The Investment Company Institute released its "Money Market Fund Holdings" report for November, which tracks the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds (as of Oct. 31, 2014). ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets" table shows Prime Money Market Funds' Daily liquid assets at 25.8% as of November 30, 2014, down from 26.4% on Oct. 31. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 22.2% (vs. 22.3% last month) and "Other treasury securities," which added 3.6% (down from 3.6% last month). Prime funds' Weekly liquid assets totaled 37.8% (vs. 38.4% last month), which was made up of "All securities maturing within 5 days" (32.9% vs. 33.5% in October), Other treasury securities (3.4% vs. 4.1% in October), and Other agency securities (1.5% vs. 0.9% a month ago). (See also our previous Money Fund Portfolio Holdings story, Crane Data's Dec. 10 News, "Dec. Portfolio Holdings Show Spike in Agencies, CDs, Repo; Drop in TDs.")
Government Money Market Funds' Daily liquid assets totaled 60.7% as of Nov. 30 vs. 60.5% in October. All securities maturing within 1 day totaled 27.8% vs. 26.2% last month. Other treasury securities added 32.9% (vs. 34.2% in October). Weekly liquid assets totaled 78.2% (vs. 77.3%), which was comprised of All securities maturing within 5 days (37.8% vs. 37.3%), Other treasury securities (31.2% vs. 32.8%), and Other agency securities (9.2% vs. 7.2%).
ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 41.8% in the Americas (vs. 41.2% last month), 20.5% in Asia Pacific (vs. 20.5%), 37.5% in Europe (vs. 38.0%), and 0.3% in Other and Supranational (same as last month). Government Money Market Funds held 86.3% in the Americas (vs. 86.6% last month), 0.6% in Asia Pacific (vs. 0.9%), 13.1% in Europe (vs. 12.5%), and 0.0% in Supranational (vs. 0.0%).
The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 46 days as of November 30 vs. 46 days in October. WALs were at 80 days, up from 79 last month. Government MMFs' WAMs was at 46 days, down from 48 days last month, while WALs was at 76 days from 77 days. ICI's release explains, "Each month, ICI reports numbers based on the Securities and Exchange Commission's Form N-MFP data, which many fund sponsors provide directly to the Institute. ICI's data report for October covers funds holding 94 percent of taxable money market fund assets." Note: ICI publishes aggregates but doesn't publish individual fund holdings.
In their latest "Prime Money Market Fund Holdings Update," JP Morgan Securities', Alex Roever, Teresa Ho, and John Iborg report, among other things, a sharp drop in U.S. Treasuries and a drop in usage of the Fed's RRP program. They comment, "Notably, prime holdings of US Treasuries fell by 13% month-over-month to their lowest levels we have on record, as bill supply remains tight and similar assets (Fed RRP) offer more attractive yields.... Prime MMF exposures to US banks (excluding ABCP/CCP) decreased by 3%, while exposures to Eurozone banks increased by 5%.... Additionally, sector allocations to Muni and Foreign SSA products decreased by 11% and 4% since October, and are also close to their lowest historical levels, as issuance in these higher quality credits remains constrained."
Roever, et. al., continue, "In aggregate, prime MMFs increased exposures to banks by a modest $8bn (+0.7%) month-over-month.... CP balances increased by $11bn scattered across regions, while CD balances grew by $3bn. CP/CD maturities extended 8 days in aggregate month-over month, as issuers -- particularly Canadian and US banks (+37 days and +22 days respectively) -- extended issuances further out over the turn. Looking ahead to next month, prime MMF bank exposures are poised to decline at year-end, especially in time deposits and repo holdings. We have witnessed this trend emerge increasingly over the past few quarters as many international banks and their affiliates seek to shrink their balance sheets at quarter-ends in preparation to officially begin disclosing Basel III leverage ratios and LCRs in 2015. Consequently, supply is likely to remain tight through the remainder of December, incentivizing higher use of the term and overnight Fed reverse repo facilities."
On the reverse repo program, they write, "MMF usage of the Fed ON RRP fell by $8bn month-over-month. Money market funds accounted for $153bn of RRP usage at November month-end, or 88% of total usage. Government MMFs continued to be the main users of the facility -- 25 funds took down $103bn in RRP. Meanwhile, 27 prime MMFs took down $50bn. Non-MMF counterparties represented $20bn in usage. As scheduled, over the course of November, the Fed began varying the offering rate on the overnight RRP facility.... [D]emand for the facility still appears to be a function of the spread of ON GC to the offered rate rather than the actual rate offered itself, excluding technical dates."
Finally, JPM adds, "Demand for the [NY Fed's new] term RRP registered $102bn, $52bn above the program's $50 aggregate cap, with the stop-out rate coming in at 8bp. Of a total of 71 bidders, 40 received allocations. Three more operations will take place on each Monday during the remainder of the month, with offering amounts of $50bn, $100bn, and $100bn respectively. We suspect that most demand for the first term RRP operation came from government money market funds. Government MMFs have historically been the largest users of the ON RRP since its inception, and it appears as if prime funds have been seeking higher yielding opportunities for the time being. Additionally, usage of the overnight RRP facility fell by $41bn on the day of the first term operation -- nearly a one to one decrease -- suggesting that government funds switched from overnight to term RRP in favor of its longer maturity. Given the term RRP's 7-day put feature which makes it very attractive from a liquidity bucket perspective, and the lack of investable supply over December 31st, we expect MMF demand over the remaining three operations to continue to be strong."
