Money Fund Intelligence

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Money Fund Intelligence is a must-read for money market mutual fund and cash investment professionals. The monthly PDF contains:

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Latest Contents (July 1, 2020)

Fidelity Exits Prime Inst Space, But 1
T Rowe Price's Lynagh Says Stay True 1
AFP Liquidity Survey: Safety, Bank Key 1
Money Mkt News, Benchmarks 1
Brokerage Sweep & Bank Saving 8
People, Calendar, Subscription 8
Top Performing Tables, Indexes 9-12
Fund Performance Listings 13-26

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Money Fund Intelligence News

Jul 22

While we still hope to hold our flagship Money Fund Symposium in Minneapolis later this year (Oct. 26-28, 2020), we're officially cancelling our European Money Fund Symposium, which was scheduled for Nov. 19-20, 2020 in Paris, France. (We'll likely hold a slimmed-down, virtual European MFS on Nov. 19.) Crane Data continues to monitor travel restrictions and will give full refunds or credits for any events that are cancelled or that registered attendees can't make it to, and we continue to ramp up our virtual event capabilities. We review our latest events below. (Join us at 1pm Wednesday (7/22) for our next online event, "Crane's Money Fund Webinar: Portfolio Manager Perspectives," which will feature Peter Crane hosting a panel including Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak.)

We're sorry to have to cancel, but given the restrictions on international travel, we didn't think our European event had much of a chance this year. European Money Fund Symposium offers European, global and "offshore" money market portfolio managers, investors, issuers, dealers and service providers a concentrated and affordable educational experience, and an excellent and informal networking venue,. Our mission for EMFS, and all our events, is to deliver the best possible conference content at an affordable price to money market fund professionals. Our 2019 European Crane Symposium event in Dublin attracted 110 attendees, sponsors and speakers, and we hope to be back and even bigger in Paris in 2021. Watch for details in coming months on our Nov. 19 virtual event, and mark your calendars for next year's European MFS, scheduled for Oct. 20-21, 2021 in Paris.

As we told Sponsors and Speakers last month, we also shifted back the dates of our annual Money Fund Symposium conference due to the coronavirus pandemic and continued travel restrictions. Crane's Money Fund Symposium is now scheduled for October 26-28, 2020 at the Hyatt Regency Minneapolis, but we'll be prepared to cancel and to host a virtual event if the pandemic persists. In the meantime, our planning goes on. The latest agenda is available and registrations are still being taken at: (Registrations for our earlier June and August dates have been transferred to the October dates, and earlier hotel reservations were cancelled if you registered through us.)

Our MF Symposium Agenda is, for now, scheduled to kick off on Monday, October 26 with a keynote on "Money Funds through the Decades" from Paul Schott Stevens of the Investment Company Institute. The rest of the Day 1 agenda includes: "Treasury Issuance & Repo Update," with Mark Cabana of Bank of America, Dina Marchioni of the Federal Reserve Bank of New York and Tom Katzenbach of the U.S. Department of the Treasury; a "Corporate Investor, Portal & ESG MMF Discussion" with Tom Callahan of BlackRock, Tom Hunt of AFP, and Mark Adamson of Wells Fargo Securities; and, a "Major Money Fund Issues 2020" panel with Tracy Hopkins of Dreyfus/BNY Mellon Cash Investment Strategies, Jeff Weaver of Wells Fargo Asset Management and Peter Yi of Northern Trust Asset Management. (The evening's reception is sponsored by BofA Securities.)

Day 2 of Money Fund Symposium 2020 will begin with "The State of the Money Fund Industry," which features Peter Crane, Deborah Cunningham of Federated Investors and Michael Morin of Fidelity Investments, followed by a "Senior Portfolio Manager Perspectives" panel, including Linda Klingman of Charles Schwab I.M., Nafis Smith of Vanguard and John Tobin of J.P. Morgan Asset Mgmt. Next up is "Government & Treasury Money Fund Issues," with moderator, Joseph Abate of Barclays, Mike Bird of Wells Fargo Funds and Geoff Gibbs of DWS. The morning concludes with a "Muni & Tax Exempt Money Fund Update," featuring Colleen Meehan of Dreyfus, John Vetter of Fidelity and Sean Saroya of J.P. Morgan Securities.

The Afternoon of Day 2 (after a Dreyfus-sponsored lunch) features the segments: "Dealer's Choice: Supply, New Securities & CP" with moderator, Jeff Plotnik of U.S. Bancorp Asset Mgmt., Rob Crowe of Citi Global Markets, John Kodweis of JPM and Stewart Cutler of Barclays; "Ratings Focus: Governance, Global & LGIPs" with Robert Callagy of Moody's Investors Service, Greg Fayvilevich of Fitch Ratings and Michael Masih of S&P Global Ratings; "Ultra-Short, ETFs & Alt-Cash Update," with Alex Roever of J.P. Morgan Securities and Laurie Brignac of Invesco. The day's wrap-up presentation is "Brokerage Sweeps, Bank Deposits & Fin-Tech" involving Chris Melin of Ameriprise Financial and Kevin Bannerton of Total Bank Solutions. (The Day 2 reception is sponsored by Barclays.)

The third day of the Symposium features the sessions: "Strategists Speak '20: Fed Rates, Repo & SOFR" with Priya Misra of TD Securities and Garret Sloan of Wells Fargo Securities; "Regulatory & Misc. Issues: ESG, ETF, European," with Brenden Carroll of Dechert LLP, Rob Sabatino of UBS Asset Mgmt and Jonathan Curry of HSBC Global A.M.; "FICC Repo & Agency Roundtable," with Owen Nichols of State Street and Kyle Lynch of FHLBanks Office of Finance and, "Money Fund Statistics & Disclosures" with Peter Crane.

Visit the MF Symposium website at for more details. Registration is $750, and discounted hotel reservations are available. We hope it'll be safe to travel and you'll join us in Minneapolis this October! When and if you're ready, attendees, speakers and sponsors should register here and make hotel reservations here. We'll keep you posted on our plans, so watch for updates in coming months. E-mail us at to request the full brochure, or click here to see the latest.

Finally, mark your calendars for next year's Money Fund University, which is scheduled for Jan. 21-22, 2021, in Pittsburgh, Pa, and our next Bond Fund Symposium, which is scheduled for March 25-26, 2021 in Newport Beach, Calif. Watch for details in coming months, and let us know if you're interested in sponsoring or speaking. (No hurry of course; we'll see how travel develops in coming months.) Contact us if you have any feedback or questions. Attendees to Crane Conferences and Crane Data subscribers may access the latest recordings, Powerpoints and binder materials at the bottom of our "Content page." Let us know if you'd like more details on any of our events, and we hope to see you in Minneapolis later this fall or at some point in 2021!

In other "offshore" money fund news, a press release entitled, "Moody's assigns Aaa-mf rating to LGIM Euro Liquidity Fund" tells us, "Moody's Investors Service ('Moody's) has assigned a Aaa-mf to LGIM Euro Liquidity Fund (the 'Fund'), a Low Volatility Net Asset Value (LVNAV) money market fund, domiciled in Ireland and managed by Legal & General Investment Management Limited (LGIM). The Fund's primary investment objective is to achieve a return in line with money market rates while preserving capital and providing daily liquidity. The Aaa-mf rating reflects Moody's view that the Fund has a very strong ability to meet its objectives of providing liquidity and preserving capital."

It continues, "The Fund invests in high credit quality securities, primarily short-dated commercial paper and deposit securities as well as short-dated bonds from government, agency, corporate and financial issuers. The Fund's weighted average maturity (WAM) is below 60 days. The Fund maintains a strong liquidity profile supported by high levels of overnight and weekly liquidity in the portfolio, in excess of regulatory requirements."

Moody's adds, "The Fund’s exposure to market risk is low, supported by the high credit quality of the fund's investment portfolio, strong liquidity and relatively short WAM. Moody's expects the Fund's adjusted NAV score to be '1' or '2' in Moody's money market fund rating scorecard. LGIM is an investment manager with GBP1.2 trillion assets under management, out of which GBP51.6 billion in the liquidity management, as of December 2019."

Jul 13

Crane Data released its July Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of June 30, 2020, shows another increase in Treasuries and big drops in Government Agency Debt and Repo last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $159.1 billion to $4.963 trillion last month, after increasing $31.6 billion in May, a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). Treasury securities broke the $2.5 trillion level, and remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)

Among taxable money funds, Treasury securities increased by $60.8 billion (2.5%) to $2.544 trillion, or 51.3% of holdings, after increasing $355.9 billion in May, $795.7 billion in April and $303.1 billion in March. Repurchase Agreements (repo) decreased by $124.3 billion (-11.6%) to $946.6 billion, or 19.1% of holdings, after decreasing $216.7 billion in May, $238.4 billion in April and increasing $225.1 billion in March. Government Agency Debt decreased by $65.2 billion (-6.9%) to $879.2 billion, or 17.7% of holdings, after decreasing $99.8 billion in May, increasing $6.9 billion in April and $292.5 billion in March. Repo, Treasuries and Agencies totaled $4.370 trillion, representing a massive 88.1% of all taxable holdings.

Money funds' holdings of CP, CDs, Other (mainly Time Deposits) and VDRNs all fell in June. Commercial Paper (CP) decreased $6.5 billion (-2.2%) to $286.8 billion, or 5.8% of holdings, after increasing $5.2 billion in May and decreasing $11.9 billion in April and $24.1 billion in March. Certificates of Deposit (CDs) fell by $9.1 billion (-4.2%) to $208.2 billion, or 4.2% of taxable assets, after decreasing $7.4 billion in May, increasing $12.6 billion in April and falling $74.3 billion in March. Other holdings, primarily Time Deposits, decreased $13.7 billion (-14.9%) to $78.0 billion, or 1.6% of holdings, after decreasing by $5.7 billion in May, $5.7 billion in April and $8.0 billion in March. VRDNs decreased to $19.4 billion, or 0.4% of assets, from $20.6 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Monday.)

Prime money fund assets tracked by Crane Data increased $19.0 billion to $1.154 trillion, or 23.3% of taxable money funds' $4.963 trillion total. Among Prime money funds, CDs represent 18.0% (down from 19.1% a month ago), while Commercial Paper accounted for 24.8% (down from 25.7%). The CP totals are comprised of: Financial Company CP, which makes up 14.2% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 6.7% in US Govt Agency Debt, 29.6% in US Treasury Debt, 3.4% in US Treasury Repo, 0.7% in Other Instruments, 3.7% in Non-Negotiable Time Deposits, 4.2% in Other Repo, 5.6% in US Government Agency Repo and 0.9% in VRDNs.

Government money fund portfolios totaled $2.558 trillion (51.5% of all MMF assets), down $98.0 billion from $2.656 trillion in June, while Treasury money fund assets totaled another $1.251 trillion (25.2%), down from $1.330 trillion the prior month. Government money fund portfolios were made up of 31.3% US Govt Agency Debt, 12.2% US Government Agency Repo, 44.3% US Treasury debt, 11.9% in US Treasury Repo, 0.2% in VRDNs and 0.1% in Investment Company. Treasury money funds were comprised of 85.6% US Treasury Debt, 14.3% in US Treasury Repo and 0.1% U.S. Government Agency Debt. Government and Treasury funds combined now total $3.809 trillion, or 76.7% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $92.3 billion in June to $546.9 billion; their share of holdings fell to 11.0% from last month's 12.5%. Eurozone-affiliated holdings fell to $353.5 billion from last month's $435.3 billion; they account for 7.1% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $17.8 billion to $272.5 billion (5.5% of the total). Americas related holdings fell $49.0 billion to $4.136 trillion and now represent 83.4% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $93.7 billion, or -15.2%, to $521.8 billion, or 10.5% of assets); US Government Agency Repurchase Agreements (down $30.2 billion, or -7.4%, to $376.1 billion, or 7.6% of total holdings), and Other Repurchase Agreements (down $0.5 billion, or -1.0%, from last month to $48.7 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $25.7 billion to $163.6 billion, or 3.3% of assets), Asset Backed Commercial Paper (up $1.2 billion to $69.7 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $33.4 billion to $53.5 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of June 30, 2020, include: the US Treasury ($2,544.4 billion, or 51.3%), Federal Home Loan Bank ($542.3B, 10.9%), Federal National Mortgage Association ($124.9B, 2.5%), Fixed Income Clearing Co ($111.3B, 2.2%), RBC ($109.1B, 2.2%), BNP Paribas ($106.8B, 2.2%), Federal Home Loan Mortgage Co ($103.7B, 2.1%), Federal Farm Credit Bank ($102.5B, 2.1%), JP Morgan ($86.3B, 1.7%), Mitsubishi UFJ Financial Group Inc ($62.4B, 1.3%), Citi ($55.8B, 1.1%), Sumitomo Mitsui Banking Co ($53.2B, 1.1%), Barclays ($51.7B, 1.0%), Toronto-Dominion Bank ($44.4B, 0.9%), Credit Agricole ($43.4B, 0.9%), Bank of Montreal ($39.7B, 0.8%), Bank of America ($37.2B, 0.7%), Canadian Imperial Bank of Commerce ($35.1B, 0.7%), Bank of Nova Scotia ($34.5B, 0.7%) and Societe Generale ($33.8B, 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: Fixed Income Clearing Co ($111.1B, 11.7%), BNP Paribas ($95.3B, 10.1%), RBC ($78.9B, 8.3%), JP Morgan ($75.5B, 8.0%), Citi ($47.5B, 5.0%), Mitsubishi UFJ Financial Group ($41.9B, 4.4%), Barclays ($36.0B, 3.8%), Sumitomo Mitsui Banking Corp ($34.1B, 3.6%), Bank of America ($33.8B, 3.6%) and Credit Agricole ($32.1B, 3.4%). Fed Repo positions among MMFs on 6/30/20 still include only Franklin US Govt Money Market Fund ($1.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($30.3B, 6.1%), Toronto-Dominion Bank ($29.2B, 5.9%), Mitsubishi UFJ Financial Group ($20.5B, 4.2%), Sumitomo Mitsui Banking Co ($19.1B, 3.9%), Canadian Imperial Bank of Commerce ($18.5B, 3.8%), Sumitomo Mitsui Trust Bank ($17.4B, 3.5%), Bank of Nova Scotia ($16.9B, 3.4%), Mizuho Corporate Bank Ltd ($16.7B, 3.4%), Barclays ($15.7B, 3.2%) and Credit Suisse ($13.3B, 2.7%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.1B, 7.2%), Mitsubishi UFJ Financial Group Inc ($15.0B, 7.2%), Toronto-Dominion Bank ($13.1B, 6.3%), Sumitomo Mitsui Trust Bank ($12.3B, 5.9%) Bank of Montreal ($11.1B, 5.4%), Natixis ($9.4B, 4.5%), Bank of Nova Scotia ($9.2B, 4.4%), Mizuho Corporate Bank Ltd ($9.2B, 4.4%), Svenska Handelsbanken ($8.7B, 4.2%) and Canadian Imperial Bank of Commerce ($7.5B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($18.0B, 7.3%), Toronto-Dominion Bank ($15.7B, 6.3%), JP Morgan ($10.8B, 4.4%), Societe Generale ($9.9B, 4.0%), Canadian Imperial Bank of Commerce ($9.8B, 3.9%), Caisse des Depots et Consignations ($8.9B, 3.6%), ING Bank ($7.3B, 2.9%), Barclays PLC ($7.2B, 2.9%), Credit Suisse ($7.2B, 2.9%) and Credit Suisse ($7.0B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $60.8B to $2.544 trillion), Toronto-Dominion Bank (up $5.2B to $44.4B), Citi (up $4.9B to $55.8B), Bank of Montreal (up $4.4B to $39.7B), Sumitomo Mitsui Trust Bank (up $4.1B to $23.0B), Federal Home Loan Mortgage Corp (up $2.2B to $103.7B), Skandinaviska Enskilda Banken AB (up $1.5B to $9.6B), Wells Fargo (up $1.4B to $29.2B), UBS AG (up $1.3B to $9.5B) and Caisse des Depots et Consignations (up $1.3B to $9.1B).

The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Federal Home Loan Bank (down $64.1B to $542.3B), Fixed Income Clearing Corp (down $24.9B to $111.3B), BNP Paribas (down $21.5B to $106.8B), JP Morgan (down $13.5B to $86.3B), Societe Generale (down $12.4B to $33.8B), Credit Agricole (down $11.3B to $43.4B), Barclays PLC (down $8.3B to $51.7B), Natixis (down $7.4B to $26.6B), Deutsche Bank AG (down $7.0B to $13.7B) and RBC (down $6.6B to $109.1B).

The United States remained the largest segment of country-affiliations; it represents 77.7% of holdings, or $3.856 trillion. Canada (5.6%, $279.5B) was number two, and France (4.8%, $236.7B) was third. Japan (4.5%, $222.5B) occupied fourth place. The United Kingdom (2.3%, $114.7B) remained in fifth place. Germany (1.2%, $58.0B) was in sixth place, followed by The Netherlands (1.1%, $52.5B), Sweden (0.7%, $35.9B), Australia (0.7%, $32.2B) and Switzerland (0.6%, $30.2B). (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 June 30, 2020, Taxable money funds held 28.7% (down from 32.4%) of their assets in securities maturing Overnight, and another 9.2% maturing in 2-7 days (down from 10.3% last month). Thus, 37.9% in total matures in 1-7 days. Another 18.1% matures in 8-30 days, while 14.7% matures in 31-60 days. Note that over three-quarters, or 70.0% 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 11.8% of taxable securities, while 14.9% matures in 91-180 days, and just 2.7% matures beyond 181 days.

Jul 08

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

MFI's "Fidelity Exits" article says, 'Fidelity Investments recently announced its 'Fidelity Institutional Prime Money Market Funds Liquidation,' telling us, 'We have decided to liquidate our two institutional prime money market funds: Fidelity Investments Money Market (FIMM) Prime Money Market Portfolio and Fidelity Investments Money Market (FIMM) Prime Reserves Portfolio. Both funds will remain fully accessible to investors until their liquidation on or about August 14, 2020.... It is important to note that this decision does not affect any of our other money market funds -- institutional or retail -- and there is no need to take immediate action. We are committed to working with our institutional clients to determine alternative liquidity investment products that best suit their needs by August 12.'"

The announcement continues, "Our decision to liquidate these two funds was made after thoughtful review and consideration of our experience with investor behavior in institutional prime money market funds during periods of market stress, evolving institutional investor preferences, and our broader money market business. We are choosing to exit the institutional prime segment of the marketplace because we believe we can better meet institutional investors' needs with other cash management products."

Our "Profile" reads, "This month, MFI interviews T. Rowe Price Group Vice President Joseph Lynagh, who runs T. Rowe's cash management operation, and also its ultra-short bond strategies. Lynagh will be retiring early next year after three decades at the Baltimore-based fund manager. We ask him about the recent market turmoil (and past episodes), and he tells us about the firm's history, the latest crisis, fee waivers and a number of other issues. He says we'll have to 'buckle down' again to make it through the latest zero yield environment. Our Q&A follows."

MFI says, "Give us some history." Lynagh tells us, "T. Rowe has been involved in money funds since 1976.... The Prime Reserve Fund was our flagship fund. It was in place ... when interest rates really spiked and money funds were quite the story, posting yields of 10-11 percent. Against the context of today, that sounds like a completely different universe.... We later launched the Tax-Exempt Money Fund to give us a presence in the muni space.... We added a U.S. Treasury Money Fund [and] state-specific funds on the muni side, California, New York and later Maryland. We then introduced what at the time was a low-fee product in our 'Summit' line of funds."

The "Survey" article tells readers, "The Association for Financial Professionals recently released its 'AFP Liquidity Survey,’ and a press release entitled, 'Companies Turn to Bank Deposits as COVID-19 Crisis Continues.' The latter says, 'Companies are holding their short-term investments in banks due to concerns over the economy, according to the 2020 AFP Liquidity Survey, underwritten by Invesco.' It shows that '51% of respondents revealed that they increased their short-term investments in banks. This is the highest percentage in three years and a reversal of a downward trend that began in 2015. Although the survey was taken before the full effect of liquidity preservation efforts had set in due to the COVID-19 outbreak, this flight to caution likely reflects concerns that the pandemic poses a critical threat to the global economy.'"

AFP, which just cancelled its October conference in Las Vegas (see here), explains, "Safety continues to be the most-valued short-term investment objective for 62% of organizations, followed by liquidity at 34% and yield at a distant third with 4%. Given the current recession, we should probably expect larger shares of companies opting for safety in the future. As the crisis surrounding the pandemic unfolds, trust in banking partners will be paramount as the survey reflects. Ninety-three percent of respondents consider the overall relationship with their banks to be the primary driver in bank deposit selection. Seventy-three percent indicated that the credit quality of a bank is a deciding factor in determining where to maintain balances."

The latest MFI also includes the News brief, "Money Fund Assets Plunge in June," which says, "Assets fell by $113.0 billion in June to $5.050 trillion, but they're still up $1.092 trillion YTD. ICI also shows assets falling for 6 straight weeks after 15 straight weeks of inflows. (Assets have rebounded this week though, according to our MFI Daily.)

A second News piece titled, "Money Fund Yields Bottoming," says, "Our flagship Crane 100 inched down by 3 basis points to 0.11% last month, and expense ratios continue to inch lower as fee waivers increase. Watch for our revised MFI XLS and craneindexes.xlsx with updated expense info on 7/9."

Our July MFI XLS, with June 30 data, shows total assets decreased by $113.0 billion in June to $5.050 trillion, after increasing $31.6 billion in May, jumping $417.9 billion in April and skyrocketing $688.1 billion in March. Our broad Crane Money Fund Average 7-Day Yield fell 2 bps to 0.07% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 3 bps to 0.11%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down 2 bps at 0.33% and the Crane 100 also fell to 0.32%. Charged Expenses averaged 0.26% (unchanged from last month) and 0.21% (unchanged from the previous month), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 40 (down 1 day) and 43 days (down 2 days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Jun 05

The June issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Friday morning, features the articles: "MFs Begin Waiving Expenses to Avoid Negative Yields," which focuses on fee waivers as money fund yields approach zero; "Invesco's Brignac on Time-Tested Process, Client Care," which profiles the CIO for Invesco Global Liquidity; and, "NY Fed Blog Reviews MMLF, CPFF, PDCF Fed Support Plans," which looks at the Fed's lending facilities. We've also updated our Money Fund Wisdom database with May 31 statistics, and was sent out our MFI XLS spreadsheet Friday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our June Money Fund Portfolio Holdings are scheduled to ship on Tuesday, June 9, and our June Bond Fund Intelligence is scheduled to go out Friday, June 12.

MFI's "Waiving Expenses" article says, "Money funds have stabilized at a record $5.2 trillion following a harrowing March and a surprisingly robust recovery in April and May. While CP market turmoil, the Prime asset drop and recovery and the Government MMF asset bonanza are still stories, the big issue facing funds is now zero and perhaps negative yields, along with fee waivers and reduced expenses. Yields have fallen to 0.15% on average and over 25% of assets (and 50% of funds) are now on the 0.00%-0.01% floor."

It continues, "During the last zero yield era (2009-2015), funds basically waived half of their fees, cutting expenses from roughly 0.35% to 0.17%. While it's difficult to get timely and accurate expense and waiver data, it's clear that waivers are starting to bite and expenses are moving downwards. (We update ours using the SEC's Form N-MFP info, but we don't update until the 6th business day -- so see our June MFI XLS and craneindexes.xlsx file on the website on Monday for the latest.)"

Our "Profile" reads, "This month, Money Fund Intelligence interviews Laurie Brignac, Chief Investment Officer for Invesco Global Liquidity, which will celebrate its 40th birthday this year. (Money funds will celebrate their 50th this October.) Brignac tells us about Invesco's history, about the events of the last several months and the issues facing money fund managers for the remainder of 2020. Our Q&A follows."

MFI says, "Give us a little history. Brignac tells us, "We launched our first money market fund back in 1980 and at that time we were known as AIM Investments. AIM merged with Invesco in the late '90s, but we're proud of the fact that we have the same investment process that we used on that first day in 1980. I don't know if many people can say that. The process has stood the test of time and worked very well for our clients over multiple interest rate and credit cycles. We're very proud of the fact that we have never had to buy securities or support any of our money market funds, even through the financial crisis. We've been able to honor all purchases and redemptions on T-0 basis."

The "NY Fed Blog" article tells readers, "The Federal Reserve Bank of New York posted a series of 'Liberty Street Economics' blogs reviewing the Fed's recent support facilities, including 'The Money Market Mutual Fund Liquidity Facility,' 'The Primary Dealer Credit Facility' and 'The Commercial Paper Funding Facility.' The MMLF piece tells us, 'Over the first three weeks of March, as uncertainty surrounding the COVID19 pandemic increased, prime and municipal (muni) money market funds (MMFs) faced large redemption pressures. Similarly to past episodes of industry dislocation, such as the 2008 financial crisis and the 2011 European bank crisis, outflows from prime and muni MMFs were mirrored by large inflows into govt MMFs.'"

The post explains, "To prevent outflows from prime and muni MMFs from turning into an industry-wide run, as happened in September 2008 when one prime MMF 'broke the buck,' the Federal Reserve announced the establishment of the Money Market Mutual Fund Liquidity Facility, or MMLF, on March 18. Under this facility, the Federal Reserve Bank of Boston provides loans to eligible borrowers ... taking as collateral eligible securities purchased from prime and muni MMFs. The U.S. Treasury provides $10 billion of credit protection to the Federal Reserve from the Treasury's Exchange Stabilization Fund."

The latest MFI also includes the News brief, "Money Fund Assets Up in May But Down in June," which writes, "MMF assets increased by $31.6 billion in May to a record $5.163 trillion according to Crane's MFI XLS. ICI's latest weekly shows assets falling by $36.3 billion in the latest week to $4.752 trillion."

A second News piece titled, "Northern Liquidating Prime Obligs," says, "Northern Institutional Funds filed to liquidate its $1.7 billion Northern Prime Obligations Portfolio. The filing says, 'The Board ... has determined ... that the Portfolio be liquidated and terminated on or about July 10, 2020.' See Bloomberg's 'Northern Trust to Shutter Money-Market Fund After Redemptions.'"

Our June MFI XLS, with May 31 data, shows total assets increased by $31.6 billion in May to $5.163 trillion, after jumping $417.9 billion in April, $688.1 billion in March and $23.4 billion in February. Our broad Crane Money Fund Average 7-Day Yield fell 8 bps to 0.11% during the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was down 11 bps to 0.15%.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA was down 8 bps at 0.41% and the Crane 100 fell to 0.38%. Charged Expenses averaged 0.30% (down 4 bps from last month) and 0.23% (down two from the previous month), respectively for the Crane MFA and Crane 100. The average WAM (weighted average maturity) for the Crane MFA and Crane 100 was 41 (up 2 days) and 44 days (up 3 days) respectively. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)