Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be published later today (Thurs.), and we'll be writing our normal monthly update on the July 31 data in Friday's News. But for months we've also been generating a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings. (We continue to merge the two series, and the N-MFP version is now available via Holdings file listings to Money Fund Wisdom subscribers.) Our summary, with data as of July 31, includes holdings information from 1,275 money funds (up from 1,186 on June 30), representing $3.169 trillion (up from $3.076 trillion on June 30).
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows that Repurchase Agreement (Repo) holdings in money market funds total $983.1 billion (up from $973.6 billion on June 30), or 31.0% of all assets. Treasury holdings total $830.0 billion (up from $788.2 billion) or 26.2%, and Government Agency securities total $704.3 billion (up from $694.6 billion), or 22.2%. Commercial Paper (CP) totals $248.1 billion (up from $225.0 billion), or 7.8%, and Certificates of Deposit (CDs) total $176.3 billion (up from $171.9 billion), or 5.6%. The Other category (primarily Time Deposits) totals $126.2 billion or 4.0%, and VRDNs account for $101.3 billion, or 3.2%.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $153.9 billion, or 4.9%, in Financial Company Commercial Paper; $43.9 billion or 1.4%, in Asset Backed Commercial Paper; and, $50.3 billion, or 1.6%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($591.2B, or 18.7%), U.S. Govt Agency Repo ($353.6B, or 11.2%), and Other Repo ($38.4B, or 1.2%).
The N-MFP Holdings summary for the just the 234 Prime Money Market Funds shows: CP holdings of $243.6 billion (up from $220.3 billion June 30), or 34.4%; CD holdings of $176.2B (up from $171.8B) or 24.9%; Other (primarily Time Deposits) holdings of $88.0B (up from $77.7B), or 12.4%; Repo holdings of $84.8B (down from $105.9B), or 12.0%; Treasury holdings of $67.4B (up from $49.4B), or 9.5%; Government Agency holdings of $40.1B or 5.7%; and VRDN holdings of $7.1B, or 1.0%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $153.9 billion, or 21.8%, in Financial Company Commercial Paper; $43.9 billion, or 6.2%, in Asset Backed Commercial Paper; and, $45.8 billion, or 6.5%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($22.4B, or 3.2%), U.S. Govt Agency Repo ($26.6B, or 3.8%), and Other Repo ($35.8B, or 5.1%).
In other news, law firm Dillon Eustace published a "MMF Regulations Update August 2018," we learned from website mondaq.com. The Irish company writes, "On 10 April 2018 the European Commission adopted a Regulation ... amending and supplementing the MMF Regulation. On 13 July 2018, the Delegated Regulation was published in the Official Journal of the EU ... and will enter into force on 2 August 2018. However, the Delegated Regulation will apply to new and existing money market funds ... from 21 July 2018 with the exception of Article 1 (which contains the amendment to the MMFR set out at (a) below) which will apply from 1 January 2019." (See too our Aug. 3 News, "Stage Set for European Money Fund Symposium; FT on EU MMF Reforms," and our Aug. 23, 2017 News, "Dillon Eustace Reviews European Money Market Reforms; Disclosures.")
Dillon Eustace explains, "The Delegated Regulation imposes additional requirements on managers of MMFs where they are investing in certain categories of assets, as follows: Simple, transparent and standardised ... securitisations and asset-backed commercial papers ...; Assets received under a Reverse Repurchase Agreement; ... [and] Credit Quality Assessment Methodologies."
The brief tells us, "The Central Bank of Ireland ... has published its MMFR Application Forms. The relevant application forms are applicable from 21 July 2018 and will apply to all new funds seeking to be authorised as a MMF and those existing funds transitioning under the MMF Regulation. For all existing MMFs the transitioning deadline for compliance with the MMF Regulation is 21 January 2019. However, the Central Bank have announced that any transitioning MMFs that require prior document review (i.e. UCITS and RAIFs) should file their updated documents by 1 September 2018 to ensure that they are approved by 21 January 2019."
In addition, they write, "On 20 July 2018, ESMA published a letter it had written to the European Commission in relation to reverse distribution mechanism (RDM) or share cancellation under the MMF Regulation. The Letter responds to a January 2018 letter from the European Commission in which it agreed with ESMA's analysis that the practice of share cancellation is not compatible with the MMF Regulation. In its letter, ESMA calls on the Commission to make public the text of an opinion of the Legal Service of the Commission on the compatibility of share cancellation with the MMF Regulation given that it appears the opinion has been shared with some market participants, but not all. ESMA is of the view that the Commission needs to make its interpretation clear to ensure a proper and consistent interpretation and implementation of the MMF Regulation."
The update continues, "For the last number of months the Central Bank has been liaising with MMF managers and administrators, to gather information in relation to the dealing practices used for Irish MMFs, in particular focusing on the use of what is termed 'historic pricing' in such MMFs. It is expected that the Central Bank will clarify its position on the use of such dealing practices shortly given any transitioning MMFs that require prior document review by the Central Bank will need to file updated documents by 1 September 2018."
It comments, "The publication and entry into force of the Delegated Regulation is to be welcomed as it will provide clarity to MMF Managers in relation to the quantitative and qualitative requirements that apply to assets received under reverse repurchase agreements. In addition, the obligations prescribed in relation to credit quality assessment criteria will assist MMF Managers in drafting fund policies as well as the disclosures in the MMF's offering and constitutive documents. The publication of the Central Bank application forms is also helpful as it provides a suitable checklist for new and existing funds under the MMF Regulation."
Finally, Dillon Eustace adds, "The ESMA letter is an important development as it should encourage the Commission to provide its analysis and reasoning behind its stance on RDM and its compatibility with the MMF Regulation. Developments on this issue will continue to be closely monitored by the industry as it is an extremely sensitive matter for many MMF Managers particularly those managing constant NAV Euro denominated MMFs."
