Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of Oct. 14) includes Holdings information from 41 money funds (up 8 from two weeks ago), which represent $1.403 trillion (up from $925.8 billion) of the $5.011 trillion (28.0%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.) (Note: For those attending the AFP Conference in Philadelphia next week, October 23-25, please stop by to see us at booth #458! Also, registrations are still being taken and sponsorships are still available for our upcoming Money Fund University in Boston, Dec. 15-16.)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $655.6 billion (up from $555.1 billion two weeks ago), or 62.8%; Treasuries totaling $272.3 billion (up from $264.8 billion two weeks ago), or 26.1%, and Government Agency securities totaling $67.0 billion (up from $62.8 billion), or 6.4%. Commercial Paper (CP) totaled $21.3 billion (up from two weeks ago at $17.7 billion), or 2.0%. Certificates of Deposit (CDs) totaled $7.9 billion (down from $8.2 billion two weeks ago), or 0.8%. The Other category accounted for $14.5 billion or 1.4%, while VRDNs accounted for $4.7 billion, or 0.5%.
The Ten Largest Issuers in our Weekly Holdings product include: the Federal Reserve Bank of New York with $494.4 billion (47.4%), the US Treasury with $272.3 billion (26.1% of total holdings), Federal Farm Credit Bank with $32.1B (3.1%), Federal Home Loan Bank with $31.5B (3.0%), Fixed Income Clearing Corp with $18.3B (1.8%), JP Morgan with $18.1B (1.7%), Barclays PLC with $13.6B (1.3%), RBC with $11.1B (1.1%), Mitsubishi UFJ Financial Group Inc with $11.0B (1.1%) and BNP Paribas with $9.4B (0.9%).
The Ten Largest Funds tracked in our latest Weekly include: Morgan Stanley Inst Liq Govt ($141.6B), State Street Inst US Govt ($110.4B), Allspring Govt MM ($109.1B), Dreyfus Govt Cash Mgmt ($108.1B), First American Govt Oblg ($79.4B), Invesco Govt & Agency ($65.7B), Morgan Stanley Inst Liq Treas Sec ($49.4B), State Street Inst Treasury Plus ($46.3B), Dreyfus Treas Sec Cash Mg ($44.2B) and Dreyfus Treas Obligations Cash Mgmt ($40.3B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
In related news, ICI released its latest monthly "Money Market Fund Holdings" summary, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds.
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in September, prime money market funds held 38.6 percent of their portfolios in daily liquid assets and 52.1 percent in weekly liquid assets, while government money market funds held 87.4 percent of their portfolios in daily liquid assets and 92.6 percent in weekly liquid assets." Prime DLA was up from 36.3% in August, and Prime WLA was also up from 51.2%. Govt MMFs' DLA was unchanged at 87.4% and Govt WLA decreased from 93.6% the previous month.
ICI explains, "At the end of September, prime funds had a weighted average maturity (WAM) of 13 days and a weighted average life (WAL) of 55 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 19 days and a WAL of 63 days." Prime WAMs were 1 day shorter and WALs were 2 days longer from the previous month. Govt WAMs were 2 days shorter and WALs were 2 days shorter from August.
Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas rose from $232.50 billion in August to $271.68 billion in September. Government money market funds' holdings attributable to the Americas rose from $3,695.23 billion in August to $3,763.18 billion in September."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $271.7 billion, or 51.3%; Asia and Pacific at $102.4 billion, or 19.3%; Europe at $149.1 billion, or 28.2%; and, Other (including Supranational) at $6.4 billion, or 1.3%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.763 trillion, or 95.4%; Asia and Pacific at $68.3 billion, or 1.7%; Europe at $94.3 billion, 2.4%, and Other (Including Supranational) at $19.0 billion, or 0.5%.
Finally, J.P. Morgan, in its "Short-Term Market Outlook and Strategy," features a brief entitled, "September MMF holdings update: hide-and-seek more RRP." They write, "September was a record-breaking month for MMF RRP usage -- MMFs devoted $2.21tn of the nearly $2.43tn parked at the Fed at month-end, with government MMFs making up close to 79% of total uptake, prime MMFs 12.5%, and non-MMFs just 9.0%.... As to be expected, the increase in RRP balances came predominantly from MMFs, which devoted $148bn more in aggregate than they did in August. Of 87 total MMF counterparties in September, the largest any devoted to RRP was $135bn, keeping in line with the past months of individual MMFs staying reasonably below the counterparty limit of $160bn.... Still, nearly a third ($302bn) of prime MMFs' portfolio went towards RRP at month-end, and about half ($1,906bn) of government MMF AUMs."
JPM's piece continues, "As we similarly witnessed throughout second and third quarter, prime funds saw inflows leading into 3Q-end, while government fund flows were flat month-over-month. Again, these prime inflows were driven by retail funds rather than institutional funds, underscoring the notion that cash is still among the best-performing asset classes and a safe place to hide out amid a volatile market environment.... We expect positive MMF inflows to continue -- and rise -- into year-end as they've historically tended to ..., and this will likely contribute to corresponding further increases at the RRP facility."
It says, "With the September FOMC meeting (and this week's corresponding minutes) remaining hawkish, and today's CPI report surprising to the upside, shortening pressures will prevail, pointing again to why we've seen and will continue to see more use of RRP. Expectedly, MMF WAMs continued to fall throughout September; in fact, both government and prime MMF WAMs appear to be at all-time lows, demonstrating the unprecedented uncertainty surrounding this cycle, even compared to the era of prime MMF reform implementation in 2016.... Moreover, in anticipation of the November FOMC meeting, at which OIS markets are currently pricing in around 75bp of hiking, we note that a majority of new month- over-month T-bill investment was in bills maturing in November (+$103bn), and less so in those maturing in October (+$57bn) as of month-end."
JPM adds, "Furthermore, both government and prime MMFs significantly reduced their Treasury holdings in September as they further shifted into RRP, with government fund T-bill holdings down by $75bn (-9%), government fund Treasury coupon holdings down by $13bn (-12%), and prime fund Treasury holdings down by $10bn (-20%) month-over-month. And consistent with the quarter-end, MMFs shed Treasury repo (-$58bn) and agency repo (-$16bn) in September, with the bulk of the net monthly decline coming from French counterparties followed by UK, Canadian, and Japanese counterparties."
