Money Fund Intelligence XLS

Money Fund Intelligence XLS Sample

Crane Data released its October Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of September 30, 2020, shows a decrease in every category except VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $94.3 billion to $4.772 trillion last month, after decreasing $12.7 billion in August, $83.1 billion in July and $159.1 billion in June. Money market securities increased $31.6 billion in May, and a staggering $529.4 billion in April and $725.6 billion in March. Treasury securities remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)

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

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

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

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

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

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

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

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Fixed Income Clearing Co ($144.8B, 13.9%), BNP Paribas ($120.8B, 11.6%), JP Morgan ($83.1B, 8.0%), RBC ($78.8B, 7.6%), Barclays ($46.6B, 4.5%), Credit Agricole ($42.6B, 4.1%), Mitsubishi UFJ Financial Group ($42.4B, 4.1%), Citi ($39.4B, 3.8%), Bank of America ($35.5B, 3.4%) and Societe Generale ($32.9B, 3.2%).

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

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

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

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

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

The United States remained the largest segment of country-affiliations; it represents 77.1% of holdings, or $3.679 trillion. France (5.8%, $276.0B) was number two, and Canada (4.9%, $235.3B) was third. Japan (4.5%, $216.3B) occupied fourth place. The United Kingdom (2.6%, $125.5B) remained in fifth place. The Netherlands (1.3%, $59.7B) was in sixth place, followed by Germany (1.2%, $58.1B), Sweden (0.7%, $31.1B), Switzerland (0.6%, $30.0B) and Australia (0.6%, $26.2B). (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)

As of September 30, 2020, Taxable money funds held 35.7% (down from 36.0%) of their assets in securities maturing Overnight, and another 9.5% maturing in 2-7 days (up from 6.9% last month). Thus, 45.2% in total matures in 1-7 days. Another 14.3% matures in 8-30 days, while 13.0% matures in 31-60 days. Note that close to three-quarters, or 72.5% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 9.6% of taxable securities, while 15.8% matures in 91-180 days, and just 2.2% matures beyond 181 days.

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Money Fund Intelligence XLS News

Oct 08
 

The October issue of our flagship Money Fund Intelligence newsletter, which will be sent out to subscribers Friday morning, features the articles: "Third Time's a Charm: Money Funds Turn 50 and Break 3.0%," which discusses money funds 50th birthday and yields at 3.0%; "European Money Fund Symposium: Positive in Paris," which reviews our latest conference on "offshore" money funds; and, "Worldwide MF Assets Fall in Q2'22, Led by US, Ireland, Lux," which quotes from ICI's latest global money fund statistics. We'll also send out our MFI XLS spreadsheet Friday a.m., and we've updated our Money Fund Wisdom database with 9/30/22 data. Our October Money Fund Portfolio Holdings are scheduled to ship on Wednesday, Oct. 12, and our October Bond Fund Intelligence is scheduled to go out on Monday, Oct. 17. (Note: Our MFI, MFI XLS and Crane Index products are all available to subscribers via our Content center. Note too: Crane Data and money market funds will be closed Monday for the Columbus Day Holiday.)

MFI's "Third Time's a Charm" article says, "The Federal Reserve raised short-term interest rates by 75 basis points for the third time in a row, to a range of 3.0% to 3.25%, its highest level since 2008. Money fund yields, which of course follow the Fed, are about to hit 3.0% on average, while the top-yielding funds have already broken above this level. Finally, money market mutual funds celebrate their 50th birthday this month ... for the third time."

It continues, "While we mentioned both one year ago and two years ago that money market funds marked their 50th birthday, one could argue that 1972 was the real live date of Reserve Primary Fund, the first money fund. (It filed in October 1970 and went live in October 1971, but it didn't get approval and investors into the fund until October 1972.)"

Our "European" piece goes, "Crane Data hosted its European Money Fund Symposium in Paris last week, and the event focusing on money funds domiciled outside the U.S. attracted a record 166 attendees. Though it was rainy in Paris, spirits were high as rising rates and positive euro yields (for the first time since 2014) out-weighed concerns over potential regulatory changes and sterling gyrations."

It also says, "Our Day 2 agenda began with 'ICI Global & EFAMA Talk Regulatory Issues,' which featured updates from ICI Global's Michael Pedroni and EFAMA's Federico Cupelli. Pedroni explains, 'What I'll do here is give a quick lay of the land of what we see in the pipeline. My observations are really structured around two key considerations.... One is swing pricing.... We don't particularly like swing pricing, and I’ll talk about that. But there is quite a bit of talk among regulatory authorities about implementing swing pricing for money funds. Then the second area is the elimination of the tie between the liquidity thresholds and fees and gates. And just to give a sneak preview, we kind of like that. So those are the two policy issues.'"

Our "Worldwide" update states, "The Investment Company Institute's latest 'Worldwide Regulated Open-Fund Assets and Flows, Second Quarter 2022' shows that money fund assets globally fell by $153.5 billion, or -1.8%, in Q2'22 to $8.482 trillion. The decreases were led by drops in money funds in the U.S., Ireland and Luxembourg. Meanwhile, money funds in China and Australia increased. MMF assets worldwide decreased by $83.0 billion, or -1.0%, in the 12 months through 6/30/22, and money funds in the U.S. represent 53.5% of worldwide assets. We review the latest Worldwide MMF totals, below."

MFI writes, "ICI's release says, 'Worldwide regulated open-end fund assets decreased 11.5% to $59.91 trillion at the end of the second quarter of 2022, excluding funds of funds. Worldwide net cash outflow to all funds was $130 billion in the second quarter, compared with $79 billion of net inflows in the first quarter of 2022. The Investment Company Institute compiles worldwide regulated open-end fund statistics on behalf of the International Investment Funds Association (IIFA), the organization of national fund associations. The collection for [Q2'22] contains statistics from 46 jurisdictions.'"

MFI also includes the News brief, "WSJ's Zweig Says Cash Is Not Trash. The Wall Street Journal writes 'Three Ways You Can Cash In on Cash.' Columnist Jason Zweig tells us, 'Cash isn't trash anymore. With stocks -- and just about every other asset -- taking a beating this year, even the most aggressive investors can suddenly see the virtue of keeping some money liquid and safe from market turmoil. And, at long last, your cash can earn income you don't need a microscope to detect.'"

Another News brief, "Money Fund Charged Expense Ratios (Exp%) Inched Lower," says, "Money Fund Charged Expense Ratios (Exp%) Inched Lower in August to 0.38% from 0.41% the prior month (after jumping earlier this year from 0.08% at the start of 2022). Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.26% and 0.38%, respectively, as of Aug. 31, 2022. 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. (We'll revise our latest monthly MFI XLS spreadsheet and historical craneindexes.xlsx averages file to reflect the latest expenses, gross yields, portfolio composition and maturity breakout on Tuesday.)"

Also, a sidebar, "SSGA to Liquidate ESG MMF," states, "A Prospectus Supplement filing for State Street ESG Liquid Reserves Fund states, 'The Trust's Board of Trustees has approved a Plan of Liquidation and Termination of Series with respect to the Fund, pursuant to which the Fund is expected to be liquidated and terminated on or about October 28, 2022. The Plan authorizes the Fund and its investment adviser, SSGA Funds Management, Inc., to engage in such transactions as may be appropriate for the Fund's liquidation and dissolution."(For more on ESG & Social Money Market Funds, see our May 12 Crane Data News, and hotlinks at the end of that story, "UBS AM Explains Sustainability in Liquidity; Federated Adds SGD Shares.")

Another sidebar, "French MMFs Hit by Outflows," says, "Moody's Investors Service published 'French MMFs' H1 asset contraction exceeds that of European peers,' which explains, 'French money market funds (MMF) lost about 12% of their assets under management (AUM) in the first half of 2022, more than their European peers. This reflects investor withdrawals in response to rising inflation and to satisfy margin calls triggered by Ukraine-related ... turbulence.'"

Our October MFI XLS, with September 30 data, shows total assets increased $1.7 billion to $5.043 trillion, after increasing $2.3 billion in August, $26.0 billion in July and $31.9 billion in June, but decreasing $10.7 billion in May and $74.3 billion in April. MMFs increased $24.1 billion in March, decreased $34.6 billion in February and decreased $128.1 billion in January. Assets increased $104.6 billion in December, $49.7 billion in November and $20.5 billion October. Our broad Crane Money Fund Average 7-Day Yield was up 51 bps to 2.42%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 61 bps to 2.63% in September.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 2.79% and 2.86%, respectively. Charged Expenses averaged 0.38% and 0.26% for the Crane MFA and the Crane 100. (We'll revise expenses on Tuesday once we upload the SEC's Form N-MFP data for 9/30/22.) The average WAM (weighted average maturity) for the Crane MFA was a record low 18 days (down 1 day from previous month) while the Crane 100 WAM decreased 2 days to 17 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Sep 08
 

The September issue of our flagship Money Fund Intelligence newsletter, which was sent out to subscribers Thursday morning, features the articles: "Short & Shorter: Record Low WAMs, Record High Repo," which discusses how short maturities have gotten; "EFAMA Fact Book Reviews European Money Funds in '21," which reviews statistics on European MMFs; and, "Lobbying Steps Up as SEC Prepares Final MMF Rules," which quotes from a recent ignites piece. We also sent out our MFI XLS spreadsheet earlier, and we've updated our database with 8/31/22 data. Our September Money Fund Portfolio Holdings are scheduled to ship on Monday, Sept. 12, and our September Bond Fund Intelligence is scheduled to go out on Thursday, Sept. 15. (Note: Our MFI, MFI XLS and Crane Index products are all available to subscribers via our Content center.)

MFI's "Short & Shorter" article says, "Weighted average maturities, or WAMs, of money market funds just keep getting shorter. The average WAM for Taxable money funds fell by 3 days to 18 days, down from 36 days at the start of the year and the lowest level ever. The maximum WAM for money funds was originally 120 days until the early 1990s, when it was reduced to 90 days. Then, it was cut to 60 days with the 2014 MMF Reforms. (The WAM measures how long, on average, portfolios turn over and reflect Fed rate hikes or cuts.)"

It continues, "WALs, or weighted average life, are also hitting record lows. Our Crane Money Fund Average for WALs sank to 61 days from 64 days in August, the lowest level since reporting began on this data point in 2014. (The SEC added a mandate that WAL, which doesn't include maturity adjustments for floating rate securities, be a maximum of 120 days.)"

Our "EFAMA Fact Book" piece explains, "A press release entitled, 'EFAMA publishes 2022 Industry Fact Book,' tells us, 'The European Fund and Asset Management Association (EFAMA) has released its 2022 Industry Fact Book. The 2022 Fact Book provides an in-depth analysis of trends in the European fund industry, with an emphasis on what happened in 2021. It also includes an extensive overview of the regulatory developments across 28 European countries and a wealth of data.' (`Note: EFAMA's Federico Cupelli will speak at our upcoming European Money Fund Symposium, which is Sept. 27-28 in Paris, France. We hope to see you there!)"

It also says, "EFAMA Director General Tanguy van de Werve comments, 'Beyond providing in-depth analysis of recent trends in the European investment fund industry, this year's ... Fact Book analyses several issues highly relevant for our industry, including ... some proposals to amend the money market funds regulation.'"

Our "SEC" piece states, "Last week, mutual fund news source ignites brought pending Money Fund Reforms back into the headlines with the piece, 'Shops Step Up Pressure on SEC to Revamp Money Fund Rules.' They explain, 'Industry firms and their trade groups appear to be making a last-ditch effort to convince the Securities and Exchange Commission to change several key parts of its money market fund rule proposal. The agency seeks to put out the final rule in October, according to its regulatory agenda. But some large money fund sponsors have argued that if the proposed rule is adopted in its current form, it would kill institutional prime funds and hurt government money funds.'"

MFI writes, "The ignites update tells us, 'The proposal was first floated in December and comments on it were due in April. On Aug. 10, nearly 30 industry executives met remotely with Securities and Exchange Commission officials about the proposed rule, disclosures show. The shops represented at that meeting included the largest managers of money funds: Fidelity, BlackRock, Vanguard, JPMorgan, Federated Hermes, Schwab and T. Rowe Price. The firms are members of the asset management group of the Securities Industry and Financial Markets Association, which organized the meeting.... The SEC's disclosure about the meeting states only that the money fund rule proposal was discussed, but does not provide details.'"

MFI also includes the News brief, "Money Fund Yield Average Hits 2.0%. Our Crane 100 Money Fund Index (​7-​Day Yield) rose 41 basis points in August to 2.​00%, its highest level since June 2019. Our broader Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (​currently 740), rose to 1.​84% last month."

Another News brief, "Big Rates Hikes to Continue, Stick Around, Says Powell in Jackson Hole," explains, "Federal Reserve Board Chair Jerome Powell spoke on 'Monetary Policy and Price Stability’ recently in Jackson Hole, Wyoming, and indicated that interest rate hikes will keep coming until inflation is back at 2%. He says, 'The Federal Open Market Committee's (FOMC) overarching focus right now is to bring inflation back down to our 2 percent goal.'"

A third News brief, "MMF Assets Flat, But Prime Grows," says, "Money fund assets inched higher in August, rising $2.3 billion to $5.044 trillon, according to Crane Data. Prime MMFs increased by $44.7 billion to $950.3 billion. ICI's weekly 'Money Market Mutual Fund' assets series shows money fund assets inching lower in the latest week, the 4th decline in the past 5 weeks."

Also, a sidebar, "SEC on MMFs & Treasuries," states, "The Securities & Exchange Commission's Division of Investment Management Analytics Office published, 'Money Market Funds in the Treasury Market,' which reviews Government money market fund investments in Treasuries and repos over the past decade. The authors write, 'This study analyzes portfolio holdings data filed by money market funds (MMFs) on Form N-MFP to gain insights about these funds' activity in the Treasury market. Since March 2020 the MMF industry, including both government and prime MMFs, increased investments in Treasury securities and Treasury repurchase agreements supporting Treasury auctions and repo market functioning. MMFs are also the main investors in the Federal Reserve's reverse repo facility supporting monetary policy implementation.'"

Our September MFI XLS, with August 31 data, shows total assets increased $2.3 billion to $5.044 trillion, after increasing $26.0 billion in July and $31.9 billion in June, but decreasing $10.7 billion in May and $74.3 billion in April. MMFs increased $24.1 billion in March, decreased $34.6 billion in February and decreased $128.1 billion in January. Assets increased $104.6 billion in December, $49.7 billion in November and $20.5 billion October. Our broad Crane Money Fund Average 7-Day Yield was up 41 bps to 1.84%, and our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 38 bps to 2.00% in August.

On a Gross Yield Basis (7-Day) (before expenses are taken out), the Crane MFA and the Crane 100 both were both higher at 2.25% and 2.29%, respectively. Charged Expenses averaged 0.41% and 0.29% for the Crane MFA and the Crane 100. (We'll revise expenses on Friday once we upload the SEC's Form N-MFP data for 8/31/22.) The average WAM (weighted average maturity) for the Crane MFA was a record low 19 days (down 3 days from previous month) while the Crane 100 WAM decreased 4 days to 19 days. (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Aug 22
 

This month, MFI interviews David R. Jones, President & CEO of CastleOak Securities. CastleOak Securities is a minority-owned dealer and one of the first firms to offer both an online money market trading portal and a D&I share class in the money fund space. We discuss the latest in diversity, corporate investing and cash below in our Q&A. (Note: The following is reprinted from the August issue of Money Fund Intelligence, which was published on Aug. 5. Contact us at info@cranedata.com to request the full issue or to subscribe, and let us know too if you'd like to see our latest list of ESG, Social and D&I share class money market funds.)

MFI: Give us some history. Jones: I founded the firm back in 2006, and we've grown CastleOak to be one of the largest diverse investment banks on Wall Street. We've got six offices around the country and are headquartered in New York. We’ve grown the firm from four individuals ... and now we've got over 55 employees. We focus on the capital markets for our clients, and that includes primary issuance, both in debt and equity, and also the secondary trading that goes along with that. On the fixed income side, back in 2010 when I brought Dan Davis and his team on, that's when we got into the Treasury, Agency and Money Market space. We've got a very strong presence on the secondary side in the front end of the curve.

In 2011, we got into the portal business by starting a partnership with State Street, where we launched our Money Fund Access program, giving our broker clients access to over 20 different money market fund families through our dedicated portal. Over the years, we've had assets grow to over $16 billion on that portal. Last year, we hired in two more seasoned professionals to augment our existing Money Fund Solutions team, so now we feel like we have a lot of depth and experience on the bench.

Also, just recently we launched our designated share classes, in partnership with Morgan Stanley. We've got two funds with them, Morgan Stanley Institutional Liquidity Government and MSILF ESG Prime. So, we've got a great combination of products for our clients who are managing their cash, whether they want to buy direct, whether they want to use managers to invest in funds, or whether they want to go direct to designated share class.

Our clients are the bluest of blue-chip corporate issuers, institutional investors, and government entities. We have the largest money management clients, which are the most sophisticated investors -- the BlackRocks, the Wellingtons of the world -- all the way down to billion-dollar asset managers like Pugh Asset Management and Garcia Hamilton.

MFI: Talk about D&I investing today. Jones: D&I [diversity & inclusion] investing has been around for a while. It started with folks understanding that doing business with diverse suppliers was a good idea when their employees or their customers were diverse. Later on, it transferred into supplier diversity -- buying widgets from minority-owned companies and things like that. Now it's across the board in professional services like banking and legal services.

Unfortunately, this momentum has come about because of many, many tragic events like the death of George Floyd. But the spotlight is there now. I don't want to say it's not always been at the C-suite level, but now it is clearly a C-suite conversation for corporations. In most major corporations, it is permeating throughout the firm. [They're looking at] what people are doing, what corporations are doing, not only internally -- are they hiring a diverse workforce? -- but also in terms of who folks are doing business with. They're concerned about doing business and doing good at the same time. They're looking beneath the surface for substance as well, which benefits firms like ours.

MFI: Did D&I start with governments? Jones: It starts at the top and [yes], the governments and municipalities ... it evolved on that side earlier. But now you're seeing that there are more diverse people at the upper echelons of corporate America. So that is resonating with them and you're starting to see that push. Senior executives are spotlighting or highlighting the need for diversity. There's still a long way to go, there's no doubt about that. But I think it is getting to where corporate America is following suit and allowing diverse managers and diverse broker dealers the opportunity to participate. When you see corporations like Verizon, AT&T, Apple and those caliber companies including diverse firms in their syndicates or in the funds that they're investing in, others look at this and realize that they should be doing the same thing. So, it's snowballing.

We are benefiting from that. We are well positioned. We have a very good coverage plan throughout our organization, public and private. It's always been in our DNA. We're not relying on others to do our calling; we're doing our calling ourselves. When people know you're out there, you've been consistent about the quality of the firm and its people, and clients know who they're doing business with ... it helps.

MFI: Are these deals exclusive? Jones: The strength of our firm has been based on the relationships we've developed. We're not out there just saying, 'Hey, just do business with us because we're a minority-owned firm.' We develop relationships. I would say that the deals we have are somewhat unique. We don't have an exclusive agreement with Morgan Stanley, but we're the only minority firm they're working with in the share class space. I think there are others out there who have multiple relationships. We also have a strong relationship with State Street on the portal side. These are world class firms that could do business with anyone, but they have partnered with us.

I don't think the larger firms are just like, 'Come one, come all and we'll do a partnership.' You've got to court some corporate clients. Especially in the money fund space, gathering assets is key. I think a lot of the larger fund managers are looking at this as a way they can increase assets under management, saying, 'If folks are putting money in these designated share classes, we should look into that.' In our world, we're doing the same thing. That's the name of our game. We're trying to increase the assets, not only in our portal but also in our share class.

There are some funds out there that are sort of stand-alone -- that's all they do in the space. We do feel we're differentiated in that we have experts across the curve in the fixed-income space. This is just one quiver in our arsenal, so we can meet a client's needs wherever they may be. But in particular on the short end, we feel that we are experts there. These are just a couple of the products, the fund portal and the share class, that we can offer to our clients. If they want to go direct, we can help them in managing their short-term liquidity needs.

MFI: What's your biggest priority? Jones: We think we've had a successful launch to our designated share classes with Morgan Stanley. But we just added a charitable donation component to them, because we see that there are some clients that would like to be able to have their assets generate fees to go to a charity. We're working diligently and just announced that we're going to be donating part of our revenue to the United Negro College Fund (UNCF). We feel that their mission aligns with ours. We do see that this is getting traction, that the charitable component is important to a lot of our clients.

But the transparency of exactly what's going to these charities needs to be in the spotlight as well. There are plenty of firms that have funds that have announced things like that, but when you look through the lens and try to find out how much is actually being donated, you really can't find that out. We've announced that we're going to donate 2 basis points of the assets invested directly in our share class to charity. We can help our clients track their ESG-related spending in a clear and straightforward way.

MFI: What are customers saying? Jones: Let me say, they are happy they're getting some income on their cash, that's for sure. There have been a lot of headwinds of late.... It's really hard to get people focused. As you talk about money market reform, people want to keep their ear to what's going on, but nobody really knows exactly what's happening.... I think as we look at, 'What are their priorities?' Capital preservation is key. Liquidity is key, and yield is up there. Now that they're getting more yield, they're getting more interested in what's going on in the marketplace and in where they can put their money for more yield.... So, we're optimistic going into the second half of the year, with full fees being paid, yields rising, etc. We're optimistic about our asset growth.

MFI: What about revenue sharing? Jones: This is a low margin business, so when you start talking about third-party distributors and platforms, the fees start getting chopped up pretty quickly. But I do think that you get the assets on the portal [almost any way you can]. Our model is not about saying 'Let's go to zero and see what we can do.' We want to be fair as we gather assets.... We're not willing to disrupt the marketplace in terms of how business is done. I'm not shy to say, and our clients appreciate, that this is a for-profit business. We've got to be competitive. But it's hard to do business and do good with our charitable component if we're waiving fees.

MFI: Any other thoughts? Jones: The first half of the year was challenging. [In] our portal and money fund business, revenue was down because we had compressed fees. Now we're back to the full fee levels. We're very optimistic as people look at where they can get yield in the short end that our corporate clients will be back in money funds. I do think that there's still money on the sidelines and people are looking for that yield.... We're optimistic that we can move the needle there.

We're also coming from a lower base. You've got $5 trillion in money funds, and less than 1% of those funds are invested in D&I share class funds. Our funds in particular -- we're like $1.3 billion or so in the designated share class -- we feel there's a good opportunity for us to grow our assets.

Aug 10
 

Crane Data's August Money Fund Portfolio Holdings, with data as of July 31, 2022, show Repo (led by Fed repo) jumping yet again while Treasuries continued a deep 6-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $116.1 billion to $4.939 trillion in July, after decreasing $2.6 billion in June, $58.4 billion in May and $55.2 billion in April. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York, which surpassed the U.S. Treasury as the largest "Issuer" two months ago, is now borrowing almost $2.1 trillion from money market funds (the total broke above $2.0 trillion last month). Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics.

Among taxable money funds, Repurchase Agreements (repo) increased $88.7 billion (3.5%) to $2.619 trillion, or 53.0% of holdings, in July, after increasing $128.6 billion in June and $52.5 billion in May. Repo decreased $9.9 billion in April but increased $100.9 billion in March. Treasury securities fell $33.2 billion (-2.3%) to $1.421 trillion, or 28.8% of holdings, after decreasing $72.5 billion in June, $145.4 billion in May, $78.6 billion in April and $79.2 billion in March. Government Agency Debt was up $24.5 billion, or 6.0%, to $430.8 billion, or 8.7% of holdings, after decreasing $14.6 billion in June, increasing $35.1 billion in May, and decreasing $1.0 billion in April. Repo, Treasuries and Agency holdings now total $4.471 trillion, representing a massive 90.5% of all taxable holdings.

Money fund holdings of CP, CDs and Other (mainly Time Deposits) holdings all rose in July. Commercial Paper (CP) increased $15.3 billion (7.2%) to $227.9 billion, or 4.6% of holdings, after decreasing $17.3 billion in June, increasing $5.8 billion in May and decreasing $0.1 billion in April. Certificates of Deposit (CDs) increased $3.6 billion (3.0%) to $122.0 billion, or 2.5% of taxable assets, after decreasing $1.0 billion in June, but increasing $3.4 billion in May and $7.3 billion in April. Other holdings, primarily Time Deposits, increased $17.3 billion (19.0%) to $108.7 billion, or 2.2% of holdings, after decreasing $21.1 billion in June and $4.7 billion in May, but increasing $28.2 billion in April. VRDNs fell to $9.9 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)

Prime money fund assets tracked by Crane Data jumped to $902 billion, or 18.3% of taxable money funds' $4.939 trillion total. Among Prime money funds, CDs represent 13.5% (down from 14.8% a month ago), while Commercial Paper accounted for 25.4% (down from 26.6% in June). The CP totals are comprised of: Financial Company CP, which makes up 17.0% of total holdings, Asset-Backed CP, which accounts for 3.2%, and Non-Financial Company CP, which makes up 5.2%. Prime funds also hold 6.6% in US Govt Agency Debt, 6.0% in US Treasury Debt, 28.9% in US Treasury Repo, 0.3% in Other Instruments, 9.8% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 2.1% in US Government Agency Repo and 0.6% in VRDNs.

Government money fund portfolios totaled $2.781 trillion (56.3% of all MMF assets), up from $2.779 trillion in June, while Treasury money fund assets totaled another $1.257 trillion (25.5%), up from $1.244 trillion the prior month. Government money fund portfolios were made up of 13.4% US Govt Agency Debt, 8.4% US Government Agency Repo, 20.8% US Treasury Debt, 57.1% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 62.7% US Treasury Debt and 37.0% in US Treasury Repo. Government and Treasury funds combined now total $4.038 trillion, or 81.8% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $52.0 billion in July to $397.8 billion; their share of holdings rose to 8.1% from last month's 7.2%. Eurozone-affiliated holdings increased to $278.9 billion from last month's $238.5 billion; they account for 5.7% of overall taxable money fund holdings. Asia & Pacific related holdings jumped higher to $176.6 billion (3.6% of the total) from last month's $170.8 billion. Americas related holdings rose to $4.360 trillion from last month's $4.301 trillion, and now represent 88.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $66.2 billion, or 2.9%, to $2.312 trillion, or 46.8% of assets); US Government Agency Repurchase Agreements (up $21.3 billion, or 9.2%, to $252.9 billion, or 5.1% of total holdings), and Other Repurchase Agreements (up $1.2 billion, or 2.2%, from last month to $54.3 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.0 billion to $152.9 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $2.0 billion to $28.5 billion, or 0.6%), and Non-Financial Company Commercial Paper (up $8.3 billion to $46.6 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of July 31, 2022, include: the Federal Reserve Bank of New York ($2.088T, 42.3%), the US Treasury ($1.421 trillion, or 28.8%), Federal Home Loan Bank ($310.6B, 6.3%), Federal Farm Credit Bank ($104.9B, 2.1%), BNP Paribas ($80.6B, 1.6%), RBC ($70.3B, 1.4%), Fixed Income Clearing Corp ($45.9B, 0.9%), Sumitomo Mitsui Banking Co ($45.0B, 0.9%), JP Morgan ($39.4B, 0.8%), Citi ($35.8B, 0.7%), Credit Agricole ($34.3B, 0.7%), Bank of America ($34.0B, 0.7%), Mitsubishi UFJ Financial Group Inc ($32.6B, 0.7%), Barclays ($31.3B, 0.6%), Toronto-Dominion Bank ($26.8B, 0.5%), Mizuho Corporate Bank Ltd ($26.1B, 0.5%), Bank of Montreal ($24.0B, 0.5%), Canadian Imperial Bank of Commerce ($21.4B, 0.4%), Goldman Sachs ($19.0B, 0.4%) and ING Bank ($17.0B, 0.3%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: ` Federal Reserve Bank of New York ($2.088T, 79.7%), BNP Paribas ($74.3B, 2.8%), RBC ($50.7B, 1.9%), Fixed Income Clearing Corp ($45.9B, 1.8%), JP Morgan ($32.4B, 1.2%), Sumitomo Mitsui Banking Corp ($31.5B, 1.2%), Bank of America ($29.4B, 1.1%), Citi ($27.0B, 1.0%), Mitsubishi UFJ Financial Group Inc ($19.6B, 0.7%) and Barclays PLC ($17.9B, 0.7%) <b:>`_. The largest users of the $2.088 trillion in Fed RRP include: Vanguard Federal Money Mkt Fund ($134.1B), Goldman Sachs FS Govt ($130.4B), Fidelity Govt Money Market ($127.3B), Fidelity Govt Cash Reserves ($115.4B), JPMorgan US Govt MM ($113.3B), Morgan Stanley Inst Liq Govt ($92.8B), Federated Hermes Govt ObI ($79.0B), BlackRock Lq FedFund ($74.0B), Dreyfus Govt Cash Mgmt ($70.0B) and State Street Inst US Govt ($66.5B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($20.4B, 5.3%), RBC ($19.6B, 5.1%), Mizuho Corporate Bank Ltd ($18.7B, 4.8%), Toronto-Dominion Bank ($15.5B, 4.0%), Skandinaviska Enskilda Banken AB ($15.0B, 3.9%), Sumitomo Mitsui Banking Corp ($13.5B, 3.5%), Barclays PLC ($13.4B, 3.5%), Mitsubishi UFJ Financial Group Inc ($13.0B, 3.4%), Canadian Imperial Bank of Commerce ($12.4B, 3.2%) and Bank of Montreal ($12.3B, 3.2%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($11.4B, 9.3%), Credit Agricole ($9.7B, 8.0%), Canadian Imperial Bank of Commerce ($9.1B, 7.5%), Mitsubishi UFJ Financial Group Inc ($8.9B, 7.3%), Toronto-Dominion Bank ($7.3B, 6.0%), Bank of Nova Scotia ($6.2B, 5.1%), Sumitomo Mitsui Trust Bank ($5.7B, 4.7%), Citi ($5.1B, 4.2%), Svenska Handelsbanken ($4.7B, 3.9%) and Nordea Bank ($4.3B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.5B, 7.3%), Bank of Montreal ($8.0B, 4.3%), Toronto-Dominion Bank ($7.6B, 4.1%), JP Morgan ($7.0B, 3.8%), BNP Paribas ($5.2B, 2.8%), National Australia Bank Ltd ($5.2B, 2.8%), Barclays PLC ($5.2B, 2.8%), Svenska Handelsbanken ($4.9B, 2.7%), Macquarie Bank Limited ($4.9B, 2.6%) and Australia & New Zealand Banking Group Ltd ($4.9B, 2.6%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $77.2B to $2.088T), Federal Home Loan Bank (up $29.8B to $310.6B), Credit Agricole (up $15.3B to $34.3B), RBC (up $5.8B to $70.3B), Barclays PLC (up $5.6B to $31.3B), BNP Paribas (up $5.0B to $80.6B), Natixis (up $4.5B to $13.5B), Svenska Handelsbanken (up $4.2B to $12.2B), Societe Generale (up $4.0B to $16.8B) and Rabobank (up $3.8B to $7.5B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the US Treasury (down $33.2B to $1.421T), Fixed Income Clearing Corp (down $21.9B to $45.9B), Goldman Sachs (down $10.0B to $19.0B), Landesbank Baden-Wurttemberg (down $2.8B to $5.0B), Federal Home Loan Mortgage Corp (down $2.0B to $10.6B), National Australia Bank Ltd (down $1.7B to $6.9B), Mizuho Corporate Bank Ltd (down $1.5B to $26.1B), Nordea Bank (down $1.3B to $5.1B), Lloyds Banking Group (down $1.3B to $5.1B) and Sumitomo Mitsui Banking Corp (down $1.2B to $45.0B).

The United States remained the largest segment of country-affiliations; it represents 84.7% of holdings, or $4.186 trillion. Canada (3.5%, $174.3B) was in second place, while France (3.3%, $161.1B) was No. 3. Japan (3.1%, $153.4B) occupied fourth place. The United Kingdom (1.2%, $57.3B) remained in fifth place. Netherlands (0.9%, $43.1B) was in sixth place, followed by Sweden (0.8%, $40.8B) Australia (0.6%, $30.8B), ` Germany <b:>`_ (0.6%, $30.2B) and Switzerland (0.3%, $13.8B). (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 July 31, 2022, Taxable money funds held 64.9% (up from 63.8%) of their assets in securities maturing Overnight, and another 7.0% maturing in 2-7 days (up from 6.9%). Thus, 71.9% in total matures in 1-7 days. Another 6.7% matures in 8-30 days, while 7.4% matures in 31-60 days. Note that over three-quarters, or 86.1% 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 4.7% of taxable securities, while 7.4% matures in 91-180 days, and just 1.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)