Index Data | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Index Name | 7-day net yield (%) | 30-day net yield (%) | WAM(R)--days | Total net assets (bil.) | Credit quality (%) (A-1+/A-1) | |||||||
S&P Global Ratings 'AAAm' euro MMFs | 2.82 | 2.38 | 19 | €127.7 | 69/31 | |||||||
S&P Global Ratings 'AAAm' sterling MMFs | 3.82 | 3.71 | 32 | £232.2 | 68/32 | |||||||
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 4.72 | 4.59 | 20 | $540.6 | 79/21 | |||||||
WAM (R)--Weighted average maturity to reset. |
'AAAm' Money Market Fund Indicators
S&P Global Ratings' 'AAAm' money market fund (MMF) indicators are metrics of Europe-domiciled funds that seek to maintain principal value and limit exposure to principal losses due to credit risk, as defined in our principal stability fund ratings criteria. These MMF indicators provide a benchmarking tool of the 'A-1+' credit quality, portfolio composition, maturity distribution, net asset movements, and yields of MMFs with a 'AAAm' principal stability fund rating (PSFR).
The MMF indicators demonstrate the investment practices of funds conforming to S&P Global Ratings' PSFR criteria. An individual fund's metrics below those of our 'AAAm' MMF indicators may indicate a more conservative approach to investment, while risk metrics well above the average may signal a more aggressive approach, albeit undertaken within the constraints of a 'AAAm' PSFR.
Market Comment
Europe-domiciled MMFs we rate had mixed results during the first quarter of 2023 since those denominated in euro and sterling had outflows of 3.6% and 8.6%, respectively. By contrast, rated U.S. dollar funds saw inflows of 6% from Dec. 31, 2022. Despite the quarter-over-quarter decline, euro and sterling net assets ended 2022 in a position of strength with the highest year-end euro level observed since 2011 and largest year-end balance on record in sterling. U.S. dollar funds continued their momentum, with assets of $540.6 billion as of Mar. 31, 2023, being the largest month-end total recorded since we began tracking quarterly metrics. By comparison, since the first quarter of 2022, MMFs in all three currencies showed asset growth: 12.7% in euro, 3% in sterling, and 14.7% in U.S. dollars.
Central bank interest rates rose steeply in 2022. The hiking cycle continued in the first quarter of 2023 when the European Central Bank, Bank of England (BOE), and U.S. Federal Reserve Bank (the Fed) raised rates in February and March. With interest rates rising, average seven-day net yields of euro, sterling, and U.S. dollar MMFs have hit highs not observed since the global financial crisis. Euro-denominated MMFs ended the quarter with seven-day net yields of 2.82%, sterling MMFs at 3.82%, and U.S. dollar MMFs at 4.72%. With yields reaching multi-decade highs, MMFs remain an attractive investment vehicle for investors looking for stability and liquidity.
In the first quarter, weighted average maturities (WAM) for euro-denominated funds declined, while for sterling and U.S. dollar funds, WAMs increased. Euro-denominated WAMs decreased slightly to 19 days in March from 21 days in December. The WAM of U.S. dollar-denominated funds showed a slight uptick, to 20 days as of Mar. 31, from 18 days in December. The increase in WAM was more substantial in sterling-denominated funds, increasing to 32 days at the end of the quarter from 24 days at the end of December 2022. Increasing WAMs in sterling and U.S. funds may signify that portfolio managers are anticipating the rate hiking cycle by the BOE and the Fed might be coming to an end.
The average exposure to 'A-1+' investments increased across all three currencies in the first quarter of 2023. Euro-denominated funds' credit quality improved 11%, ending the period with 69% of 'A-1+' rated investments; the share of 'A-1+' assets in sterling funds increased 6% to 68%, while U.S. dollar MMFs had 'A-1+' exposure of 79%, an increase of 8% from Dec. 31, 2022.
We consider credit quality to play a key role in the stability of the net asset value (NAV) and view higher-rated assets as reflecting higher price stability. The percentages of 'A-1+' investments in euro, sterling, and U.S. dollar MMFs are well above the 50% minimum threshold for a 'AAAm' rating.
MMFs' use of a high credit quality approach, diversified issuer base, and goal of providing daily liquidity to investors are playing an important role in the investment universe. Each week, we analyze surveillance data, including credit metrics on asset levels, NAV per share, portfolio credit quality, and diversification, duration, and redemption patterns.
Table 1
AAAm' Principal Stability Funds Seven-Day Net Yield (%) | ||||||
---|---|---|---|---|---|---|
Index | Dec. 2021 | Mar. 2022 | Jun. 2022 | Sep. 2022 | Dec. 2022 | Mar. 2023 |
S&P Global Ratings 'AAAm' euro MMFs | (0.76) | (0.62) | (0.52) | 0.53 | 1.59 | 2.82 |
S&P Global Ratings 'AAAm' sterling MMFs | 0.02 | 0.45 | 0.98 | 1.80 | 3.00 | 3.82 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 0.03 | 0.20 | 1.30 | 2.82 | 4.23 | 4.72 |
Table 2
AAAm' Principal Stability Funds Weighted Average Maturity (In Days) | ||||||
---|---|---|---|---|---|---|
Index | Dec. 2021 | Mar. 2022 | Jun. 2022 | Sep. 2022 | Dec. 2022 | Mar. 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 45 | 41 | 28 | 26 | 21 | 19 |
S&P Global Ratings 'AAAm' sterling MMFs | 48 | 35 | 34 | 27 | 24 | 32 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 42 | 29 | 22 | 18 | 18 | 20 |
Table 3
AAAm' Principal Stability Funds 'A-1+' Credit Quality (%) | ||||||
---|---|---|---|---|---|---|
Index | Dec. 2021 | Mar. 2022 | Jun. 2022 | Sep. 2022 | Dec. 2022 | Mar. 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 63 | 64 | 63 | 61 | 58 | 69 |
S&P Global Ratings 'AAAm' sterling MMFs | 63 | 67 | 67 | 72 | 62 | 68 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 75 | 76 | 73 | 75 | 71 | 79 |
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Top 10 European-Domiciled 'AAAm' MMFs--Euro, Sterling, And U.S. Dollar--By Assets--Key Statistics
Table 4
'AAAm' Euro Principal Stability Funds | ||||||||||||
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Rating | Fund name | Net assets (mil. €) | --Portfolio maturity (days)-- | Portfolio credit quality (%) | ||||||||
WAM (R) | WAM (F) | A-1+ | ||||||||||
AAAm | Institutional Cash Series plc - BlackRock ICS Euro Liquidity Fund | 41,409 | 15 | 37 | 74 | |||||||
AAAm | BNP Paribas Insticash EUR 1D | 18,121 | 46 | 75 | 61 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs Euro Liquid Reserves Fund | 17,624 | 7 | 15 | 75 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC Euro Liquidity Fund | 11,407 | 5 | 47 | 63 | |||||||
AAAm | MS Liquidity Funds - Euro Liquidity Fund | 10,210 | 12 | 23 | 69 | |||||||
AAAm | DWS Deutsche Global Liquidity Series PLC - Deutsche Managed Euro Fund | 8,149 | 17 | 20 | 56 | |||||||
AAAm | State Street Liquidity plc - State Street EUR Liquidity LVNAV Fund | 5,484 | 17 | 40 | 64 | |||||||
AAAm | Aberdeen Standard Liquidity Fund (Lux) - Euro Fund | 4,417 | 28 | 30 | 64 | |||||||
AAAm | Insight Liquidity Funds PLC - ILF EUR Liquidity Fund | 2,904 | 20 | 19 | 71 | |||||||
AAAm | Northern Trust Global Funds PLC - The Euro Liquidity Fund | 2,318 | 20 | 30 | 63 | |||||||
WAM (R)--Weighted average maturity to rest. WAM (F)--Weighted average maturity to final. |
Table 5
'AAAm' Sterling Principal Stability Funds | ||||||||||||
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Rating | Fund name | Net assets (mil. £) | --Portfolio maturity (days)-- | Portfolio credit quality (%) | ||||||||
WAM (R) | WAM (F) | A-1+ | ||||||||||
AAAm | LGIM Liquidity Funds PLC - LGIM Sterling Liquidity Fund | 41,659 | 39 | 54 | 64 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS Sterling Liquidity Fund | 41,414 | 39 | 46 | 71 | |||||||
AAAm | Insight Liquidity Funds PLC - ILF GBP Liquidity Fund | 25,328 | 35 | 39 | 75 | |||||||
AAAm | Aviva Investors Liquidity Funds PLC - Aviva Investors Sterling Liquidity Fund | 17,849 | 39 | 62 | 61 | |||||||
AAAm | JPMorgan Liquidity Funds - GBP Liquidity LVNAV Fund | 14,929 | 26 | 44 | 68 | |||||||
AAAm | Aberdeen Standard Liquidity Fund (Lux) - Sterling Fund | 13,745 | 41 | 49 | 70 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs Sterling Liquid Reserves Fund | 13,388 | 21 | 25 | 70 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC Sterling Liquidity Fund | 11,924 | 20 | 37 | 62 | |||||||
AAAm | Northern Trust Global Funds PLC - The Sterling Fund | 9,255 | 29 | 38 | 62 | |||||||
AAAm | DWS Deutsche Global Liquidity Series PLC - Deutsche Managed Sterling Fund | 7,194 | 42 | 56 | 69 | |||||||
WAM (R)--Weighted average maturity to rest. WAM (F)--Weighted average maturity to final. |
Table 6
'AAAm' U.S. Dollar Principal Stability Funds (EU-Domiciled) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Rating | Fund name | Net assets (mil. $) | --Portfolio maturity (days)-- | Portfolio credit quality (%) | ||||||||
WAM (R) | WAM (F) | A-1+ | ||||||||||
AAAm | JPMorgan Liquidity Funds - USD Liquidity LVNAV Fund | 109,897 | 26 | 52 | 69 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs US$ Treasury Liquid Reserves Fund | 61,811 | 3 | 14 | 94 | |||||||
AAAm | JPMorgan Liquidity Funds - USD Treasury CNAV Fund | 55,415 | 1 | 8 | 94 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS US Dollar Liquidity Fund | 53,187 | 33 | 45 | 73 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs US$ Liquid Reserves Fund | 41,266 | 32 | 71 | 81 | |||||||
AAAm | MS Liquidity Funds - US Dollar Liquidity Fund | 37,214 | 25 | 38 | 69 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC US Dollar Liquidity Fund | 34,389 | 28 | 49 | 83 | |||||||
AAAm | State Street Liquidity plc - State Street USD Liquidity LVNAV Fund | 22,622 | 19 | 62 | 65 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS US Treasury Fund | 18,463 | 2 | 8 | 100 | |||||||
AAAm | BNY Mellon Liquidity Funds, PLC - BNY Mellon U.S. Treasury Fund | 15,674 | 2 | 2 | 96 | |||||||
WAM (R)--Weighted average maturity to rest. WAM (F)--Weighted average maturity to final. |
This report does not constitute a rating action.
Primary Credit Analyst: | Michael Mango, London + 44 (0) 207 176 048; michael.mango1@spglobal.com |
Secondary Contact: | Andrew Paranthoiene, London +44 20 7176 8416; andrew.paranthoiene@spglobal.com |
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