​

Yesterday, we wrote about additional Disclosures listed in the SEC'​s latest proposed Money Market Fund Reforms, but today we wanted to add their section on "Compliance Dates." The SEC says, "We propose to provide a transition period after the effective date of the amendments to give affected funds sufficient time to comply with the proposed changes and associated disclosure and reporting requirements, as described below.... We propose that 12 months after the effective date of the amendments, any money market fund that is not a government money market fund or a retail money market fund must comply with the proposed swing pricing requirement in rule 2a-​7, if adopted, as well as the swing pricing disclosures applicable to these money market funds in the proposed amendments, if adopted, to Forms N-​MFP and N-​1A."

They add, "​The proposed compliance period for all other aspects of the proposal is six months after the effective date of the amendments.... Removal of the liquidity fee and redemption gate provisions in rule 2a-​7, as well as removal of associated disclosure requirements in Form N-​1A and N-​CR, would be effective, if adopted, when the final rule is effective."

In other news, Wells Fargo Securities' latest Fixed Income Market and Portfolio Strategy "​Daily Short Stuff" asks "Where did BSBY go in 2021? SOFR dominates. Author Vanessa Hubbard McMichael writes, "SOFR averaged about 4 basis points this year ranging from a low of 1 basis point and a momentary high of 11 basis points. The high was relevant for one day in early January. SOFR remained compressed this year given a mix of Fed policy, an abundance of cash and limited front-​end options. SOFR reset at 1 basis point for 70 days in 2021 and at 5 basis points for 132 days. The 5 basis point level was reached and maintained after the Fed increased the lower bound on its administered rates by 5 basis points mid-​June. After this technical shift from 0 to 5 basis points, SOFR reset on a daily basis at 5 basis points 96 percent of the time (​128 out of 133 trading days)."

She says, "SOFR has been the dominate rate for floating-​rate instruments in U.​S. IG markets this year, but even as late as November 2021, there were a few LIBOR-​based CDs sprinkled into weekly issuance data. These CDs used either 1-​month or 3-​month LIBOR as the underlying reference rate. 1-​week and 2-​week USD LIBOR tenors are retiring in just a few days, while overnight, 1-​month, 3-​month, 6-​month and 12-​month LIBOR tenors will still exist through June 2023, although U.​S. regulators strongly urge ceasing any new LIBOR issuance once 2021 concludes."

McMichael tells us, "Recall that mid-​2021 there was heightened interest in credit-​sensitive alternatives to replace LIBOR and there were a handful of securities priced over BSBY or the Bloomberg Short-​term Bank Yield Index. There was just $​5.​50 billion in total par amount amongst 5 transactions issued with BSBY as the reference rate mid-​2021, and two of these securities matured this month. Thus, there is just $​3.​25 billion in outstanding IG BSBY securities remaining. After the initial issuance May - July, we have not seen sustained adoption of BSBY in investment grade fixed income floating-​rate markets."

She comments, "Last week SOFR issuance for transactions with at least $​50 million in par amount was light with just $​2.​62 billion coming to market. Of this total, GSE issuers comprised 59 percent of issuance and financial names the remaining 41 percent. The Federal Home Loan Bank priced a $​50 million 60-​month at SOFR+​20 basis points, and the Federal Farm Credit Banks priced $​1.​50 billion in securities ranging in maturity from 21-​months to 24-​months. FFCB'​s 21-​month priced at SOFR+​5 basis points and 24-​month at SOFR+​6 basis points."

Wells adds, "Over the first two days of this final week of 2021, there have been about $​1.​85 billion in new SOFR transactions that have come to market. The Federal Farm Credit Banks priced a $​500 million 3-​month security at SOFR flat and a $​1.​25 billion 24-​month at SOFR+​5.​5 basis points.... Year-​to-​date there have been about $​318 billion in total SOFR securities that have come to market with at least $​50 million in par amount. Financial names dominated the space, comprising about 50 percent of total issuance while government names, which include both GSEs and SSAs, made up about 40 percent. The remaining 10% of issuance came from a variety of financial names in the consumer, communications, industrial, technology and energy and utilities sectors."

Finally, a press release entitled, "Futu Inc. Partners with StoneCastle Insured Sweep to Provide Insured Cash Platform to its Brokerage and Wealth Management Clients," explains, "Futu Inc., a subsidiary of Futu Holdings Limited, an advanced technology company offering fully digitized brokerage and wealth management platforms, recently announced a deal with StoneCastle Insured Sweep, LLC to provide insured cash sweep services to Futu'​s brokerage clients. Implementation of the insured cash platform took place in early November 2021."

Keith Chan, CEO of Futu, comments, "Offering a bank sweep product to our clients is a natural progression of the continued expansion of our products and services.... Futu engages closely with its clients who have come to expect us to innovate and enhance client-​experience. Adding a feature that provides greater protection for clients' cash while allowing them to earn interest is a win for our clients."

The release adds, "Insured cash sweep programs have become commonplace in the industry and have grown to more than a trillion-​dollar cash category over the past couple of decades. "​We constantly look for partners that truly differentiate themselves in the marketplace," said David Gareis, a senior executive at Stonecastle. "​Our size, business model, experience on digital platforms, and ability to source the banks they need to run and grow their programs made it a natural fit."

​

As we'​ve been writing about over the past two weeks, the Securities & Exchange Commission proposed its latest set of Money Market Fund Reforms, which include much higher liquidity levels, the removal of gates and fees, a controversial swing pricing feature and additional disclosures. See the Proposed Rules here, the press release here the Fact Sheet here, our Dec. 16 News, "SEC Proposes MMF Reforms: More Liquidity, No Gates/​Fees, Swing Pricing," and our Dec. 27 News, "More Reforms: SEC Commissioners Comment on Controversial Proposal." Given the close 3-​2 vote and the pending 60-​day comment period, there could be substantial changes in the final rule, which is expected later in 2022. Today, we quote from the "Amendments to Reporting Requirements" section, which starts on page 119 of the 325-​page proposal. (Note: Thanks again for your support and readership in 2021! Happy Holidays and Happy New Year from Crane Data & Money Fund Intelligence!)

Discussing "Amendments to Form N-​CR," the SEC writes, "Money market funds are required to file reports on Form N-​CR when certain specified events occur. Currently, a money market fund typically is required to file Form N-​CR reports if a portfolio security defaults or experiences an event of insolvency, an affiliate provides financial support to the fund, the fund experiences a deviation between current net asset value per share and intended stable price per share, liquidity fees or redemption gates are imposed or lifted, as well as any optional disclosure made at the fund'​s discretion. We are proposing to add a new requirement for a money market fund to file a report on Form N-​CR when the fund falls below a specified liquidity threshold. We also propose to require funds to file Form N-​CR reports in a structured data language. Further, we are proposing other amendments to improve the utility of reported information and to remove reporting requirements related to the imposition of liquidity fees and redemption gates under rule 2a-​7."

They also propose "Amendments to Form N-​MFP," explaining, "Form N-​MFP is the form that money market funds use to report their portfolio holdings and other key information each month. We use the information on Form N-​MFP to monitor money market funds and support our examination and regulatory programs. We are proposing amendments to improve our ability to monitor money market funds. The proposed amendments would provide certain new information about a fund'​s shareholders and disposition of non-​maturing portfolio investments. We are also proposing changes to enhance the accuracy and consistency of information funds currently report, to increase the frequency of certain data points, and to improve identifying information for the reporting fund."

Discussing the "New Information Requirements," the SEC states, "We are proposing to require additional information about the composition and concentration of money market fund shareholders. With respect to shareholder concentration, we are proposing that all money market funds disclose the name and percent of ownership of each person who owns of record or is known by the fund to own beneficially 5% or more of the shares outstanding in the relevant class. Money market funds currently provide substantially the same information on an annual basis in their registration statements. We believe more frequent information about shareholder concentration would be helpful for monitoring a fund'​s potential risk of redemptions by an individual or a small group of investors that could significantly affect the fund'​s liquidity."

They explain, "We recognize that as a result of omnibus accounts, there are circumstances in which multiple investors would be represented as a single shareholder of record for purposes of this disclosure. The proposal would require information about beneficial owners known by the fund in recognition that funds may not have information about the amount each beneficial owner holds in an omnibus account. The proposed item would distinguish between record owners and beneficial owners to facilitate a more nuanced understanding of potential concentration levels. We are proposing to require funds to use a 5% ownership threshold for this reporting requirement to align with analysis funds already must conduct each year for purposes of updating their registration statements."

The proposal continues, "We also propose to require a money market fund that is not a government money market fund or a retail money market fund to provide information about the composition of its shareholders by type. The proposed item would require these funds to identify the percentage of investors within the following categories: non-​financial corporation; pension plan; non-​profit; state or municipal government entity (​excluding governmental pension plans); registered investment company; private fund; depository institution and other banking institution; sovereign wealth fund; broker-​dealer; insurance company; and other. This information would assist with monitoring the liquidity and redemption risks of institutional money market funds, as different types of investors may pose different redemption risks."

It adds, "In addition, we propose to add new Part D to Form N-​MFP, which would require information about the amount of portfolio securities a prime money market fund sold or disposed of during the reporting period. This information would facilitate monitoring of prime money market funds' liquidity management, as well as their secondary market activities in normal and stress periods. It also would improve the availability of data about how selling activity by money market funds relates to broader trends in short-​term funding markets. The proposal would require a prime fund to disclose the aggregate amount it sold or disposed of for each category of investment. The categories of investments would mirror the categories funds already use on Form N-​MFP for identifying their month-​end holdings (​e.​g., certificate of deposit, non-​negotiable time deposit, financial or non-​financial company commercial paper, or U.​S. Treasury debt). To focus the disclosure on secondary market activity, the proposal would exclude portfolio securities the fund held until maturity."

The proposal also says, "As described above in the proposed swing pricing requirement section, we also propose to amend Form N-​MFP to require money market funds that are not government money market funds or retail money market funds to report the number of times the fund applied a swing factor over the course of the reporting period, and each swing factor applied. In that section, we requested comment on these swing pricing-​related amendments to Form N-​MFP."

It states, "We are proposing to specify that, for purposes of reporting the fund'​s schedule of portfolio securities in Part C of Form N-​MFP, filers must provide required information separately for the initial acquisition of a security and any subsequent acquisitions of the security (​i.​e., for each lot). Currently, some funds report information separately for each lot, while others do not. Requiring funds to report information separately for each lot would facilitate the Commission'​s ability to analyze other information we propose to require. Specifically, we are proposing an additional item that would require funds to provide the trade date on which the security was acquired and the yield of the security as of that trade date. These proposed amendments, collectively, would assist the Commission in understanding how long a fund has held a given position and the maturity of the position when it was first acquired. This information is important to understand a money market fund'​s portfolio turnover during normal market conditions and to monitor a potentially higher level of asset disposition during periods of market stress."

The section also tells us, "Form N-​MFP requires filers to report particular information about funds' repurchase agreements. We are proposing to amend the form to require additional information about repurchase agreement transactions and to standardize how filers report certain information. Specifically, the amendments would require that filers identify (​1) the name of the counterparty in a repurchase agreement; (​2) whether a repurchase agreement is centrally cleared and the name of the central clearing counterparty, if applicable; (​3) if a repurchase agreement was settled on a triparty platform; and (​4) the CUSIP of the securities involved in the repurchase agreement. Currently, Form N-​MFP simply asks for the name of the issuer."

It explains, "We are also proposing to include '​cash' as a category of investment that most closely represents the collateral in repurchase agreements. This amendment is designed to recognize that cash is sometimes used as collateral for repurchase agreements, and we expect that the addition would reduce inaccurate disclosure suggesting that a repurchase agreement is under-​collateralized. Moreover, we are proposing to remove the ability for funds to aggregate certain required information if multiple securities of an issuer are subject to the repurchase agreement. Removing this provision would provide more complete information about securities subject to a repurchase agreement."

The SEC comments, "We are proposing a new item in Form N-​MFP that would require filers to indicate whether the fund is established as a cash management vehicle for affiliated funds and accounts. This item would make it easier and more efficient to identify privately offered institutional money market funds. Our proposal also includes an amendment to enhance consistency of reporting of whether a fund seeks to maintain a stable price per share.... We are proposing to include a new category that distinguishes between U.​S. Government agency notes that are coupon-​paying and those that are no-​coupon discount notes. We believe that including this distinction would allow us to better understand whether an agency security should be categorized as a weekly liquid asset, as only agency discount notes with less than 60 days to maturity can be considered weekly liquid assets under the rule."

Finally, under "More Frequent Data Points," they tell us, "Under current rule 2a-​7, a money market fund must prominently disclose on its website, as of the end of each business day during the preceding six months, the fund'​s percentage of total assets invested in daily liquid assets and in weekly liquid assets, as well as the fund'​s net asset value per share (​including for each class of shares) and net shareholder flow. Currently, in monthly reports on Form N-​MFP, a money market fund must provide the same general information for each Friday during the month reported. Based on the Commission'​s experience with using current Form N-​MFP data to analyze the events of March 2020 and other periods, we are proposing to amend Form N-​MFP to require a money market fund to provide in its monthly report this liquidity, net asset value, and flow data for each business day of the month, rather than on a weekly basis."

The SEC adds, "We are proposing to require daily liquidity, net asset value, and flow data in monthly reports to allow Commission staff to better and more precisely monitor risks and trends in these areas in an efficient and more precise manner without requiring frequent visits to the websites of many different funds, and to provide industry-​wide daily data in a central repository as a resource for investors and others. Although data vendors provide some daily data based on information gathered from funds' websites, the staff has found this data could be incomplete at times, and therefore may not be appropriate for purposes of staff monitoring and analyses. We are also proposing to increase the frequency with which funds report certain yield information. Currently, funds must report 7-​day gross yields (​at the series level) and 7-​day net yields (​at the share class level) as of the end of the reporting period. We propose to require funds to report this information each business day. We believe the higher-​frequency reporting would assist in the timely monitoring and assessment of fund risks, particularly during periods of market stress."

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Earlier this month, Fitch Ratings published its "2022 Outlook on Global Money Market Funds," which reviews a number of factors to watch in the New Year. They write, "Fitch Ratings' 2022 sector outlook for global money market funds (​MMFs) is neutral, with conditions broadly unchanged from 2021. Fundamental credit conditions are improving as issuer-​level rating Outlooks are increasingly being revised to Stable from Negative. Furthermore, potential interest rate rises should be manageable for MMFs and could contribute to increased revenues for MMF providers. However, regulatory changes being under consideration introduces uncertainty and may lead to outflows from prime funds or a restructuring of certain products."

The piece tells us, "Fitch believes ongoing considerations of regulatory changes create uncertainty for investors and fund managers. Regulators globally have suggested several draft proposals, but no final rules have been implemented. We expect an extended lead time before any regulatory changes are finalised given the length of prior regulatory review cycles, giving investors and MMF providers time to adapt. Fitch expects to review its rating methodology in response to final regulatory proposals, once available, to reflect any potential changes in MMFs' expected risk profiles."

It explains, "Fitch'​s 2022 global economic outlook highlights inflationary pressures, which are likely to lead to central bank policy rate tightening in the US and Europe. We expect fund managers to reduce weighted average portfolio maturities (​WAMs) to position for rising rates. Low WAMs in rated MMFs reduce mark-​to-​market value declines in portfolio securities and hence funds' net asset values. Low WAMs also mean that potentially increased market yields can be passed on to investors more quickly, depending on managers' approaches to fee reductions."

Fitch'​s Outlook states, "Revisions of underlying issuers' Outlooks to Stable from Negative continued in 2021 as economies recovered from the pandemic. Nonetheless, a higher share of widely held issuers in MMF portfolios remain on Rating Watch Negative (​RWN) or Negative Outlook than before the pandemic, signaling the continued risk of credit deterioration. Fitch expects more RWNs and Negative Outlooks to be resolved or revised to Stable, and anticipates continued stabilisation in the credit environment in 2022."

Discussing "What to Watch - Regulatory Changes," they comment, "Global regulators are actively considering changes to MMF regulation. However, the three main MMF regulatory agencies (​SEC (​US); ESMA (​Europe); CSRC (​China)) have not published final policy proposals. The regulatory end-​state is uncertain, but eventual changes could be material: the Financial Stability Board, a coordinating body for international financial market regulators, suggested recently that multiple changes may be necessary to address MMF vulnerabilities.... There is material overlap between global regulatory agency proposals."

Fitch continues, "Most of the proposals could be incrementally positive for ratings, but some would likely be negative for the sector, specifically prime funds, in terms of product demand or manager economics. This could lead to second-​order effects on fund liquidity if investors reallocate large volumes of money quickly (​i.​e. in a disorderly manner). Mild reforms, such as de-​linking funds' weekly liquidity levels from their ability to impose redemption fees or gates, would be unlikely to cause material fund outflows. However, if prime funds were banned or material structural changes introduced, large prime fund outflows would be expected, with money largely moving to the same fund managers' government funds, based on previous experience."

The piece also says, "Fitch anticipates an initial US interest rate hike in 2022, with more in 2023, but expects EU policy rates to stay at current levels until 2025. MMFs in the US and Europe have been reducing and waiving fees to keep positive or zero net yields since the low rate environment began in 2020. This has pressured fund providers' revenues, and led to fund consolidations and liquidations, particularly for US institutional prime MMFs, which only yielded 1bp more than government MMFs on a net basis as of 1 November 2021. As policy rates increase, MMF managers can up investor fees, improving profitability. This could slow sector consolidation."

It adds, "The Federal Reserve Bank of New York increased the overnight reverse repurchase agreement program (​RRP) rate to 0.​05% from 0.​00% in June to keep interest rates above 0%. This has given MMFs a venue to park excess cash, which otherwise may have gone into Treasury, Agency, and repo markets, and pushed interest rates lower. MMFs' demand for the RRP is driven by low interest rates, the RRP'​s rate increase, a decrease in Treasury Bill supply, and pandemic-​driven inflows into government MMFs. As low interest rates continue, so will increased RRP demand. This is not ratings-​material given RRP exposures' high credit quality."

The update tells us, "Fitch expects Chinese MMF assets to continue to grow gradually due to loose monetary policy and ample market liquidity in 2022. Total Chinese MMF assets peaked at CNY9.​8 trillion (​USD1.​52 trillion) at end-​August. Total MMF assets fell slightly to CNY9.​7 trillion at end-​October -- up 20% from end-​2020, in line with Chinese mutual fund asset growth. The Chinese MMF market has become more diverse as the assets in Yu'​E Bao, the largest Chinese MMF, have declined.... Their detailed portfolio holding information is not available, but funds with exposure to China Huarong Asset Management or China Evergrande Group could have less capability to preserve principal and provide liquidity. Credit selectivity will be important to MMF managers in 2022."

Finally, a sidebar on a "Potential Disruptive Factor - ESG Adoption," comments, "We expect growth of global AUM in ESG MMF, primarily via fund conversion, to continue in 2022. In Europe, Fitch rated EUR215 billion AUM in ST MMFs classified under SFDR Article 8 at end-​3Q21.... There were USD9 billion US ESG MMF at end3Q21. The latest conversion at end-​2020 increased total US ESG MMF assets by over 40%. Increased ESG activity, beyond just MMFs, has attracted regulatory attention."

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On Dec. 16, the Securities & Exchange Commission proposed its latest set of Money Market Fund Reforms, which include much higher liquidity levels, the removal of gates and fees, a controversial swing pricing feature and additional disclosures. See the Proposed Rules here, the press release here the Fact Sheet here and our Dec. 16 News, "SEC Proposes MMF Reforms: More Liquidity, No Gates/​Fees, Swing Pricing. Given the close 3-​2 vote and the pending 60-​day comment period, there could be substantial changes in the final rule, which is expected later in 2022. Today, we quote from the SEC Commissioner'​s Statements Support and Dissent. (Note: Thank you for your support and readership in 2021! Merry Christmas, Happy Holidays and Happy New Year from Crane Data & Money Fund Intelligence!)

SEC Commissioner Allison Herren Lee'​s Statement of Support tells us, "[T]​he Commission is once again proposing reforms for money market funds after once again observing vulnerability in these products during times of financial market stress -- this time during the events in March 2020 at the beginning of the pandemic. The '​dash for cash' that occurred at that time put severe stress on these funds and prompted federal intervention in the form of a backstop for the second time in just over a decade. It is clear that money market funds continue to raise both investor protection and market stability concerns. And while I support the success of these products, and I preliminarily support today'​s proposed reforms, I look forward to reviewing public comment on how best to address the complex challenges these products pose."

She continues, "​Since their creation in the 1970s, money market funds have grown and evolved to become an integral part of wholesale funding markets.... But, of course, these funds are indeed capable of incurring losses, and they suffer from inherent structural vulnerabilities. Thus, the Commission engaged in an analysis of the money fund rules in the aftermath of the 2008 financial crisis when the Reserve Primary Fund '​broke the buck'.... The 2010 reforms were largely designed to enhance liquidity and create more transparency for the public and the Commission about a money market fund'​s holdings. Those reforms were tested in March 2020 when money funds were under stress again. By that time, the Commission had completed additional reforms in 2014."

Herren Lee says, "Hence today'​s proposal is a necessary continuation of our focus on addressing weaknesses of these funds, and providing investors and markets with key information about them. I'​d like to highlight three significant areas of today'​s reforms: increasing liquidity thresholds, removing the fees and gates requirements, and an obligation for certain funds to use swing pricing they have net redemptions. I look forward to comment in each of these areas. Specifically, I'​m interested in the foreseeable impacts of swing pricing. Will it disincentivize first movers to help stem a run as contemplated? How might it impact investor choice?"

Next, Commissioner Caroline Crenshaw states, "Today'​s proposed amendments thoughtfully seek to address vulnerabilities in this market. Among other changes to money market funds, the proposal would remove the liquidity fee and redemption gate provisions ... in order to reduce investors' incentive to engage in preemptive redemptions.... This change could also better enable funds to use their daily and weekly liquid assets to meet redemptions in times of stress. The proposal also would require funds to increase their minimum daily liquid assets from 10% to 25% and their minimum weekly liquid assets from 30% to 50%. These adjustments are designed to provide a more substantial buffer in the event of rapid redemptions. The proposal also would improve the availability of information about money market funds in order to put the Commission and investors in a better position to monitor funds' activities and evaluate the impact of market stress on those funds."

She comments, "The proposal also requires institutional prime and institutional tax-​exempt money market funds to implement swing pricing policies and procedures to help ensure that redeeming investors bear the liquidity costs of their decisions to redeem. Swing pricing, like the other proposed changes, is designed to reduce investors' incentives to run during times of market stress. I am pleased that we are including swing pricing and initiating a discussion, though it is certainly an idea that deserves careful consideration.... I am particularly interested in commenter'​s views and analysis on how we can best operationalize swing pricing requirements from a regulatory perspective and how funds will implement their swing pricing policies and procedures. Is there a way we should be thinking about guarding against excessive levels of variability in the application of swing factors [​and] how will investors respond to swing pricing generally and during market stresses?"

SEC Commissioner Hester Peirce'​s Statement of Dissent says, "​Under greater than usual pressure, brought on by heightened public interest and aggressive deadlines, the staff has produced a thoughtful recommendation. I cannot support today'​s proposal, however, because it suffers from the same flaw as the existing rule: too much regulatory prescription and too little room for experimentation by funds. The proposal does include one important reform: eliminating the link between a liquidity threshold and fees and gates."

She continues, "The rest of the proposal, however, could undermine the objective of making money market funds more resilient. Not only would the proposal remove the link between the liquidity threshold and fees and gates, it would limit funds' ability to use these tools as they deem appropriate.... In addition, the proposed amendments would increase the daily and weekly liquid asset minimums to 25% and 50% respectively ... and put in place a breach reporting regime when a fund falls below half of its daily and weekly liquid asset minimums. Will the desire to remain on the right side of these high regulatory thresholds cause funds to sell illiquid securities during times of stress, as some did during March 2020?"

Peirce tells us, "The proposal also would require a complex mandatory swing pricing regime for institutional prime and institutional tax-​exempt money market funds. Swing pricing is supposed to result in redeemers bearing the costs associated with their redemptions during times of market stress, but commenters question the efficacy of swing pricing.... The proposed version of swing pricing -- with its market impact factors -- may differ from what commenters envisioned, but I remain unconvinced that the addition of complexity and subjectivity to swing pricing calculations will succeed in altering investor decision making. Commenters also pointed to the real operational difficulties associated with swing pricing, something today'​s release also acknowledges. The proposal, if finalized in its current form, likely would continue the trend of driving more money into government funds. Doing so may serve the government'​s need for a buyer for its securities, but would leave investors, issuers of commercial paper, and markets worse off."

Finally, Commissioner Elad Roisman'​s Statement of Dissent states, "Money market funds are one of the most widely used financial products within the Commission'​s regulatory purview. Everyday Americans invest in them; large institutions do too, including corporate treasurers, state and municipal treasurers, as well as a multitude of pooled investment vehicles. Beyond their utility to end-​users, money market funds play an important role in our fixed income markets as buyers of ultra-​short and short-​term debt. In such a far-​reaching and interconnected ecosystem, one thing is certain: whatever changes we make to one part of the system will ripple through and affect other parts as well."

He comments, "​The proposal responds to this identified market dynamic by eliminating our 2014 requirement that boards consider gates if weekly liquid assets in a portfolio fall below the required threshold. I believe this represents a positive example of retrospective review that the Commission should seek to emulate in other policy undertakings. It is less clear to me that we should prohibit the use of gates altogether, as the proposal contemplates doing, or that we should eliminate the current requirement for boards to consider charging liquidity fees to redeeming investors when the fund'​s liquidity drops. However, these are reasonable ideas to consider, and the release asks helpful questions on each proposed action."

Roisman tells us, "​The release also does a good job of exploring several other measures that could reduce run risk for money market funds.... I have strong reservations about the proposal requiring that all institutional non-​government money market funds use a uniform approach to charge fees to redeeming investors. Whether it would be the proposed swing pricing framework or one of the alternative liquidity fee frameworks, I am not persuaded that one-​size-​fits-​all is a prudent approach.... I appreciate that the proposal asks some questions about this and would be interested in market participants' feedback -- not only which fee structures they prefer, but also whether the Commission should offer money funds some choice."

He adds, "​This brings me, however, to a major shortcoming I see in today'​s proposal. The comment period is 60 days long, falling over the course of several holidays. It coincides with comment periods for five other proposed Commission rules. If you include the four new proposals on which we are voting today, the public is left with hundreds of questions on which we are seeking input in this short amount of time. Unfortunately, I have very little confidence that we are allowing enough time to receive feedback from the many types of market participants whom these rules will affect. So, while I thank the staff for their hard work on this proposal, I respectfully dissent."

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As we enter the Holiday season, Crane Data is ramping up preparations for its 2022 conference calendar. We'​ll be doing events in January (Money Fund University on Jan. 20-​21) and in March (Bond Fund Symposium, March 28-​29). Crane'​s Money Fund Symposium, the largest gathering of money market fund managers and cash investors in the world, will take place June 20-​22, 2022 at The Hyatt Regency Minneapolis, in Minneapolis, Minn. The preliminary agenda is now available and registrations are now being taken. Money Fund Symposium attracts money fund managers, marketers and servicers, cash investors, money market securities dealers, issuers, and regulators. We review our preliminary agenda, as well as Crane Data'​s other 2022 conferences, below. (Note: We apologies for our website being down Wednesday morning, 12/​22! We were impacted by the Amazon AWS outage.... We'​re repeating our News and LOTD from Wed., since it wasn'​t included in our MFI Daily. Sorry for the inconvenience, and Happy Holidays!)

Our MF Symposium Agenda kicks off on Wednesday, June 20 with a "Keynote: The Brave New World in Liquidity" featuring Joe Sullivan and Yeng Felipe Butler of Allspring Global Investments (​formerly Wells Fargo Funds). The rest of the Day 1 Agenda includes: "Strategists Speak '​22: Fed, Rates & Reforms," with Vanessa Hubbard McMichael of Wells Fargo Securities, Priya Misra of TD Securities and Alex Roever of J.​P. Morgan Securities; a "Corporate Investor, Portal & ESG MF Discussion" with Tom Hunt of AFP, Tom Callahan of BlackRock and Tory Hazard of Institutional Cash Distributors; and, a "Major Money Fund Issues 2022" panel with moderator Peter Crane of Crane Data, Deborah Cunningham of Federated Hermes, John Tobin of BNY Mellon Cash Investment Strategies and Peter Yi of Northern Trust AM. (​The evening'​s reception is sponsored by Bank of America.)

Day 2 of Money Fund Symposium 2022 begins with "Treasury Issuance & Fed Repo Update," which features Mark Cabana of BofA Securities, Dina Marchioni of the Federal Reserve Bank of NY and Tom Katzenbach of the U.​S. Dept. of the Treasury ; followed by a "Senior Portfolio Manager Perspectives" panel with Linda Klingman of Charles Schwab I.​M., Nafis Smith of Vanguard and Jeff Plotnik of U.​S. Bancorp Asset Mgmt. Next up is "Government Money Fund & Repo Issues," with Joseph Abate of Barclays, Mike Bird of Allspring 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 Robe Crowe of Citi Global Markets, John Kodweis of J.​P. Morgan 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 Bond & European MMF Update," with Rob Sabatino of UBS Asset Mgmt. and Laurie Brignac of Invesco. The day'​s wrap-​up presentation is "Brokerage Sweeps, Deposits & AMAs" involving Chris Melin of Ameriprise Financial. (​The Day 2 reception is sponsored by Barclays.)

The third day of the Symposium features the sessions: "The State of the Money Fund Industry" with Peter Crane of Crane Data and Michael Morin of Fidelity Investments; "MMF Reforms & Regulatory Review," with Brenden Carroll of Dechert LLP; and, a session on "Money Fund Statistics, Software & Disclosures.

Visit the MF Symposium website at www.​moneyfundsymposium.​com) for more details. Registration is $​750, and discounted hotel reservations are available. We hope you'​ll join us in Minneapolis this June! We'​ll of course continue watching the latest on the coronavirus, but we expect normal travel to resume once this latest wave of moderate cases retreats. Note that some of our speakers have yet to confirm their participation, and the agenda is still in the process of being finalized, so watch for tweaks in coming weeks. E-​mail us at info@​cranedata.​com to request the full brochure.)

We'​re also making final preparations for Crane'​s Money Fund University, which will be in Boston, Mass., January 20-​21, 2022. Our Money Fund University will cover 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. (​We continue to plan for a live event, but might switch to a virtual event at the last minute if necessary.)

Money Fund University'​s comprehensive program is good for both beginners and experienced professionals looking for a refresher. The latest agenda is available online and we are still accepting registrations ($​500). (​We'​re also willing to "​comp" tickets for large Crane Data or sponsor clients, so let us know if you'​re interested.)

We'​re also getting ready for our next Crane'​s Bond Fund Symposium, which will be held in Newport Beach, Calif., March 28-​29. (​Click here to see the agenda.) 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.

Crane Data, which recently celebrated the 7th anniversary of our Bond Fund Intelligence publication and BFI XLS bond fund information service and benchmarks, continues to expand its fixed income fund offerings with the recent launch of Bond Fund Wisdom product and Bond Fund Portfolio Holdings dataset. Bond Fund Symposium offers attendees a concentrated and affordable educational experience, as well as an excellent networking venue. Registration for Bond Fund Symposium is $​750. Our mission is to deliver the best possible conference content at an affordable price to bond fund professionals and investors.

Finally, we'​re also set the dates and location for our next European Money Fund Symposium. It is scheduled for Sept. 27-​28, 2022, in Paris, France. Let us know if you'​d like more details on any of our events, and we hope to see you in Boston next month, in Newport Beach in March, in Minneapolis in June and/​or Paris later in 2021. Thanks for your patience and support in 2021, Happy Holidays and Happy New Year!

​

The Securities and Exchange Commission'​s latest monthly "Money Market Fund Statistics" summary shows that total money fund assets rose by $​53.​7 billion in November to $​5.​092 trillion, the 4th highest monthly total on record (​behind March, April and May 2020). The SEC shows that Prime MMFs declined by $​21.​0 billion in November to $​836.​8 billion, Govt & Treasury funds increased $​76.​0 billion to $​4.​160 trillion and Tax Exempt funds decreased $​1.​3 billion to $​95.​2 billion. Yields were flat or mixed in November. The SEC'​s Division of Investment Management summarizes monthly Form N-​MFP data and includes asset totals and averages for yields, liquidity levels, WAMs, WALs, holdings, and other money market fund trends. We review their latest numbers below.

November'​s asset increase follows gains of $​7.​9 billion in October, $​19.​9 billion in September and $​24.​9 billion in August, and decreases of $​39.​9 billion in July and $​86.​9 billion in June. Assets increased $​72.​4 billion in May, $​46.​3 billion in April, $​146.​1 billion in March, $​30.​5 billion in February and $​35.​4 billion in January. Over the 12 months through 11/​30/​21, total MMF assets have increased by $​284.​4 billion, or 5.​9%, according to the SEC'​s series. (​Note that the SEC'​s series includes a number of internal money funds not tracked by ICI, though Crane Data includes most of these assets in its collections.)

The SEC'​s stats show that of the $​5.​092 trillion in assets, $​836.​8 billion was in Prime funds, down $​21 billion in November and $​12.​1 billion in October. This follows an increase of $​2.​6 billion in September, declines of $​8.​1 billion in August, $​19.​4 billion in July, $​19.​9 billion in June and $​14.​6 billion in May, and increases of $​1.​3 billion in April and $​7.​2 billion in March. Prime funds represented 16.​4% of total assets at the end of November. They'​ve decreased by $​119.​4 billion, or -​12.​5%, over the past 12 months. (Month-​to-​date in December, assets are down $​5.​9 billion through 12/​17, according to our MFI Daily.)

Government & Treasury funds totaled $​4.​160 trillion, or 81.​7% of assets. They increased by $​76.​0 billion in November, $​21.​0 billion in October, $​20.​4 billion in Sept. and $​32.​8 billion in August, but decreased $​18.​7 billion in July and $​67.​8 billion in June. Govt MMFs also increased $​90.​3 billion in May, $​48.​4 billion in April and $​140.​9 billion in March. Govt & Treasury MMFs are up $​424.​8 billion over 12 months, or 11.​4%. Tax Exempt Funds decreased $​1.​3 billion to $​95.​2 billion, or 1.​9% of all assets. The number of money funds was 314 in November, the same as the previous month but down 34 funds from a year earlier.

Yields for Taxable MMFs were flat or higher in November, while Tax Exempt yields were flat or lower. The Weighted Average Gross 7-​Day Yield for Prime Institutional Funds on November 30th was 0.​10%, up 1 bps from the prior month. The Weighted Average Gross 7-​Day Yield for Prime Retail MMFs was 0.​15%, unchanged from the previous month. Gross yields were 0.​07% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were also unchanged at 0.​06%. Gross Yields for Tax Exempt Institutional MMFs were down one basis points to 0.​06% in November. Gross Yields for Tax Exempt Retail funds were unchanged 0.​10%.

The Weighted Average 7-​Day Net Yield for Prime Institutional MMFs was 0.​06%, unchanged from the previous month but down 5 basis points from 12/​31/​20. The Average Net Yield for Prime Retail Funds was 0.​02%, unchanged from the previous month, and down a basis point since 12/​31/​20. Net yields were 0.​02% for Government Funds, unchanged from last month. Net yields for Treasury Funds were also unchanged from the previous month at 0.​01%. Net Yields for Tax Exempt Institutional MMFs were unchanged from October at 0.​03%. Net Yields for Tax Exempt Retail funds were unchanged at 0.​01% in November. (​Note: These averages are asset-​weighted.)

WALs and WAMs were mostly lower in November. The average Weighted Average Life, or WAL, was 51.​7 days (​down 2.​3 days) for Prime Institutional funds, and 56.​0 days for Prime Retail funds (​down 4.​0 days). Government fund WALs averaged 80.​6 days (​up 0.​5 days) while Treasury fund WALs averaged 86.​7 days (​down 1.​0 days). Tax Exempt Institutional fund WALs were 13.​4 days (​down 1.​9 days from the previous month), and Tax Exempt Retail MMF WALs averaged 25.​0 days (​down 2.​0 days).

The Weighted Average Maturity, or WAM, was 35.​8 days (​down 2.​0 days from the previous month) for Prime Institutional funds, 47.​6 days (​down 3.​0 days from the previous month) for Prime Retail funds, 34.​6 days (​unchanged) for Government funds, and 41.​0 days (​up 2.​0 days) for Treasury funds. Tax Exempt Inst WAMs were down 2.​1 days to 13.​0 days, while Tax Exempt Retail WAMs decreased 2.​2 days to 24.​1 days.

Total Daily Liquid Assets for Prime Institutional funds were 50.​4% in November (​down 0.​2% from the previous month), and DLA for Prime Retail funds was 28.​4% (​up 2.​7% from previous month) as a percent of total assets. The average DLA was 77.​4% for Govt MMFs and 97.​0% for Treasury MMFs. Total Weekly Liquid Assets was 61.​4% (​down 2.​2% from the previous month) for Prime Institutional MMFs, and 43.​6% (​up 0.​3% from the previous month) for Prime Retail funds. Average WLA was 88.​7% for Govt MMFs and 99.​3% for Treasury MMFs.

In the SEC'​s "Prime Holdings of Bank-​Related Securities by Country table for Nov. 2021," the largest entries included: Canada with $​106.​7 billion, France with $​71.​7 billion, Japan with $​69.​3 billion, the U.​S. with $​49.​4B, Germany with $​34.​0B, Aust/​NZ with $​29.​9B, the Netherlands with $​28.​6B, the U.​K. with $​25.​8B and Switzerland with $​10.​0B. The gainers among the "Prime MMF Holdings by Country" included: Canada (​up $​12.​7 billion), Aust/​NZ (​up $​3.​0B), the U.​S. (​up $​2.​1B) and Switzerland (​up $​2.​0B). Decreases were shown by: France (​down $​8.​9B), the Netherlands (​down $​4.​9B) Germany (​down $​2.​4B), Japan (​down $​2.​3B) and the U.​K. (​down $​1.​2B).

The SEC'​s "Prime Holdings of Bank-​Related Securities by Region" table shows the Eurozone subset had $​151.​2B (​down $​17.​7B), while Europe (​non-​Eurozone) had $​80.​2B (​up $​1.​6B from last month). The Americas had $​156.​1 billion (​up $​14.​7B), while Asia Pacific had $​117.​1B (​up $​0.​8B).

The "​Prime MMF Aggregate Product Exposures" chart shows that of the $​832.​4B billion in Prime MMF Portfolios as of Nov. 30, $​272.​7B (​32.​8%) was in Government & Treasury securities (​direct and repo) (​down from $​298.​3B), $​220.​9B (​26.​5%) was in CDs and Time Deposits (​down from $​223.​0B), $​176.​0B (​21.​1%) was in Financial Company CP (​up from $​175.​7B), $​127.​4B (​15.​3%) was held in Non-​Financial CP and Other securities (​up from $​123.​8B), and $​35.​4B (​4.​3%) was in ABCP (​down from $​36.​4B).

The SEC'​s "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.​S. with $​118.​0 billion, Canada with $​154.​9 billion, France with $​160.​3 billion, the U.​K. with $​54.​5 billion, Germany with $​14.​8 billion, Japan with $​123.​0 billion and Other with $​33.​4 billion. All MMF Repo with the Federal Reserve was up $​51.​3 billion in November to $​1.​397 trillion.

Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.​9%, Prime Retail MMFs with 5.​3%, Tax Exempt Inst MMFs with 2.​1%, Tax Exempt Retail MMFs with 5.​1%, Govt MMFs with 14.​7% and Treasury MMFs with 13.​6%.

​

The Investment Company Institute published, "Worldwide Regulated Open-​Fund Assets and Flows, Third Quarter 2021," which shows that money fund assets globally decreased by $​114.​5 billion, or -​1.​3%, in Q3'​21 to $​8.​450 trillion. The decline was driven by drops in money funds in Ireland, Australia, Brazil and France. Meanwhile, Chinese and U.​S. MMF assets increased. MMF assets worldwide increased by $​382.​3 billion, or 4.​7%, in the 12 months through 9/​30/​21, and money funds in the U.​S. now represent 53.​8% of worldwide assets. We review the latest Worldwide MMF totals, below.

ICI'​s release says, "Worldwide regulated open-​end fund assets decreased 0.​5 percent to $​68.​23 trillion at the end of the third quarter of 2021, excluding funds of funds. Worldwide net cash inflow to all funds was $​786 billion in the third quarter, compared with $​853 billion of net inflows in the second quarter of 2021. 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 third quarter of 2021 contains statistics from 45 jurisdictions."

It explains, "The growth rate of total regulated open-​end fund assets reported in US dollars was decreased by US dollar appreciation over the third quarter of 2021. For example, on a US dollar–​denominated basis, fund assets in Europe decreased by 1.​1 percent in the third quarter, compared with an increase of 1.​5 percent on a euro-​denominated basis."

ICI'​s quarterly continues, "​On a US dollar–​denominated basis, equity fund assets decreased by 0.​8 percent to $​31.​83 trillion at the end of the third quarter of 2021. Bond fund assets increased by 0.​8 percent to $​13.​62 trillion in the third quarter. Balanced/​mixed fund assets decreased by 0.​6 percent to $​8.​49 trillion in the third quarter, while money market fund assets decreased by 1.​3 percent globally to $​8.​45 trillion."

The release also tells us, "​At the end of the third quarter of 2021, 47 percent of worldwide regulated open-​end fund assets were held in equity funds. The asset share of bond funds was 20 percent and the asset share of balanced/​mixed funds was 12 percent. Money market fund assets represented 12 percent of the worldwide total."

ICI adds, "​Net sales of regulated open-​end funds worldwide were $​786 billion in the third quarter of 2021.... Globally, bond funds posted an inflow of $​337 billion in the third quarter of 2021, after recording an inflow of $​304 billion in the second quarter.... Money market funds worldwide experienced an inflow of $​21 billion in the third quarter of 2021 after registering an inflow of $​79 billion in the second quarter of 2021."

According to Crane Data'​s analysis of ICI'​s "​Worldwide" fund data, the U.​S. sustained its position as the largest money fund market in Q3'​21 with $​4.​543 trillion, or 53.​8% of all global MMF assets. U.​S. MMF assets increased by $​8.​5 billion (​0.​2%) in Q3'​21 and have increased by $​138.​4 billion (​3.​1%) in the 12 months through Sept. 30, 2021. China remained in second place among countries overall. China saw assets jump $​25.​5 billion (​1.​8%) in Q3, to $​1.​461 trillion (​17.​3% of worldwide assets). Over the 12 months through Sept. 30, 2021, Chinese MMF assets have surged by $​387.​3 billion, or 36.​1%.

Ireland remained third among country rankings, ending Q3 with $​673.​3 billion (​8.​0% of worldwide assets). Dublin-​based MMFs were down $​25.​8B for the quarter, or -​3.​7%, and down $​14.​8B, or -​2.​1%, over the last 12 months. Luxembourg remained in fourth place with $​478.​4 billion (​5.​7% of worldwide assets). Assets there decreased $​6.​6 billion, or -​1.​4%, in Q3, and were down $​38.​8 billion, or -​7.​5%, over one year. France was in fifth place with $​412.​8B, or 4.​9% of the total, down $​12.​1 billion in Q3 (-​2.​9%) and down $​14.​5B (-​3.​4%) over 12 months.

Australia was listed in sixth place with $​243.​0 billion, or 2.​9% of worldwide assets. Its MMFs decreased by $​15.​5 billion, or -​6.​0%, in Q3. Japan, the 7th ranked country, saw MMF assets increase $​660 million, or 0.​5%, in Q3'​21 to $​125.​6 billion (​1.​5% of the total); they'​ve risen $​7.​8 billion (​6.​6%) for the year. Korea fell to 8th place with $​120.​5 billion (​1.​4%); assets there fell $​6.​0 billion (-​4.​8%) in Q3 and increased by $​4.​4 billion (​3.​8%) over 12 months. Brazil was in 9th place, assets decreased $​14.​5 billion, or -​12.​7%, to $​100.​1 billion (​1.​3% of total assets) in Q3. They'​ve increased $​9.​7 billion (​10.​7%) over the previous 12 months. ICI'​s statistics show India in 10th place with $​59.​4B, or 0.​7% of total assets, up $​275 million (​0.​5%) in Q3 and down $​543 million (-​0.​9%) for the year. (​Mexico was previously in 10th place, but it did not report statistics this quarter.)

Chinese Taipei was in 11th place, decreasing $​1.​3 billion, or -​3.​7%, to $​33.​3 billion (​0.​4% of total assets) in Q3 and decreasing $​261 million (-​0.​8%) over the previous 12 months. United Kingdom ($​29.​1B, down $​19M but up $​1.​2B over the quarter and year, respectively) ranked 12th ahead of Canada. ($​26.​3B, down $​661M and down $​6.​5B). South Africa ($​24.​3B, down $​2.​1B and down $​1.​3B) and Switzerland ($​23.​7B up $​1.​2B and down $​208M), rank 13th through 15th, respectively. Chile, Norway, Argentina, Germany and Turkey round out the 20 largest countries with money market mutual funds.

ICI'​s quarterly series shows money fund assets in the Americas total $​4.​710 trillion, down $​71.​4 billion in Q3. Asian MMFs increased by $​3.​0 billion to $​2.​055 trillion, and Europe saw its money funds decrease by $​44.​0 billion in Q3’​21 to $​1.​661 trillion. Africa saw its money funds decrease $​2.​1B to $​24.​3 billion.

Note that Ireland and Luxembourg'​s totals are primarily "​offshore" money funds marketed to global multinationals, while most of the other countries in the survey have mainly domestic money fund offerings. Contact us if you'​d like our latest "Largest Money Market Funds Markets Worldwide" spreadsheet, based on ICI'​s data. (Let us know too if you'​d like to see our latest Money Fund Intelligence International product, which tracks "​offshore" money market funds domiciled in Europe and outside the U.​S.)

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The Investment Company Institute'​s latest weekly "Money Market Fund Assets" report shows assets rising for the 6th week in a row and the 7th week out of the past 8. Over the past 6 weeks, money fund assets have increased by $​81.​5 billion, and over the past 8 weeks assets they are up $​118.​1 billion. Money fund assets are up by $​339 billion, or 7.​9%, YTD in 2021. (​This follows a gain of $​665.​0 billion, or 18.​3%, in 2020.) Inst MMFs are up $​420 billion (​15.​1%), while Retail MMFs are down $​81 billion (-​5.​3%). Over the past 52 weeks, money fund assets have increased by $​347 billion, or 8.​1%, with Retail MMFs falling by $​77 billion (-​5.​1%) and Inst MMFs rising by $​425 billion (​15.​3%).

ICI'​s release says, "Total money market fund assets increased by $​59 million to $​4.​64 trillion for the week ended Wednesday, December 15, the Investment Company Institute reported today. Among taxable money market funds, government funds increased by $​3.​92 billion and prime funds decreased by $​3.​80 billion. Tax-​exempt money market funds decreased by $​55 million." ICI'​s stats show Institutional MMFs decreasing $​4.​8 billion and Retail MMFs increasing $​4.​8 billion in the latest week. Total Government MMF assets, including Treasury funds, were a record $​4.​108 trillion (​88.​6% of all money funds), while Total Prime MMFs were $​440.​9 billion (​9.​5%). Tax Exempt MMFs totaled $​86.​7 billion (​1.​9%).

ICI explains, "Assets of retail money market funds increased by $​4.​84 billion to $​1.​44 trillion. Among retail funds, government money market fund assets increased by $​4.​82 billion to $​1.​16 trillion, prime money market fund assets decreased by $​160 million to $​204.​24 billion, and tax-​exempt fund assets increased by $​184 million to $​76.​99 billion." Retail assets account for just under a third of total assets, or 31.​2%, and Government Retail assets make up 80.​5% of all Retail MMFs.

They add, "Assets of institutional money market funds decreased by $​4.​78 billion to $​3.​19 trillion. Among institutional funds, government money market fund assets decreased by $​900 million to $​2.​94 trillion, prime money market fund assets decreased by $​3.​64 billion to $​236.​68 billion, and tax-​exempt fund assets decreased by $​239 million to $​9.​73 billion." Institutional assets accounted for 68.​8% of all MMF assets, with Government Institutional assets making up 92.​3% of all Institutional MMF totals. (​Note that ICI'​s asset totals don'​t include a number of funds tracked by the SEC and Crane Data, so they'​re almost $​400 billion lower than Crane'​s asset series.)

ICI also released its latest monthly "Money Market Fund Holdings" summary, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (​WAM and WAL) for Prime and Government money market funds. (​For more, see our Dec. 10 News, "Dec. MF Portfolio Holdings: Repo Jumps, Led by FICC; Treasuries Drop."

The MMF Holdings release says, "The Investment Company Institute (​ICI) reports that, as of the final Friday in November, prime money market funds held 29.​2 percent of their portfolios in daily liquid assets and 47.​7 percent in weekly liquid assets, while government money market funds held 84.​3 percent of their portfolios in daily liquid assets and 92.​1 percent in weekly liquid assets." Prime DLA was up from 28.​1% in October, and Prime WLA was down slightly at 47.​7%. Govt MMFs' DLA decreased from 84.​5% in October and Govt WLA decreased from 92.​6% from the previous month.

ICI explains, "At the end of November, prime funds had a weighted average maturity (​WAM) of 45 days and a weighted average life (​WAL) of 60 days. Average WAMs and WALs are asset-​weighted. Government money market funds had a WAM of 37 days and a WAL of 82 days." Prime WAMs were three days shorter than October, while WALs were three days lower than the previous month. Govt WAMs were one day longer and WALs were one day shorter than October, respectively.

Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas rose from $​167.​46 billion in October to $​169.​25 billion in November. Government money market funds' holdings attributable to the Americas rose from $​3,​668.​75 billion in October to $​3,​760.​31 billion in November."

The Prime Money Market Funds by Region of Issuer table shows Americas-​related holdings at $​169.​3 billion, or 38.​3%; Asia and Pacific at $​90.​3 billion, or 20.​4%; Europe at $​177.​9 billion, or 40.​2%; and, Other (​including Supranational) at $​4.​7 billion, or 1.​2%. The Government Money Market Funds by Region of Issuer table shows Americas at $​3.​760 trillion, or 91.​0%; Asia and Pacific at $​114.​7 billion, or 2.​8%; Europe at $​245.​1 billion, 5.​9%, and Other (​Including Supranational) at $​12.​9 billion, or 0.​3%.

Finally, ICI'​s release, "Retirement Assets Total $​37.​4 Trillion in Third Quarter 2021," includes data tables showing that money market funds held in retirement accounts inched lower to $​533 billion in Q3'​21, now accounting for 12% of the total $​4.​543 trillion in money funds. MMFs represent 4.​4% of the total $​12.​020 trillion of mutual funds in retirement accounts.

The release says, "Total US retirement assets were $​37.​4 trillion as of September 30, 2021, down 0.​5 percent from June 30, 2021. Retirement assets accounted for 33 percent of all household financial assets in the United States at the end of September 2021. Assets in individual retirement accounts (​IRAs) totaled $​13.​2 trillion at the end of the third quarter of 2021, a decrease of 0.​6 percent from the end of the second quarter of 2021. Defined contribution (​DC) plan assets were $​10.​4 trillion at the end of the third quarter, down 0.​8 percent from June 30, 2021."

The ICI tables also show money funds accounting for $​366 billion, or 6%, of the $​5.​939 trillion in IRA mutual fund assets, $​112 billion, or 2%, of the $​4.​758 trillion in 401(​k) plan assets, and $​167 billion, or 3%, of the $​6.​081 trillion in defined contribution plan holdings.

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The Securities & Exchange Commission proposed Money Market Fund Reforms Wednesday, which include higher liquidity levels, the removal of the emergency gates and fees regime, a new swing pricing mandate for Prime Inst MMFs and additional disclosure requirements. The press release, "SEC Proposes Amendments to Money Market Fund Rules," tells us, "The Securities and Exchange Commission today voted to propose amendments to certain rules that govern money market funds under the Investment Company Act of 1940. In March 2020, growing economic concerns about the impact of the COVID-​19 pandemic led investors to reallocate their assets into cash and short-​term government securities. Prime and tax-​exempt money market funds, particularly institutional funds, experienced large outflows, which contributed to stress on short-​term funding markets. The Commission'​s proposed amendments are designed, in part, to address concerns about prime and tax-​exempt money market funds highlighted by these events." (​See also their "Fact Sheet" and the full Proposal here.)

SEC Chair Gary Gensler comments, "Together, these amendments are designed to reduce the likelihood of runs on money market funds during periods of stress. They also would equip funds to better meet large redemptions, addressing concerns about redemption costs and liquidity. Given the broad reach of short-​term funding markets, these proposals speak to our remit to maintain fair, orderly, and efficient markets."

The release explains, "The proposed amendments would increase liquidity requirements for money market funds to provide a more substantial liquidity buffer in the event of rapid redemptions. The proposed amendments also would remove provisions in the current rule permitting or requiring a money market fund to impose liquidity fees or to suspend redemptions through a gate when a fund'​s liquidity drops below an identified threshold. These provisions appeared to contribute to investors' incentives to redeem in March 2020 as some funds' reported liquidity levels declined."

It tells us, "To address concerns about redemption costs and liquidity, the proposal would require institutional prime and institutional tax-​exempt money market funds to implement swing pricing policies and procedures that would require redeeming investors, under certain circumstances, to bear the liquidity costs of their redemptions. Further, the proposal would amend certain reporting requirements to improve the availability of information about money market funds and enhance the Commission'​s monitoring and analysis of these funds."

The release adds, "​The SEC began evaluating the need for further money market fund reforms following the events in March 2020. The proposal follows a request for comment the SEC issued to gather public feedback on potential money market fund reforms, including reform options discussed in a December 2020 report of the President'​s Working Group on Financial Markets. The proposal will be published on SEC.​gov and in the Federal Register. The comment period will remain open for 60 days after publication in the Federal Register."

A "Fact Sheet on Money Market Fund Reforms," released before the 3-​2 vote which approved the proposal, states, "The Commission is considering proposing amendments to certain rules that govern money market funds under the Investment Company Act of 1940. The proposed amendments would improve the resilience and transparency of money market funds by: Increasing minimum liquidity requirements to provide a more substantial buffer in the event of rapid redemptions; Removing the ability of money market funds to impose liquidity fees and redemption gates when they fall below certain liquidity thresholds, which would eliminate an incentive for preemptive redemptions; Requiring certain money market funds to implement swing pricing so that redeeming investors bear the liquidity costs of their redemptions; and Enhancing certain reporting requirements to improve the Commission'​s ability to monitor and analyze money market fund data."

It says on "Background," "Money market funds are managed with the goal of providing principal stability and access to liquidity by investing in high-​quality, short-​term debt securities whose value does not fluctuate significantly in normal market conditions. These characteristics have made money market funds popular cash management vehicles for both retail and institutional investors and an important source of short-​term financing for businesses and governments."

The SEC continues, "​In March 2020, growing economic concerns about the impact of the COVID-​19 pandemic led investors to reallocate their assets into cash and short-​term government securities. Prime and tax-​exempt money market funds, particularly institutional funds, experienced large outflows, which contributed to stress on short-​term funding markets. The outflows significantly slowed following intervention from the Federal Reserve, which established the Money Market Mutual Fund Liquidity Facility and other programs to support short-​term funding markets. The Commission'​s proposed amendments are, in part, designed to address concerns about prime and tax-​exempt money market funds highlighted by these events. In particular, these funds have shown continuing susceptibility to heavy redemptions in times of stress. They also are invested in short-​term funding markets that show a lack of liquidity in times of stress."

On the "Proposed Amendments: Amendments to Portfolio Liquidity Requirements," they write, "Rule 2a-​7 is the principal rule governing money market funds. Currently, the rule requires that immediately after acquisition of an asset, a money market fund must hold at least 10% of its total assets in daily liquid assets and at least 30% of its total assets in weekly liquid assets. These requirements are designed to support funds' ability to meet redemptions from cash, or securities convertible to cash, even in market conditions in which money market funds cannot rely on a secondary or dealer market to provide liquidity. The proposal would increase daily and weekly liquid asset requirements to 25% and 50%, respectively. These increased thresholds are informed by analysis of the level of liquid assets needed to meet redemptions, based on redemptions in March 2020. The increased thresholds would provide a more substantial buffer to better equip money market funds to manage significant and rapid investor redemptions."

Regarding "Removing Liquidity Fee and Redemption Gate Provisions," the Commission tells us, "Rule 2a-​7 currently provides that a money market fund may impose a liquidity fee of up to 2% or temporarily suspend redemptions (​i.​e., impose a '​gate'), if the fund'​s weekly liquid assets fall below 30% of its total assets and the fund'​s board of directors determines that imposing a fee or gate is in the fund'​s best interests. The current rule also includes a default liquidity fee if a non-​government fund'​s weekly liquid assets fall below 10%, unless the board determines that a fee would not be in the best interests of the fund. In March 2020, even though no money market fund imposed a fee or gate, the possibility of their imposition appears to have contributed to investors' incentives to redeem from prime money market funds and for money market fund managers to maintain weekly liquid asset levels above the threshold, rather than use those assets to meet redemptions. Accordingly, the proposed amendments would remove the fee and gate provisions from rule 2a-​7."

On the new proposed new "Swing Pricing Requirement," they state, "​Trading activity associated with meeting redemptions may impose costs, including trading costs and costs of depleting a fund'​s daily or weekly liquid assets. These costs currently are borne by the remaining investors in the fund, diluting these investors' interests in the fund. This can create incentives for shareholders to redeem quickly to avoid losses, particularly in times of market stress. Swing pricing is a process of adjusting a fund’​s current net asset value ('​NAV') such that the transaction price effectively passes on costs stemming from shareholder redemptions to redeeming shareholders. The Commission is proposing to require institutional prime and institutional tax-​exempt money market funds to adopt swing pricing policies and procedures to adjust a fund'​s current NAV per share by a swing factor when the fund has net redemptions. The swing factor would reflect spread and certain other transaction costs of selling a vertical slice of the fund’​s portfolio. The swing factor would also include an estimate of market impact costs when net redemptions exceed a specified threshold."

Finally, under "Other Proposed Amendments," the SEC adds, "The proposal also provides that stable NAV funds must convert to a floating share price if future market conditions result in negative fund yields. In addition, the proposal would amend certain reporting requirements on Forms N-​MFP and N-​CR to improve the availability of information about money market funds, as well as make certain conforming changes to Form N-​1A to reflect the proposed changes to the regulatory framework."

​

Crane Data'​s latest MFI International shows that assets in European or "​offshore" money market mutual funds jumped over the past month to a record $​1.​101 trillion, following three months in a row of asset declines. These U.​S.-​style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, increased by $​42.​2 billion over the 30 days through 12/​13. They'​re up $​41.​3 billion (​3.​9%) year-​to-​date. Offshore US Dollar money funds are down $​658 million over the last 30 days but are up $​5.​9 billion YTD to $​541.​6 billion. Euro funds surged E12.​3 billion over the past month. YTD they'​re up E8.​4 billion to E165.​8 billion. GBP money funds jumped L20.​5 billion over 30 days; they are up by L6.​3 billion YTD to L262.​9B. U.​S. Dollar (​USD) money funds (​192) account for half (​49.​2%) of the "​European" money fund total, while Euro (​EUR) money funds (​94) make up 17.​7% and Pound Sterling (​GBP) funds (​122) total 33.​1%. We summarize our latest "​offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (​which went out to subscribers Tuesday), below. (Note: The Securities & Exchange Commission proposed Money Market Fund Reforms this morning! Watch for details in tomorrow'​s News and see here for their short release. See also the WSJ'​s story, "SEC Floats Money-​Market Fund Rules to Deter Investor Runs," and see the Open Meeting webinar here)

Offshore USD MMFs yield 0.​03% (​7-​Day) on average (​as of 12/​13/​21), down from 0.​05% on 12/​31/​20, 1.​59% on 12/​31/​19 and 2.​29% on 12/​31/​18. EUR MMFs yield -​0.​73% on average, compared to -​0.​71% at year-​end 2020, -​0.​59% at year-​end 2019 and -​0.​49% at year-​end 2018. Meanwhile, GBP MMFs yielded 0.​01%, up from 0.​00% on 12/​31/​20, down from 0.​64% on 12/​31/​19 and 0.​64% on 12/​31/​18. (​See our latest MFI International for more on the "​offshore" money fund marketplace. Note that these funds are only available to qualified, non-​U.​S. investors.)

Crane'​s December MFII Portfolio Holdings, with data as of 11/​30/​21, show that European-​domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (​CP), 16% in Certificates of Deposit (​CDs), 14% in Repo, 31% in Treasury securities, 15% in Other securities (​primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 35.​5% of their portfolios maturing Overnight, 9.​5% maturing in 2-​7 Days, 11.​6% maturing in 8-​30 Days, 11.​3% maturing in 31-​60 Days, 11.​3% maturing in 61-​90 Days, 15.​2% maturing in 91-​180 Days and 5.​7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (​40.​3%), France (​12.​0%), Canada (​9.​7%), Japan (​8.​0%), Sweden (​5.​2%), Germany (​3.​1%), Australia (​3.​1%), the Netherlands (​3.​0%), the U.​K. (​3.​0%) and Switzerland (​2.​1%).

The 10 Largest Issuers to "​offshore" USD money funds include: the US Treasury with $​182.​2 billion (​31.​1% of total assets), Credit Agricole with $​15.​9B (​2.​7%), BNP Paribas with $​15.​2B (​2.​6%), Federal Reserve Bank of New York with $​12.​9B (​2.​2%), RBC with $​12.​8B (​2.​2%), Canadian Imperial Bank of Commerce with $​12.​3B (​2.​1%), Skandinaviska Enskilda Banken AB with $​11.​7B (​2.​0%), Mizuho Corporate Bank Ltd with $​11.​2B (​1.​9%), Societe Generale with $​10.​8B (​1.​8%), and KBC Group NV with $​10.​6B (​1.​8%).

Euro MMFs tracked by Crane Data contain, on average 36% in CP, 20% in CDs, 26% in Other (​primarily Time Deposits), 11% in Repo, 7% in Treasuries and 0% in Agency securities. EUR funds have on average 33.​2% of their portfolios maturing Overnight, 6.​6% maturing in 2-​7 Days, 6.​0% maturing in 8-​30 Days, 19.​9% maturing in 31-​60 Days, 12.​8% maturing in 61-​90 Days, 18.​6% maturing in 91-​180 Days and 2.​9% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (​32.​9%), Japan (​14.​2%), the U.​S. (​10.​4%), Sweden (​6.​2%), Germany (​5.​9%), Switzerland (​5.​0%), the U.​K. (​4.​7%), Supranational (​4.​2%), Canada (​2.​7%) and Austria (​2.​6%).

The 10 Largest Issuers to "​offshore" EUR money funds include: Credit Agricole with E8.​2B (​5.​6%), Republic of France with E8.​1B (​5.​6%), BNP Paribas with E7.​4B (​5.​1%), Societe Generale with E6.​7B (​4.​6%), Mizuho Corporate Bank with E6.​2B (​4.​2%), Zü​rcher Kantonalbank with E5.​0B (​3.​4%), Sumitomo Mitsui Banking Corp with E4.​5B (​3.​1%), Svenska Handelsbanken with E4.​4B (​3.​1%), JP Morgan with E4.​4B (​3.​0%) and BPCE SA with E4.​2 (​2.​9%).

The GBP funds tracked by MFI International contain, on average (​as of 11/​30/​21): 37% in CDs, 19% in CP, 23% in Other (​Time Deposits), 18% in Repo, 3% in Treasury and 0% in Agency. Sterling funds have on average 36.​2% of their portfolios maturing Overnight, 6.​3% maturing in 2-​7 Days, 4.​7% maturing in 8-​30 Days, 14.​7% maturing in 31-​60 Days, 16.​9% maturing in 61-​90 Days, 14.​6% maturing in 91-​180 Days and 6.​5% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Japan (​17.​9%), France (​17.​4%), the U.​K. (​14.​9%), Canada (​10.​5%), the Netherlands (​7.​1%), Australia (​5.​0%), the U.​S. (​4.​3%), Sweden (​4.​2%), Germany (​3.​1%) and Spain (​2.​5%).

The 10 Largest Issuers to "​offshore" GBP money funds include: the UK Treasury with L15.​9B (​7.​5%), Mizuho Corporate Bank Ltd with L11.​3B (​5.​4%), Mitsubishi UFJ Financial Group Inc with L9.​1B (​4.​3%), Rabobank with L7.​7B (​3.​7%), Sumitomo Mitsui Banking Corp with L7.​7B (​3.​7%), BPCE SA with L7.​1B (​3.​4%), Sumitomo Mitsui Trust Bank with L7.​1B (​3.​3%), RBC with L6.​9B (​3.​3%), Banco Santander with L6.​4B (​3.​0%) and Toronto-​Dominion Bank with L6.​3B (​3.​0%).

In other news, Fitch Ratings published, "Local Government Investment Pools: 3Q21," which reviews the latest in the LGIP market. They write, "Fitch Ratings' two local government investment pool (​LGIP) indices experienced asset declines during the third quarter (​3Q21), in line with the usual seasonal slowdown and increase in outflows seen in the fall months. In addition to the seasonal flows, additional outflows occurred during the period as LGIP investors used some of the federal stimulus money previously received to pay for projects. Cumulative assets for the Fitch Liquidity LGIP Index and the Fitch Short-​Term LGIP Index were $​414 billion at the end of 2Q21, a decrease of $​9 billion QoQ and an increase of $​48 billion YoY."

The brief continues, "The Fitch Liquidity LGIP Index and the Fitch Short-​Term LGIP Index ended the quarter with average net yields of 0.​04% (​a drop of 1 bp QoQ) and 0.​6% (​down 2 bps QoQ), respectively. Market yields have increased recently with expectations for rate hikes in 2022 and beyond, which will likely lead to higher net yields for LGIP investors. However, as some LGIP managers have been waiving fees in order to keep LGIP yields above zero in this low-​rate environment, as rates increase LGIP managers and investors may initially share the benefit until fee waivers are removed."

Fitch adds, "To mitigate low yields, managers continued investing slightly farther out the maturity curve. The weighted average maturity (​WAM) of the Fitch Liquidity LGIP Index decreased to 48 days (​down two days from last quarter and still higher than money funds at 34 days) and the duration of the Fitch Short-​Term LGIP Index ticked up higher to 1.​29 years (​up from 1.​23 years at the end of 2Q21). This trend of longer WAM and duration is likely to continue until rate increases become imminent."

​

The December issue of our Bond Fund Intelligence, which was sent to subscribers Tuesday morning, features the lead story, "OFR Annual Report Claims Vulnerabilities in Bond Funds," which reviews comments from the U.​S Treasury'​s Office of financial Research on bond outflows during 2020; and "Fidelity Conservative Income Bond Fund'​s Morin, Potenza," which takes a closer look at one of the largest offerings just beyond money market funds. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund returns inched lower in November while yields moved higher. We excerpt from the new issue below. (Contact us if you'​d like to see our latest Bond Fund Intelligence and BFI XLS spreadsheet, or our Bond Fund Portfolio Holdings data.)

BFI'​s "OFR" piece reads, "The U.​S. Treasury'​s Office of Financial Research published the '`​OFR 2021 Annual Report to Congress' last month, which takes a close look at runs in bond funds. They write, '​Last year'​s financial stress precipitated widespread runs in similar cash management products with floating net asset values (​NAVs), such as dollar-​denominated offshore prime funds, local government investment pools, and ultra-​short corporate bond mutual funds. Bond mutual funds are vulnerable in ways similar to money market funds and other cash management products because they offer daily liquidity against assets that take longer to sell in an orderly way. This makes them vulnerable to panic-​driven runs, which can become worse by reducing inventories of less liquid, over-​the-​counter (​OTC) securities used by dealers to maintain orderly buying and selling."

The OFR report continues, "Bond funds, including open-​ended funds and exchange-​traded funds (​ETFs), supplied more than $​6 trillion in funding as of year-​end 2020. In 2008, open-​ended funds contributed about 6% of credit provided, compared to 7% from depository institutions. At year-​end 2020, their shares were about 12% and 9%, respectively."

The Fidelity article states, "​Last month, Fidelity Investments hosted a webinar entitled, 'Fidelity Conservative Income Bond Fund and the Markets,' which featured Fidelity'​s Michael Morin, head of Fidelity Institutional Liquidity Management and CIB Portfolio Manager Julian Potenza. They discussed the latest strategies for Fidelity'​s offering just beyond money market funds and the overall ultra-​short bond fund market."

Morin explains, "We designed the fund during the first zero interest rate policy period, and we spent a lot of time and energy with our quantitative team asking ourselves, '​How would this fund perform through market cycles?' We knew we were going to start off at a zero-​interest rate environment, which is where we are today, and [​then] would be in a rising rate environment."

He continues, "The goal really was to design a risk-​return profile just outside of prime money market funds that would be both attractive to money market investors who wanted to take on a little bit more risk with a potential higher return, as well as to attract fixed income investors who are maybe out the curve. [​These investors say], '​Gee, eventually the Fed is going to tighten, and in a rising rate environment ... I should lower duration.' This fund was designed to be one of the lowest duration bond funds in the marketplace.... What I will say is we have very tight guidelines on this portfolio, both from a credit perspective and an interest rate sensitivity perspective."

Our first News brief, "Returns Inch Lower, Yields Rise in Nov.," states, "Bond fund yields moved higher while returns inched lower last month. Our BFI Total Index declined by 0.​01% for 1-​month but rose 1.​28% over 12 months. The BFI 100 returned 0.​02% in Nov. and 1.​23% over 1-​year. Our BFI Conservative Ultra-​Short Index was down 0.​07% for 1-​month but up 0.​08% for 1-​yr; Ultra-​Shorts declined 0.​13% and rose 0.​46%, respectively. Short-​Term decreased 0.​20% but rose 0.​74%, and Intm-​Term rose 0.​06% in Nov. and rose 0.​33% over 1-​year. BFI'​s Long-​Term Index rose 0.​23% in Nov. but fell 0.​05% over 1-​year. Our High Yield Index fell 0.​72% in Nov. but gained 4.​99% over 1-​year."

Another News brief, entitled, "Barron'​s: Ultra-​Shorts Trail MMFs," quotes the article, "Stashing Your Money Under a Mattress Doesn'​t Look So Bad Compared to Bond Funds." It tells us, "[​T]​he recent returns of some ultrashort-​term bond funds ... despite their minimal risk ... have managed to shrink your investment.... Consider the JPMorgan Ultra Short Income ETF (​JPST). The $​18 billion fund returned negative 0.​11% for the past month and negative 0.​26% for the past 3 months.... That'​s actually better than some rivals, such as the Pimco Enhanced Short Maturity Active ETF (​MINT).... BlackRock Ultra Short-​Term Bond ETF (​ICSH) fared only a bit better -- or less badly -- slipping 0.​07% in the past month and dipping 0.​08% for the past 3 months."

A third News brief, "Reuters on Record Inflows Into Bond Funds," writes, "U.​S. bond funds have attracted record inflows this year, despite worries about inflation and expectations the Federal Reserve could roll back its pandemic-​era stimulus measures earlier. According to Refinitiv Lipper data, U.​S. bond funds attracted a net $​612 billion in the first eleven months of this year, already surpassing the record inflow of $​486.​18 billion recorded in 2019."

A BFI sidebar, "BIS Hits Bond Funds on Risk," quotes the Bank for International Settlements' BIS Quarterly Review piece, "Open-​ended bond funds: systemic risks and policy implications." It tells us, "[O]​pen-​ended funds that invest in bonds ... have grown rapidly over the past two decades. Besides their size, their business model and role in recent events suggest that bond OEFs can amplify stress in financial markets. The March 2020 market turmoil tested the effectiveness of bond OEFs' tools in dealing with large investor redemptions in the presence of liquidity mismatches. Their tools notwithstanding, bond OEFs had to liquidate assets on an elevated scale, thus collectively adding to bond market pressures."

Finally, another sidebar, "Bond ETFs Break $​1.​2 Trillion," tells readers, "Bond fund assets inched up to $​5.​6 trillion and bond ETFs broke over the $​1.​2 trillion level last month, but outflows have appeared in recent weeks. ICI'​s 'Combined Estimated Long-​Term Fund Flows and ETF Net Issuance,' comments, "Bond funds had estimated outflows of $​4.​51 billion for the week, compared to estimated inflows of $​2.​90 billion during the previous week. Taxable bond funds saw estimated outflows of $​5.​03 billion, and municipal bond funds had estimated inflows of $​518 million.' Over the past 5 weeks, bond funds and bond ETFs have seen inflows of $​34.​9 billion."

​

The Federal Reserve released its latest quarterly "Z.​1 Financial Accounts of the United States" statistical survey (​a.​k.​a. "Flow of Funds") late last week. Among the 4 tables it includes on money market mutual funds, the Third Quarter 2021 edition shows that Total MMF Assets increased by $​5 billion to $​4.​545 trillion in Q3'​21. The Household Sector, by far the largest investor segment with $​2.​755 trillion, saw assets decrease in Q3. But the second largest segment, Nonfinancial Corporate Businesses, 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 show asset increases in MMF holdings for the Property-​Casualty Insurance and Private Pension Funds categories in Q3 2021.

The Nonfinancial Noncorporate Business category also saw a small asset increase in Q3, while the State & Local Govt Retirement sector remained unchanged. Other Financial Business (​formerly Funding Corps), Life Insurance Companies, the Rest of the World and State & Local Governments categories all saw minor asset decreases last quarter. Over the past 12 months, the Household Sector, Private Pension Funds, Property-​Casualty Insurance and Other Financial Business (​formerly Funding Corps) categories showed the biggest asset increases, while Nonfinancial Corporate Businesses and Life Insurance Companies saw the biggest asset decreases.

The Fed'​s "​Table L.​206," "​Money Market Mutual Fund Shares," shows that total assets increased by $​5 billion, or 0.​1%, in the third quarter to $​4.​545 trillion. The largest segment, the Household sector, totals $​2.​755 trillion, or 60.​6% of assets. The Household Sector declined by $​18 billion, or -​0.​6%, in the quarter. Over the past 12 months through Sept. 30, 2021, Household assets were up $​90 billion, or 3.​4%.

Nonfinancial Corporate Businesses, the second-​largest segment according to the Fed'​s data series, held $​645 billion, or 14.​2% of the total. Assets here increased by $​35 billion in the quarter, or 5.​8%, and they'​ve decreased by $​42 billion, or -​6.​1%, over the past year. Other Financial Business was the third-​largest investor segment with $​492 billion, or 10.​8% of money fund shares. They dropped by $​19 billion, or -​3.​7%, in the latest quarter. Other Financial Business, which we believe includes Securities Lending, has increased by $​10 billion, or 2.​2%, over the previous 12 months.

The fourth-​largest segment, Private Pension Funds, held $​237 billion (​5.​2%). The Rest of the World, was the 5th largest category with 2.​9% of money fund assets ($​130 billion); it was down by $​3 billion (-​2.​1%) for the quarter but up $​1 billion, or 0.​8% over the last 12 months. The Nonfinancial Noncorporate Business remained sixth place in market share among investor segments with 2.​7%, or $​121 billion, while Life Insurance Companies held $​62 billion (​1.​4%), Property-​Casualty Insurance held $​41 billion (​0.​9%), State and Local Governments held $​35 billion (​0.​8%), and State and Local Government Retirement Funds held $​25 billion (​0.​6%), according to the Fed'​s Z.​1 breakout.

The Fed'​s "​Flow of Funds" Table L.​121 shows "​Money Market Mutual Funds" largely invested in "​Debt Securities," or Credit Market Instruments, with $​2.​296 trillion, or 50.​5% of the total. Debt securities includes: Open market paper ($​154 billion, or 3.​4%; we assume this is CP), Treasury securities ($​1.​591 trillion, or 35.​0%), Agency and GSE-​backed securities ($​448 billion, or 9.​9%), Municipal securities ($​93 billion, or 2.​1%) and Corporate and foreign bonds ($​9 billion, or 0.​2%).

Other large holdings positions in the Fed'​s series include Security repurchase agreements ($​2.​056 trillion, or 45.​2% of total assets) and Time and savings deposits ($​152 billion, or 3.​3%). Money funds also hold minor positions in Miscellaneous assets ($​11 billion, or 0.​2%), Foreign deposits ($​1 billion, 0.​0%) and Checkable deposits and currency ($​29 billion, 0.​6%). Note: The Fed also lists "Variable Annuity Money Funds," which currently total $​36 billion.

During Q3, Debt Securities were down $​569 billion. This subtotal included: Open Market Paper (​up $​7 billion), Treasury Securities (​down $​516 billion), Agency- and GSE-​backed Securities (​down $​51 billion), Corporate and Foreign Bonds (​down $​3 billion) and Municipal Securities (​down $​6 billion). In the third quarter of 2021, Security Repurchase Agreements were up $​471 billion, Foreign Deposits were up $​1 billion, Checkable Deposits and Currency were up $​100 billion, Time and Savings Deposits were up by $​3 billion, and Miscellaneous Assets were down -​3.​6%.

Over the 12 months through 9/​30/​21, Debt Securities were down $​995 billion, which included Open Market Paper (​down $​24B), Treasury Securities (​down $​684B), Agencies (​down $​252B), Municipal Securities (​down $​28), and Corporate and Foreign Bonds (​down $​7B). Foreign Deposits were unchanged, Checkable Deposits and Currency were up $​103B, Time and Savings Deposits were down $​28B, Securities repurchase agreements were up $​1.​059 trillion and Miscellaneous Assets were down $​4B.

Note that the Federal Reserve changed its numbers related to money market funds substantially in the second quarter of 2018. Its "Release Highlights Second Quarter 2018" tells us, "New source data for money market funds from the U.​S. Securities and Exchange Commission'​s (​SEC) form N-​MFP have been incorporated into the sector'​s asset holdings (​tables F.​121 and L.​121). Money market funds not available to the public, which are included in the SEC data, are excluded from Financial Accounts' estimates. Data revisions begin 2013:​Q1. Holdings of money market fund shares by households and nonprofit organizations, state and local governments, and funding corporations (​tables F.​206 and L.​206) have been revised due to a change in methodology based on detail from the Investment Company Institute. Data revisions begin 1976:​Q1."

​

Crane Data'​s December Money Fund Portfolio Holdings, with data as of Nov. 30, 2021, show Repo jumping in November after a pause last month and Treasuries falling after an increase in October. Money market securities held by Taxable U.​S. money funds (​tracked by Crane Data) rose by $​46.​4 billion to $​4.​971 trillion in November, after rising by $​72.​4 billion in October, decreasing $​26.​0 billion in Sept., and increasing $​47.​4 billion in August. Assets decreased $​89.​1 billion in July, but increased by $​1.​5 billion in June, $​30.​2 billion in May and $​29.​1 billion in April. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. MMF holdings of Fed repo rose to $​1.​378 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) jumped $​113.​6 billion (​5.​3%) to $​2.​253 trillion, or 45.​3% of holdings, in November, after declining $​107.​9 billion in October and rising $​299.​8 billion in Sept., $​169.​6 billion in August and $​62.​9 billion in July. Treasury securities dropped $​52.​6 billion (-​2.​9%) to $​1.​787 trillion, or 35.​9% of holdings, after increasing $​158.​2 billion in October, but falling $​262.​4 billion in Sept., $​113.​8 billion in August and $​200.​6 billion in July. Government Agency Debt was down $​10.​1 billion, or -​2.​3%, to $​423.​6 billion, or 8.​5% of holdings, after decreasing $​27.​3 billion in October, $​31.​3 billion in Sept. and $​8.​1 billion in August. Repo, Treasuries and Agency holdings totaled $​4.​464 trillion, representing a massive 89.​8% of all taxable holdings.

Money funds' holdings of CP, CDs and Other (​mainly Time Deposits) were relatively flat in November. Commercial Paper (​CP) decreased $​3.​0 billion (-​1.​2%) to $​246.​7 billion, or 5.​0% of holdings, after increasing $​8.​2 billion in Oct., $​3.​1 billion in Sept., and $​3.​2 billion in August. Other holdings, primarily Time Deposits, declined by $​4.​7 billion (-​3.​9%) to $​116.​2 billion, or 2.​3% of holdings, after declining $​32.​7 billion in Oct., $​32.​7 billion in Sept., and $​4.​7 billion in August. Certificates of Deposit (​CDs) rose by $​3.​0 billion (​2.​4%) to $​130.​6 billion, or 2.​6% of taxable assets, after increasing $​7.​4 billion in Oct., falling $​3.​8 billion in Sept., and rising $​1.​9 billion in August. VRDNs increased to $​14.​3 billion, or 0.​3% of assets. (​Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately late Friday.)

Prime money fund assets tracked by Crane Data fell to $​800 billion, or 16.​1% of taxable money funds' $​4.​971 trillion total. Among Prime money funds, CDs represent 16.​3% (​up from 15.​1% a month ago), while Commercial Paper accounted for 30.​8% (​up from 29.​6% in Oct.). The CP totals are comprised of: Financial Company CP, which makes up 21.​6% of total holdings, Asset-​Backed CP, which accounts for 4.​3%, and Non-​Financial Company CP, which makes up 4.​9%. Prime funds also hold 3.​6% in US Govt Agency Debt, 8.​0% in US Treasury Debt, 17.​2% in US Treasury Repo, 1.​0% in Other Instruments, 11.​3% in Non-​Negotiable Time Deposits, 6.​9% in Other Repo, 2.​1% in US Government Agency Repo and 0.​8% in VRDNs.

Government money fund portfolios totaled $​2.​872 trillion (​57.​8% of all MMF assets), up from $​2.​846 trillion in Oct., while Treasury money fund assets totaled another $​1.​299 trillion (​26.​1%), up from $​1.​236 trillion the prior month. Government money fund portfolios were made up of 13.​7% US Govt Agency Debt, 11.​9% US Government Agency Repo, 29.​4% US Treasury Debt, 44.​7% in US Treasury Repo, 0.​4% in Other Instruments. Treasury money funds were comprised of 67.​6% US Treasury Debt and 32.​2% in US Treasury Repo. Government and Treasury funds combined now total $​4.​171 trillion, or 83.​9% of all taxable money fund assets.

European-​affiliated holdings (​including repo) dropped by $​6.​5 billion in Nov. to $​535.​4 billion; their share of holdings declined to 10.​8% from last month'​s 11.​0%. Eurozone-​affiliated holdings decreased to $​388.​7 billion from last month'​s $​403.​5 billion; they account for 7.​8% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $​215.​0 billion (​4.​3% of the total) from last month'​s $​219.​8 billion. Americas related holdings rose to $​4.​217 trillion from last month'​s $​4.​159 trillion, and now represent 84.​8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (​up $​71.​7 billion, or 4.​1%, to $​1.​839 trillion, or 37.​0% of assets); US Government Agency Repurchase Agreements (​up $​37.​2 billion, or 11.​6%, to $​359.​4 billion, or 7.​2% of total holdings), and Other Repurchase Agreements (​up $​4.​7 billion, or 9.​3%, from last month to $​55.​2 billion, or 1.​1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (​down $​0.​7 billion to $​173.​2 billion, or 3.​5% of assets), Asset Backed Commercial Paper (​down $​1.​2 billion to $​34.​0 billion, or 0.​7%), and Non-​Financial Company Commercial Paper (​down $​1.​1 billion to $​39.​4 billion, or 0.​8%).

The 20 largest Issuers to taxable money market funds as of Nov. 30, 2021, include: the US Treasury ($​1.​787 trillion, or 35.​9%), Federal Reserve Bank of New York ($​1.​378T, 27.​7%), Federal Home Loan Bank ($​237.​4B, 4.​8%), Fixed Income Clearing Corp ($​137.​1B, 2.​8%), RBC ($​119.​0B, 2.​4%), BNP Paribas ($​107.​4B, 2.​2%), Federal Farm Credit Bank ($​91.​5B, 1.​8%), Sumitomo Mitsui Banking Co ($​57.​0B, 1.​1%), Credit Agricole ($​55.​1B, 1.​1%), Federal National Mortgage Association ($​53.​4B, 1.​1%), JP Morgan ($​48.​3B, 1.​0%), Bank of America ($​42.​4B, 0.​9%), Mitsubishi UFJ Financial Group Inc ($​41.​6B, 0.​8%), Bank of Montreal ($​41.​0B, 0.​8%), Barclays ($​39.​0B, 0.​8%), Canadian Imperial Bank of Commerce ($​38.​4B, 0.​8%), Societe Generale ($​37.​9B, 0.​8%), Federal Home Loan Mortgage Corp ($​37.​7B, 0.​8%), Citi ($​37.​6B, 0.​8%) and Toronto-​Dominion Bank ($​31.​9B, 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: Federal Reserve Bank of New York ($​1.​378T, 61.​2%), Fixed Income Clearing Corp ($​137.​1B, or 6.​1%), BNP Paribas ($​97.​6B, or 4.​3%), RBC ($​96.​2B, or 4.​3%), Sumitomo Mitsui Banking Corp ($​43.​8B, or 1.​9%), JP Morgan ($​42.​8B, or 1.​9%), Bank of America ($​38.​6B, or 1.​7%), Credit Agricole ($​33.​4B, or 1.​5%), Citi ($​33.​2B, or 1.​5%) and Mitsubishi UFJ Financial Group Inc ($​32.​9B, or 1.​5%). The largest users of the $​1.​378 trillion in Fed RRP included: JPMorgan US Govt MM ($​183.​1B), Goldman Sachs FS Govt ($​140.​1B), Fidelity Govt Money Market ($​135.​5B), Fidelity Govt Cash Reserves ($​118.​5B), BlackRock Lq FedFund ($​113.​2B), Morgan Stanley Inst Liq Govt ($​112.​0B), Vanguard Federal Money Mkt Fund ($​99.​9B), Allspring Govt MM ($​90.​8B), BlackRock Lq T-​Fund ($​89.​8B) and Dreyfus Govt Cash Mgmt ($​85.​2B).

The 10 largest issuers of "​credit" -- CDs, CP and Other securities (​including Time Deposits and Notes) combined -- include: RBC ($​22.​8B or 5.​4%), Credit Agricole ($​21.​8B or 5.​2%), Toronto-​Dominion Bank ($​18.​6B or 4.​4%), Bank of Montreal ($​18.​2B or 4.​3%), Mizuho Corporate Bank Ltd ($​16.​7B or 4.​0%), Canadian Imperial Bank of Commerce ($​16.​1B or 3.​8%), Barclays PLC ($​15.​4B or 3.​7%), Sumitomo Mitsui Trust Bank ($​13.​3B or 3.​2%), Sumitomo Mitsui Banking Corp ($​13.​2B or 3.​2%) and DNB ASA ($​12.​9B or 3.​1%).

The 10 largest CD issuers include: Bank of Montreal ($​12.​7B or 9.​7%), Sumitomo Mitsui Banking Corp ($​9.​9B or 7.​6%), Canadian Imperial Bank of Commerce ($​9.​0B or 6.​9%), Toronto-​Dominion Bank ($​7.​6B or 5.​8%), Sumitomo Mitsui Trust Bank ($​6.​5B or 5.​0%), Landesbank Baden-​Wurttemberg ($​6.​5B or 5.​0%), Mizuho Corporate Bank Ltd ($​6.​2B or 4.​7%), Mitsubishi UFJ Financial Group Inc ($​6.​0B or 4.​6%), Credit Agricole ($​5.​4B or 4.​1%) and Bank of Nova Scotia ($​4.​5B or 3.​5%).

The 10 largest CP issuers (​we include affiliated ABCP programs) include: RBC ($​14.​1B or 6.​8%), Toronto-​Dominion Bank ($​10.​2B or 4.​9%), BNP Paribas ($​8.​6B or 4.​1%), Bank of Nova Scotia ($​7.​9B or 3.​8%), UBS AG ($​6.​9B or 3.​3%), National Australia Bank Ltd ($​6.​9B or 3.​3%), Sumitomo Mitsui Trust Bank ($​6.​8B or 3.​3%), Societe Generale ($​6.​3B or 3.​0%), Skandinaviska Enskilda Banken AB ($​6.​2B or 3.​0%) and Barclays PLC ($​6.​2B or 3.​0%).

The largest increases among Issuers include: Fixed Income Clearing Corp (​up $​67.​2B to $​137.​1B), Federal Reserve Bank of New York (​up $​37.​8B to $​1.​378T), RBC (​up $​10.​5B to $​119.​0B), Canadian Imperial Bank of Commerce (​up $​7.​6B to $​38.​4B), Bank of Nova Scotia (​up $​7.​1B to $​22.​4B), Barclays PLC (​up $​5.​9B to $​39.​0B), Federal Farm Credit Bank (​up $​4.​1B to $​91.​5B), Banco Santander (​up $​3.​7B to $​11.​6B), Bank of Montreal (​up $​3.​2B to $​41.​0B) and Credit Agricole (​up $​2.​8B to $​55.​1B).

The largest decreases among Issuers of money market securities (​including Repo) in November were shown by: US Treasury (​down $​52.​6B to $​1.​787T), Federal Home Loan Bank (​down $​15.​1B to $​237.​4B), JP Morgan (​down $​8.​6B to $​48.​3B), Deutsche Bank AG (​down $​6.​2B to $​9.​0B), Bank of America (​down $​5.​8B to $​42.​4B), BNP Paribas (​down $​4.​2B to $​107.​4B), Societe Generale (​down $​3.​5B to $​37.​9B), Mizuho Corporate Bank Ltd (​down $​2.​9B to $​24.​1B), ING Bank (​down $​2.​5B to $​17.​3B) and Landesbank Baden-​Wurttemberg (​down $​2.​2B to $​7.​2B).

The United States remained the largest segment of country-​affiliations; it represents 79.​5% of holdings, or $​3.​951 trillion. Canada (​5.​4%, $​265.​9B) was in second place, while France (​4.​9%, $​242.​7B) was No. 3. Japan (​3.​9%, $​195.​7B) occupied fourth place. The United Kingdom (​1.​6%, $​80.​8B) remained in fifth place. The Netherlands (​1.​0%, $​49.​5B) was in sixth place, followed by Germany (​0.​9%, $​45.​1B), Australia (​0.​7%, $​33.​2B), Sweden (​0.​7%, $​32.​5B) and Switzerland (​0.​4%, $​18.​1B). (​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 Nov. 30, 2021, Taxable money funds held 53.​1% (​up from 51.​4%) of their assets in securities maturing Overnight, and another 9.​9% maturing in 2-​7 days (​up from 9.​3%). Thus, 63.​0% in total matures in 1-​7 days. Another 7.​3% matures in 8-​30 days, while 7.​1% matures in 31-​60 days. Note that over three-​quarters, or 77.​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 7.​4% of taxable securities, while 10.​5% matures in 91-​180 days, and just 4.​7% matures beyond 181 days. (​Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

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Crane Data'​s latest monthly Money Fund Portfolio Holdings statistics will be sent out Thursday, and we'​ll be writing our regular monthly update on the November 30 data for Friday'​s News. But we also uploaded a separate and broader Portfolio Holdings data set based on the SEC'​s Form N-​MFP filings on Wednesday. (​We continue to merge the two series, and the N-​MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-​MFP summary, with data as of Nov. 30, includes holdings information from 1,​020 money funds (​down one fund from last month), representing assets of $​5.​134 trillion (​up from $​5.​063 trillion). Prime MMFs now total $​832.​4 billion, or 16.​2% of the total. We review the new N-​MFP data below, and we also look at our revised MMF expense data. (Note: The SEC posted a "Sunshine Act Notice announcing an "Open Meeting on Wednesday, December 15, 2021 at 10:​00 a.​m.." It includes an item that says, "The Commission will consider whether to propose amendments to certain rules that govern money market funds under the Investment Company Act of 1940." The meeting will be webcast at www.​sec.​gov.)

Our latest Form N-​MFP Summary for All Funds (​taxable and tax-​exempt) shows Repurchase Agreement (​Repo) holdings in money market funds fell to a still massive $​2.​285 trillion (​up from $​2.​156 trillion), or 44.​5% of all assets. Treasury holdings totaled $​1.​802 trillion (​down from $​1.​847 trillion), or 35.​1% of all holdings, and Government Agency securities totaled $​437.​2 billion (​down from $​447.​1 billion), or 8.​5%. Holdings of Treasuries, Government agencies and Repo (​almost all of which is backed by Treasuries and agencies) combined total $​4.​525 trillion, or a stunning 88.​1% of all holdings.

Commercial paper (​CP) totals $​256.​4 billion (​down from $​257.​8 billion), or 5.​0% of all holdings, and the Other category (​primarily Time Deposits) totals $​154.​7 billion (​down from $​159.​7 billion), or 3.​0%. Certificates of Deposit (​CDs) total $​130.​7 billion (​up from $​127.​6 billion), 2.​5%, and VRDNs account for $​68.​2 billion (​down from $​68.​3 billion last month), or 1.​3% of money fund securities.

Broken out into the SEC'​s more detailed categories, the CP totals were comprised of: $​176.​0 billion, or 3.​4%, in Financial Company Commercial Paper; $​34.​4 billion or 0.​7%, in Asset Backed Commercial Paper; and, $​46.​0 billion, or 0.​9%, in Non-​Financial Company Commercial Paper. The Repo totals were made up of: U.​S. Treasury Repo ($​1.​895 trillion, or 36.​9%), U.​S. Govt Agency Repo ($​335.​6B, or 6.​5%) and Other Repo ($​55.​2B, or 1.​1%).

The N-​MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $​252.​6 billion (​down from $​254.​0 billion), or 30.​3%; Repo holdings of $​228.​5 billion (​down from $​239.​4 billion), or 27.​4%; Treasury holdings of $​67.​8 billion (​down from $​79.​2 billion), or 8.​1%; CD holdings of $​130.​7 billion (​up from $​127.​6 billion), or 15.​7%; Other (​primarily Time Deposits) holdings of $​114.​7 billion (​down from $​120.​1 billion), or 13.​8%; Government Agency holdings of $​31.​4 billion (​up from $​30.​1 billion), or 3.​8% and VRDN holdings of $​6.​7 billion (​down from $​6.​8 billion), or 0.​8%.

The SEC'​s more detailed categories show CP in Prime MMFs made up of: $​175.​9 billion (​up from $​175.​7 billion), or 21.​1%, in Financial Company Commercial Paper; $​34.​4 billion (​down from $​35.​3 billion), or 4.​1%, in Asset Backed Commercial Paper; and $​42.​2 billion (​down from $​42.​9 billion), or 5.​1%, in Non-​Financial Company Commercial Paper. The Repo totals include: U.​S. Treasury Repo ($​157.​5 billion, or 18.​9%), U.​S. Govt Agency Repo ($​16.​0 billion, or 1.​9%), and Other Repo ($​55.​0 billion, or 6.​6%).

In other news, money fund charged expense ratios were flat again in November after hitting a record low of 0.​06% in May and inching higher in June. Our Crane 100 Money Fund Index and Crane Money Fund Average were both were 0.​07% as of Nov. 30, 2021. Crane Data revises its monthly expense data and gross yield information after the SEC updates its latest Form N-​MFP data the morning of the 6th business day of the new month. (​They posted this info Wednesday morning, so we revised our monthly MFI XLS spreadsheet and historical craneindexes.​xlsx averages file to reflect the latest expenses, gross yields, portfolio composition and maturity breakout yesterday.) Visit our "Content" page for the latest files, and see below for the review of the latest N-​MFP Portfolio Holdings data.

Our Crane 100 Money Fund Index, a simple average of the 100 largest taxable money funds, shows an average charged expense ratio (Exp%) of 0.​07%, the same as last month'​s level (​and one bps higher than May'​s record low 0.​06%). The average is down from 0.​27% on Dec. 31, 2019, so we estimate that funds are waiving 20 bps, or 74% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also showed a charged expense ratio of 0.​07% as of Nov. 30, 2021, the same as the month prior but down from 0.​40% at year-​end 2019.

Prime Inst MFs expense ratios (​annualized) average 0.​12% (​up 2 basis points from last month), Government Inst MFs expenses average 0.​05% (​unchanged), Treasury Inst MFs expenses average 0.​05% (​unch). Treasury Retail MFs expenses currently sit at 0.​05%, (​unch), Government Retail MFs expenses yield 0.​05% (​the same as in October). Prime Retail MF expenses averaged 0.​13% (​up one bps). Tax-​exempt expenses were up one basis point over the month to 0.​08% on average.

Gross 7-​day yields inched higher on average for the month ended Nov. 30, 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (​currently 741), shows a 7-​day gross yield of 0.​09%, one basis point up from the prior month. The Crane Money Fund Average is down 1.​63% from 1.​72% at the end of 2019. Our Crane 100'​s 7-​day gross yield was up one bps, ending the month at 0.​09%, but down 1.​64% from year-​end 2019.

According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $​3.​598 billion (​as of 11/​30/​21). Our estimated annualized revenue totals increased from $​3.​388 last month and are noticeably higher than the record low of $​2.​927 in May. Annualized MMF revenues have fallen from $​6.​028 trillion at the start of 2020 and $​10.​642 trillion at the start of 2019. Charged expenses and gross yields are driven by a number of variables, and the Fed'​s 0.​05% floor on its RRP repo and now expectations of higher rates in 2022 appear to have helped stabilize rates above zero. Nonetheless, severe fee waivers and heavy fee pressure should continue as long as the Fed keeps yields pinned close to the zero floor.

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Crane Data'​s latest monthly Money Fund Market Share rankings show assets were mostly higher among U.​S. money fund complexes in November. Money market fund assets increased $​62.​6 billion, or 1.​3%, last month to $​5.​054 trillion. Assets increased by $​90.​4 billion, or 1.​8%, over the past 3 months; they'​ve increased by $​249.​4 billion, or 5.​3%, over the past 12 months through Nov. 30. The largest increases among the 25 largest managers last month were seen by Goldman Sachs, BlackRock, Dreyfus, JPMorgan, and First American, which grew assets by $​18.​3 billion, $​13.​7B, $​11.​8B, $​7.​6B and $​6.​5B, respectively. The largest declines in November were seen by Vanguard, SSGA, Invesco and Fidelity, which decreased by $​9.​5 billion, $​5.​3B, $​4.​8B and $​1.​9B, respectively. Our domestic U.​S. "Family" rankings are available in our MFI XLS product, our global rankings are available in our MFI International product. The combined "​Family & Global Rankings" are available to Money Fund Wisdom subscribers. We review the latest market share totals, and look at money fund yields in November, below.

Over the past year through Nov. 30, 2021, Morgan Stanley (​up $​78.​7B, or 37.​8%), BlackRock (​up $​71.​8B, or 15.​5%), Goldman Sachs (​up $​71.​8B, or 22.​9%), J.​P. Morgan (​up $​46.​5B, or 11.​3%) and Dreyfus (​up $​42.​7B, or 22.​9%) were the largest gainers. Goldman Sachs, Northern, Dreyfus, BlackRock and Morgan Stanley had the largest asset increases over the past 3 months, rising by $​15.​7B, $​15.​5B, $​13.​0B, $​11.​7B and $​11.​5B, respectively. The largest decliners over 12 months were seen by: Charles Schwab (​down $​39.​2B), Federated Hermes (​down $​38.​1B), Allspring (​down $​32.​1B), Vanguard (​down $​26.​7B) and American Funds (​down $​22.​1B). The largest decliners over 3 months included: JPMorgan (​down $​5.​3B), Allspring (​down $​4.​6B), Vanguard (​down $​4.​3B), Schwab (​down $​2.​8B) and SSGA (​down $​2.​2B).

Our latest domestic U.​S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $​900.​8 billion, or 17.​8% of all assets. Fidelity was down $​1.​9B in November, up $​7.​8 billion over 3 mos., and down $​3.​1B over 12 months. BlackRock ranked second with $​528.​2 billion, or 10.​5% market share (​up $​13.​7B, up $​11.​7B and up $​71.​8B for the past 1-​month, 3-​mos. and 12-​mos., respectively). JPMorgan ranked third with $​466.​8 billion, or 9.​2% market share (​up $​7.​6B, down $​5.​3B and up $​46.​5B). Vanguard ranked in fourth place with $​455.​5 billion, or 9.​0% of assets (​down $​9.​5B, down $​4.​3B and down $​26.​7B), while Goldman Sachs was the fifth largest MMF manager with $​382.​0 billion, or 7.​6% of assets (​up $​18.​3B, up $​15.​7B and up $​71.​8B for the past 1-​month, 3-​mos. and 12-​mos.).

Federated Hermes was in sixth place with $​332.​7 billion, or 6.​6% (​up $​4.​8B, up $​9.​0B and down $​38.​1B), while Morgan Stanley was in seventh place with $​292.​8 billion, or 5.​8% of assets (​up $​6.​2B, up $​11.​5B and up $​78.​7B). Dreyfus ($​249.​2B, or 4.​9%) was in eighth place (​up $​11.​8B, up $​13.​0B and up $​42.​7B), followed by Northern ($​195.​0B, or 3.​9%; up $​6.​0B, up $​15.​5B and up $​16.​3B). Allspring (​formerly Wells Fargo) was in 10th place ($​193.​1B, or 3.​8%; up $​712M, down $​4.​6B and down $​32.​1B).

The 11th through 20th-​largest U.​S. money fund managers (​in order) include: Schwab ($​143.​2B, or 2.​8%), SSGA ($​141.​4B, or 2.​8%), American Funds ($​135.​2B, or 2.​7%), First American ($​129.​8B, or 2.​6%), Invesco ($​87.​4B, or 1.​7%), T. Rowe Price ($​56.​5B, or 1.​1%), UBS ($​47.​2B, or 0.​9%), DWS ($​38.​5B, or 0.​8%), HSBC ($​37.​5B, or 0.​7%) and Western ($​33.​9B, or 0.​7%). Crane Data currently tracks 64 U.​S. MMF managers, the same number as last month.

When European and "​offshore" money fund assets -- those domiciled in places like Ireland, Luxembourg and the Cayman Islands -- are included, the top 10 managers are the same as the domestic list, except Goldman moves ahead of Vanguard to the No. 4 spot and Morgan Stanley moves ahead of Federated to the No. 6 spot. Global Money Fund Manager Rankings include the combined market share assets of our MFI XLS (​domestic U.​S.) and our MFI International ("​offshore") products.

The largest Global money market fund families include: Fidelity ($​913.​1 billion), BlackRock ($​739.​9B), JP Morgan ($​688.​1B), Goldman Sachs ($​503.​9B) and Vanguard ($​455.​5B). Morgan Stanley ($​348.​6B) was sixth, Federated Hermes ($​341.​7B) was in seventh, followed by Dreyfus/​BNY Mellon ($​273.​7B), Northern ($​225.​7B) and Allspring ($​193.​1B), which round out the top 10. These totals include "​offshore" U.​S. Dollar money funds, as well as Euro and Pound Sterling (​GBP) funds converted into U.​S. dollar totals.

The December issue of our Money Fund Intelligence and MFI XLS, with data as of 11/​30/​21, shows that yields were flat again in November for our Crane Money Fund Indexes. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (​currently 741), remained at 0.​02% for the 7-​Day Yield (​annualized, net) Average, the 30-​Day Yield also was flat at 0.​02%. The MFA'​s Gross 7-​Day Yield inched higher to 0.​09%, and the Gross 30-​Day Yield was flat at 0.​08%.

Our Crane 100 Money Fund Index shows an average 7-​Day (​Net) Yield of 0.​02% (​unchanged) and an average 30-​Day Yield (​also unchanged) at 0.​02%. The Crane 100 shows a Gross 7-​Day Yield of 0.​09% (​up one bps), and a Gross 30-​Day Yield of 0.​09% (​unch). Our Prime Institutional MF Index (​7-​day) yielded 0.​03% (​unch) as of Nov. 30. The Crane Govt Inst Index remained at 0.​02% and the Treasury Inst Index was unchanged at 0.​01%. Thus, the spread between Prime funds and Treasury funds remains at two basis points, and the spread between Prime funds and Govt funds is one basis point. The Crane Prime Retail Index yielded 0.​01% (​unch), while the Govt Retail Index was 0.​01% (​unch), the Treasury Retail Index was also 0.​01% (​unchanged from the month prior). The Crane Tax Exempt MF Index yielded 0.​01% (​unch) as of Nov. 30.

Gross 7-​Day Yields for these indexes to end November were: Prime Inst 0.​14% (​unch), Govt Inst 0.​07% (​unch), Treasury Inst 0.​06% (​unch), Prime Retail 0.​14% (​up one bps), Govt Retail 0.​06% (​unch) and Treasury Retail 0.​06% (​unch). The Crane Tax Exempt Index rose to 0.​10%. The Crane 100 MF Index returned on average 0.​00% over 1-​month, 0.​00% over 3-​months, 0.​02% YTD, 0.​02% over the past 1-​year, 0.​87% over 3-​years (​annualized), 0.​97% over 5-​years, and 0.​52% over 10-​years.

The total number of funds, including taxable and tax-​exempt, rose by 8 in November to 893. There are currently 741 taxable funds, 8 more than the previous month, and 152 tax-​exempt money funds (​unchanged from last month). (Contact us if you'​d like to see our latest MFI XLS, Crane Indexes or Market Share report.

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The December issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Tuesday morning, features the articles: "Outlook for 2022 Brightens; JPM on Hikes, MM Supply," which discusses whether money funds might have a Happy New Year; "SSGA Debuts Opportunity; Bancroft, Cabrera Shares," which reviews yet more D&​I share classes; and, "OFR Annual Report: Money Funds, Repo Among Risks," which examines the latest concerns of regulators over money funds. We also sent out our MFI XLS spreadsheet Thursday morning, and we'​ve updated our database query system with 11/​30/​21 data. (Note: Money Fund Wisdom is down temporarily but should be back up next month. MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our December Money Fund Portfolio Holdings are scheduled to ship on Thursday, Dec. 9, and our December Bond Fund Intelligence is scheduled to go out on Tuesday, Dec. 14.

MFI'​s lead article says, "​As the odds of higher short-​term rates rise, the outlook for money market funds has brightened. Though pending money fund reforms and turmoil brought on by the rate shift pose risks, the prospect of fee waiver relief and asset inflows from banks and bond markets should make 2022 a very good year for cash."

We quote J.​P. Morgan Securities' "​Short-​Term Fixed Income 2022 Outlook," which contains a piece entitled, "The same, only different." They tell us, "In 2022, the prospect of Fed rate hikes should meaningfully boost yields away from the zero bound, allowing money funds to recapture some fee waivers.... Even so, the amount of excess liquidity in the money markets, and the broader financial markets, will remain substantial. At the same time, overall money market supply will remain anemic as Treasury is unlikely going to revitalize its net T-​bill issuance. Much like this year, the supply-​demand mismatch will continue to pose challenges for participants in money markets. Usage at the Fed RRP is unlikely going to see much relief any time soon."

Our second article reads, "Money market fund managers continue to launch '​D&​I' share classes, the latest trend in the ESG & Social money fund space. The most recent moves come from SSGA, which announced new 'Opportunity' share classes, and BlackRock, which went live with its new Bancroft and Cabrera classes. A press release, entitled, 'State Street Global Advisors Introduces I&​D Focused Share Class within Cash Management Suite,' tells us, 'State Street Global Advisors, the asset management business of State Street Corporation (​STT), announced the launch of a new money market fund share class, the Opportunity Class, which will benefit philanthropic organizations whose values align with State Street'​s commitment to racial equity and social justice. With the launch of the new Opportunity Class shares within State Street Global Advisors' existing money market fund suite, the firm is answering the call from clients who are increasingly interested in supporting I&​D initiatives with their strategic cash investments."

We quote Kim Hochfeld, SSGA'​s Global Head of Cash, "​As one of the world'​s largest fiduciary managers who is deeply committed to ESG-​focused asset stewardship, we see it as our responsibility to offer our clients an opportunity to have a positive impact within their cash investment strategy.... Our clients are more interested than ever in a holistic, action-​oriented approach to inclusion and diversity initiatives."

Our "OFR" excerpt explains, "​The Treasury'​s Office of Financial Research published, 'OFR 2021 Annual Report to Congress,' which analyzes threats to financial stability and contains several quotes relating to money market funds. Under 'Assessing Risks Inside the Markets,' OFR writes, '​With respect to the financial markets themselves, vulnerabilities pose potential liquidity risks. While liquidity risks were contained this year ..., the OFR continues to study the uncertainty surrounding the impact of future investor runs in short-​term funding markets. Sudden pressure on money market funds and other alternative cash vehicles to raise large amounts of cash strained liquidity in these markets in 2020 and prompted intervention by the Federal Reserve. As regulators explore reform options, there is a continuing need to monitor the interconnectedness of these markets and their participants."

They tell us, "​To increase the transparency of financial data, the OFR in 2021 updated its U.​S. Money Market Fund (​MMF) Monitor to show both the principal amount of repurchase agreement (​repo) transactions and the collateral pledged against these loans. The Short-​term Funding Monitor was also upgraded to shed more light on the repo markets and to include a new collateral product that the Fixed Income Clearing Corporation (​FICC) rolled out in September."

MFI also includes the News brief, "Assets Finishing Year Strong, Again. ICI'​s latest weekly 'Money Market Fund Assets' report shows assets rising for the fourth week in a row and the fifth week out of the past six. Assets are up $​103.​4 billion over 6 weeks, to $​4.​62 trillion, and they are up $​324 billion, or 7.​5%, YTD in 2021. Crane Data'​s MFI XLS shows assets rising $​49.​7 billion in November to $​5.​055 trillion."

Another News brief, "Meeder Liquidating Prime MF," says, "​An SEC filing for Meeder Prime Money Market Fund tells us, 'The Board ... has determined that it is in the best interests of shareholders to liquidate the Prime Money Market Fund ... expected to take place on or about Dec. 28."

Our December MFI XLS, with Nov. 30 data, shows total assets increased $​49.​7 billion to $​5.​055 trillion, after increasing $​20.​5 billion October, decreasing $​878 million in September and increasing $​27.​9 billion in August. Assets decreased $​12.​4 billion in July and $​73.​0 billion in June. Our broad Crane Money Fund Average 7-​Day Yield was flat at 0.​02%, and our Crane 100 Money Fund Index (​the 100 largest taxable funds) also remained flat at 0.​02%.

On a Gross Yield Basis (​7-​Day) (​before expenses are taken out), the Crane MFA and the Crane 100 both inched higher to 0.​09%. Charged Expenses averaged 0.​07% for the Crane MFA and the Crane 100. (​We'​ll revise expenses Wednesday once we upload the SEC'​s Form N-​MFP data for 11/​30.) The average WAM (​weighted average maturity) for the Crane MFA was 37 days (​unchanged) while the Crane 100 WAM rose one day to 39 days). (​See our Crane Index or craneindexes.​xlsx history file for more on our averages.)

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Last week, the U.​K.-​based Association of Corporate Treasurers' James Winterton hosted a webinar entitled, "European MMFs at a Crossroads," which featured Fitch Ratings' Alastair Sewell and Minyue Wang discussing pending European and global money fund regulations. Sewell asks, "​So where are we? To summarize, the major global regulators are looking at money market regulation. As of the time of our speaking, we do not have final regulatory proposals yet. So, the SEC in the U.​S. completed a consultation in April of this year. It intends to publish ... policy proposals by April of next year. ESMA in Europe has completed a consultation, and it expects to publish its final decision in the second half of this year.... The Financial Stability Board, which is the collective of regulators, consulted in August of this year and published a final report in October of this year."

He tells us, "​To summarize that report very briefly, it is scrupulously neutral in the proposal it discusses. Our interpretation is that the FSB believes that material changes are needed to address the vulnerabilities in money market funds. Our interpretation is that the FSB is not in favor of tinkering with money market funds. It is in favor of more wholesale change. So, therefore, it is important to be aware now that change is coming, to be aware of the direction of travel and to begin getting prepared, with the caveat ... that we don'​t actually know yet what Europe will decide. But we do have a sense."

Sewell continues, "I think the key takeaway here is that there is a relatively high level of overlap between the different regulatory bodies' proposals.... You can also see that ESMA has gone out on a little bit of a limb compared to some of the other bodies with some of its proposals, particularly in terms of the way that ratings can be used among money market funds, which is, of course and subject dear to our hearts.... Probably the most important topics to think about are ... the removal of ties between liquidity and fees and gates ... changes to what constitutes weekly liquid assets, potentially moving all funds to a floating NAV [​and] potentially introducing swing pricing or asset dilution levies."

He says, "​First, most of the public respondents disagreed with ESMA'​s view on reassessing money market fund ratings.... Public respondents agreed very strongly with decoupling regulatory thresholds from suspensions and liquidity fees.... There'​s now a very wide body of academic evidence and industry ... commentary indicating that this [​outflows in March 2020] was an unintended consequence of this feature of the regulation, which of course, was designed to stop a shock in the money market fund sector from spilling over to other sectors by cutting off the risk. But clearly, there seems to be a fairly-​strong consensus that this needs to be addressed and this needs to be removed."

Sewell states, "The other one here is the disagreement with the creation of a Liquidity Exchange Facility (​LEF) ... available to all MMFs to support in some period of future stress. Now, obviously the main issue with this is that it would require funding and for it to be truly effective at significant scale.... For this liquidity facility to be effective, you need to be both large, immediately available and funded. The bottom line is that this would come at a potentially significant cost.... The last one I'​ll mention ... is that respondents disagreed with eliminating LVNAV funds."

He also says, "Let'​s talk a little bit about timing, and this is really important. The first point to make is that we think it'​s highly unlikely that re-​regulation is a 2022 event. At the earliest, it will be 2023. Let'​s work through the steps how we get to that. First of all, we know that ESMA has indicated it will publish its opinion and money market fund review in the second half of 2021, just under a month to that. So this could be coming out any day. We know that in July 2022, ESMA will be reviewing MMF regulations, their scheduled 5-​year review.... You add that together with some kind of implementation period, then it really can'​t be any earlier than 2023.... If we look back at what happened the last time around, that timeline was really quite long. The regulation was signed into law in June 2017, took effect for new funds in July 2018 [​and] became effective [​for others in] March 2019."

On whether money funds are "cash equivalents," Sewell says, "If you are a U.​S. investor or you'​re a domestic French investor, then your treatment is extremely clear because it is set out in regulation [​that] money market funds are cash or cash equivalents.... Outside of France and the U.​S., it is less clear.... From our perspective as a ratings agency, we would see money market funds as cash in terms of our corporate rating criteria."

He explains, "​What'​s interesting about France is French money market funds are primarily VNAV. So, if there were a regulatory scenario in which LVNAVs were eliminated and more funds were VNAV, then for a French investor it is plausible that they would remain cash. Now we know in other jurisdictions, VNAV and LVNAV can be seen as a differentiating factor. But in principle, from a European regulatory perspective, since the precedent is set in France, that this is not the distinction. The distinction really is between the quality of the underlying portfolio, which are of course, invested in instruments which would qualify as cash [​under] regulation."

Finally, Sewell comments, "The last point I wanted to make is to talk briefly about Brexit, which many of us have forgotten about with Covid. But Brexit did indeed happen a few years ago.... [​The question is] whether we might see the U.​K. begin to diverge from Europe. Now the sense I have is that divergence would [​only] happen if it were triggered by something. We do have a trigger. We know that European Money Market Fund regulation is being reviewed. We think it'​s probable that there are going to be changes, potentially some quite material changes. So therefore, it'​s ... to the point at which the UK might seek to diverge from Europe."

He adds, "If you read [​comments from the Bank of England] back in May of this year, it would seem to be opening the door to precisely this possibility. One of the reasons it seems plausible is that most of the money market funds to use are heavily represented by UK domestic investors in EU money market funds. So, there is a disconnect there. There are a few money markets funds in the U.​K. Most of them, with one or two exceptions, are quite small.... [​Their] domestic industry [​may] instead chooses to import the European mutual funds.... So that'​s something to watch."

In related news, Fitch Ratings also published a "3Q21 U.​S. ESG Money Market Fund Update," which comments, "Fund managers continue to expand offerings of environmental, social, and governance (​ESG)-​focused money market funds (​MMFs), according to Fitch Ratings' new report. Most recently, State Street Global Advisors (​SSGA) announced a new money market fund share class, the Opportunity Class, which SSGA says will benefit philanthropic organizations whose values align with State Street'​s commitment to racial equity and social justice. SSGA will donate at least 20% of its annual net management fee received from the Opportunity Class shares to such organizations."

They add, "As of Sept. 30, 2021, total U.​S. ESG MMF assets under management (​AUM) were $​9.​0 billion. The AUM marginally decreased by $​4 million in 3Q21, or 0.​05%, compared to a 3.​1% decrease in overall prime MMF AUM. Gross yields of ESG MMFs had averaged 15 bps during 3Q21, 2 bps lower than non-​ESG MMFs, due to ESG MMFs' reduced investable universe. ESG MMFs' net yields averaged 5 bps during the quarter, which is 2 bps higher than comparable non-​ESG MMFs due to lower expense ratios at the ESG funds. These gross and net yield spreads between ESG MMFs and non-​ESG MMFs were the same in 2Q21."

​

The Investment Company Institute'​s latest weekly "Money Market Fund Assets" report shows assets rising for the fourth week in a row and the fifth week out of the past six. Over the past 4 weeks, money fund assets have increased by $​66.​8 billion, and over the past 6 weeks assets are up $​103.​4 billion. Money fund assets are up by $​324 billion, or 7.​5%, YTD in 2021. (​This follows a gain of $​665.​0 billion, or 18.​3%, in 2020.) Inst MMFs are up $​418 billion (​15.​1%), while Retail MMFs are down $​94 billion (-​6.​1%). Over the past 52 weeks, money fund assets have increased by $​301 billion, or 7.​0%, with Retail MMFs falling by $​98 billion (-​6.​4%) and Inst MMFs rising by $​399 billion (​14.​3%).

ICI'​s release says, "Total money market fund assets increased by $​21.​61 billion to $​4.​62 trillion for the eight-​day period ended Wednesday, December 1, the Investment Company Institute reported today. Among taxable money market funds, government funds increased by $​25.​92 billion and prime funds decreased by $​3.​72 billion. Tax-​exempt money market funds decreased by $​599 million." ICI'​s stats show Institutional MMFs increasing $​21.​6 billion and Retail MMFs decreasing $​3.​7 billion in the latest week. Total Government MMF assets, including Treasury funds, were $​4.​089 trillion (​88.​5% of all money funds), while Total Prime MMFs were $​444.​9 billion (​9.​6%). Tax Exempt MMFs totaled $​87.​2 billion (​1.​9%).

ICI explains, "Assets of retail money market funds decreased by $​3.​72 billion to $​1.​43 trillion. Among retail funds, government money market fund assets decreased by $​2.​34 billion to $​1.​15 trillion, prime money market fund assets decreased by $​1.​11 billion to $​205.​74 billion, and tax-​exempt fund assets decreased by $​271 million to $​76.​86 billion." Retail assets account for just under a third of total assets, or 31.​0%, and Government Retail assets make up 80.​3% of all Retail MMFs.

They add, "Assets of institutional money market funds increased by $​25.​33 billion to $​3.​19 trillion. Among institutional funds, government money market fund assets increased by $​28.​26 billion to $​2.​94 trillion, prime money market fund assets decreased by $​2.​60 billion to $​239.​19 billion, and tax-​exempt fund assets decreased by $​328 million to $​10.​30 billion." Institutional assets accounted for 69.​0% of all MMF assets, with Government Institutional assets making up 92.​2% of all Institutional MMF totals.

Crane Data'​s MFI Daily shows money fund assets rising by $​65.​9 billion to $​5.​041 trillion in November. Our monthly MFI XLS. Over the past 5 and 10 years, November and December have been the two strongest months for money market fund asset growth. (​Last year was a notable exception -- in 2020 assets were roughly flat following the monstrous buildup during March and April.) Over 10 years through 2020, assets have averaged gains of $​37 billion in November and $​41 billion in December. Thus, we expect the recent strong inflows to continue as we approach year end. (​Note that ICI'​s asset totals don'​t include a number of funds tracked by the SEC and Crane Data, so they'​re almost $​400 billion lower than Crane'​s asset series.)

In other news, The Wall Street Journal writes, "Covid-​19 Made Americans Into Super Savers. Now They'​re Hoarding Cash." The article tells us, "Americans are hoarding cash because of fatigue and uncertainty, with little chance the trend will reverse soon. Over the past two years, households have socked away close to $​1.​6 trillion in '​excess savings,' or resources they otherwise wouldn'​t have been able to save before the Covid-​19 crisis, according to the Federal Reserve Bank of New York."

It explains, "While the savings rate has dropped back to 2019 levels after four consecutive quarters of record high savings, financial advisers, money managers and economists say Americans are too nervous about potential worst-​case scenarios to dip into their funds. And now, with the Omicron variant of the coronavirus threatening to disrupt stability once again, many of them expect the cash hoarding to continue."

The Journal piece says, "Hoarding savings can hurt individuals' long-​term finances should inflation rise further, and the piling of savings can create bigger problems for an economy in which consumer spending makes up more than two-​thirds of its gross domestic product. At the start of the coronavirus pandemic, people began hoarding money for emergencies. The government also issued three rounds of stimulus payments to Americans who qualified. With no end in sight, many Americans kept saving both as a safety measure and as a result of being stuck at home, leading to the highest personal savings rate since World War II."

It adds, "​Researchers at the New York Fed say the move happened more mechanically than intentionally. People saved more because they weren'​t spending as much, not necessarily because they were actively stockpiling money in their reserves."

Finally, Federated Hermes' Deborah Cunningham writes "Continuity is critical" in her latest monthly commentary, discussing the reappointment of the Federal Reserve'​s Jerome Powell. She says, "President Biden'​s public opinion rating has taken a hit recently, but the markets approved of his nomination of Federal Reserve Chair Jerome Powell to a second term. While the decision was a vote of confidence in his ability to navigate monetary policy in uncertain times, it had everything to do with continuity. Other than criticizing lawmakers for dragging their feet on new fiscal stimulus last fall, Powell has worked well with Congress. And despite defending various Fed stances, he has acknowledged worrisome developments such as rising inflation, giving him credibility with investors. Although Lael Brainard certainly is qualified, Powell was the right choice."

The update continues, "The persistence of the pandemic is one reason we need the status quo. The emergence of the omicron variant has highlighted that. But the most pressing motivation for continuity is the tapering of the Fed'​s monthly asset purchases, which began in mid-​November with a reduction of $​10 billion of Treasuries and $​5 billion of mortgaged-​backed securities. It'​s crucial this succeeds without spooking the markets, and the selection of a new Fed chair might have done that."

It adds, "The front end of the Treasury yield curve has reflected the debt limit drama, with 1-​month bills offering about double the yield of 6-​month bills and essentially equal to that of 12-​month Treasuries. Expecting the curve to steepen and attractive investment opportunities to arise after the situation is resolved, in the middle of November we lowered the weighted average maturity (​WAM) target range of our government money market funds to 30-​40 days from 35-​45 days. We kept WAMs of our prime and municipal funds in target ranges of 40-​50 days."

​

After the chaos and turmoil of the coronavirus lockdown in 2020, 2021 was a relatively stable and uneventful year. Yields remained pinned to zero, assets held fast at around $​5 trillion, and money funds engaged in seemingly endless discussions around further money fund reforms in the U.​S. and Europe. Other major themes of the year included: gradual consolidation, ESG and Social MMFs, continued interest in ultra-​short bond funds and the expansion of money funds in worldwide markets. Below, we'​ve selected and excerpted from a number of our news stories of 2021 to remind readers and to highlight the major trends of the past year.

Crane Data'​s Top 10 Stories of 2021 include (​in chronological order): "Rolling w/​Reform Changes III: Recap of '​20 Prime Exits, News & Moves" (​1/​7/​21); "Wells Fargo Sells Asset Management Unit; Morgan Stanley Gets Social" (​2/​25/​21); "ESMA Posts Consultation Report on Potential Reform of European MMFs" (​3/​30/​21); "Schwab, Vanguard SEC Comments Support Floating NAV for Prime Retail" (​4/​19/​21); "Boston Fed Paper Proposes Requirement to Convert All MMFs to Govt" (​5/​27/​21); "Asian Money Fund Symposium Recap: JPMAM'​s Shevlin on Chinese MMFs" (​6/​24/​21); "Tether Hits Keep Coming: WSJ, PWG, CNBC; Taming Wildcat Stablecoins" (​7/​21/​21); "BNY Mellon'​s Ultra Short Income ETF Live; Locke on MMFs' Paper Tiger" (​8/​12/​21); "Callahan, Cunningham Money Fund Symposium Keynote Talks ESG, Regs" (​9/​29/​21); and, finally, "SEC MMF Stats: Assets Inch Higher to $​5.​03 Trillion in Sept; Yields Flat" (​10/​22/​21).

Early in 2021, we reported on reform changes, news and moves of the previous year, which continued into the new one. Our Jan. 7 story, "Rolling w/​Reform Changes III: Recap of '​20 Prime Exits, News & Moves," told readers, "In January 2016, money market mutual funds were in the midst of a series of dramatic changes ahead of October 2016'​s Money Fund Reforms, the biggest changes to money fund regulations since their introduction in October 1970. Five years ago, we ran the story, 'Rolling w/​Reform Changes II: Recap of '​15 Announcements, '​16 Plans,' which reviewed a number of major changes among the largest managers that took place during 2015. As in the past year, exits from Prime MMFs and fund repositioning were notable trends. Today, we examine the Covid-​19 driven changes and general fund actions over the past year, as we prepare for potential regulatory changes and more fund lineup shifts in the New Year. (​See also our Dec. 17 News, 'Top 10 Stories of 2020: Assets Skyrocket; Yields Plunge; Regs Coming?' Note: Readers may also review "Crane Data'​s News," "Link of the Day" and "Money Fund Intelligence Archives" for more stories from the past year, 5 years and decade-​plus.)

Our February 25 story, "Wells Fargo Sells Asset Management Unit; Morgan Stanley Gets Social," highlights two big trends of 2021 -- shifts in the money fund manager lineups and the growth of ESG & Social money funds. It reviews the press release, "Wells Fargo Enters Agreement with GTCR and Reverence Capital Partners to Sell Wells Fargo Asset Management," which tells us, "Wells Fargo & Company (​WFC) today announced that it has entered into a definitive agreement to sell Wells Fargo Asset Management to GTCR LLC and Reverence Capital Partners, L.​P. This sale includes Wells Fargo Bank N.​A.'​s business of acting as trustee to its collective investment trusts and all related WFAM legal entities. Under the terms of the agreement, the purchase price is $​2.​1 billion. The transaction is expected to close in the second half of 2021." (​The deal has since closed and Wells Fargo Funds have been renamed the Allspring Funds.)

Our March 30 News, "ESMA Posts Consultation Report on Potential Reform of European MMFs" covers pending and potential reforms in Europe. We wrote, "[​T]​he European Securities and Market Authority published a press release entitled, 'ESMA Consults on the Framework for EU Money Market Funds,' which requests feedback on potential European money market fund reforms.... Today, we quote from the full, 'Consultation Report: EU Money Market Fund Regulation.' The 'Executive Summary' explains, 'This consultation document is developed in the context of Article 46 of the MMF Regulation, which provides that '[​b]​y 21 July 2022, the Commission shall review the adequacy of this Regulation from a prudential and economic point of view, following consultations with ESMA'. The COVID-​19 crisis has been challenging for MMFs. A number of EU MMFs faced significant liquidity issues during the period of acute stress in March 2020 with large redemptions from investors on the liability side, and a severe deterioration of liquidity of money market instruments on the asset side. In this context, this consultation document discusses the potential reforms of the EU MMF regulatory framework that could be envisaged, in light of the lessons learnt from the difficulties faced by MMFs during the COVID-​19 crisis in March 2020.'"

In April, we published, "Schwab, Vanguard SEC Comments Support Floating NAV for Prime Retail," which excerpted from a couple of the more notable posts to the SEC. It explains, "​Last Monday was the deadline for the SEC'​s '​Request for Comment on Potential Money Market Fund Reform Measures in President'​s Working Group Report' and, as expected, it brought an onslaught of comment letters. We reviewed several last week, but today we review submissions from retail giants Charles Schwab and Vanguard. Schwab'​s Rick Wurster writes, "Charles Schwab & Co, Inc. and Charles Schwab Investment Management appreciate the opportunity to provide comments to the Securities and Exchange Commission on the potential money market fund reform measures outlined by the President'​s Working Group on Financial Markets in its December 2020 report, '​Overview of Recent Events and Potential Reform Options for Money Market Funds'."

At the end of May, we posted an article, "Boston Fed Paper Proposes Requirement to Convert All MMFs to Govt," which discussed another potential outcome of the current regulatory reform discussions. It says, "​The Federal Reserve Bank of Boston published, 'Money Market Mutual Funds: Runs, Emergency Liquidity Facilities, and Potential Reforms.' The new paper, authored by Kenechukwu Anadu and Siobhan Sanders, states, 'Twice in the past 12 years, prime and tax-​exempt money market mutual funds (​MMMFs), collectively non-​government MMMFs, have experienced large investor redemptions and runs. In both cases, the runs contributed to significant strains in short-​term funding markets, an important source of funding for businesses and municipalities. These strains only abated after the Board of Governors of the Federal Reserve System and the United States Department of the Treasury took emergency actions, including the establishment of lending facilities for non-​government MMMFs.'"

A June story, "Asian Money Fund Symposium Recap: JPMAM'​s Shevlin on Chinese MMFs," highlighted the growing presence of Chinese MMFs. It starts, "​Last week, Crane Data hosted its latest webinar, "Asian Money Fund Symposium," which featured J.​P. Morgan Asset Management'​s Aidan Shevlin, Goldman Sachs A.​M.'​s Pat O'​Callaghan, Fitch Ratings' Alastair Sewell, S&​P Global'​s Andrew Paranthoiene and Crane Data'​s Peter Crane. The 2-​hour, 3-​part event discussed money funds, money markets and investors in China, Japan and several other Eastern markets. We excerpt from the first segment below, and watch for more highlights in coming days and in the July issue of our Money Fund Intelligence newsletter."

Another big story of the year, stablecoins, got hot during the summer. Our July 21 update, "Tether Hits Keep Coming: WSJ, PWG, CNBC; Taming Wildcat Stablecoins," explains, "Stablecoin purveyor Tether is again in the news as regulators scrutinize the sector and make uncomfortable comparisons to money market funds. The Wall Street Journal wrote on Saturday, 'Risks of Crypto Stablecoins Attract Attention of Yellen, Fed and SEC.' The piece explains, 'Stablecoins, digital currencies pegged to national currencies like the U.​S. dollar, are increasingly seen as a potential risk not just to crypto markets, but to the capital markets as well. Treasury Secretary Janet Yellen is scheduled Monday to hold a meeting of the President'​s Working Group on Financial Markets to discuss stablecoins."

Interest in ultra-​short bond funds and ETFs was again a big theme in 2021. In August, we wrote, "BNY Mellon'​s Ultra Short Income ETF Live; Locke on MMFs' Paper Tiger." This piece says, "​A recent press release explains that, 'BNY Mellon Investment Management ... announced the expansion of its Exchange-​Traded Funds (​ETFs) range with the introduction of the BNY Mellon Ultra Short Income ETF, sub-​advised by Dreyfus Cash Investment Strategies (​CIS). This active ETF solution, which seeks to address the growing demand for increased yield with less volatility than a short-​term bond fund and potentially additional return over money market funds, is expected to commence trading on the New York Stock Exchange (​NYSE) on Wednesday, August 11, 2021.'"

In September, our annual Money Fund Symposium returned as a live event, and, as usual, speakers addressed all of the major issues of the day. Our News piece, "Callahan, Cunningham Money Fund Symposium Keynote Talks ESG, Regs," states, "​At last week'​s Money Fund Symposium conference in Philadelphia, our opening session was entitled, 'Keynote: Adapting to Regulations, Tech & ESG,' and featured our Peter Crane moderating a discussion with BlackRock'​s Tom Callahan and Federated Hermes' Debbie Cunningham. We excerpt from their comments below." (Note: The recording and materials are available here for Attendees and Crane Data subscribers.)

Finally, in October, we wrote about assets and yields, as we do several times a month. Money fund assets held on to the $​5.​0 trillion level all year, while yields refused to budge from their zero (​or 0.​02%) level. Our News, "SEC MMF Stats: Assets Inch Higher to $​5.​03 Trillion in Sept; Yields Flat," explains, '​The Securities and Exchange Commission'​s latest monthly 'Money Market Fund Statistics' summary shows that total money fund assets rose by $​19.​9 billion in September to $​5.​030 trillion. (​Month-​to-​date in October assets are down $​12.​1 billion through 10/​20, according to our MFI Daily.) The SEC shows that Prime MMFs rose by $​2.​6 billion in September to $​869.​8 billion, Govt & Treasury funds increased $​20.​4 billion to $​4.​063 trillion and Tax Exempt funds decreased $​3.​1 billion to $​97.​6 billion. Yields were flat in September again, after their first increase in 24 months three months ago. The SEC'​s Division of Investment Management summarizes monthly Form N-​MFP data and includes asset totals and averages for yields, liquidity levels, WAMs, WALs, holdings, and other money market fund trends. We review their latest numbers below.'"

For more 2021 (​and soon 2022) 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 2022. 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 2021, and we wish you all the best in the coming year. Merry Christmas, Happy Holidays and Happy New Year!

​

Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (​with data as of Nov. 26) includes Holdings information from 64 money funds (​down from 78 a week ago), which represent $​2.​201 trillion (​down from $​2.​458 trillion) of the $​4.​925 trillion (​44.​7%) in total money fund assets tracked by Crane Data. (​Our Weekly MFPH are e-​mail only and aren'​t available on the website. See our Nov. 10 News, "Nov. MF Portfolio Holdings: Treasuries Recover But Repo Still No. 1," for more.)

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (​Repo) totaling $​1.​009 trillion (​down from $​1.​086 trillion a week ago), or 45.​8%; Treasuries totaling $​893.​6 billion (​down from $​1.​004 trillion a week ago), or 40.​6%, and Government Agency securities totaling $​127.​0 billion (​down from $​148.​9 billion), or 5.​8%. Commercial Paper (​CP) totaled $​59.​5 billion (​down from a week ago at $​73.​4 billion), or 2.​7%. Certificates of Deposit (​CDs) totaled $​40.​3 billion (​down from $​49.​0 billion a week ago), or 1.​8%. The Other category accounted for $​54.​6 billion or 2.​5%, while VRDNs accounted for $​17.​7 billion, or 0.​8%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $​893.​6 billion (​40.​6% of total holdings), the Federal Reserve Bank of New York with $​559.​1B (​25.​4%), Fixed Income Clearing Corp with $​61.​3B (​2.​8%), BNP Paribas with $​60.​7B (​2.​8%), RBC with $​55.​9B (​2.​5%), Federal Home Loan Bank with $​51.​6B (​2.​3%), Federal Farm Credit Bank with $​40.​8B (​1.​9%), Societe Generale with $​26.​0B (​1.​2%), Federal National Mortgage Association with $​24.​3B (​1.​1%) and Canadian Imperial Bank of Commerce with $​21.​7B (​1.​0%).

The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($​245.​1B), Goldman Sachs FS Govt ($​214.​8B), Morgan Stanley Inst Liq Govt ($​155.​7B), Wells Fargo Govt MM ($​140.​9B), Fidelity Inv MM: Govt Port ($​136.​4B), Dreyfus Govt Cash Mgmt ($​128.​9B), Goldman Sachs FS Treas Instruments ($​111.​6B), JPMorgan 100% US Treas MMkt ($​102.​0B), State Street Inst US Govt ($​89.​7B) and First American Govt Oblg ($​88.​7B). (​Let us know if you'​d like to see our latest domestic U.​S. and/​or "​offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

In other news, Western Asset released an article on, "The Unstable Future for Stablecoins," which explains, "On November 1, 2021, the President'​s Working Group on Financial Markets in conjunction with the Federal Deposit Insurance Corporation (​FDIC) and the Office of the Comptroller of the Currency published a detailed report on the stablecoin market called the PWG Report. Stablecoins are one of the latest financial products to join the global digital ecosystem which already includes many buzzword-​worthy digital innovations that have dominated the financial and mainstream media headlines in recent years."

They continue, "​Superficially, stablecoins are just another type of digital asset used predominately as a short-​term stopgap for investors trading in -- or between -- other longer-​term speculative digital assets, such as cryptocurrencies or non-​fungible tokens (​NFTs). When comparing the digital-​only world with the more traditional investment fund industry, stablecoins are often likened to money market funds. Just like constant net asset value (​CNAV) money market funds, stablecoins are designed to maintain a stable value relative to a fiat currency such as the US dollar. This perceived stability offers investors a safe harbor when switching among assets in their digital wallets while earning a small amount of interest."

Author Jason Straker writes, "​The utilization of the stablecoin market has been swift and widespread. By October 31, 2021, total market capitalization of the top three stablecoins [​Tether, USD Coin and Binance] rose to more than $​114 billion with the majority of this growth witnessed in the past 12 months.... The assumed stability of value is really where the comparison with CNAV money market funds ends. Unlike those types of funds, stablecoins are currently largely unregulated. While sponsors of money market funds must adhere to a variety of strict regulations covering the underlying investment types -- NAV accounting practices, portfolio liquidity and stress testing -- providers of stablecoins are not bound by such rules and restrictions."

He comments, "An investment in a CNAV money market fund represents a share of the value of the underlying portfolio, and the fund is managed in such a way that that value is essentially equal to one unit of currency. Conversely, no such relationship exists between the value of the stablecoin token and its underlying portfolio, which can be invested in both low-​risk securities permitted for money market funds (​e.​g., T-​bills), as well as in other assets not permitted, such as lower-​quality corporate bonds. This funding gap was one of three major risks and regulatory gaps highlighted by the PWG Report."

The article also says, "The potential for a run on a stablecoin is not just a concern for the stablecoin investors, it also creates nervousness for managers of traditional money market funds. If an underlying stablecoin portfolio holds large volumes of money market instruments, such as commercial paper, then a sudden and dramatic liquidation could result in downward price pressure in the broader market. This is something a money market fund manager would be keen to avoid."

It adds, "The PWG Report makes a number of recommendations to address each of the three concerns we mention, most significantly that issuance of stablecoins be limited to banks only. This would lessen the potential for destabilizing, confidence-​driven runs as banks would have access to the various safety nets offered by official institutions, such as the Federal Reserve. Whatever form stablecoins may end up taking in the future, investors deserve the information they will need to make informed decisions regarding investment risks—​and this will undoubtedly be facilitated by the involvement of regulators." (​For more, see our Nov. 2 Crane Data News, "PWG Report on Stablecoin Risks," and our July 21 News, "Tether Hits Keep Coming: WSJ, PWG, CNBC; Taming Wildcat Stablecoins.")

Money Market News Archive