Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary yesterday. Our weekly holdings track a shifting subset of our monthly Portfolio Holdings collection, and the latest cut (with data as of April 13) includes Holdings information from 67 money funds (up 6 from 3/30), representing $1.172 trillion (up from $979.4 trillion on 3/30) of the $2.967 (39.5%) in total money fund assets tracked by Crane Data. (For our monthly Holdings recap, see our April 11 News, "April Money Fund Portfolio Holdings: Treasury Now Biggest; Repo Down.") We review our latest weekly statistics below, and we also discuss a new AAA rating on the Semper U.S. Treasury Money Market Fund.
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $390.6 billion (up from $298.1 billion a month ago), or 33.3%, Treasury debt totaling $393.9 billion (up from $352.8 billion) or 33.6%, and Government Agency securities totaling $247.7 billion (down from $211.7 billion), or 21.1%. Commercial Paper (CP) totaled $47.8 billion (up from $38.3 billion), or 4.1%, and Certificates of Deposit (CDs) totaled $37.8 billion (up from $31.9 billion), or 3.2%. A total of $27.4 billion or 2.3%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $26.7 billion, or 2.3%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $393.9 billion (33.6% of total holdings), Federal Home Loan Bank with $193.2B (16.5%), BNP Paribas with $51.8 billion (4.4%), Federal Farm Credit Bank with $37.4B (3.2%), RBC with $34.9B (3.0%), HSBC with $21.9B (1.9%), Wells Fargo with $21.3B (1.8%), Natixis with $20.9B (1.8%), Credit Agricole with $20.3B (1.7%), and Nomura with $18.3B (1.6%).
The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($129.4B), Fidelity Inv MM: Govt Port ($102.9B), Goldman Sachs FS Govt ($96.1B), Wells Fargo Govt MMkt ($69.6B), Dreyfus Govt Cash Mgmt ($62.3B), Morgan Stanley Inst Liq Govt ($55.1B), State Street Inst US Govt ($52.4B), Goldman Sachs FS Trs Instruments ($49.3B), JP Morgan Prime MM ($40.2B), and First American Govt Oblg ($34.9B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)
In other news, a press release entitled, "KBRA Assigns AAAkf Fund Rating to Semper U.S. Treasury Money Market Fund," tells us, "Kroll Bond Rating Agency (KBRA) has assigned a AAAkf Fund Rating to the Semper U.S. Treasury Money Market Fund (Ticker: SEMXX). The AAAkf rating reflects the fund's Primary Quantitative Rating (PQR) as measured by the KBRA Funds Credit Quality Rating Matrix, which is based on the credit quality of the underlying instruments that comprise the portfolio. Additionally, the fund rating is influenced by the results of the qualitative assessment of the investment advisor, Semper Capital Management, L.P. (Semper). The Qualitative Shadow Rating (QSR) for the fund was found to be average."
It explains, "The Semper U.S. Treasury Money Market Fund is being launched on April 10, 2018. The Fund is an open-end mutual fund registered under Rule 2a-7 of the Investment Company Act of 1940. The Fund is designed to provide current income while maintaining liquidity and preserving capital. Management seeks to obtain this objective by abiding by investment guidelines consistent with that of a "government money market fund"."
Kroll comments, "The Fund's net asset value (NAV) will be priced daily at a $1.00, and the weighted average maturity and life will not exceed 60 and 120 days, respectively. Duration is also limited for fixed and floating rate securities, with maximum days to final maturity of 397 and 762 days, respectively. The Fund must also be invested so that at least 10% of total assets are available for daily liquidity, and 30% are available on a weekly basis."
They say, "The Fund will hold up to 99.5% of its total assets in cash, securities issued or guaranteed by the United States or certain U.S. government agencies or instrumentalities, or repurchase agreements that are collateralized solely by government securities or cash. Management expects to invest 100% in US Treasury securities however. Repurchase agreements entered into by the Fund may be either tri-party, or back-to-back, offsetting transactions."
The release states, "The latter will be evergreen repurchase agreements with the right of the counterparty to substitute similar collateral with a final maturity date within a 32-day window (+/- 16 days) of the original collateral. The counterparty may request to substitute collateral on any given day, but must be cleared by the Fund. The Fund may also put, or terminate, the repurchase agreement at any time."
Finally, it adds, "Semper is the investment advisor of the Fund. The New York, NY-based manager has been providing investment advice and portfolio management services to a broad array of institutional clients, high-net worth individuals, government entities and qualified investors since 1992. As of June 2017, Semper reported total assets under management and advisement of $1.5 billion."
