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 | 3.81 | 3.88 | 33 | € 200.0 | 60/40 | |||||||
S&P Global Ratings 'AAAm' sterling MMFs | 5.23 | 5.22 | 34 | £219.5 | 64/36 | |||||||
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 5.35 | 5.35 | 40 | $612.0 | 75/25 | |||||||
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 rated by S&P Global Ratings reached an all-time high in terms of assets under management (AUM) as of Dec. 31, 2023, totalling €1.01 trillion (about $1.11 trillion). Net assets in euro and U.S. dollar-denominated funds had also peaked as of year-end 2023. Euro MMF assets reached €200 billion, up 40% in the fourth quarter and up 51% from the end of 2022. One fund added €25.1 billion of AUM to this index during the quarter. Yet even without the inclusion of this fund, assets would have still increased significantly. Net assets in U.S. dollar MMFs totalled $611.9 billion in December, up 5.3% from the third quarter and 20.0% year over year. Although sterling-denominated assets were down 13.9% versus the figure on Dec. 31, 2022, AUM was up 6.2% from the third quarter at £219.5 billion.
The interest rate hiking cycle appears to have come to an end, as committee members of the European Central Bank (ECB), Bank of England (BOE), and the U.S. Federal Reserve (the Fed) all voted to hold rates during their monetary policy meetings in the fourth quarter. Despite this, MMF yields continued to rise during that quarter. Seven-day yields on euro MMFs averaged 3.81%, in sterling MMFs 5.23%, and in U.S. dollar-denominated funds 5.35%.
Since interest rate cuts are on the horizon in 2024, it will be interesting to see whether more investors will place their cash in MMFs rather than bank deposits. In anticipation of such a trend, portfolio managers typically extend portfolio credit and duration attributes to lock in higher yields. Investors may see MMFs as an alternative option for additional yield, while still getting the liquidity, diversification, and safety of principal of managed MMFs.
Weighted-average maturities (WAM) increased in euro and U.S. dollar-denominated funds, while that for sterling funds remained the same at 34 days. The WAM for U.S. dollar funds lengthened more significantly, to 40 days from 30, while for euro-denominated funds the increase was modest, to 33 days from 32 days in the third quarter. With the rate hiking cycle currently paused, and cuts expected through 2024, we could see different duration strategies being implemented this year instead of the central bank's meeting-to-meeting approach we observed in 2023.
We consider credit quality to be a key factor in the stability of net asset value (NAV) and view the price of higher-rated assets as more stable than investments with lower ratings. Euro-denominated MMFs saw average 'A-1+' credit quality increase to 60% from 58%. Average 'A-1+' credit quality in U.S. dollar funds was flat at 75% in the fourth quarter of 2023, while average 'A-1+' credit quality of sterling MMFs decreased slightly to 64% from 65%. As of year-end 2023, 'A-1+' credit quality in Europe-domiciled MMFs was well above the 50% minimum requirement for 'AAAm' rated funds.
Each week, we analyze the surveillance data, including credit metrics on asset levels, NAV per share, credit quality, diversification, duration, and redemption patterns. All the Europe-domiciled funds continue to meet our criteria metrics and we affirmed our 'AAAm' ratings during 2023.
Table 1
'AAAm' Principal Stability Funds Seven-Day Net Yield (%) | ||||
---|---|---|---|---|
Index | March 2023 | June 2023 | September 2023 | December 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 2.82 | 3.41 | 3.64 | 3.81 |
S&P Global Ratings 'AAAm' sterling MMFs | 3.82 | 4.41 | 4.96 | 5.23 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 4.72 | 5.12 | 5.32 | 5.35 |
Table 2
'AAAm' Principal Stability Funds Weighted Average Maturity (In Days) | ||||
---|---|---|---|---|
Index | March 2023 | June 2023 | September 2023 | December 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 19 | 27 | 32 | 33 |
S&P Global Ratings 'AAAm' sterling MMFs | 32 | 33 | 34 | 34 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 20 | 26 | 30 | 40 |
Table 3
'AAAm' Principal Stability Funds 'A-1+' Credit Quality (%) | ||||
---|---|---|---|---|
Index | March 2023 | June 2023 | September 2023 | December 2023 |
S&P Global Ratings 'AAAm' euro MMFs | 69 | 59 | 58 | 60 |
S&P Global Ratings 'AAAm' sterling MMFs | 68 | 64 | 65 | 64 |
S&P Global Ratings 'AAAm' U.S. dollar MMFs | 79 | 74 | 75 | 75 |
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Top 10 Europe-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 | 58,980 | 26 | 54 | 59 | |||||||
AAAm | JPMorgan Liquidity Funds - EUR Liquidity LVNAV Fund | 25,223 | 31 | 52 | 66 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs Euro Liquid Reserves Fund | 25,059 | 26 | 28 | 58 | |||||||
AAAm | BNP Paribas Insticash EUR 1D | 21,627 | 55 | 82 | 55 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC Euro Liquidity Fund | 17,809 | 20 | 63 | 58 | |||||||
AAAm | MS Liquidity Funds - Euro Liquidity Fund | 14,681 | 37 | 61 | 56 | |||||||
AAAm | DWS Deutsche Global Liquidity Series PLC - Deutsche Managed Euro Fund | 11,039 | 39 | 66 | 58 | |||||||
AAAm | State Street Liquidity plc - State Street EUR Liquidity LVNAV Fund | 6,845 | 36 | 53 | 58 | |||||||
AAAm | Fidelity Institutional Liquidity Fund PLC - The Euro Fund | 3,283 | 43 | 60 | 64 | |||||||
AAAm | Aberdeen Standard Liquidity Fund (Lux) - Euro Fund | 3,268 | 41 | 63 | 62 | |||||||
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 | Institutional Cash Series plc - BlackRock ICS Sterling Liquidity Fund | 38,580 | 37 | 55 | 64 | |||||||
AAAm | LGIM Liquidity Funds PLC - LGIM Sterling Liquidity Fund | 36,971 | 33 | 59 | 64 | |||||||
AAAm | Insight Liquidity Funds PLC - ILF GBP Liquidity Fund | 20,914 | 32 | 46 | 75 | |||||||
AAAm | Aviva Investors Liquidity Funds PLC - Aviva Investors Sterling Liquidity Fund | 16,979 | 35 | 60 | 51 | |||||||
AAAm | JPMorgan Liquidity Funds - GBP Liquidity LVNAV Fund | 14,140 | 35 | 56 | 64 | |||||||
AAAm | Aberdeen Standard Liquidity Fund (Lux) - Sterling Fund | 13,206 | 36 | 60 | 64 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs Sterling Liquid Reserves Fund | 12,753 | 28 | 30 | 63 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC Sterling Liquidity Fund | 11,669 | 25 | 42 | 59 | |||||||
AAAm | Northern Trust Global Funds PLC - The Sterling Fund | 8,296 | 29 | 49 | 62 | |||||||
AAAm | Federated Hermes Short-Term Sterling Prime Fund | 7,305 | 49 | 75 | 56 | |||||||
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. $) | --Portfolio maturity (days)-- | Portfolio credit quality (%) | ||||||||
WAM (R) | WAM (F) | A-1+ | ||||||||||
AAAm | JPMorgan Liquidity Funds - USD Liquidity LVNAV Fund | 121,890 | 49 | 62 | 64 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS US Dollar Liquidity Fund | 70,757 | 40 | 48 | 71 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs US$ Treasury Liquid Reserves Fund | 63,263 | 58 | 75 | 100 | |||||||
AAAm | JPMorgan Liquidity Funds - USD Treasury CNAV Fund | 61,637 | 49 | 60 | 98 | |||||||
AAAm | HSBC Global Liquidity Funds PLC - HSBC US Dollar Liquidity Fund | 44,950 | 49 | 59 | 65 | |||||||
AAAm | MS Liquidity Funds - US Dollar Liquidity Fund | 42,887 | 55 | 80 | 59 | |||||||
AAAm | Goldman Sachs Funds, plc - Goldman Sachs US$ Liquid Reserves Fund | 37,225 | 54 | 62 | 70 | |||||||
AAAm | State Street Liquidity plc - State Street USD Liquidity LVNAV Fund | 28,499 | 46 | 67 | 59 | |||||||
AAAm | Institutional Cash Series plc - BlackRock ICS US Treasury Fund | 24,697 | 33 | 56 | 100 | |||||||
AAAm | Northern Trust Global Funds PLC - The US Dollar Fund | 14,221 | 35 | 58 | 53 | |||||||
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 2071760485; michael.mango1@spglobal.com |
Secondary Contact: | Andrew Paranthoiene, London +44 20 7176 8416; andrew.paranthoiene@spglobal.com |
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