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Flows, Futures & Liquidity Live Dashboard

By Wadsworth Sykes and Tarek Saed

This live chart pack tracks the ever-evolving financial situation during COVID-19, with a focus on high-frequency data across flows, futures, and liquidity.

All charts are automatically updated as new data is released.

Flows

Money poured out of both Equity & Bond funds the week of March 16th, with over $100 billion in outflows which was the largest ever 1-week redemption.

Mutual fund flows - net new cash

Composition of negative fund flows over a rolling 1-month period.

Long-term mutual fund flows - net new cash

The net issuance of ETF shares is down on a seasonal basis for both Bond & Equities funds.

Net issuance of shares ETFs bond funds
Net issuance of shares ETFs - equity funds

Futures

The dashboard below examines the CFTC COT report on a daily basis.  The rolling 3-year z-score of the net position of each asset highlights the assets that are the most long and short relative to the last 3 years.  

Financial futures

FX Futures

CFTC positioning and spot value

Shanghai Futures Exchange data shows a decline for every commodity besides gold on a year to date basis.  

Shanghai Futures Exchange
NYMEX Brent crude oil futures

Liquidity

American businesses flocked to the loan market to sure up liquidity concerns.  The weekly increase of 7.4% is the highest on record.

U.S. commercial and industrial loans

Liquidity swaps rose alongside currency in circulation within the United States.

U.S. central bank liquidity swaps
Currency in circulation in the U.S.

YoY M2 growth as a percentage of GDP (including Money Market funds) outpaced M1 growth by over 2 percentage points.

U.S. monetary aggregates

Assets in money market mutual funds rose past its 2008 peak.

The money market is maintained by major asset managers with the goal of investing in short-term debt issued by the federal government, other government agencies, and companies.

The expectation, of both retail and institutional investors, is that they will get their investments back with a return that tends to be a little better than bank accounts.

These funds are regarded as a crucial source of financing for corporations and are less risky than other forms of debt investment. With the Fed’s ultimate support of emergency loans to help money market mutual funds, assets in open-end money market funds have seen the biggest week over week increase since, well, ever.

Assets in U.S. money market funds

There are three main categories regarding open-ended money market funds.

  • Prime funds, which are a key resource of short-term lending to a copious amount of U.S companies (including banks)
  • Tax-exempt funds that focus primarily on municipals
  • Taxable government funds, which are those that focus on short-term government securities, such as treasuries

Composition of open-ended money market funds as a percent of total AUM (U.S.)

Composition of open-ended money market funds as a percent of total AUM (U.S.)

The latest sentiment from the Federal Reserve has investors converging towards the funds that hold government securities, while extracting money from prime funds to invest in safer and more liquid assets, such as cash.

Large withdrawals from prime funds limit the amount of commercial paper managers can purchase, leading to fewer short-term “rep” loans and causing firms to lose a critical source of financing.

The Federal Reserve has established loans that financial institutions can adopt to support the purchase of commercial paper and other assets from the prime money market funds.

Contributions to U.S. AUM growth
Commercial paper outstanding U.S.
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