 billion but remains the largest portfolio segment. Treasuries jumped by over $​175 billion, ranking in the No. 2 spot. In October, U.​S. Treasury holdings jumped to $​1.​929 trillion vs. the Fed RRP'​s $​1.​077 trillion (​down $​400.​8 billion). Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/​Time Deposits and VRDNs."

A sidebar, "SSGA Reviews RRP Impact," says, "State Street Global Advisors' recent 'Monthly Cash Review,' tells us, 'As '​higher for longer' starts to bite the economy, we are keeping a close eye on the Fed'​s Reverse Repo Program (​RRP), which is the best example of excess liquidity. The US Federal Reserve (​Fed) must '​drain' this liquidity in order to keep market rates in line with its policy rate range.... This outcome was expected -- real yields and term premiums have done much of the work for the Fed (​although it cautioned that it was too soon to tell if this was having an impact on economic growth and inflation).'"

Our December MFI XLS, with November 30 data, shows total assets increased $​219.​8 billion to $​6.​281 trillion, after decreasing $​39.​3 billion in October, increasing $​77.​8 billion in September, $​104.​2 billion in August, $​21.​0 billion in July, $​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 and $​70.​2 billion in December."

Our broad Crane Money Fund Average 7-​Day Yield was up 1 bp to 5.​09%, and our Crane 100 Money Fund Index (​the 100 largest taxable funds) was up 1 bp to 5.​20% 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 5.​35% and 5.​27%, respectively. Charged Expenses averaged 0.​37% and 0.​26% for the Crane MFA and the Crane 100. (​We'​ll revise expenses on Friday once we upload the SEC'​s Form N-​MFP data for 11/​30/​23.) The average WAM (​weighted average maturity) for the Crane MFA was 34 days (​up 3 days from previous month) and the Crane 100 WAM was also up 5 at 35 days. (​See our Crane Index or craneindexes.​xlsx history file for more on our averages.)

Dec 04

 

Money market fund assets jumping by $​1.​0 trillion-​plus to a record $​6.​2 trillion was no doubt the biggest story of the year in 2023. With still almost a month to go, money fund asset growth will likely even surpass 2020'​s Covid-​driven record jump of $​1.​1 trillion. Last year, rising yields were the big news, and yields continuing to rise and breaking 5% were also among the top stories of this year. Other major headlines of the past year included: the long-​awaited passage of the SEC'​s Money Fund Reform Proposal, the continued growth of Social MMFs and the increase in assets and yields in European and worldwide markets. Below, we excerpt from a number of our biggest and most representative news stories of 2023 to highlight the major trends of the past year. (Note: As a reminder, register ASAP for our Money Fund University, Dec. 18-​19 in Jersey City, New Jersey, at the Westin Jersey City Newport. Clients and friends are also welcome to stop by Crane Data'​s Holiday Cocktail Party at MFU on 12/​18 from 5-​7:​30pm!)

Crane Data'​s Top 10 Stories of 2023 include (​in chronological order): "Schwab'​s Crawford Comments on Cash Sorting, Purchase Money Funds" (​2/​2/​23); "FT on Cash Pouring Into MMFs; MFs Record $​5.​4T; $​9.​2 Trillion Uninsured" (​3/​20/​23); "Fed Hikes Rates 10th Time to 5.​0-​5.​25%; Vanguard Newsletter on Cash" (​5/​4/​23); "SEC'​s Money Market Fund Reforms: Swing Pricing Out, More Liquidity In" (​7/​14/​23); "Money Fund Assets Resume Record Run, Up 20% in 12 Months; Repo Dip" (​7/​28/​23); "Crane 100 Money Fund Index Breaks 5.​0%; WSJ Editorial on MF Reforms" (​8/​1/​23); "European Money Fund Assets Hit Record E1.​5 Trillion; Yields Hit 5.​15%" (​8/​22/​23); "Fund Companies Prep for Liquidity Fees Via Filings, Discretionary Fees" (​10/​26/​23); "HSBC Launches "​P" Purpose Share Class; Cavu Paper on DEI Money Funds" (​11/​2/​23); and, "Money Fund Assets Hit Record $​6.​2 Trillion; Weekly Holdings; Moomoo" (​11/​29/​23).

Our Feb. 2 story, "Schwab'​s Crawford Comments on Cash Sorting, Purchase Money Funds," discusses the shift from brokerage FDIC-​insured sweeps into money funds, and tells readers, "​Late last week, Charles Schwab hosted its 'Winter Business Update Agenda,' a week after releasing its Q4'​22 earnings the previous week. (​See the release, 'Schwab Reports Record Full-​year Earnings Per Share.') CFO Peter Crawford <​p:>​_ comments in the earnings release, '`​Net interest revenue reached $​10.​7 billion, an increase of 33% versus the prior year, as higher interest rates more than offset the impact of balance sheet contraction due to client cash sorting. Lower market valuations throughout the year pushed asset management and administration fees down slightly to $​4.​2 billion, or 1% year-​over-​year.'"

Our March 20 story describes cash pouring into money funds after the failure of SVB Bank. The piece, "FT on Cash Pouring Into MMFs; MFs Record $​5.​4T; $​9.​2 Trillion Uninsured." It says, "We continue to see a flurry of articles on money market funds and the flight from uninsured bank deposits. The Financial Times published, 'Cash pours into US money market funds as investors flee bank turmoil.' The FT article states, "Investors have funneled cash to US money market funds over the past week amid concerns over the safety of some bank deposits after the collapse of two large lenders. The funds had more than $​120bn of net inflows in the week to Wednesday, according to data from the Investment Company Institute, the largest net weekly inflow since June 2020. The bulk of them poured into money market funds backed by government securities, according to the ICI. The cash moved into money market funds -- a type of mutual fund that invests in cash and safe securities -- during a week unsettled by the collapse of Silicon Valley Bank and Signature Bank. On Sunday federal regulators stepped in to protect all depositors from losses at the two lenders.'" See also our March 17 story, "Money Fund Assets Hit Record $​5.​0 Trillion, Says ICI; Bloomberg on MFs."

In May, we published, "Fed Hikes Rates 10th Time to 5.​0-​5.​25%; Vanguard Newsletter on Cash," which reviews the next to last Fed hike of 2023. It starts, "​The Federal Reserve'​s Open Market Committee raised short-​term interest rates for the 10th straight time Wednesday, bringing its Federal funds rate target up a quarter-​point to a range of 5.​0-​5.​25%. The release, entitled, 'Federal Reserve issues FOMC statement,' tells us, 'Economic activity expanded at a modest pace in the first quarter. Job gains have been robust in recent months, and the unemployment rate has remained low.... The Committee remains highly attentive to inflation risks.'"

Our July 14 news discussed the latest round of MMF reforms in, "SEC'​s Money Market Fund Reforms: Swing Pricing Out, More Liquidity In." This piece says, "​We continue wading through the SEC'​s 424-​page 'Money Market Fund Reforms' final rules, which were published Wednesday, and we continue to like what we see. (​See the MMF Reforms press release here and the Fact Sheet here.) 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.'"

A July 28 story, "Money Fund Assets Resume Record Run, Up 20% in 12 Months; Repo Dip," also discuss the asset surge. It states, "The Investment Company Institute'​s latest 'Money Market Fund Assets' report shows MMF assets jumping back to record levels after declining for 3 weeks in a row. ICI'​s asset series is now poised to break $​5.​5 trillion and is up $​666.​4 billion, or 13.​8%, over the past 22 weeks. ICI shows assets up by $​752 billion, or 15.​9%, year-​to-​date in 2023, with Institutional MMFs up $​396 billion, or 13.​0% and Retail MMFs up $​356 billion, or 21.​2%. Over the past 52 weeks, money fund assets have risen $​897 billion, or 19.​5%, with Retail MMFs rising by $​557 billion (​37.​7%) and Inst MMFs rising by $​340 billion (​10.​9%)."

Our August 1 update, "Crane 100 Money Fund Index Breaks 5.​0%; WSJ Editorial on MF Reforms," explains, "Money fund yields rose over the past week, 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 last Wednesday'​s 25 basis point hike by the Federal Reserve. Our Crane 100 Money Fund Index (​7-​Day Yield) was up 8 bps to 5.​04% in the week ended Friday, 7/​28, after increasing by just 1 bp the past week. Yields are up from 4.​94% on June 30, 4.​90% on May 31, 4.​64% on April 30, 4.​61% on March 31, 4.​39% on Feb. 28, 4.​15% on Jan. 31 and 4.​05% on 12/​31/​22. Almost three-​quarters of money market fund assets now yield 5.​0% or higher and one fund hit the 5.​5% level on Friday."

Later in August, we wrote about a jump in MMF Assets outside the U.​S in, "European Money Fund Assets Hit Record E1.​5 Trillion; Yields Hit 5.​15%." This piece says, "​The European Central Bank published, 'Euro area investment fund statistics: second quarter of 2023,' which shows that total European money market mutual fund assets hit a record 1.​5 trillion EUR in Q2'​23. The statistical release says, 'For shares/​units issued by money market funds the outstanding amount was 18 billion EUR higher than in the first quarter. This increase was accounted for by 11 billion EUR in net issuance of shares/​units and 8 billion EUR in other changes (​including price changes). The annual growth rate of shares/​units issued by money market funds, calculated on the basis of transactions, was 11.​9% in the second quarter of 2023.'" (​See also our Sept. 25 News, "ICI: Worldwide MF Assets Jump in Q2'​23 to Almost $​10 Trillion; US Leads.")

Our October 26 News piece, "Fund Companies Prep for Liquidity Fees Via Filings, Discretionary Fees," starts off, "Now that the previous regime of emergency gates and liquidity fees has been removed from money market mutual funds (​effective Oct. 2), advisors have begun changing disclosures and filing updates to prepare for the new round of pending regulations. As we mentioned in our Oct. 23 Link of the Day, 'Dreyfus Recaps 2a-​7 Changes for AFP,' discretionary liquidity fees will become live on April 2, 2024 and mandatory liquidity fees for Prime Institutional MMFs will become active on Oct. 2, 2024. Below, we excerpt from a batch of the latest SEC filings, which shed more light on the rules and how fund managers are handling disclosures. (​See the latest filings containing the term '​discretionary liquidity fee' here.)"

We covered the continued growth in Social or D&​I share classes (​and decline in ESG funds in our November 2 story, "HSBC Launches '​P' Purpose Share Class; Cavu Paper on DEI Money Funds." It states, "HSBC Global Asset Management launched new '​P' share classes for its HSBC US Government Money Market Fund (​HGPXX) and US Treasury Money Market Fund (​HTPXX), adding them to a growing list of '​D&​I' or '​Social' money market fund share class options. A brochure for the funds, entitled, 'Diversity, Equity and Inclusion - The '​P' Share Class,' tells us, 'Our '​P' share class is designed to help investors align their day-​to-​day cash investment activities with their social ambitions. The share class is dedicated to charitable giving, with a focus on addressing issues at the intersection of gender, racial, and ethnic inequality in our societies. We allocate a proportion of the share class fee to go to select non-​profit partners on your behalf.'"

Finally, we cover the year-​end surge in MMF assets in "Money Fund Assets Hit Record $​6.​2 Trillion; Weekly Holdings." This article says, "Money fund assets jumped $​22.​3 billion on Monday, breaking the $​6.​2 trillion level for the first time ever and hitting a record $​6.​200 trillion, according to Crane Data'​s Money Fund Intelligence Daily series (​as of November 27). Money fund assets have risen by $​63.​2 billion over the past week and by $​159.​0 billion in the first 27 days of November. Assets fell by $​31.​9 billion in October after rising by $​93.​9 billion in September, $​98.​3 billion in August and $​34.​7 billion in July. Year-​to-​date (​through 11/​27), money fund assets have increased by $​1.​009 trillion, or 19.​4%." (​See also our Dec. 1 piece, "ICI Shows MMFs Surge to Record $​5.​8 Trillion; ICI Trends: Treasuries Up.")

For more 2023 (​and soon 2024) News (​and prior years going back to 2006), see Crane Data'​s News Archives. We'​ll continue to provide daily updates on the money fund marketplace in the coming year, so keep reading our News and Link of the Day commentaries in 2024. Let us know if you need web access (​unlimited access is for subscribers only), or if you'​d like to see our latest Money Fund Intelligence, Bond Fund Intelligence or MFI Daily publications. Thanks to all of our readers and subscribers for your support in 2023, and we wish you all the best in the coming year. Merry Christmas, Happy Holidays and Happy New Year!

Nov 20

 

Crane Data is making plans and preparing the agenda for our seventh annual ultra-​short bond fund event, Bond Fund Symposium, which will take place March 25-​26, 2024 at the Loews Philadelphia Hotel. Crane'​s Bond Fund Symposium offers a concentrated and affordable educational experience, as well as an excellent networking venue, for bond fund and fixed-​income professionals. Registrations are now being accepted ($​1,​000) and sponsorship opportunities are available. We review the preliminary agenda and details below, and we also give the latest update on our upcoming "basic training" show, Money Fund University, which will be held next month in Jersey City, Dec. 18-​19. (​We'​ll also be hosting our Crane Data Holiday Party alongside MFU, so please join us Monday, Dec. 18 from 5:​00-​7:​30pm at the Westin Jeresey City.

Bond Fund Symposium'​s Day One (​3/​25) morning agenda includes: Keynote: State of the Bond Fund Marketplace with Shelly Antoniewicz of Investment Co. Institute and Peter Crane of Crane Data; Ultra-​Shorts: Staying Positive, Conservative with Teresa Ho of J.​P. Morgan Securities, Richard Mejzak of BlackRock and Julian Potenza of Fidelity Investments; and ETF & Near-​Cash ETF Trends, with Brian McMullen of Invesco and James Palmieri of State Street Global Advisors. (Note: The agenda is still a work in progress, so let us know if you'​re interested in speaking or have any requests.)

The Day One afternoon agenda includes: Senior Portfolio Manager Perspectives with Dave Martucci of J.​P. Morgan A.​M., Dave Rothweiler of UBS Asset Management and Jerome Schneider of PIMCO; Bond Index Funds & Longer-​Term BF Issues with Matthew Brill of Invesco (​and an additional speaker TBD); Money Funds & Conservative Ultra-​Shorts with Peter Crane, Kerry Pope of Fidelity Investments and Dan LaRocco of Northern Trust A.​M.; and, Bond Market Strategists: Rates & Risks featuring Jay Barry of JPM Securities, Michael Cloherty of UBS and Ira Jersey of Bloomberg Intelligence. Monday will close with a reception sponsored by Northern Trust.

Day Two'​s agenda includes: Major Issues in Fixed-​Income Investing with George Bory of Allspring Global (​and an additional speaker); Regulatory Update: Bond Fund Issues ‘​24 with Aaron Withrow of Dechert LLP; Ultra-​Shorts, LGIPs & Bond Fund Ratings with Peter Gargiulo of Fitch Ratings and Michael Masih of S&​P Global Ratings; European & Sustainable Bond Fund Update with David Callahan of Lombard Odier I.​M..

Portfolio managers, analysts, investors, issuers, service providers, and anyone interested in expanding their knowledge of bond funds and fixed-​income investing will benefit from our comprehensive program. A block of rooms has been reserved at the Loews Philadelphia. We'​d like to thank our past sponsors and exhibitors -- Wells Fargo Securities, Fitch Ratings, Fidelity Investments, J.​P. Morgan Asset Management, Allspring Global, S&​P Global Ratings, StoneX, Invesco, BofA Securities, Northern Trust, Bloomberg Intelligence, Goldman Sachs, Federated, Payden & Rygel, PIMCO and Dechert -- for their support. (​We'​d love to get some new ones!) E-​mail us for more details.

Also, our 13th Annual Crane'​s Money Fund University will be held December 18-​19, 2023 at The Westin Jersey City Newport. Crane'​s Money Fund University covers the history of money funds, interest rates, regulations (​Rule 2a-​7), ratings, rankings, money market instruments such as commercial paper, CDs and repo, and portfolio construction and credit analysis. We also include segments on offshore money funds and ultra-​short bond funds. (Note Too: Crane Data is hosting its Holiday cocktail party during MFU on Dec. 18 from 5-​7:​30pm, so please join us in Jersey City at The Westin Jersey City Newport!)

New portfolio managers, analysts, investors, issuers, service providers, and anyone interested in expanding their knowledge of "​cash" investing should benefit from our comprehensive program. Even experienced professionals may enjoy a refresher course and the opportunity to interact with peers in an informal setting. Attendee registration for Crane'​s Money Fund University is just $​750, exhibit space is $​2,​000, and sponsorship opportunities are $​3K (​Bronze), $​4K (​Silver), and $​5K (​Gold). A block of rooms has been reserved at the The Westin Jersey City Newport.

Money Fund University'​s comprehensive program is good for anyone -- beginners and experienced professionals looking for a refresher -- alike. The latest MFU agenda is available online and we are still accepting registrations. (​We'​re also willing to "​comp" tickets for large Crane Data or sponsor clients, so let us know if you'​re interested.)

We'​ll also soon be gearing up for our next "​big show," Money Fund Symposium, which will be held June 12-​14, 2024, at The Westin Convention Center in Pittsburgh, Pa. (​Let us know if you'​d like details on speaking or sponsoring.) Also, mark your calendars for next year'​s European Money Fund Symposium, which will be held Sept. 19-​20, 2024, in London. Watch for details on these shows in coming weeks and months.

Nov 10

 

Crane Data'​s November Money Fund Portfolio Holdings, with data as of Oct. 31, 2023, show that Treasury holdings surged in October while Repo fell. Money market securities held by Taxable U.​S. money funds (​tracked by Crane Data) decreased by $​57.​9 billion to $​5.​917 trillion, after increasing $​56.​1 in September, $​106.​7 billion in August, $​78.​3 billion in July and $​46.​1 billion in June. Repo fell again, dropping $​329.​2 billion, but it remains the largest portfolio segment. Treasuries jumped by over $​175 billion, ranking in the No. 2 spot. The U.​S. Treasury surpassed the Federal Reserve Bank of New York as the largest Issuer to MMFs two months prior, in October that trend continued as the U.​S. Treasury jumped to $​1.​929 trillion vs. the Fed RRP'​s $​1.​077 trillion (​down $​400.​8 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 $​329.​2 billion (-​11.​3%) to $​2.​592 trillion, or 43.​8% of holdings, in October, after decreasing $​84.​0 billion in September, $​96.​8 billion in August, $​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 $​178.​1 billion (​10.​2%) to $​1.​929 trillion, or 32.​6% of holdings, after increasing $​164.​9 billion in September, $​163.​3 billion in August, $​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 $​36.​1 billion, or 5.​4%, to $​711.​6 billion, or 12.​0% of holdings. Agencies decreased $​8.​3 billion in September, increased $​16.​4 billion in August, but decreased $​66.​5 billion in July and $​119.​3 billion in June. They increased $​58.​8 billion in May and $​18.​5 billion in April. Repo, Treasuries and Agency holdings now total $​5.​232 trillion, representing a massive 88.​4% of all taxable holdings.

Money fund holdings of CP, CDs and Time Deposits all increased in October. Commercial Paper (​CP) increased $​17.​6 billion (​6.​2%) to $​300.​8 billion, or 5.​1% of holdings. CP holdings increased $​3.​0 billion in September, $​4.​8 billion in August, $​22.​0 billion in July, decreased $​2.​3 billion in June and increased $​6.​5 billion in May. Certificates of Deposit (​CDs) increased $​11.​2 billion (​5.​5%) to $​214.​2 billion, or 3.​6% of taxable assets. CDs increased $​0.​5 billion in September, $​14.​4 billion in August, $​7.​2 billion in July, $​7.​9 billion in June and $​2.​1 billion in May. Other holdings, primarily Time Deposits, increased $​28.​4 billion (​21.​7%) to $​159.​2 billion, or 2.​7% of holdings, after decreasing $​20.​4 billion in September, increasing $​4.​3 billion in August and $​29.​3 billion in July. TDs decreased $​49.​8 billion in June and increased $​30.​4 billion in May. VRDNs fell to $​10.​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 rose to $​1.​264 trillion, or 21.​4% of taxable money funds' $​5.​917 trillion total. Among Prime money funds, CDs represent 16.​9% (​up from 16.​3% a month ago), while Commercial Paper accounted for 23.​8% (​up from 22.​7% in September). The CP totals are comprised of: Financial Company CP, which makes up 15.​4% of total holdings, Asset-​Backed CP, which accounts for 4.​7%, and Non-​Financial Company CP, which makes up 3.​7%. Prime funds also hold 4.​6% in US Govt Agency Debt, 8.​0% in US Treasury Debt, 21.​4% in US Treasury Repo, 0.​4% in Other Instruments, 10.​4% in Non-​Negotiable Time Deposits, 5.​4% in Other Repo, 6.​9% in US Government Agency Repo and 0.​6% in VRDNs.

Government money fund portfolios totaled $​3.​065 trillion (​51.​8% of all MMF assets), down from $​3.​126 trillion in September, while Treasury money fund assets totaled another $​1.​587 trillion (​26.​8%), down from $​1.​605 trillion the prior month. Government money fund portfolios were made up of 21.​3% US Govt Agency Debt, 18.​1% US Government Agency Repo, 26.​1% US Treasury Debt, 34.​4% in US Treasury Repo, 0.​0% in Other Instruments. Treasury money funds were comprised of 64.​8% US Treasury Debt and 35.​2% in US Treasury Repo. Government and Treasury funds combined now total $​4.​652 trillion, or 78.​6% of all taxable money fund assets.

European-​affiliated holdings (​including repo) increased by $​101.​8 billion in October to $​692.​7 billion; their share of holdings rose to 11.​7% from last month'​s 9.​9%. Eurozone-​affiliated holdings increased to $​468.​5 billion from last month'​s $​417.​0 billion; they account for 7.​9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $​270.​3 billion (​4.​6% of the total) from last month'​s $​261.​6 billion. Americas related holdings fell to $​4.​946 trillion from last month'​s $​5.​113 trillion, and now represent 83.​6% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (​down $​329.​5 billion, or -​14.​9%, to $​1.​882 trillion, or 31.​8% of assets); US Government Agency Repurchase Agreements (​down $​0.​1 billion, or 0.​0%, to $​641.​2 billion, or 10.​8% of total holdings), and Other Repurchase Agreements (​up $​0.​3 billion, or 0.​4%, from last month to $​68.​3 billion, or 1.​2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (​up $​7.​5 billion to $​194.​3 billion, or 3.​3% of assets), Asset Backed Commercial Paper (​up $​1.​2 billion to $​60.​0 billion, or 1.​0%), and Non-​Financial Company Commercial Paper (​up $​8.​9 billion to $​46.​5 billion, or 0.​8%).

The 20 largest Issuers to taxable money market funds as of October 31, 2023, include: the US Treasury ($​1.​929T, 32.​6%), the Federal Reserve Bank of New York ($​1.​077 trillion, or 18.​2%), Federal Home Loan Bank ($​585.​4B, 9.​9%), Fixed Income Clearing Corp ($​368.​4B, 6.​2%), RBC ($​138.​3B, 2.​3%), Citi ($​113.​9B, 1.​9%), Bank of America ($​112.​2B, 1.​9%), JP Morgan ($​110.​7B, 1.​9%), Federal Farm Credit Bank ($​107.​0B, 1.​8%), BNP Paribas ($​101.​3B, 1.​7%), Barclays PLC ($​86.​3B, 1.​5%), Credit Agricole ($​65.​6B, 1.​1%), Goldman Sachs ($​63.​2B, 1.​1%), Wells Fargo ($​59.​0B, 1.​0%), Mitsubishi UFJ Financial Group Inc ($​58.​9B, 1.​0%), Sumitomo Mitsui Banking Corp ($​50.​3B, 0.​9%), Mizuho Corporate Bank Ltd ($​46.​7B, 0.​8%), Bank of Montreal ($​45.​2B, 0.​8%), ING Bank ($​42.​6B, 0.​7%), and Societe Generale ($​41.​7B, 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 ($​1.​077T, 41.​6%), Fixed Income Clearing Corp ($​368.​4B, 14.​2%), RBC ($​114.​8B, 4.​4%), JP Morgan ($​100.​8B, 3.​9%), Citi ($​97.​9B, 3.​8%), Bank of America ($​88.​8B, 3.​4%), BNP Paribas ($​88.​0B, 3.​4%), Barclays PLC ($​68.​1B, 2.​6%), Goldman Sachs ($​62.​1B, 2.​4%) and Wells Fargo ($​48.​5B, 1.​9%). The largest users of the $​1.​077 trillion in Fed RRP include: Vanguard Federal Money Mkt Fund ($​76.​8B), JPMorgan US Govt MM ($​74.​5B), Fidelity Govt Money Market ($​56.​0B), Schwab Treasury Oblig MF ($​45.​4B), Fidelity Govt Cash Reserves ($​39.​8B), Fidelity Inv MM: MM Port ($​38.​7B), Fidelity Cash Central Fund ($​37.​0B), Fidelity Inv MM: Govt Port ($​36.​3B), Northern Instit Treasury MMkt ($​34.​0B) and Fidelity Money Market ($​33.​3B).

The 10 largest issuers of "​credit" -- CDs, CP and Other securities (​including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($​32.​8B, 5.​5%), RBC ($​23.​5B, 3.​9%), Bank of America ($​23.​5B, 3.​9%), Credit Agricole ($​23.​4B, 3.​9%), Bank of Montreal ($​21.​4B, 3.​6%), Toronto-​Dominion Bank ($​20.​4B, 3.​4%), Mitsubishi UFJ Financial Group Inc ($​19.​2B, 3.​2%), Australia & New Zealand Banking Group Ltd ($​18.​4B, 3.​1%), Barclays PLC ($​18.​2B, 3.​1%) and Skandinaviska Enskilda Banken AB ($​17.​7B, 3.​0%).

The 10 largest CD issuers include: Bank of America ($​16.​5B, 7.​7%), Sumitomo Mitsui Banking Corp ($​14.​7B, 6.​9%), Toronto-​Dominion Bank ($​14.​3B, 6.​7%), Mitsubishi UFJ Trust and Banking Corporation ($​14.​2B, 6.​6%), Credit Agricole ($​12.​9B, 6.​0%), Mizuho Corporate Bank Ltd ($​11.​5B, 5.​4%), Mitsubishi UFJ Financial Group Inc ($​11.​5B, 5.​4%), Wells Fargo ($​10.​5B, 4.​9%), Sumitomo Mitsui Trust Bank ($​9.​7B, 4.​5%), and Citi ($​9.​1B, 4.​2%).

The 10 largest CP issuers (​we include affiliated ABCP programs) include: Bank of America ($​16.​5B, 7.​7%), Sumitomo Mitsui Banking Corp ($​14.​7B, 6.​9%), Toronto-​Dominion Bank ($​14.​3B, 6.​7%), Mitsubishi UFJ Trust and Banking Corporation ($​14.​2B, 6.​6%), Credit Agricole ($​12.​9B, 6.​0%), Mizuho Corporate Bank Ltd ($​11.​5B, 5.​4%), Mitsubishi UFJ Financial Group Inc ($​11.​5B, 5.​4%), Wells Fargo ($​10.​5B, 4.​9%), Sumitomo Mitsui Trust Bank ($​9.​7B, 4.​5%) and Citi ($​9.​1B, 4.​2%).

The largest increases among Issuers include: US Treasury (​up $​178.​5B to $​1.​929T), Federal Home Loan Bank (​up $​37.​0B to $​585.​4B), Credit Agricole (​up $​27.​0B to $​65.​6B), Barclays PLC (​up $​23.​9B to $​86.​3B), Citi (​up $​22.​6B to $​113.​9B), Bank of America (​up $​14.​3B to $​112.​2B), Deutsche Bank AG (​up $​9.​1B to $​29.​3B), JP Morgan (​up $​8.​9B to $​110.​7B), Erste Group Bank AG (​up $​8.​3B to $​9.​2B) and Bank of Montreal (​up $​7.​8B to $​45.​2B).

The largest decreases among Issuers of money market securities (​including Repo) in October were shown by: Federal Reserve Bank of New York (​down $​400.​8B to $​1.​077T), Goldman Sachs (​down $​29.​8B to $​63.​2B), RBC (​down $​11.​1B to $​138.​3B), Societe Generale (​down $​8.​5B to $​41.​7B), Sumitomo Mitsui Trust Bank (​down $​3.​3B to $​20.​7B), Sumitomo Mitsui Banking Corp (​down $​2.​8B to $​50.​3B), First Abu Dhabi Bank (​down $​1.​5B to $​7.​6B), Nomura (​down $​1.​5B to $​33.​0B), Credit Mutuel (​down $​1.​5B to $​10.​0B) and Federal Farm Credit Bank (​down $​1.​2B to $​107.​0B).

The United States remained the largest segment of country-​affiliations; it represents 78.​4% of holdings, or $​4.​638 trillion. Canada (​5.​2%, $​307.​9B) was in second place, while France (​4.​5%, $​265.​2B) was No. 3. Japan (​4.​2%, $​247.​1B) occupied fourth place. The United Kingdom (​2.​6%, $​152.​3B) remained in fifth place. Netherlands (​1.​2%, $​72.​6B) was in sixth place, followed by Germany (​1.​1%, $​66.​3B), Sweden (​0.​9%, $​50.​5B), Australia (​0.​7%, $​38.​5B), and Spain (​0.​4%, $​20.​7B). (​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 Oct. 31, 2023, Taxable money funds held 54.​4% (​down from 58.​1%) of their assets in securities maturing Overnight, and another 9.​9% maturing in 2-​7 days (​unchanged). Thus, 64.​3% in total matures in 1-​7 days. Another 11.​2% matures in 8-​30 days, while 9.​0% matures in 31-​60 days. Note that over three-​quarters, or 84.​4% 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 4.​3% of taxable securities, while 7.​7% matures in 91-​180 days, and just 3.​6% matures beyond 181 days. (​Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)