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 | 3.41 | 3.18 | 27 | €140.2 | 59/41 | |||||||
S&P Global Ratings 'AAAm' sterling MMFs | 4.41 | 4.23 | 33 | £217.6 | 64/36 | |||||||
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 5.12 | 5.06 | 26 | $537.7 | 74/26 | |||||||
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
In the second quarter of 2023, there was renewed demand for rated European-domiciled MMFs denominated in euros, with net assets increasing 9.8% to €140.2 billion. Net assets for sterling-denominated MMFs declined by 6.3% to £217.6 billion, which followed a fall of 8.6% in the first quarter. Asset declines across sterling MMFs can perhaps be partly attributed to redeployment of funds to other asset classes following the October 2022 peak after the U.K. released its mini-budget in September 2022. U.S. dollar-denominated funds saw a modest outflow of 0.55% during the quarter to $537.7 billion. We note that U.S.-dollar MMFs ended the first quarter of 2023 with the largest month-end total since we began tracking quarterly risk metrics. When comparing the second quarter of 2023 to this time last year, net assets across all three currencies are up, with euros 37.8% higher, sterling 3.8%, and U.S. dollar MMFs up 10.5%.
MMFs seven-day net yields continued to benefit from central bank policy, as yields strengthened in all three currencies in during the quarter. In the second quarter of 2023, the European Central Bank (ECB) and the Bank of England (BOE) each raised rates at their policy meetings. The U.S. Federal Reserve (the Fed) raised rates for a 10th consecutive time in May, before committee members voted to pause the campaign of monetary tightening at their June meeting. Seven-day net yields in euro MMFs averaged 3.4%, in sterling MMFs 4.4%, and in U.S.-dollar MMFs 5.1%. As yields stand in this interest rate environment, MMFs are an attractive asset class for investors that are not only looking for returns, but also liquidity and stability.
Weighted average maturities (WAM) for euro-denominated funds lengthened for funds in all three currencies. Euro MMFs saw the biggest jump in WAM, as maturities moved to 27 days at the end of June from 19 days in March. The WAM of sterling funds saw only a slight increase, to 33 days from 32 days, while the WAM extension was more pronounced in U.S.-dollar MMFs, increasing to 26 days as of June 30, 2023, from 20 in the first quarter. The increase in WAM across the three currencies may indicate that portfolio managers are finding value farther out on the yield curve, since markets are expecting central banks' policy tightening to pause at the end of this year.
Average 'A-1+' asset quality declined across all three currencies during the quarter, albeit staying well above the 50% minimum for a 'AAAm' PSFR. The share of 'A-1+' credit quality assets in euro MMFs reduced to 59% from 69% as of June 30, 2023. For sterling MMFs, 'A-1+' credit quality averaged 64%, 4% lower than the March number, and for U.S.-dollar MMFs, the proportion went to 74% from 79%. 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. 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 | September 2022 | December 2022 | March 2023 | June 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 0.53 | 1.59 | 2.82 | 3.41 |
S&P Global Ratings 'AAAm' sterling MMFs | 1.80 | 3.00 | 3.82 | 4.41 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 2.82 | 4.23 | 4.72 | 5.12 |
Table 2
AAAm' Principal Stability Funds Weighted Average Maturity (In Days) | ||||
---|---|---|---|---|
Index | September 2022 | December 2022 | March 2023 | June 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 26 | 21 | 19 | 27 |
S&P Global Ratings 'AAAm' sterling MMFs | 27 | 24 | 32 | 33 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 18 | 18 | 20 | 26 |
Table 3
AAAm' Principal Stability Funds 'A-1+' Credit Quality (%) | ||||
---|---|---|---|---|
Index | September 2022 | December 2022 | March 2023 | June 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 61 | 58 | 69 | 59 |
S&P Global Ratings 'AAAm' sterling MMFs | 72 | 62 | 68 | 64 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 75 | 71 | 79 | 74 |
Chart 1
Chart 2
Chart 3
Chart 4
Chart 5
Chart 6
Chart 7
Chart 8
Top 10 Europe-Domiciled 'AAAm' MMFs--Euro, Sterling, And U.S. Dollar--By Assets--Key Statistics
Table 4
'AAAm' Euro Principal Stability Funds | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | 45,719 | 35 | 53 | 54 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs Euro Liquid Reserves Fund | 20,103 | 17 | 27 | 61 | |||||||
AAAm | BNP Paribas Insticash EUR 1D | 19,575 | 49 | 80 | 58 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC Euro Liquidity Fund | 13,011 | 9 | 54 | 54 | |||||||
AAAm | MS Liquidity Funds - Euro Liquidity Fund | 11,177 | 18 | 36 | 65 | |||||||
AAAm | DWS Deutsche Global Liquidity Series PLC - Deutsche Managed Euro Fund | 8,882 | 25 | 33 | 57 | |||||||
AAAm | State Street Liquidity plc - State Street EUR Liquidity LVNAV Fund | 5,952 | 30 | 49 | 59 | |||||||
AAAm | Aberdeen Standard Liquidity Fund (Lux) - Euro Fund | 3,833 | 29 | 29 | 71 | |||||||
AAAm | Insight Liquidity Funds PLC - ILF EUR Liquidity Fund | 3,190 | 31 | 31 | 82 | |||||||
AAAm | Northern Trust Global Funds PLC - The Euro Liquidity Fund | 2,502 | 22 | 35 | 59 | |||||||
WAM (R)--Weighted average maturity to rest. WAM (F)--Weighted average maturity to final. |
Table 5
'AAAm' Sterling Principal Stability Funds | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 Sterling Liquidity Fund | 38,508 | 37 | 66 | 68 | |||||||
AAAm | LGIM Liquidity Funds PLC - LGIM Sterling Liquidity Fund | 30,624 | 34 | 64 | 58 | |||||||
AAAm | Insight Liquidity Funds PLC - ILF GBP Liquidity Fund | 23,524 | 39 | 49 | 68 | |||||||
AAAm | Aviva Investors Liquidity Funds PLC - Aviva Investors Sterling Liquidity Fund | 17,908 | 39 | 74 | 51 | |||||||
AAAm | Aberdeen Standard Liquidity Fund (Lux) - Sterling Fund | 15,381 | 53 | 55 | 66 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs Sterling Liquid Reserves Fund | 14,394 | 31 | 36 | 66 | |||||||
AAAm | JPMorgan Liquidity Funds - GBP Liquidity LVNAV Fund | 14,302 | 26 | 62 | 67 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC Sterling Liquidity Fund | 11,821 | 21 | 44 | 62 | |||||||
AAAm | DWS Deutsche Global Liquidity Series PLC - Deutsche Managed Sterling Fund | 7,804 | 50 | 80 | 65 | |||||||
AAAm | Northern Trust Global Funds PLC - The Sterling Fund | 7,340 | 33 | 50 | 59 | |||||||
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. $) | --Portfolio maturity (days)-- | Portfolio credit quality (%) | ||||||||
WAM (R) | WAM (F) | A-1+ | ||||||||||
AAAm | JPMorgan Liquidity Funds - USD Liquidity LVNAV Fund | 106,034 | 33 | 59 | 61 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs US$ Treasury Liquid Reserves Fund | 62,332 | 11 | 29 | 96 | |||||||
AAAm | JPMorgan Liquidity Funds - USD Treasury CNAV Fund | 60,190 | 7 | 13 | 93 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS US Dollar Liquidity Fund | 51,933 | 33 | 62 | 66 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs US$ Liquid Reserves Fund | 38,855 | 50 | 71 | 71 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC US Dollar Liquidity Fund | 35,190 | 34 | 62 | 64 | |||||||
AAAm | MS Liquidity Funds - US Dollar Liquidity Fund | 34,945 | 35 | 74 | 67 | |||||||
AAAm | State Street Liquidity plc - State Street USD Liquidity LVNAV Fund | 22,302 | 26 | 70 | 55 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS US Treasury Fund | 19,965 | 13 | 23 | 100 | |||||||
AAAm | BNY Mellon Liquidity Funds, PLC - BNY Mellon U.S. Treasury Fund | 13,673 | 10 | 10 | 95 | |||||||
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 0485; michael.mango1@spglobal.com |
Secondary Contact: | Andrew Paranthoiene, London +44 20 7176 8416; andrew.paranthoiene@spglobal.com |
No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.