The latest monthly "Portfolio Holdings of Taxable Money Market Funds" report released by the Investment Company Institute shows money funds increasing their Repurchase Agreement holdings and reducing their Commercial Paper, Treasury Bills, Certificates of Deposit, and Government Agency Securities. ICI's report also shows Weighted Average Maturities continue to shorten and its "Trends in Mutual Fund Investing April 2010" shows money fund assets declined by $125.9 billion, or 4.2%, in April to $2.858 trillion.
ICI's weekly asset series, though, shows money fund assets rising for the second time in two weeks, and Crane Data's Money Fund Intelligence Daily shows WAMs have continued to get even shorter in May ahead of today's deadline for the SEC's Money Market Fund Reform portfolio and liquidity rule changes. As of today, money funds must begin holding 10 percent in Treasury securities and/or securities maturing in one day and must begin holding 30 percent (this includes the daily 10 percent too) in Treasury, government discount and/or securities maturing in 7 days. Funds must also hold lower "Second Tier" (3 percent total) and illiquid security (5 percent) limits and must adhere to a number of other new rules. (See the SEC s "Money Market Fund Reform: Final Rule" here.)
ICI's Average Maturity figures show taxable AMs (or WAMs) at 44 days in April, down from 46 in March and down from 50 days a year ago. Our Crane 100 Money Fund Index, an average of the 100 largest taxable money funds, shows AMs declining to 39 days -- their lowest level since December 2007. Our broader Crane Money Fund Average, which tracks 868 taxable funds, has declined to 37 days from a peak of 49 days in October 2009. Though the SEC's new WAM and WAL (weighted average life) rules don't go into effect until the end of June, the new liquidity mandates, coupled with higher rates and European troubles, have clearly caused funds to shorten their leashes. (Our MFI XLS product shows the percent of securities maturing in 7 days for funds averaging 42 percent for all taxable funds and 39 for our Crane 100.)
Money funds also continued to add Repo ahead of the dawn of the new 10% daily liquidity and 30% weekly liquidity requirements. ICI's monthly stats (available to subscribers only) show taxable money fund repo holdings rising to $470.0 billion, or 18.8%, of assets. Funds still hold more CDs, though this segment shrunk by $34.4 billion in April to $572.9 billion, or 22.5% of assets. (We've estimated that Europe-affiliated CDs represent about half of this total, though that number has likely decreased of late.) Money funds also reduced CP by $47.2 billion to $410.3 billion (16.4%), reduced Treasuries by $36.7 billion to $345.9 billion (13.8%), and reduced Government Agencies by $29.0 billion to $445.8 billion (17.8%).
Though assets have fallen sharply year-to-date, down by $444 billion, or 13.5% through Wednesday, the European correction appears to have temporarily stauched the outflows from cash. Their latest weekly report says, "Total money market mutual fund assets increased by $4.92 billion to $2.849 trillion for the week ended Wednesday, May 26, the Investment Company Institute reported today. Taxable government funds increased by $4.45 billion, taxable non-government funds increased by $2.84 billion, and tax-exempt funds decreased by $2.37 billion."
