The Investment Company Institute released its monthly "Money Market Fund Holdings" summary yesterday, which reviews data as of June 30, 2019. This monthly update reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (For our initial review of June 30 Holdings, see our July 11 News, "July Money Fund Portfolio Holdings: Repo Jumps, T-Bills Down, Again.") We quote from their release and from a recent JPM update on June 30 portfolio holdings, and we also review Crane Data's most recent Weekly MF Portfolio Holdings.
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in June, prime money market funds held 25.8 percent of their portfolios in daily liquid assets and 42.1 percent in weekly liquid assets, while government money market funds held 59.5 percent of their portfolios in daily liquid assets and 77.8 percent in weekly liquid assets." Prime DLA decreased from 27.2% in May, and Prime WLA decreased from 42.5% the previous month. Govt MMFs' DLA increased from 58.6% in May and Govt WLA increased from 77.4% from the previous month.
ICI explains, "At the end of June, prime funds had a weighted average maturity (WAM) of 35 days and a weighted average life (WAL) of 69 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 29 days and a WAL of 95 days." Prime WAMs stayed the same as the previous month, and WALs decreased by one day. Govt WAMs were the same as their May levels, and Govt WALs increased by two days last month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $294.82 billion in May to $300.86 billion in June. Government money market funds' holdings attributable to the Americas rose from $1,888.58 billion in May to $1,955.37 billion in June."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $300.9 billion, or 44.8%; Asia and Pacific at $133.6 billion, or 19.9%; Europe at $232.4 billion, or 34.6%; and, Other (including Supranational) at $5.18 billion, or 0.9%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.955 trillion, or 81.7%; Asia and Pacific at $115.7 billion, or 4.8%; Europe at $315.2 billion, or 13.2%, and Other (Including Supranational) at $6.3 billion, or 0.3%."
J.P. Morgan Securities also recently commented on the latest portfolios in a "June taxable MMF holdings update," writing, "Dealer repo with MMFs fell $5bn month over month to $1,157bn. The typical quarter-end decline from European (especially French) banks was offset by another surge in FICC sponsored repo, which rose $47bn to $211bn; Canadian banks also increased their balances (+$18bn).... FICC remained the largest individual repo counterparty with MMFs, and again broke the record for the largest (non-Fed) repo counterparty ever. As sponsored repo has gained significant traction among the dealer and MMF community, it has helped to smooth out the availability of repo at quarter-ends.... Fed RRP rose $42bn to $43bn."
They continue, "Away from repo, government funds increased their allocations to Treasury coupons (+$17bn) and FRNs (+$16bn), while T-bill holdings fell $20bn amid negative net supply of -$103bn. Allocations to Agencies fell $23bn, with declines in discos and Agency FRNs partially offset by a modest increase in fixed-rate Agency coupons. Government MMFs remain large buyers of SOFR floaters, increasing their holdings by $7bn to $76.5bn.... Of the [approx] $160bn of SOFR floaters that have been issued to date, about 82% has come from GSEs, so it's not surprising that government funds have played a large role, taking down about half of all SOFR issuances so far."
JPM adds, "Prime funds saw increased exposure to bank credit and Fed RRP in June, while Treasury holdings and dealer repo fell.... The increases in bank credit exposures were mostly in the form of CP/CD, especially from Canadian banks; at the individual issuer level changes were largely idiosyncratic.... The weighted average life of bank CP/CD held by prime MMFs decreased by 6 days to 99 days..... The weighted average maturity of bank CP/CD also fell, from 44 days to 42 days.... Canadian banks had the longest WAL, at 132 days, followed by the Australian banks at 128 days."
Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary Tuesday. Our weekly holdings track a shifting subset of our monthly Portfolio Holdings collection, and the latest cut (with data as of July 12) includes Holdings information from 75 money funds, representing $1.619 trillion (up from $1.567 trillion two weeks ago) of the $3.305 (49.0%) in total money fund assets tracked by Crane Data.
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $657.8 billion (up from $620.0 billion two weeks ago), or 40.6%, Treasury debt totaling $482.5 billion (up from $460.5 billion) or 29.8%, and Government Agency securities totaling $266.3 billion (down from $275.0 billion), or 16.4%. Commercial Paper (CP) totaled $73.8 billion (down from $75.0 billion), or 4.6%, and Certificates of Deposit (CDs) totaled $75.0 billion (up from $74.4 billion), or 4.6%. A total of $30.4 billion or 1.9%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $33.1 billion, or 2.0%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $482.5 billion (29.8% of total holdings), Federal Home Loan Bank with $184.3B (11.4%), Fixed Income Clearing Co with $117.9B (7.3%), BNP Paribas with $73.7 billion (4.6%), RBC with $58.7B (3.6%), Federal Farm Credit Bank with $50.1B (3.1%), Wells Fargo with $33.0B (2.0%), JP Morgan with $31.3B (1.9%), Mitsubishi UFJ Financial Group with $30.5B (1.9%) and Credit Agricole with $29.0B (1.8%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt ($142.2B), Fidelity Inv MM: Govt Port ($116.3B), Goldman Sachs FS Govt ($107.2B), BlackRock Lq FedFund ($101.3B), Wells Fargo Govt MMkt ($80.4B), BlackRock Lq T-Fund ($71.8B), Fidelity Inv MM: MMkt Port ($62.5B), JP Morgan 100% US Trs MMkt ($62.3B), Goldman Sachs FS Trs Instruments ($58.1B) and Morgan Stanley Inst Liq Govt ($57.8B). (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.)
