Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics, which track a shifting subset of our monthly Portfolio Holdings collection, yesterday. The most recent cut (with data as of Mar. 20) includes Holdings information from 94 money funds (up 16 from a week ago), which represent $2.312 trillion (up from $1.859 trillion) of the $3.835 trillion (60.3%) in total money fund assets tracked by Crane Data. (Note that our Weekly MFPH are e-mail only and aren't available on the website. For our latest monthly Holdings, see our March 11 News, "March MF Portfolio Holdings: Repo, Treas Up, Agencies, CDs, CP Down.")
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $827.0 billion (up from $654.8 billion a week ago), or 35.8%, Treasury totaling $732.9 billion (up from $609.3 billion a week ago), or 31.7% and Government Agency securities totaling $474.6 billion (up from $354.2 billion), or 20.5%. Certificates of Deposit (CDs) totaled $91.7 billion (down from $92.1 billion), or 4.0%, and Commercial Paper (CP) totaled $87.5 billion (up from $78.7 billion), or 3.8%. A total of $60.3 billion or 2.6%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $37.9 billion, or 1.6%. Funds in our weekly collection shortened maturities substantially; a massive 55.2% of assets matures in 1-7 days.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $732.9 billion (31.7% of total holdings), Federal Home Loan Bank with $332.2B (14.4%), Fixed Income Clearing Co with $159.8B (6.9%), BNP Paribas with $85.8B (3.7%), Federal Farm Credit Bank with $70.0B (3.0%), RBC with $67.0B (2.9%), JP Morgan with $49.3B (2.1%), Federal Home Loan Mortgage Co with $44.1B (1.9%), Barclays PLC with $43.9B (1.9%) and Credit Agricole with $39.6B (1.7%).
The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($175.2B), Fidelity Inv MM: Govt Port ($165.8B), Goldman Sachs FS Govt ($131.9B), BlackRock Lq FedFund ($127.9B), Federated Govt Oblg ($121.2B), Wells Fargo Govt MM ($102.7B), Morgan Stanley Inst Liq Govt ($96.9B), JP Morgan 100% US Treas MMkt ($91.5B), BlackRock Lq T-Fund ($80.4B) and Goldman Sachs FS Treas Instruments ($78.0B). (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, an update entitled, "US Prime Money Mkt Fund Outlook Negative on Liquidity Challenge" explains, "Fitch Ratings has revised its sector outlook for U.S. prime money market funds (MMFs) to Negative from Stable, reflecting heightened redemptions and reduced liquidity in short-term markets, which have pressured MMFs' liquidity management capabilities. Fitch believes risks for the MMF sector remain elevated given investor risk aversion and unprecedented market volatility, despite recent Fed /policy measures to improve secondary liquidity in the commercial paper (CP) markets. Furthermore, banks and corporate entities are facing increased credit risks, which could pressure funds' underlying investment portfolios."
It continues, "Underscoring the importance of recent central bank measures, Fitch's current rating and/or outlook views for the sector may have been more adversely affected if not for the policy measures. Prime MMF ratings could be negatively impacted by a material degradation in fund credit profiles, outsized redemptions that result in impaired liquidity positions or if recently announced market interventions do not alleviate broader short-term market pressures sufficiently. The suspension of redemptions by a fund would result in a downgrade to at least 'BBmmf', consistent with Fitch's MMF rating definitions."
Fitch comments, "In addition to central bank facilities to support the short-term market broadly, the Fed's newly announced Money Market Mutual Fund Liquidity Facility (MMLF) will indirectly support MMF liquidity. Certain financial institutions will be allowed to take non-recourse advances from the Fed against CP and other securities acquired from prime MMFs. Fitch is aware of several MMFs that have taken advantage of the MMLF program to sell highly rated securities to financial institutions, both affiliated and unaffiliated to the funds, to raise liquidity to meet redemptions while maintaining weekly liquidity ratios above 30%."
They also tell us, "Fitch-rated funds have weathered outflows to date, meeting redemptions using natural liquidity and selling of securities while broadly maintaining liquidity above regulatory minimums and within Fitch's 'AAAmmf' rating range. Between March 5 and 20, U.S. prime MMFs had outflows of around $137 billion, or approximately 12% of March 5 assets under management (AUM), driven by investors' increasing appetite for low risk assets as the coronavirus pandemic increases risk aversion. These outflows fall within historical ranges considering prior stressed periods, such as 2008, but are elevated relative to recent trends. However, individual U.S. prime institutional funds experienced outflows as high as 63% over this period."
It continues, "U.S. prime institutional MMFs had 44% weekly liquidity on average as of March 19 (according to Crane Data). However, liquidity buffers have eroded due to outflows, with a number of large U.S. prime institutional funds' weekly liquidity falling to under 35%. Fund managers have been selling assets to maintain at least 30% weekly liquidity, as regulations allow fund boards to impose liquidity fees or redemption gates upon a breach of this threshold. A breach of the threshold, and even approaching it, may cause accelerated outflows as investors may attempt to redeem their cash ahead of a potential imposition of fees or gates."
Fitch adds, "However, the imposition of fees or gates is entirely at the discretion of the fund's board. Thus far, Fitch is aware of one large non-Fitch-rated prime MMF that saw its weekly liquidity dip below the regulatory threshold of 30%. The fund has not imposed fees or gates, with redemptions after this breach not significantly larger than on prior days."
Finally, they state, "Elevated industry outflows also mean that MMFs' need to reinvest cash from maturing assets is reduced. Fitch believes recent allocations have been, and will continue to be, increasingly directed toward higher quality and shorter-dated securities. This will likely result in more conservative fund profiles, with increased liquidity and lower sensitivity to market risk through reduced weighted average lives (WALs). However, in the short term, WALs may actually increase as shorter-dated securities are used to meet redemptions."
Separately, Fitch also published the brief, "China Exposure Down (New Coronavirus Adds to Limited Appetite for China Exposure." They write, "U.S. prime money market funds (MMFs) reduced exposure to Chinese issuers in February 2020, and relative to prime funds' total assets, exposure to China remains slight. Of 32 U.S. prime money fund managers tracked by Crane Data, only six had invested in Chinese issuers as of the end of February 2020. Chinese exposure fell from 0.51% of U.S. prime MMF assets in January 2020 to 0.38% in February 2020, a notional decline of $1.5 billion."
Fitch adds, "Due to the small overall dollar exposure to China in U.S. MMFs, changes in exposure levels were driven by one very large fund manager that let some of its Chinese securities mature and roll off. Based on differences in holdings between January and February, it appears that managers had not sold any securities with Chinese exposure, but, instead, exposures decreased as securities matured."
