News Archives: October, 2024
Crane Data's latest Money Fund Intelligence International shows that assets in European or "offshore" money market mutual funds moved higher again over the past 30 days to a record $1.363 trillion, while yields inched down. Assets for EUR and GBP MMFs rose over the past month while USD MMFs fell. Like U.S. money fund assets, European MMFs have repeatedly hit record highs in 2023 and 2024. These U.S.-style money funds, domiciled in Ireland or Luxembourg and denominated in US Dollars, Pound Sterling and Euros, increased by $17.1 billion over the 30 days through 10/11. The totals are up $166.4 billion (13.9%) year-to-date for 2024, they were up $166.9 billion (16.2%) for the year 2023. (Note that currency moves in the U.S. dollar cause Euro and Sterling totals to shift when they're translated back into totals in U.S. dollars. See our latest MFI International for more on the "offshore" money fund marketplace. These funds are only available to qualified, non-U.S. investors and are almost entirely institutional.) (Note too: We look forward to seeing some of you next week at the AFP conference, which will take place Oct. 20-23, 2024 in Nashville!)
Offshore US Dollar money funds decreased $10.7 billion over the last 30 days and are up $57.6 billion YTD to $707.2 billion; they increased $100.0 billion in 2023. Euro funds increased E3.3 billion over the past month. YTD, they're up E47.1 billion to E282.1 billion, for 2023, they increased by E54.5 billion. GBP money funds increased L13 million over 30 days, and they're up L24.5 billion YTD at L259.9B, for 2023, they fell L28.1 billion. U.S. Dollar (USD) money funds (218) account for over half (51.9%) of the "European" money fund total, while Euro (EUR) money funds (130) make up 22.8% and Pound Sterling (GBP) funds (146) total 25.3%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Tuesday), below.
Offshore USD MMFs yield 4.82 (7-Day) on average (as of 10/11/24), down 36 basis points from a month earlier. Yields averaged 4.20% on 12/30/22, 0.03% on 12/31/21, 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs, which left negative yield territory in the second half of 2022, yield 3.39% on average, down 20 bps from a month ago and up from 1.48% on 12/30/22, -0.80% on 12/31/21, -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs broke above the 5.0% barrier 14 months ago, they broke back below 5.0% 3 months ago; they now yield 4.90%, down 4 bps from a month ago, but up from 3.17% on 12/30/22. Sterling yields were 0.01% on 12/31/21, 0.00% on 12/31/20, 0.64% on 12/31/19 and 0.64% on 12/31/18.
Crane's October MFI International Portfolio Holdings, with data as of 9/30/24, show that European-domiciled US Dollar MMFs, on average, consist of 27% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 23% in Repo, 23% in Treasury securities, 11% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 44.7% of their portfolios maturing Overnight, 5.7% maturing in 2-7 Days, 8.7% maturing in 8-30 Days, 11.5% maturing in 31-60 Days, 8.1% maturing in 61-90 Days, 16.2% maturing in 91-180 Days and 5.1% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.3%), France (11.9%), Canada (9.6%), Japan (9.1%), the Netherlands (4.6%), Australia (4.5%), the U.K. (3.6%), Sweden (3.2%), Finland (3.0%) and Germany (2.9%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $171.1 billion (23.1% of total assets), Fixed Income Clearing Corp with $40.1B (5.4%), Nordea Bank with $21.4B (2.9%), BNP Paribas with $20.6B (2.8%), Toronto-Dominion Bank with $17.4B (2.3%), Credit Agricole with $17.4B (2.3%), Mitsubishi UFJ Financial Group Inc with $16.4B (2.2%), Mizuho Corporate Bank with $15.0B (2.0%), Bank of America with $14.6B (2.0%) and RBC with $14.3B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 43% in CP, 24% in CDs, 14% in Other (primarily Time Deposits), 17% in Repo, 2% in Treasuries and 0% in Agency securities. EUR funds have on average 34.0% of their portfolios maturing Overnight, 11.2% maturing in 2-7 Days, 15.5% maturing in 8-30 Days, 12.4% maturing in 31-60 Days, 5.8% maturing in 61-90 Days, 15.8% maturing in 91-180 Days and 5.2% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (28.4%), Japan (12.6%), the U.S. (8.4%), Canada (7.4%), the Netherlands (7.0%), Germany (6.7%), the U.K. (5.0%), Austria (4.3%), Australia (3.8%) and Sweden (3.0%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E14.9B (6.1%), BNP Paribas with E11.5B (4.7%), JP Morgan with E9.4B (3.9%), Republic of France with E8.5B (3.5%), Societe Generale with E8.2B (3.4%), Mitsubishi UFJ Financial Group Inc with E7.6B (3.1%), Mizuho Corporate Bank Ltd with E7.3B (3.0%), Toronto-Dominion Bank with E6.8B (2.8%), Sumitomo Mitsui Banking Corp with E6.4B (2.6%) and Credit Mutuel with E6.3B (2.6%).
The GBP funds tracked by MFI International contain, on average (as of 9/30/24): 37% in CDs, 19% in CP, 21% in Other (Time Deposits), 19% in Repo, 3% in Treasury and 1% in Agency. Sterling funds have on average 37.2% of their portfolios maturing Overnight, 7.4% maturing in 2-7 Days, 9.6% maturing in 8-30 Days, 13.8% maturing in 31-60 Days, 7.0% maturing in 61-90 Days, 20.1% maturing in 91-180 Days and 4.9% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (17.7%), Japan (13.4%), the U.K. (12.5%), Canada (12.3%), Australia (9.9%), the U.S. (8.9%), the Netherlands (4.7%), Singapore (3.7%), Finland (3.0%), and Spain (2.7%).
The 10 Largest Issuers to "offshore" GBP money funds include: BNP Paribas with L10.4B (5.2%), UK Treasury with L9.4B (4.7%), Toronto-Dominion Bank with L7.8B (3.9%), JP Morgan with L7.4B (3.7%), Mizuho Corporate Bank Ltd with L7.3B (3.7%), Commonwealth Bank of Australia with L6.8B (3.4%), Sumitomo Mitsui Trust Bank with L6.7B (3.4%), National Australia Bank Ltd with L6.1B (3.1%), RBC with L6.1B (3.0%) and Mitsubishi UFJ Financial Group Inc with L6.1B (3.0%).
The October issue of our Bond Fund Intelligence, which was sent to subscribers Tuesday morning, features the stories, "Worldwide BF Assets Jump to $13.3 Trillion, Led by U.S.," which reviews the latest statistics on bond fund markets outside the U.S., and "Vanguard Plans Push Into Active Bond Funds Says FT," which covers recent articles quoting CEO Salim Ramji on plans to launch more ETFs. BFI also recaps the latest Bond Fund News and includes our Crane BFI Indexes, which show that bond fund returns rose again in September while yields were lower. 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 "Worldwide" article states, "Bond fund assets worldwide increased in the latest quarter to $13.26 trillion, led higher by four of the largest bond fund markets -- the U.S., Luxembourg, Ireland and China. We review the ICI's 'Worldwide Regulated Open-End Fund Assets and Flows, Second Quarter 2024,' release and statistics below."
The piece says, "ICI's report says, 'Worldwide regulated open-end fund assets increased 1.5% to $70.20 trillion at the end of the second quarter of 2024.... The Investment Company Institute compiles worldwide regulated open-end fund statistics on behalf of the International Investment Funds Association (IIFA).'"
Our Vanguard article states, "Barron's writes on 'Vanguard's Second Wind,' explaining, 'Almost three months into his new job as Vanguard Group's CEO, Salim Ramji stepped onto a conference stage in New York.... Ramji shared plans that include spurring more innovation and growth in a somewhat surprising area: active management, specifically in fixed income. 'I think we can bring what Vanguard has brought to indexing to active fixed income, and give [clients] access to better performance at lower fees,' Ramji said at the conference, organized by the Financial Times.'"
It states, "The article continues, 'Indeed, he noted that the company has already started moving in that direction. In the past six years, Vanguard added eight new exchange-traded funds, with expense ratios ranging from 0.10% to 0.20%. It plans to launch two more bond ETFs later this year. It has hired more staff members and invested in its technology. And it poached bond maven Sara Devereux from Goldman Sachs to be its global head of fixed income.'"
Our first News brief, "Returns Up Again, Yields Lower in Sept." explains, "Bond fund returns were higher for the 5th month in a row in September, while yields were again lower. Our BFI Total Index rose 1.05% over 1-month and is up 10.41% over 12 months. (Money funds rose 5.26% over 1-year as measured by our Crane 100 Index.) The BFI 100 increased 1.14% in Sept. and 10.77% over 12 mos. Our BFI Conservative Ultra-Short Index was up 0.56% over 1-month and 6.41% for 1-year; Ultra-Shorts rose 0.59% and 6.95%. Short-Term returned 0.91% and 8.54%, and Intm-Term rose 1.25% in Sept. and 11.20%. BFI's Long-Term Index was up 1.39% and 12.35%. High Yield rose 1.12% in Sept. and 12.73% for 12 mos."
A second News brief, "The Journal Writes, 'How to Invest in Bonds in a World of Falling Rates.'" It says, "The article states, 'Falling rates have Wall Street recommending bonds again. Once considered a boring safe play, bonds have lately felt like anything but. Rising interest rates drove returns to their worst year on record in 2022. Now, with rates coming down, many investors have had gains instead. But buying bonds can confront investors with a bewildering array of options: Treasurys, company bonds or municipal debt? Individual bonds or funds?'"
Our next News brief comments, "Barron's Says 'Bond Funds Often Beat the Indexes.'" They tell us, "If there's one thing fund investors know by now, it's that actively managed funds don't beat the market. When it comes to bonds, that might not be as true as you think. More than two out of three active bond funds beat comparable index funds for the 12 months ended in June, according to Morningstar's most recent comparison of active and passive strategies. The story was even better for key bond funds that form the bedrock of many investors' portfolios: Nearly three in four intermediate-term core bond funds beat similar index funds, Morningstar found."
A BFI sidebar, "European MFS on Ultra-Short," says, "Crane Data hosted its European Money Fund Symposium in London last month. The event included a session titled 'Ultra‐Short Bond Funds & Beyond Short MMFs,' which featured Valerio Lupini of Fitch Ratings, Alastair Sewell of Aviva Investors and Rustam Muradov of J.P. Morgan A.M. Muradov tells us, 'In our funds, we believe in a more diversified portfolio, so we like to keep things granular. We still do invest in money market products, and we do invest in bonds, ABS, ABCP, etc. However, while corporate paper and the bank paper [are part of the allocation], we liked ABS more last year. Now we are a little bit more picky in ABS. It has to be at the right valuation and at the right spread.'"
Finally, another sidebar, "Barron's on Best Bond Moves," tells readers, "Barron's writes 'The Best Bond Moves to Make in an Era of Lower Interest Rates.' The piece states, 'The Federal Reserve has finally started cutting interest rates. That doesn't mean bond volatility is going away. The Fed cut rates on Sept. 18 by a surprisingly large amount -- half a percentage point, instead of the quarter-point move widely expected. Bond prices move inversely to yields, so bond prices should have risen, right? Wrong.'"
The Investment Company Institute's latest weekly "Money Market Fund Assets" report shows money market mutual fund assets rising another $11.3 billion to a record $6.474 trillion, following an increase of $38.7 billion the week prior and a jump of $120.8 billion two weeks prior -- the 6th largest weekly increase ever and the largest non-Covid or non-SVB related increase. Assets have risen in 20 of the last 25 weeks, increasing by $496.9 billion (or 8.3%) since April 24. MMF assets are up by $588 billion, or 12.4%, year-to-date in 2024 (through 10/9/24), with Institutional MMFs up $272 billion, or 8.9% and Retail MMFs up $316 billion, or 18.8%. Over the past 52 weeks, money funds have risen by $768 billion, or 13.5%, with Retail MMFs up by $434 billion (20.0%) and Inst MMFs rising by $334 billion (9.4%). (Note: Crane Data's separate and more comprehensive asset series shows money funds hitting a record $6.816 trillion on October 3 but closing just shy of this mark on Wednesday, 10/9.)
ICI's weekly release says, "Total money market fund assets increased by $11.26 billion to $6.47 trillion for the week ended Wednesday, October 9, the Investment Company Institute reported.... Among taxable money market funds, government funds increased by $4.72 billion and prime funds increased by $7.22 billion. Tax-exempt money market funds decreased by $675 million. " ICI's stats show Institutional MMFs rising $3.2 billion and Retail MMFs rising $8.1 billion in the latest week. Total Government MMF assets, including Treasury funds, were $5.292 trillion (81.7% of all money funds), while Total Prime MMFs were $1.052 trillion (16.3%). Tax Exempt MMFs totaled $130.3 billion (2.0%).
ICI explains, "Assets of retail money market funds increased by $8.07 billion to $2.61 trillion. Among retail funds, government money market fund assets increased by $3.81 billion to $1.66 trillion, prime money market fund assets increased by $4.76 billion to $829.72 billion, and tax-exempt fund assets decreased by $493 million to $119.26 billion." Retail assets account for over a third of total assets, or 40.2%, and Government Retail assets make up 63.6% of all Retail MMFs.
They add, "Assets of institutional money market funds increased by $3.19 billion to $3.87 trillion. Among institutional funds, government money market fund assets increased by $915 million to $3.64 trillion, prime money market fund assets increased by $2.46 billion to $222.58 billion, and tax-exempt fund assets decreased by $181 million to $11.06 billion." Institutional assets accounted for 59.8% of all MMF assets, with Government Institutional assets making up 94.0% of all institutional MMF totals.
According to Crane Data's separate Money Fund Intelligence Daily series, money fund assets have risen by $44.9 billion in October (through 10/9) to $6.810 trillion. Assets rose by $149.8 billion in September, $109.7 billion in August, $16.6 billion in July, $15.7 billion in June and $91.4 billion in May, but they fell $15.8 billion in April and $68.8 billion in March. They rose $72.1 billion in February, $93.9 billion in January, $32.7 billion in December and $226.4 billion in November. MMF totals fell by $31.9 billion last October. Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're over $300 billion lower than Crane's asset series.
In other news, ICI also wrote a comment letter to ESMA, the European Securities and Markets Authority titled, "Re: Draft Regulatory Technical Standards and Guidelines on Liquidity Management Tools under the AIFMD and UCITS Directive. They state, "The Investment Company Institute is submitting its views on the European Securities and Markets Authority's (ESMA) consultations regarding draft regulatory technical standards (RTS) and guidelines on liquidity management tools (LMTs), which have been proposed as part of the amendments to the Alternative Investment Fund Management Directive (AIFMD) and Undertakings for Collective Investment in Transferrable Securities (UCITS) Directive (the Directives)."
The letter tells us, "Our comments specifically address UCITS, ETFs, and related fund structures, including money market funds (MMFs), that our members manage in the European Union and in global markets. These funds are integral in supporting economic growth, fostering capital formation, and providing the benefits of collective investment to a wide range of investors, particularly long-term individual investors."
It continues, "While we are generally supportive of the draft RTS and Guidelines set forth in the Consultations, which are aligned with the recent international work on LMTs, we have concerns about prescriptive and rigid elements of the approach that ESMA may be considering. In addition to our detailed responses to the Consultations' questions, we offer the following overarching comments on themes that arise across our responses."
These include: "1. Use of LMTs should be consistent with the fund's policies and legal requirements..... 2. The mechanistic approaches in the draft Guidelines and RTS lack flexibility and feasibility. We support ESMA's recognition that anti-dilution LMTs do not need to be permanently activated. ICI research shows that the average dilution for UCITS is minimal, and applying anti-dilution tools daily would increase costs without substantial benefits. However, we do not endorse mandatory or automatic activation thresholds, especially for quantitative LMTs, which are deployed only after a fund manager conducts a fact-specific analysis in response to unpredictable and unusual events."
They also include: "3. Prescriptive LMT requirements could constrain effective liquidity risk management. We acknowledge ESMA's recognition of fund managers' responsibility for managing liquidity risk, including decisions around the selection, calibration, and activation/deactivation of LMTs. We support the flexible aspects of the draft RTS and Guidelines that recognise there is no homogeneous approach to liquidity risk management, as Article 18a of the Directive states that ESMA 'should not restrict the ability of UCITS to use any appropriate liquidity management tool for all asset classes, jurisdictions and market conditions.'"
It adds, "4. Disclosures should avoid triggering opportunistic investor behaviour. We fully support ESMA's objective of promoting fairness and transparency to protect investors. However, it is crucial that disclosures do not unintentionally trigger counterproductive investor behaviour, such as premature redemptions in anticipation of LMT activation. To mitigate this risk, we recommend that the disclosure provisions be revised. Instead of requiring disclosure of specific activation thresholds (e.g., for imposing gates), funds would provide general factors they would consider when making LMT decisions, including activation. This approach would enable funds to offer useful guidance to investors regarding LMTs without setting and disclosing rigid thresholds that could prompt premature investor actions."
The original press release, "ESMA consults on Liquidity Management Tools for funds," explains, "The European Securities and Markets Authority (ESMA), the EU's financial markets regulator and supervisor, is seeking input on draft guidelines and technical standards under the revised Alternative Investment Fund Managers Directive (AIFMD) and the Undertakings for Collective Investment in Transferable Securities (UCITS) Directive. Both Directives aim to mitigate potential financial stability risks and promote harmonisation of liquidity risk management in the investment funds sector."
Verena Ross, ESMA Chair, comments, "The revised AIFMD and UCITS Directive have introduced long-awaited provisions on the availability and use of Liquidity Management Tools. ESMA is now consulting on how to apply these provisions in practice. These new rules being proposed are in line with the latest global standards provided by the FSB and IOSCO, and will contribute to the strengthening of the EU regulatory and supervisory regime for investment funds. By having the right implementing rules in place, we can make the EU framework for investment funds both more resilient and more efficient, supporting the development of attractive, effective and stable EU capital markets."
The release adds, "In the draft Regulatory Technical Standards (RTS) on the characteristics of Liquidity Management Tools (LMTs) ESMA defines the constituting elements of each LMT, such as calculation methodologies and activation mechanisms. ESMA also publishes draft Guidelines on LMTs of UCITS and open-ended AIFs, providing guidance on how managers should select and calibrate LMTs, in light of their investment strategy, their liquidity profile and the redemption policy of the fund. These draft RTS and guidelines are designed to promote convergent application of the Directives for both UCITS and open-ended AIFs and make EU fund managers better equipped to manage the liquidity of their funds, in preparation for market stress situations. Additionally, they intend to clarify the functioning of specific LMTs, such as the use of side pockets, a practice that currently varies significantly across the EU."
Finally, under "Next Steps," they state, "The publication of the two consultations is a key step in the implementation of the new AIFMD and UCITS Directive. ESMA welcomes responses to the consultations by 8 October. Following this, ESMA will deliver the final RTS and guidelines by 16 April 2025."
Crane Data's October Money Fund Portfolio Holdings, with data as of Sept. 30, 2024, show that Repo and Treasuries jumped sharply while Other (mostly Time Deposits) holdings dropped last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $233.8 billion to $6.727 trillion in September, after increasing $57.2 billion in August and $90.4 billion in July, but decreasing by $0.4 billion in June. Holdings increased $105.6 billion in May but decreased $61.4 billion in April. Repo, now the largest segment, increased $151.7 billion in September after decreasing $40.2 billion in August and $21.5 billion in July (but increasing $99.3 billion in June). Treasuries increased by $92.0 billion, but moved down to the No. 2 spot for largest portfolio segment. 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. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
Among taxable money funds, Repurchase Agreements (repo) increased $151.7 billion (6.0%) to $2.670 trillion, or 39.7% of holdings, in September, after decreasing $40.2 billion in August and $21.5 billion in July. But they increased $99.3 billion in June and $26.8 billion in May. Treasury securities increased $92.0 billion (3.6%) to $2.631 trillion, or 39.1% of holdings, after increasing $85.8 billion in August and $24.3 billion in July. T-bills decreased $17.3 billion in June but increased $51.0 billion in May. Government Agency Debt was up $20.9 billion, or 2.8%, to $779.1 billion, or 11.6% of holdings. Agencies increased $11.2 billion in August and $22.9 billion in July, but decreased $16.9 billion in June. Repo, Treasuries and Agency holdings now total $6.080 trillion, representing a massive 90.4% of all taxable holdings.
Money fund holdings of Other (Time Deposits) and CD decreased in September while CP rose. Commercial Paper (CP) increased $0.3 billion (0.1%) to $281.5 billion, or 4.2% of holdings. CP holdings increased $4.5 billion in August and $8.2 billion in July, but decreased $2.0 billion in June. Certificates of Deposit (CDs) decreased $1.7 billion (-0.9%) to $185.1 billion, or 2.8% of taxable assets. CDs decreased $13.9 billion in August, increased $6.9 billion in July, and decreased $5.6 billion in June. Other holdings, primarily Time Deposits, decreased $29.4 billion (-14.9%) to $168.2 billion, or 2.5% of holdings, after increasing $9.3 billion in August and $49.0 billion in July. VRDNs increased to $13.0 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Thursday around noon.)
Prime money fund assets tracked by Crane Data decreased to $1.137 trillion, or 16.9% of taxable money funds' $6.727 trillion total. Among Prime money funds, CDs represent 16.3% (down from 16.4% a month ago), while Commercial Paper accounted for 24.8% (up from 24.6% in August). The CP totals are comprised of: Financial Company CP, which makes up 16.6% of total holdings, Asset-Backed CP, which accounts for 6.9%, and Non-Financial Company CP, which makes up 1.3%. Prime funds also hold 0.4% in US Govt Agency Debt, 1.6% in US Treasury Debt, 24.5% in US Treasury Repo, 1.0% in Other Instruments, 11.6% in Non-Negotiable Time Deposits, 7.6% in Other Repo, 11.0% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $3.679 trillion (54.7% of all MMF assets), up from $3.553 trillion in August, while Treasury money fund assets totaled another $1.912 trillion (28.4%), up from $1.799 trillion the prior month. Government money fund portfolios were made up of 21.1% US Govt Agency Debt, 16.8% US Government Agency Repo, 32.4% US Treasury Debt, 29.3% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 74.3% US Treasury Debt and 25.5% in US Treasury Repo. Government and Treasury funds combined now total $5.590 trillion, or 83.1% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $59.5 billion in September to $698.3 billion; their share of holdings fell to 10.4% from last month's 11.7%. Eurozone-affiliated holdings decreased to $480.4 billion from last month's $494.0 billion; they account for 7.1% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $298.8 billion (4.4% of the total) from last month's $320.6 billion. Americas related holdings rose to $5.724 trillion from last month's $5.406 trillion, and now represent 85.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $129.0 billion, or 7.5%, to $1.843 trillion, or 27.4% of assets); US Government Agency Repurchase Agreements (up $24.7 billion, or 11.0%, to $741.1 billion, or 11.0% of total holdings), and Other Repurchase Agreements (down $1.9 billion, or -2.2%, from last month to $85.9 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.7 billion to $189.1 billion, or 2.8% of assets), Asset Backed Commercial Paper (up $3.7 billion at $77.9 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $0.7 billion to $14.6 billion, or 0.2%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2024, include: the US Treasury ($2.631T, 39.1%), Fixed Income Clearing Corp ($789.6B, 11.7%), Federal Home Loan Bank ($599.9B, 8.9%), the Federal Reserve Bank of New York ($428.7B, or 6.4%), JP Morgan ($201.4B, 3.0%), RBC ($153.3B, 2.3%), Citi ($152.0B, 2.3%), BNP Paribas ($150.7B, 2.2%), Federal Farm Credit Bank ($141.0B, 2.1%), Goldman Sachs ($129.0B, 1.9%), Bank of America ($104.9B, 1.6%), Mitsubishi UFJ Financial Group Inc ($81.5B, 1.2%), Barclays PLC ($76.3B, 1.1%), Wells Fargo ($72.8B, 1.1%), Sumitomo Mitsui Banking Corp ($62.7B, 0.9%), Toronto-Dominion Bank ($56.3B, 0.8%), Canadian Imperial Bank of Commerce ($55.1B, 0.8%), Bank of Montreal ($51.5B, 0.8%), Credit Agricole ($48.8B, 0.7%) and Societe Generale ($41.7B, 0.6%).
In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Fixed Income Clearing Corp ($767.2B, 28.7%), the Federal Reserve Bank of New York ($428.7B, 16.1%), JP Morgan ($192.9B, 7.2%), Citi ($139.3B, 5.2%), BNP Paribas ($137.9B, 5.2%), Goldman Sachs ($128.5B, 4.8%), RBC ($121.4B, 4.5%), Bank of America ($86.0B, 3.2%), Wells Fargo ($69.9B, 2.6%) and Barclays PLC ($66.7B, 2.5%).
The largest users of the $428.7 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($65.4B), Fidelity Cash Central Fund ($45.6B), Fidelity Inv MM: MM Port ($30.5B), Fidelity Money Market ($26.9B), Vanguard Market Liquidity Fund ($24.7B), Fidelity Sec Lending Cash Central Fund ($24.0B), Vanguard Cash Reserves Federal MM ($21.9B), Dreyfus Govt Cash Mgmt ($18.5B), Fidelity Inv MM: Treas Port ($15.6B) and Fidelity Inv MM: Govt Port ($13.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($31.8B, 5.5%), Toronto-Dominion Bank ($31.8B, 5.5%), Mitsubishi UFJ Financial Group Inc ($30.9B, 5.4%), Fixed Income Clearing Corp ($22.4B, 3.9%), ING Bank ($21.8B, 3.8%), Skandinaviska Enskilda Banken AB ($21.5B, 3.8%), Mizuho Corporate Bank Ltd ($21.1B, 3.7%), Canadian Imperial Bank of Commerce ($21.0B, 3.7%), Australia & New Zealand Banking Group Ltd ($20.2B, 3.5%) and DNB ASA ($20.0B, 3.5%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($24.5B, 13.2%), Sumitomo Mitsui Trust Bank ($13.6B, 7.4%), Bank of America ($12.7B, 6.9%), Toronto-Dominion Bank ($11.1B, 6.0%), Credit Agricole ($9.5B, 5.1%), Sumitomo Mitsui Banking Corp ($9.4B, 5.1%), Canadian Imperial Bank of Commerce ($8.0B, 4.3%), Mitsubishi UFJ Trust and Banking Corporation ($7.6B, 4.1%), Mizuho Corporate Bank Ltd ($7.0B, 3.8%) and Bank of Nova Scotia ($6.7B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($19.4B, 7.5%), RBC ($18.7B, 7.2%), Bank of Montreal ($14.2B, 5.4%), Australia & New Zealand Banking Group Ltd ($8.9B, 3.4%), Citi ($8.8B, 3.4%), ING Bank ($8.6B, 3.3%), Barclays PLC ($8.5B, 3.3%), JP Morgan ($8.5B, 3.3%), BSN Holdings Ltd ($8.4B, 3.2%) and BPCE SA ($8.3B, 3.2%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $155.6B to $789.6B), US Treasury (up $92.0B to $2.631T), the Federal Reserve Bank of New York (up $38.9B to $428.7B), Goldman Sachs (up $18.6B to $129.0B), Federal Home Loan Mortgage Corp (up $11.1B to $18.5B), RBC (up $8.8B to $153.3B), Rabobank (up $6.2B to $12.9B), Federal Farm Credit Bank (up $5.5B to $141.0B), Federal National Mortgage Association (up $5.2B to $15.5B) and Nomura (up $4.4B to $29.1B).
The largest decreases among Issuers of money market securities (including Repo) in September were shown by: Barclays PLC (down $23.1B to $76.3B), Credit Agricole (down $19.5B to $48.8B), JP Morgan (down $19.3B to $201.4B), Mizuho Corporate Bank Ltd (down $16.7B to $34.5B), Citi (down $8.0B to $152.0B), Societe Generale (down $7.0B to $41.7B), Canadian Imperial Bank of Commerce (down $4.4B to $55.1B), ING Bank (down $4.1B to $34.5B), HSBC (down $3.9B to $29.5B) and Svenska Handelsbanken (down $2.8B to $7.1B).
The United States remained the largest segment of country-affiliations; it represents 79.8% of holdings, or $5.365 trillion. Canada (5.3%, $358.9B) was in second place, while France (4.3%, $286.0B) was No. 3. Japan (4.1%, $272.3B) occupied fourth place. The United Kingdom (2.2%, $149.6B) remained in fifth place. Netherlands (1.0%, $65.4B) was in sixth place, followed by Australia (0.8%, $53.4B), Germany (0.7%, $46.5B), Sweden (0.5%, $35.2B), and Spain (0.4%, $27.6B). (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 Sept. 30, 2024, Taxable money funds held 51.1% (up from 49.7%) of their assets in securities maturing Overnight, and another 10.3% maturing in 2-7 days (up from 10.1%). Thus, 61.4% in total matures in 1-7 days. Another 11.5% matures in 8-30 days, while 9.6% matures in 31-60 days. Note that over three-quarters, or 82.5% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 4.9% of taxable securities, while 10.2% matures in 91-180 days, and just 2.5% matures beyond 181 days.
Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Wednesday, and we'll be writing our regular monthly update on the new September 30 data for Thursday's News. But we also already uploaded a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Tuesday. (We continue to merge the two series, and the N-MFP version is now available via our Portfolio Holdings file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of September 30, includes holdings information from 1,011 money funds (down 9 from last month), representing assets of $6.872 trillion (up from $6.644 trillion). Prime MMFs rose to $1.139 trillion (up $10.0 billion), or 16.6% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses were mostly flat and money fund revenues rose to $18.3 billion (annualized) in September. (Note: We're still adjusting to the SEC's new Form N-MFP format, so there continue to be some distortions in our data. Let us know if you see any issues or questions!)
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreements (Repo) and Treasuries remain the largest types of portfolio holdings in money market funds. Repo holdings in money market funds now total $2.478 trillion (up from $2.355 trillion), or 36.1% of all assets, while Treasury holdings rose to $2.402 trillion (up from $2.333 billion), or 35.0% of all holdings. Government Agency securities total $757.6 billion (up from $738.8 billion), or 11.0%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $5.638 trillion, or a massive 82.1% of all holdings.
The Other category (primarily Time Deposits) totals $689.9 billion (up from $664.8 billion), or 10.0%, and Commercial paper (CP) totals $256.0 billion (down from $261.3 billion), or 3.7% of all holdings. Certificates of Deposit (CDs) total $158.3 billion (down from $161.0 billion), 2.3%, and VRDNs account for $129.5 billion (unchanged from last month), or 1.9% of money fund securities. (Note: We believe our "Other" totals are still too high and we expect to adjust these as we recategorize some of the underlying holdings.)
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $168.8 billion, or 2.5%, in Financial Company Commercial Paper; $62.8 billion or 0.9%, in Asset Backed Commercial Paper; and, $24.4 billion, or 0.4%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.704 trillion, or 24.8%), U.S. Govt Agency Repo ($695.5B, or 10.1%) and Other Repo ($78.7B, or 1.1%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $246.0 billion (down from $248.7 billion), or 21.6%; Repo holdings of $463.9 billion (up from $404.5 billion), or 40.7%; Treasury holdings of $16.6 billion (down from $41.9 billion), or 1.5%; CD holdings of $158.3 billion (down from $160.9 billion), or 13.9%; Other (primarily Time Deposits) holdings of $239.9 billion (down from $259.2 billion), or 21.1%; Government Agency holdings of $5.2 billion (up from $4.6 billion), or 0.5% and VRDN holdings of $9.2 billion (up from $9.0 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $168.7 billion (down from $176.1 billion), or 14.8%, in Financial Company Commercial Paper; $62.4 billion (up from $56.3 billion), or 5.5%, in Asset Backed Commercial Paper; and $14.8 billion (down from $16.3 billion), or 1.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($270.2 billion, or 23.7%), U.S. Govt Agency Repo ($119.0 billion, or 10.4%), and Other Repo ($74.7 billion, or 6.6%).
In related news, money fund charged expense ratios (Exp%) were mostly flat in September. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.27% and 0.38%, respectively, as of Sept. 30, 2024. 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 Tuesday 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.) Visit our "Content" page for the latest files.
Our Crane 100 Money Fund Index, a simple average of the 100 largest taxable money funds, shows an average charged expense ratio of 0.27%, unchanged from last month's level (also 19 bps higher than 12/31/21's 0.08%). The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.38% as of Sept. 30, 2024, up 1 bp from the month prior and slightly below the 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.26% (down 2 bps from last month), Government Inst MFs expenses average 0.26% (up 1 bp from last month), Treasury Inst MFs expenses average 0.30% (up 2 bps from last month). Treasury Retail MFs expenses currently sit at 0.53%, (up 1 bps from last month), Government Retail MFs expenses yield 0.54% (unchanged from last month). Prime Retail MF expenses averaged 0.49% (unchanged from last month). Tax-exempt expenses were also up 1 bp at 0.40% on average.
Gross 7-day yields were down during the month ended September 30, 2024. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 713), shows a 7-day gross yield of 5.02%, down 35 bps from the prior month. The Crane Money Fund Average was 1.72% at the end of 2019, 0.15% at the end of 2020 and 0.09% at the end of 2021. Our Crane 100's 7-day gross yield was also down 35 bps, ending the month at 5.02%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $18.265 billion (as of 9/30/24), a new record high. Our estimated annualized revenue totals increased from $17.620B last month, and are still higher from the $17.269B seen two months ago. Revenue levels are more than five times larger than May's 2021's record-low $2.927B level. Charged expenses and gross yields are driven by a number of variables, but revenues should continue their climb higher as inflows resume to money funds following a pause around April 15.
Crane Data's latest monthly Money Fund Market Share rankings show assets increasing among most of the largest U.S. money fund complexes in September, after rising in August, July, June and May. Assets fell in March and April. Money market fund assets rose by $155.2 billion, or 2.3%, last month to a record $6.776 trillion. Total MMF assets have increased by $283.2 billion, or 4.4%, over the past 3 months, and they've increased by $676.0 billion, or 11.1%, over the past 12 months. The largest increases among the 25 largest managers last month were seen by SSGA, Fidelity, BlackRock, JPM and Schwab, which grew assets by $45.3 billion, $38.4B, $17.4B, $12.7B and $12.2B, respectively. Declines in September were seen by Allspring, DWS, Western, First American and Columbia, which decreased by $11.7 billion, $3.5B, $3.0B, $301M and $121M, 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, which were lower in September.
Over the past year through Sept. 30, 2024, Fidelity (up $223.3B, or 18.9%), Schwab (up $131.0B, or 30.0%), Vanguard (up $82.8B, or 15.4%), JPMorgan (up $80.6B, or 13.2%) and BlackRock (up $72.8B, or 14.4%) were the `largest gainers. Fidelity, BlackRock, SSGA, Schwab and JPMorgan, and had the largest asset increases over the past 3 months, rising by $87.3B, $59.6B, $48.7B, $33.7B and $28.7B, respectively. The largest declines over 12 months were seen by: Invesco (down $26.1B), American Funds (down $16.5B), Morgan Stanley (down $13.0B), Goldman Sachs (down $12.6B) and PGIM (down $9.5B). The largest declines over 3 months included: Invesco (down $14.4B), American Funds (down $9.6B) and PGIM (down $4.3B).
Our latest domestic U.S. Money Fund Family Rankings show that Fidelity Investments remains the largest money fund manager with $1.405 trillion, or 20.7% of all assets. Fidelity was up $38.4B in September, up $87.3 billion over 3 mos., and up $223.3B over 12 months. JPMorgan ranked second with $691.0 billion, or 10.2% market share (up $12.7B, up $28.7B and up $80.6B for the past 1-month, 3-mos. and 12-mos., respectively). Vanguard ranked in third place with $620.2 billion, or 9.2% of assets (up $5.3B, up $7.9B and up $82.8B). BlackRock ranked fourth with $577.6 billion, or 8.5% market share (up $17.4B, up $59.6B and up $72.8B), while Schwab was the fifth largest MMF manager with $567.3 billion, or 8.4% of assets (up $12.2B, up $33.7B and up $131.0B for the past 1-month, 3-mos. and 12-mos.).
Federated Hermes was in sixth place with $454.2 billion, or 6.7% (up $4.5B, up $1.6B and up $39.4B), while Goldman Sachs was in seventh place with $409.6 billion, or 6.0% of assets (up $11.1B, up $12.9B and down $12.6B). Dreyfus ($282.8B, or 4.2%) was in eighth place (up $8.6B, up $12.4B and up $18.0B), followed by SSGA ($259.8B, or 3.8%; up $45.3B, up $48.7B and up $57.1B). Morgan Stanley was in 10th place ($248.4B, or 3.7%; up $7.4B, up $3.8B and down $13.0B).
The 11th through 20th-largest U.S. money fund managers (in order) include: Allspring (formerly Wells Fargo) ($197.6B, or 2.9%), Northern ($172.1B, or 2.5%), American Funds ($157.5B, or 2.3%), First American ($148.7B, or 2.2%), Invesco ($126.2B, or 1.9%), UBS ($108.4B, or 1.6%), T. Rowe Price ($50.1B, or 0.7%), HSBC ($39.0B, or 0.6%), DWS ($36.4B, or 0.5%) and Western ($31.5B, or 0.5%). Crane Data currently tracks 61 U.S. MMF managers, down 1 from 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: BlackRock moves up to the No. 3 spot, and Vanguard moves down to No. 4. Goldman Sachs moves up to the No. 6 spot, while Federated Hermes moves down to the No. 7 spot. Morgan Stanley moves up to the No. 8 spot while Dreyfus moves down to the No. 10 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 ($1.422 trillion), JP Morgan ($934.1B), BlackRock ($859.5B), Vanguard ($620.2B) and Schwab ($567.3B). Goldman Sachs ($552.7B) was in sixth, Federated Hermes ($466.3B) was seventh, followed by Morgan Stanley ($335.5B), SSGA ($313.6B) and Dreyfus/BNY Mellon ($308.2B), 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 October issue of our Money Fund Intelligence and MFI XLS, with data as of 9/30/24, shows that yields were lower in September across most Crane Money Fund Indexes. The Crane Money Fund Average, which includes all taxable funds covered by Crane Data (currently 713), was 4.65% (down 34 bps) for the 7-Day Yield (annualized, net) Average, the 30-Day Yield was also down 16 bps at 4.83%. The MFA's Gross 7-Day Yield was at 5.04% (down 33 bps), and the Gross 30-Day Yield was down 16 bps at 5.21%. (Gross yields will be revised once we download the SEC's Form N-MFP data for 9/30/24 on Tuesday.)
Our Crane 100 Money Fund Index shows an average 7-Day (Net) Yield of 4.75% (down 35 bps) and an average 30-Day Yield at 4.94% (down 16 bps). The Crane 100 shows a Gross 7-Day Yield of 5.01% (down 35 bps), and a Gross 30-Day Yield of 5.21% (down 16 bps). Our Prime Institutional MF Index (7-day) yielded 4.82% (down 34 bp) as of Sept. 30. The Crane Govt Inst Index was at 4.75% (down 35 bps) and the Treasury Inst Index was at 4.73% (down 31 bps). Thus, the spread between Prime funds and Treasury funds is 9 basis points, and the spread between Prime funds and Govt funds is 7 basis points. The Crane Prime Retail Index yielded 4.61% (down 38 bps), while the Govt Retail Index was 4.47% (down 33 bps), the Treasury Retail Index was 4.50% (down 30 bps from the month prior). The Crane Tax Exempt MF Index yielded 2.94% (up 11 bps) as of September.
Gross 7-Day Yields for these indexes to end September were: Prime Inst 5.09% (down 35 bps), Govt Inst 5.01% (down 34 bps), Treasury Inst 5.02% (down 31 bps), Prime Retail 5.11% (down 37 bps), Govt Retail 5.05% (down 30 bps) and Treasury Retail 5.02% (down 30 bps). The Crane Tax Exempt Index rose to 3.34% (up 11 bps). The Crane 100 MF Index returned on average 0.42% over 1-month, 1.28% over 3-months, 3.76% YTD, 5.26% over the past 1-year, 3.36% over 3-years (annualized), 2.17% over 5-years, and 1.50% over 10-years.
The total number of funds, including taxable and tax-exempt, was down 23 in September at 833. There are currently 713 taxable funds, down 22 from the previous month, and 120 tax-exempt money funds (down 1 from last month). (Contact us if you'd like to see our latest MFI XLS, Crane Indexes or Market Share report.)
The October issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Monday morning, features the articles: "Assets Spike to Record $6.8T; Yields Plunge to 4.7% on Cut," which reviews the jump in assets and drop in yields following the big Fed cut; "European MF Symposium: Breaking Records in London," which quotes from our recent offshore MMF conference; and, "Worldwide MMFs Jump in Q2'24, Hit Record $10.6 Tril.," which recaps the latest statistics on money fund markets outside the U.S. We also sent out our MFI XLS spreadsheet Monday a.m., and we've updated our Money Fund Wisdom database with 9/30/24 data. Our Oct. Money Fund Portfolio Holdings are scheduled to ship on Wednesday, October 9, and our Oct. Bond Fund Intelligence is scheduled to go out on Tuesday, October 15 (a day late due to the Columbus Day Holiday). (Note: Please join us for our "basic training" event, Money Fund University, which takes place Dec. 19-20 in Providence, R.I.)
MFI's "Assets Spike" article says, "Money fund yields moved sharply lower following the Federal Reserve's Sept. 18 50 basis point rate cut. They quickly fell below 5.0% and are now stabilizing at around 4.75% on average. Meanwhile, money market mutual fund assets jumped to all-time records, rising $155.2 billion in September to a record $6.777 trillion, according to MFI. They've continued rising in October, breaking the $6.8 trillion level on Thursday (10/3)."
It continues, "Money fund yields fell 35 basis points to 4.75% on average in September (as measured by our Crane 100 Money Fund Index, an average of 7-day yields for the 100 largest taxable money funds). Yields were 5.10% on 8/31, 5.13% on 7/31 and 6/28, 5.14% on 5/31, 5.13% on 4/30, 5.14% on 3/31 and 2/29/24, 5.17% on 1/31/24, 5.20% on 12/31/23. Yields should continue to inch lower as they digest the final remnants of the Fed cut, then they should stabilize until the next cut."
We write in our European MF Symposium article, "Crane Data recently hosted its 10th annual European Money Fund Symposium in London, England, which featured record attendance (210) and two days of discussions on offshore money funds denominated in USD, EUR and GBP. Veronica Iommi, Secretary General of IMMFA, the Institutional Money Market Funds Association, presented on 'The State of MMFs in Europe.' She began by looking at the current MMF landscape in Europe, including a brief reminder of how IMMFA MMFs have performed in recent years followed by a review of where we are on the regulatory front, what this might mean for us looking forwards and IMMFA's role as a voice of the Money Market Fund industry."
It states, "She tells the audience, 'Since last year, there have also been some developments at IMMFA ... including the decision to increase our focus on technology and the tokenization of money market funds. We welcomed four new associate members specializing in fin-tech to the IMMFA family, namely Cachematrix, Calastone, Fund Connect and Morgan Money. These new associate members joined existing members in a working group which has already been very actively engaged in discussions with regulators and policymakers.'"
Our "Worldwide" piece says, "The Investment Company Institute's 'Worldwide Regulated Open-Fund Assets and Flows, Second Quarter 2024,' shows that money fund assets globally rose by $201.6 billion, or 1.9%, in Q2’24 to $10.643 trillion. Increases were led by a sharp jump in money funds in U.S. and China, while Luxembourg and India also rose. Meanwhile, money funds in Brazil and Japan were lower. MMF assets worldwide increased by $923.8 billion, or 9.5%, in the 12 months through 6/30/24."
The piece states, "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 Q2'24 with $6.092 trillion, or 57.2% of all global MMF assets. U.S. MMF assets increased by $172.7 billion (2.9%) in Q2'24 and have increased by $642.1 billion (11.8%) in the 12 months through June 30, 2024. China remained in second place among countries overall. China saw assets increase $226.3 billion (14.2%) in Q2 to $1.815 trillion (17.1% of worldwide assets). Over the 12 months through June 30, 2024, Chinese MMFs have increased $231.3 billion, or 14.6%."
MFI also includes the News brief, "Fed Goes Big, Cuts Rates by 50 Bps. A release titled, 'Federal Reserve issues FOMC statement,' tells us, 'In light of the progress on inflation and the balance of risks, the Committee decided to lower the target range for the federal funds rate by 1/2 percentage point to 4-3/4 to 5 percent.'"
Another News brief, "Bloomberg Says, 'Money-Market Funds Stay in Vogue Even as Reforms Go Into Effect.' They write, 'Money-market funds are attracting record amounts of cash, even as a regulatory overhaul [goes live].... The [SEC] approved measures last year.... The final piece of the reform requiring fund managers to impose mandatory liquidity fees went into effect [Oct. 2]."
A third News brief, "Texas Capital Launches Govt MM ETF," states, "A release, 'Texas Capital Launches Government Money Market Exchange Traded Fund,' claims, 'Texas Capital Bank Private Wealth Advisors, a subsidiary of Texas Capital Bank, and the Texas Capital Funds Trust … announced the launch of the Texas Capital Government Money Market ETF (MMKT).'"
A sidebar, "Janus MMF to Support ACS," says, "A press release titled, 'Janus Henderson Offers Money Market Fund to Support the American Cancer Society,' states, 'Janus Henderson ... and the American Cancer Society (ACS) ... announced an innovative partnership to support cancer research, advocacy, and patient support. Through this pioneering initiative, Janus Henderson will donate an amount equal to half of its management fees for all assets under management from Janus Henderson’s Government Money Market Fund to ACS. Janus Henderson has committed to donating a minimum of $1 million per year to ACS for the next three years through this innovative partnership to support the fight against cancer.'"
Our October MFI XLS, with Sept. 30 data, shows total assets increased $155.2 billion to a record $6.777 trillion, after increasing $105.6 billion in August, $19.7 billion in July, $11.8 billion in June and $79.7 billion in May. They decreased $17.6 billion in April and $66.7 billion in March, but increased $50.0 billion in February, $87.0 billion in January, $24.5 billion in December and $219.8 billion in November. Assets decreased $39.3 billion last October and increased $77.8 billion last September.
Our broad Crane Money Fund Average 7-Day Yield was down 34 bps at 4.65%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was also down 35 bps at 4.75% in September. On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 averaged 5.04% and 5.01%. Charged Expenses averaged 0.38% and 0.27% for the Crane MFA and the Crane 100. (We'll revise expenses once we upload the SEC's Form N-MFP data for 9/30/24 on Tuesday, 10/8.) The average WAM (weighted average maturity) for the Crane MFA was 31 days (down 2 bp) and the Crane 100 WAM was down 3 bps from the previous month at 30 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)
The Investment Company Institute's latest weekly "Money Market Fund Assets" report shows money market mutual fund assets jumping another $38.7 billion to a record $6.463 trillion, following an increase of $120.8 billion the week prior -- the 6th largest weekly increase ever and the largest non-Covid or non-SVB related increase. Assets have risen in 19 of the last 24 weeks, increasing by $485.6 billion (or 8.1%) since April 24. MMF assets are up by $577 billion, or 12.2%, year-to-date in 2024 (through 10/2/24), with Institutional MMFs up $269 billion, or 8.8% and Retail MMFs up $307 billion, or 18.3%. Over the past 52 weeks, money funds have risen by $755 billion, or 13.2%, with Retail MMFs up by $438 billion (20.3%) and Inst MMFs rising by $317 billion (8.9%). (Note: Crane Data's separate and more comprehensive asset series shows money funds hitting a record $6.799 trillion on September 26!)
ICI's weekly release says, "Total money market fund assets increased by 38.67 billion to $6.46 trillion for the week ended Wednesday, October 2, the Investment Company Institute reported.... Among taxable money market funds, government funds increased by $42.47 billion and prime funds decreased by $5.78 billion. Tax-exempt money market funds increased by $1.99 billion. " ICI's stats show Institutional MMFs rising $14.2 billion and Retail MMFs rising $24.5 billion in the latest week. Total Government MMF assets, including Treasury funds, were $5.287 trillion (81.8% of all money funds), while Total Prime MMFs were $1.045 trillion (16.2%). Tax Exempt MMFs totaled $131.0 billion (2.0%).
ICI explains, "Assets of retail money market funds increased by $24.48 billion to $2.60 trillion. Among retail funds, government money market fund assets increased by $19.16 billion to $1.65 trillion, prime money market fund assets increased by $3.84 billion to $824.94 billion, and tax-exempt fund assets increased by $1.48 billion to $119.73 billion." Retail assets account for over a third of total assets, or 40.2%, and Government Retail assets make up 63.6% of all Retail MMFs.
They add, "Assets of institutional money market funds increased by $14.19 billion to $3.87 trillion. Among institutional funds, government money market fund assets increased by $23.30 billion to $3.63 trillion, prime money market fund assets decreased by $9.62 billion to $220.14 billion, and tax-exempt fund assets increased by $509 million to $11.26 billion." Institutional assets accounted for 59.8% of all MMF assets, with Government Institutional assets making up 94.0% of all institutional MMF totals.
According to Crane Data's separate Money Fund Intelligence Daily series, money fund assets have risen by $29.8 billion in October (through 10/2) to $6.795 trillion. Assets rose by $149.8 billion in September, $109.7 billion in August, $16.6 billion in July, $15.7 billion in June and $91.4 billion in May, but they fell $15.8 billion in April and $68.8 billion in March. They rose $72.1 billion in February, $93.9 billion in January, $32.7 billion in December and $226.4 billion in November. MMF totals fell by $31.9 billion last October. Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're over $400 billion lower than Crane's asset series.
In other news, BankRate posted an article titled, "What happens to idle cash in your portfolio? Sweep accounts, explained." They write, "You might not think about the idle cash in your brokerage account very often. But behind the scenes, your money may be earning your brokerage company a lot more interest than it is earning you.... For the brokerage company and its affiliated banks, your money is earning relatively high interest. Yet many major brokers are returning less than 0.2 percent of that interest to customers."
The piece explains, "A growing number of financial firms are coming under fire -- and facing lawsuits -- for their behind-the-scenes cash sweep accounts and the extremely low yields paid to customers, especially as the federal funds rate increased in recent years and banks presumably earned more interest. By understanding how cash sweeps work, you can make informed decisions about your investments and ensure you’re getting the best possible return on your money."
Bankrate asks, "What is a cash sweep account? Many brokerage firms offer a service known as a cash sweep, which automatically collects and deposits uninvested cash from your account into affiliated bank accounts, where the brokerage earns interest on it. In other words, many brokerages use your idle cash as a low-cost source of funding for their operations. Interest they earn from swept funds can be substantial, especially when compared to the rates you, the individual customer, receive."
They state, "For example, in March 2024, Charles Schwab reported about $399 billion in client sweep cash balances -- a huge sum of money to earn interest on. In fact, Charles Schwab generated nearly half of its $18.8 billion in revenue in 2023 from net interest income, according to Barron's."
Bankrate tells us, "Low-yielding cash sweeps have become more common in recent years, as several large brokers have transitioned clients from money market funds to lower-yielding bank sweeps. While some companies, such as Fidelity, still offer a money market sweep program, most full-service brokerage firms offer only a bank sweep program."
They add, "Several major wealth management firms -- including Morgan Stanley, Wells Fargo and Charles Schwab -- are facing lawsuits over their low-yield cash sweep accounts. These lawsuits accuse the brokerages of violating their duty to act in the best interest of their clients.... Lawsuits were filed against at least eight financial firms between late June and early September 2024, according to Bloomberg Law. While the outcome of these lawsuits is uncertain, the legal action is shining a bright light on the murky practices behind cash sweep accounts."
Bloomberg published an article titled, "Money-Market Funds Stay in Vogue Even as Reforms Go Into Effect," which recapped the latest changes to the Prime Institutional money fund space. They write, "Money-market funds are attracting record amounts of cash, even as a regulatory overhaul pins the industry with costly mandatory fees. The US Securities and Exchange Commission approved measures last year designed to make the $6.42 trillion industry more transparent and prevent investors from yanking money from such funds during market volatility or financial stress like in March 2020. The final piece of the reform requiring fund managers to impose mandatory liquidity fees went into effect on Wednesday."
The piece explains, "While such a charge threatened to scare off investments, high yields have continued to lure money -- leaving most of the largest institutional prime funds intact. There were, however, at least a dozen institutional prime funds that shut down or converted to government vehicles this year." (Note: The article includes a table with the changes, which looks suspiciously like our "bigsort2" file, though they don't list a source. Let us know if you'd like to see our table though!)
They quote Bank of America's Mark Cabana, "The most striking to me is how smooth it appears to have gone. The total size of prime institutional funds decreased but it's quite remarkable how little market impact it had, especially if you compare this to 2016. This is essentially a whimper, not even leaving as much of a mark."
Bloomberg also quotes John Donohue, head of global liquidity at JPMorgan Asset Management, "This time it's been much much more settled. We see clients in prime funds willing to stay through reform and changes."
They tell us, "Ahead of the new mandate, JPMorgan Asset Management on Aug. 1 adjusted the parameters of its institutional prime fund to a one-strike net asset value, that is, pricing shares once a day and earlier so they have more time to calculate any potential fees to meet the new rule. Other operational changes were instituted to track redemptions throughout the day, according to Donohue. JPMorgan's prime money-market fund is one of the largest in the industry growing to nearly $86 billion of assets under management as of Sept. 30, from just roughly $19 billion in October 2016."
The piece adds, "Money-market funds have seen nearly $1.87 trillion of inflows since the Fed started its aggressive interest-rate hiking cycle in March 2022, eventually pushing rates well over 5% and making cash an attractive asset class. Although the central bank has begun reducing rates ... investors continue piling into money-market funds given that they tend to be slower to pass the lower rates on to investors."
Mutual fund news source ignites also writes about shift in, "Prime Institutional Funds: 'Juice Isn't Worth the Squeeze'." They comment, "Asset managers of all sizes have dissolved their prime institutional funds ahead of Wednesday's implementation date of the Securities and Exchange Commission's new liquidity and fee requirements, compliance professionals said. Just a handful of firms have opted to continue to offer the funds, with most deciding that the compliance challenges, such as daily portfolio pricing and redemption fee calculations, are too burdensome."
They explain, "The December 2021 proposal was a response to the stress that money market funds faced at the start of the Covid-19 pandemic, when investors rapidly pulled more than $130 billion from those funds in the month of March 2020, Ignites previously reported. The proposal ultimately passed with a 3-2 vote by the SEC commissioners, with commissioner Hester Peirce asking if the agency was 'trying to kill' the product before that vote. The reforms going into effect on Wednesday include a requirement for funds to charge a liquidity fee when daily net redemptions exceed 5% of net assets [and when prices move noticeably]."
Amy Lynch of FrontLine Compliance tells ignites, "It's not a cost-effective product to really offer unless you have made a huge presence in the market and have a certain amount of market share. It's going to be one of those scenarios where the bigger players are going to benefit as the smaller players get out of the market."
They state, "American Funds, which at one point had the largest prime fund on the market, filed to convert its $144 billion central cash fund to a government money market fund in February 2024.... Vanguard also liquidated its prime funds, converting its last prime institutional fund into a money market fund this past March. Other firms, such as Allspring, BlackRock, Schwab and UBS, have also converted their prime institutional funds, according to Peter Crane, president of Crane Data."
The article says, "More than $355 billion in prime institutional funds assets had exited the market as of Aug. 31, according to Crane Data. At least 19 prime funds, which constituted 42.8% of all available products in the category, have been liquidated or converted in 2024, the data showed. Despite the exodus, total money fund assets are at an all-time high, and the products remain attractive to both investors and the providers willing to take on the compliance challenges."
They too quote JPMAM's John Donohue, "Prime money market funds are already floating NAV funds, unlike a government or a Treasury market fund, so the clients in these funds are already comfortable with floating NAV. They understand the product, and they are happy to look at a product that has a higher yield."
Fred Teufel, a director at Vigilant Compliance, says to ignites, "The juice just isn't worth the squeeze. The rules and requirements basically outweigh the benefits from using hourly pricing in the marketplace."
They also quote Dechert's Stephen Cohen, "Maintaining the products under the new rules is 'time consuming and costly' ... There's never been a system where you have to measure your net redemptions at the end of the day and then run in the background a calculation to determine liquidity costs for liquidating a pro rata share of your portfolio."
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 Sept. 27) includes Holdings information from 61 money funds (up 1 from a week ago), or $3.361 trillion (up from $3.091 trillion) of the $6.791 trillion in total money fund assets (or 49.5%) tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website. See our latest Monthly Money Fund Portfolio Holdings here and our Sept. 12 News, "September Money Fund Portfolio Holdings: Treasuries Jump; Repo Slides.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Treasuries totaling $1.494 trillion (up from $1.342 trillion a week ago), or 44.4%; Repurchase Agreements (Repo) totaling $1.312 trillion (up from $1.169 trillion a week ago), or 39.0%, and Government Agency securities totaling $280.1 billion (up from $259.5 billion), or 8.3%. Commercial Paper (CP) totaled $104.9 billion (down from a week ago at $109.5 billion), or 3.1%. Certificates of Deposit (CDs) totaled $62.6 billion (down from $68.6 billion a week ago), or 1.9%. The Other category accounted for $76.4 billion or 2.3%, while VRDNs accounted for $31.7 billion, or 0.9%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.494 trillion (44.4% of total holdings), Fixed Income Clearing Corp with $389.9B (11.6%), the Federal Home Loan Bank with $197.4 billion (5.9%), the Federal Reserve Bank of New York with $130.1B (3.9%), JP Morgan with $98.7B (2.9%), BNP Paribas with $81.9B (2.4%), Citi with $73.0B (2.2%), Federal Farm Credit Bank with $65.7B (2.0%), RBC with $55.0B (1.6%) and Goldman Sachs with $52.1B (1.6%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($259.2B), Goldman Sachs FS Govt ($242.0B), Fidelity Inv MM: Govt Port ($234.1B), JPMorgan 100% US Treas MMkt ($223.6B), BlackRock Lq FedFund ($169.0B), State Street Inst US Govt ($155.9B), Morgan Stanley Inst Liq Govt ($145.4B), Fidelity Inv MM: MM Port ($137.3B), BlackRock Lq Treas Tr ($131.1B) and Dreyfus Govt Cash Mgmt ($129.4B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
In other news, The Wall Street Journal writes "That 5% CD Is a Great Deal -- Until the Bank Calls It Back," which tells us, "The era of 5% cash returns is ending early for some investors. Before the Federal Reserve began cutting rates in September, banks offered certificates of deposit promising high yields for locking up cash years into the future. The highest-yielding ones, with returns in excess of 5%, had features allowing the bank to 'call' them before they mature, handing back the cash and accrued interest. Those features got little attention when rates were rising because banks weren't about to call their CDs and borrow money at even higher rates."
The piece explains, "Now, banks including JPMorgan Chase and U.S. Bank are calling back more high-yielding CDs before they mature to save on interest as rates begin to fall, according to people familiar with the matter. In the rush to lock in easy returns, many everyday investors likely purchased callable CDs without understanding what they were signing up for, according to Kathy Jones, chief fixed-income strategist at Charles Schwab."
It states, "Most CDs aren't callable, but the ones that are typically offer the highest rates. Advertised yields on callable CDs tend to be about 0.4% higher than noncallable CDs with the same duration, according to deposit research firm Curinos. They are generally sold through brokerages such as Fidelity and Charles Schwab, which offer them on behalf of banks. About 18% of CDs bought and sold through Fidelity this year were callable, according to the brokerage."
The Journal says, "Savers poured more than $650 billion into brokered CDs since rates started rising in 2022, hoping to lock in risk-free returns, which peaked above 5%. The amount of brokered deposits in the banking system more than doubled in the past two years, according to FDIC data. Many regional banks loaded up on high-cost brokered deposits to ride out the banking crisis of 2023. Unlike traditional CDs sold directly by retail banks to customers, brokered deposits are usually managed by bookkeeping teams at the bank that are more focused on keeping costs low than fostering long-term relationships."
It adds, "What happens to your money after a CD gets called depends on your brokerage and its default settings. One option is to set up your account so that deposits go into a money-market account, which can still offer a competitive return on uninvested cash. With interest rates falling, it pays to quickly decide where to reinvest your funds. Look for other investments, such as noncallable CDs, Treasurys or high-yield savings accounts. You'll likely need to reinvest at a lower rate unless you're willing to explore riskier investments like corporate bonds or municipal bonds. As Jones said: '5% money with no risk is gone.'"
Finally, the Federal Reserve Bank of New York published a Liberty Street Economics blog titled, "Are Nonbank Financial Institutions Systemic?" It states, "Recent events have heightened awareness of systemic risk stemming from nonbank financial sectors. For example, during the COVID-19 pandemic, liquidity demand from nonbank financial entities caused a 'dash for cash' in financial markets that required government support. In this post, we provide a quantitative assessment of systemic risk in the nonbank sectors."
The post explains, "Even though these sectors have heterogeneous business models, ranging from insurance to trading and asset management, we find that their systemic risk has common variation, and this commonality has increased over time. Moreover, nonbank sectors tend to become more systemic when banking sector systemic risk increases."
It adds, "The systemic risk of diverse nonbank sectors has common variation that increases when banking sector systemic risk increases, consistent with recent crisis episodes where both bank and nonbank sectors have become stressed. In future work, we plan to explore the robustness of these findings to other measures of systemic risk."
Money fund yields moved lower following the Federal Reserve's Sept. 18 50 basis point rate cut, while money market mutual fund assets jumped to all-time records last week (though they eased off Friday). Money fund yields slid 18 basis points to 4.75% on average in the week ended Sept. 27 (as measured by our Crane 100 Money Fund Index, an average of 7-day yields for the 100 largest taxable money funds), after falling 12 bps the week prior. Yields were 5.10% on 8/31, 5.13% on 7/31 and 6/28, 5.14% on 5/31, 5.13% on 4/30, 5.14% on 3/31 and 2/29/24, 5.17% on 1/31/24, 5.20% on 12/31/23, 4.94% on 6/30/23, 4.61% on 3/31/23 and 4.05% on 12/31/22. Yields should continue to inch lower as they digest the final remnants of the Fed cut, then they should stabilize until the next cut.
The broader Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 655), shows a 7-day yield of 4.66%, down 18 bps in the week through Friday. (Three weeks prior was the first time our Crane MFA fell below 5.0% since July 2023.) Prime Inst money fund yields were down 20 bps at 4.83% in the latest week. Government Inst MFs were down 20 bps at 4.75%. Treasury Inst MFs were down 14 bps at 4.74%. Treasury Retail MFs currently yield 4.51%, Government Retail MFs yield 4.46%, and Prime Retail MFs yield 4.62%, Tax-exempt MF 7-day yields were down 30 bps to 2.96%.
Assets of money market funds rose by $73.9 billion last week to $6.791 trillion according to Crane Data's Money Fund Intelligence Daily. Assets reached its record high Thursday Sept. 26 at $6.799 trillion. For the month of September, MMF assets increased by $175.8 billion, after increasing by $109.7 billion in August. Weighted average maturities were unchanged at 32 days for the Crane MFA and down 1 day at 31 days for the Crane 100 Money Fund Index.
According to Monday's Money Fund Intelligence Daily, with data as of Friday (9/27), 55 money funds (out of 774 total) yield under 3.0% with $23.9 billion in assets, or 0.4%; 84 funds yield between 3.00% and 3.99% ($119.7 billion, or 1.8%), 614 funds yield between 4.0% and 4.99% ($6.126 trillion, or 90.2%) and just 21 funds now yield 5.0% or more ($521.1 billion, or 7.7%).
Our Brokerage Sweep Intelligence Index, an average of FDIC-insured cash options from major brokerages, was down (3 bps) at 0.54%. The latest Brokerage Sweep Intelligence, with data as of Sept. 27, shows that there was two changes over the past week. Merrill Lynch lowered rates to 0.05% for accounts between $1 million and $9.9 million, and lowered rates to 0.15% for accounts of $10 million and greater. Merrill Lynch also lowered rates to 4.82% for all advisory accounts. RW Baird lowered rates to 1.66% for all accounts up to $999K and lowered rates to 2.62% for accounts between $1 million and $1.9 million, they also lowered rates to 3.40% for accounts of $5 million and greater. Three of the 10 major brokerages tracked by our BSI still offer rates of 0.01% for balances of $100K (and lower tiers). These include: E*Trade, Merrill Lynch and Morgan Stanley. (Note: This past week we added advisory rates to Brokerage Sweep Intelligence for Merrill Lynch and Morgan Stanley.)
Federated Hermes Deborah Cunningham's latest monthly commentary is titled, "Sky high." She explains, "The Chicken Little predictions that the Federal Reserve easing cycle would lead to an exodus of assets from liquidity products have been proven wrong. Money market funds across the industry alone have experienced inflows of around $150 billion since the Fed cut rates by 50 basis points in mid-September to a range of 4.75-5%."
Cunningham continues, "It's another case of the disconnect between some media pundits and investors. The former want their opinions heard, and bad news gets more attention. The latter simply want the highest possible return across their portfolio, whether they invest in liquidity products to offset riskier holdings or for future deployment to other investment opportunities."
She says, "Historically, in a falling-rate environment, yields of cash management products lag the direct security market. Why? Because some of their holdings have locked in higher rates, and most of those won't mature until later, at some point in the next 12 months -- referred to as a laddered strategy. In contrast, some securities in the direct market -- especially overnight securities and those with floating rates -- trace Fed moves immediately, as does the Reverse Repurchase Facility, which now sits at 4.80%. History is only a guide, of course, but we think this will be the case as the easing continues."
Cunningham tells us, "Some cynics channeling Henny Penny -- the original name of that apocalyptic-minded chicken in the European folk tale -- characterize the magnitude of the half-point reduction as a mortal blow. We think that actually helps cash-like vehicles because the decline in their yields traditionally has been proportional to the cut. Had the Fed trimmed the target range by a quarter-point, liquidity yields likely would have a spread of around 12 basis points initially. As it stands, that difference is closer to 25 basis points due to the oversized cut, and gets more attractive out the inverted yield curve. No wonder the inflows."
Finally, she adds, "The implementation of the SEC's money fund rules is finally upon us. On Oct. 2, we get the last phase, which imposes mandatory liquidity fees on institutional prime and institutional municipal money market funds. A fee would only be charged only if net redemptions exceed 5% of a fund's net assets and the cost of liquidity (including, transaction costs and market impact costs) exceeds 0.01% of the value of the total shares redeemed on that day. Despite our lasting opinion that the 'reforms' were not necessary, it is good to finally close the chapter. The liquidity industry has risen to the occasion despite the operational challenges, and we believe the inflows this year show that the efficacy of these products remains intact."
