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 Nov. 11) includes Holdings information from 45 money funds (up 3 from two weeks ago), which represent $1.319 trillion (up from $1.103 trillion) of the $5.054 trillion (26.1%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.) (Reminder: There's still time to register for our basic training event, Money Fund University, which is $750 and will take place Dec. 15-16 in Boston, Mass at the Hyatt Regency. Clients and friends are welcome to stop by the cocktail party on 12/15 from 5-7pm!)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $773.4 billion (up from $662.6 billion two weeks ago), or 58.6%; Treasuries totaling $347.8 billion (up from $305.9 billion two weeks ago), or 26.4%, and Government Agency securities totaling $93.9 billion (up from $81.1 billion), or 7.1%. Commercial Paper (CP) totaled $45.4 billion (up from two week ago at $23.2 billion), or 3.4%. Certificates of Deposit (CDs) totaled $21.8 billion (up from $7.9 billion a week ago), or 1.6%. The Other category accounted for $26.5 billion or 2.0%, while VRDNs accounted for 10.5 billion, or 0.8%.
The Ten Largest Issuers in our Weekly Holdings product include: the Federal Reserve Bank of New York with $586.6 billion (44.5%), the US Treasury with $347.8 billion (26.4% of total holdings), Federal Home Loan Bank with $57.9B (4.4%), Federal Farm Credit Bank with $32.5B (2.5%), JP Morgan with $22.4B (1.7%), Fixed Income Clearing Corp with $20.1B (1.5%), Barclays PLC with $18.5B (1.4%), RBC with $18.3B (1.4%), BNP Paribas with $13.5B (1.0%) and Mitsubishi UFJ Financial Group Inc with $13.5B (1.0%).
The Ten Largest Funds tracked in our latest Weekly include: Morgan Stanley Inst Liq Govt ($136.9B), Fidelity Inv MM: Govt Port ($123.5B), Dreyfus Govt Cash Mgmt ($107.6B), Allspring Govt MM ($105.1B), State Street Inst US Govt ($91.9B), Invesco Govt & Agency ($76.7B), First American Govt Oblg ($71.6B), Fidelity Inv MM: MM Port ($71.2B), Morgan Stanley Inst Liq Treas Sec ($49.3B) and Dreyfus Treas Sec Cash Mg ($45.0B). (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 October, prime money market funds held 36.4 percent of their portfolios in daily liquid assets and 53.6 percent in weekly liquid assets, while government money market funds held 86.7 percent of their portfolios in daily liquid assets and 92.6 percent in weekly liquid assets." Prime DLA was down from 38.6% in September, and Prime WLA was up from 52.1%. Govt MMFs' DLA was down from 88.0% and Govt WLA decreased from 93.2% the previous month.
ICI explains, "At the end of October, prime funds had a weighted average maturity (WAM) of 9 days and a weighted average life (WAL) of 52 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 16 days and a WAL of 61 days." Prime WAMs were 4 days shorter and WALs were 3 days shorter from the previous month. Govt WAMs were 3 days shorter and WALs were 2 days shorter from September.
Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas declined from $271.68 billion in September to $268.54 billion in October. Government money market funds' holdings attributable to the Americas declined from $3,763.18 billion in September to $3,743.63 billion in October."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $268.5 billion, or 47.1%; Asia and Pacific at $116.5 billion, or 20.4%; Europe at $176.3 billion, or 30.9%; and, Other (including Supranational) at $8.8 billion, or 1.5%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.744 trillion, or 94.5%; Asia and Pacific at $73.3 billion, or 1.9%; Europe at $126.3 billion, 3.2%, and Other (Including Supranational) at $16.3 billion, or 0.4%.
