Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of April 12) includes Holdings information from 70 money funds (up 9 from two weeks ago), or $3.129 trillion (up from $2.941 trillion) of the $6.407 trillion in total money fund assets (or 48.8%) tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website. See our latest Monthly Money Fund Portfolio Holdings here and our April 10 News, "April Money Fund Portfolio Holdings: Repo Rises, Treasuries, TDs Fall.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Treasuries totaling $1.450 trillion (up from $1.432 trillion two weeks ago), or 46.4%; Repurchase Agreements (Repo) totaling $1.146 trillion (up from $1.017 trillion two weeks ago), or 36.6%, and Government Agency securities totaling $272.8 billion (up from $251.1 billion), or 8.7%. Commercial Paper (CP) totaled $91.3 billion (down from two weeks ago at $92.0 billion), or 2.9%. Certificates of Deposit (CDs) totaled $70.3 billion (up from $69.6 billion two weeks ago), or 2.2%. The Other category accounted for $66.3 billion or 2.1%, while VRDNs accounted for $31.6 billion, or 1.0%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.450 trillion (46.4% of total holdings), Fixed Income Clearing Corp with $260.6B (8.3%), Federal Home Loan Bank with $206.1B (6.6%), the Federal Reserve Bank of New York with $115.6 billion (3.7%), BNP Paribas with $81.7B (2.6%), RBC with $76.6B (2.4%), JP Morgan with $75.4B (2.4%), Citi with $72.6B (2.3%), Federal Farm Credit Bank with $63.7B (2.0%) and Bank of America with $49.2B (1.6%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($249.0B), Goldman Sachs FS Govt ($223.6B), JPMorgan 100% US Treas MMkt ($199.3B), Fidelity Inv MM: Govt Port ($197.8B), Morgan Stanley Inst Liq Govt ($142.8B), BlackRock Lq FedFund ($142.3B), State Street Inst US Govt ($138.3B), Fidelity Inv MM: MM Port ($126.0B), BlackRock Lq Treas Tr ($114.0B) and Allspring Govt MM ($113.0B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
In related news, J.P. Morgan published "March MMF holdings update: shifting into reverse," which states, "March generally saw MMF AUMs rise further, though they dropped considerably at month-end due to the Good Friday holiday. As in prior years, corporates tend to pull cash out of MMFs in the day leading up to Good Friday (given that it's a holiday in the bond markets but not elsewhere) and redeposit the proceeds the day after. Indeed, cash flowed back into MMFs on April 1 and 2, when AUMs reached a new high of $6.41tn, a $238bn increase YTD."
It continues, "In any case, government MMFs ended the month down by more than $70bn from February. The quarter-end gave way to a $97bn drop in their Treasury and Agency repo, a $71bn drop in their bill holdings, and a $77bn increase in their RRP balances.... This shift is not surprising -- even as total bill outstandings rose by $52bn in March, it seems many funds reached their capacity for bill absorption, as a majority of MMFs sat at WAMs of above 35d and held under $15bn in RRP in March, with some funds decreasing their WAMs since February-end."
JPM explains, "To that effect, growing uncertainty on the path of monetary policy might have inspired a degree of portfolio shortening. Indeed, government funds reduced bill holdings in the >2m space (-$141bn) but increased holdings of bills maturing within 30 days by $66bn month-over-month.... Furthermore, looking at how WAMs behaved during the peaks of historical hiking cycles, government WAMs might not extend beyond their February-end highs of 38 days in the near term; in fact, they've come back down to about 35 days as of 4/11/24.... We're unlikely to see WAMs meaningfully surpass these levels until the Fed signals that rate cuts are imminent."
They write, "On the prime fund side, AUMs were relatively stable month-over-month as funds shifted out of CDs and TD and into repo and Treasuries, though they only picked up about $14bn in T-bills (versus $50bn in February and January). Somewhat notably, they kept their Fed ON RRP balances relatively steady. Institutional prime funds in particular have been gradually increasing their WLA (weekly liquid assets) over the course of this year, now averaging 73%. This shift to more liquid portfolios can be attributed to MMF reform deadlines, with the new 25%/50% DLA/WLA threshold requirements having come into effect earlier this month and with uncertainty over potential outflows as the new liquidity fee framework comes into play in October."
The piece adds, "The Fed's ON RRP balance in total rose to $594bn on 3/28, a $92bn step up from where it ended in February.... Paired with the fact that balances largely remained within the $400-500bn range over March, never falling below $410bn, it is clear balances are keeping sticky as MMF bill pickup has waned/reversed and as Fed uncertainty has lingered. In April, with net bill issuance turning negative, it is likely MMFs T-bill holdings will continue to come down. And considering that headline and core CPI each came in above expectations at +0.4% for March ..., which led markets to push back rate cut expectations, MMF portfolio shortening could likely be a continued theme this month, and RRP balances should stay elevated in the near term."
Finally, money fund yields fell to 5.12% on average (as measured by our Crane 100 Money Fund Index) in the week ended April 12, after going unchanged two weeks prior. Our Crane 100 is an average of 7-day yields for the 100 largest taxable money funds. Yields were 5.14% on 3/31 and 2/29/24, 5.17% on 1/31/24, 5.20% on 12/31/23, 4.94% on 6/30/23, 4.61% on 3/31/23 and 4.05% on 12/31/22. The vast majority of money market fund assets now yield 5.0% or higher. Assets of money market funds fell by $98.3 billion last week to $6.407 trillion according to Crane Data's Money Fund Intelligence Daily. Weighted average maturities were unchanged last week.
The broader Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 712), shows a 7-day yield of 5.02%, down 2 bps in the week through Friday. Prime Inst MFs were down 2 bps at 5.22% in the latest week. Government Inst MFs were down 2 bps at 5.10%. Treasury Inst MFs were down 2 bps at 5.05%. Treasury Retail MFs currently yield 4.84%, Government Retail MFs yield 4.82%, and Prime Retail MFs yield 5.03%, Tax-exempt MF 7-day yields were up 1 bp at 3.22%.
According to Monday's Money Fund Intelligence Daily, with data as of Friday (4/12), 19 money funds (out of 833 total) yield under 3.0% with $1.2 billion in assets, or 0.0%; 106 funds yield between 3.00% and 3.99% ($129.4 billion, or 2.0%), 255 funds yield between 4.0% and 4.99% ($1.333 trillion, or 20.8%) and 453 funds now yield 5.0% or more ($4.944 trillion, or 77.2%).
Our Brokerage Sweep Intelligence Index, an average of FDIC-insured cash options from major brokerages, was unchanged at 0.61%. The latest Brokerage Sweep Intelligence, with data as of Apr. 12, shows that there was no changes over the past week. Three of the 11 major brokerages tracked by our BSI still offer rates of 0.01% for balances of $100K (and lower tiers). These include: E*Trade, Merrill Lynch and Morgan Stanley.
