Morgan Stanley is the second fund company in the past year to abandon its ESG Money Market Fund. (See our Sept. 19, 2022 News, "SSGA to Liquidate State Street ESG Liquid Reserves.") A Prospectus Supplement filing for the Morgan Stanley Institutional Liquidity Funds tells us "At a meeting held on April 19-20, 2023, the Board of Trustees of Morgan Stanley Institutional Liquidity Funds approved various changes to the Fund, including changing its name from 'ESG Money Market Portfolio' to 'Money Market Portfolio', modifying its principal investment strategies to remove references to an investment process which incorporates information about environmental, social and governance ('ESG') issues, and eliminating a policy to invest 100% of its net assets (excluding cash) in securities whose issuer or guarantor, in the Adviser's opinion at the time of purchase, meets the Fund's ESG criteria, each change effective June 20, 2023." (Note: We'll features a session on "ESG, Euro Money Fund and Distribution Issues" at our upcoming European Money Fund Symposium, Sept. 25-26, 2024 in Edinburgh.)
It continues, "In connection with these changes, there will not be any changes to the Fund's investment objective or portfolio management team. Accordingly, on the Effective Date, the Summary Prospectuses and Prospectuses are hereby amended as follows: All references to 'ESG Money Market Portfolio' in each Summary Prospectus and Prospectus are hereby deleted and replaced with 'Money Market Portfolio.'"
The filing tells us, "The sections of each Summary Prospectus entitled 'Principal Investment Strategies' and each Prospectus entitled 'Fund Summary -- Principal Investment Strategies' are hereby deleted and replaced with the following: The Fund invests in liquid, high quality U.S. dollar-denominated money market instruments of U.S. and foreign financial and non-financial corporations. The Fund also invests in obligations of foreign governments and in obligations issued or guaranteed by the U.S. Government and its agencies and instrumentalities. The Fund's money market investments may include commercial paper, corporate debt obligations, debt obligations (including certificates of deposit and promissory notes) of U.S. banks or foreign banks, or of U.S. branches or subsidiaries of foreign banks, or foreign branches of U.S. banks (such as Yankee obligations), certificates of deposit of savings banks and savings and loan organizations, asset-backed securities, repurchase agreements and municipal obligations."
It adds, "The Fund operates as a 'retail money market fund,' as such term is defined or interpreted under Rule 2a-7 under the Investment Company Act of 1940, as amended.... A 'retail money market fund' is a money market fund that has policies and procedures reasonably designed to limit all beneficial owners of the fund to natural persons. As a 'retail money market fund,' the Fund may value its securities using the amortized cost method as permitted by Rule 2a-7 to seek to maintain a stable net asset value per share ('NAV') of $1.00. Like other retail money market funds, the Fund is subject to the possible imposition of liquidity fees and/or redemption gates." (For more, see also these Crane Data News stories: "ESMA, FSB Push European Money Fund Reforms; New HSBC ESG Euro MF" (3/27/23), "Morgan Stanley Names OFN Beneficiary of Impact Shares; ESG to Retail" (10/27/22), "ESG Cash Investments Still Minor Says AFP Liquidity Survey, 6% Over 10%" (6/29/22) and "SEC Names Rule Proposal Could Impact or Ban ESG, Social Money Funds" (6/3/22).
In other news, 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 August 11) includes Holdings information from 60 money funds (down 25 from 3 weeks ago), which totals $2.553 trillion (down from $3.303 trillion) of the $5.934 trillion in total money fund assets (or 43.0%) tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website. See our latest Monthly Money Fund Portfolio Holdings here.)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $1.387 trillion (down from $1.730 trillion 3 weeks ago), or 54.3%; Treasuries totaling $728.3 billion (down from $983.0 billion 3 weeks ago), or 28.5%, and Government Agency securities totaling $221.2 billion (down from $275.0 billion), or 8.7%. Commercial Paper (CP) totaled $78.9 billion (down from 3 weeks ago at $107.9 billion), or 3.1%. Certificates of Deposit (CDs) totaled $63.8 billion (down from $82.5 billion 3 weeks ago), or 2.5%. The Other category accounted for $49.7 billion or 1.9%, while VRDNs accounted for $23.5 billion, or 0.9%.
The Ten Largest Issuers in our Weekly Holdings product include: the Federal Reserve Bank of New York with $768.8 billion (30.1%), the US Treasury with $728.3 billion (28.5% of total holdings), Federal Home Loan Bank with $163.5B (6.4%), Fixed Income Clearing Corp with $147.6B (5.8%), Federal Farm Credit Bank with $48.3B (1.9%), JP Morgan with $42.7B (1.7%), RBC with $41.0B (1.6%), Goldman Sachs with $39.0B (1.5%), BNP Paribas with $37.0B (1.5%) and Citi with $31.3B (1.2%).
The Ten Largest Funds tracked in our latest Weekly include: Goldman Sachs FS Govt ($260.5B), JPMorgan US Govt MM ($257.3B), Fidelity Inv MM: Govt Port ($184.1B), Morgan Stanley Inst Liq Govt ($160.8B), JPMorgan 100% US Treas MMkt ($151.2B), Allspring Govt MM ($118.6B), Fidelity Inv MM: MM Port ($107.6B), State Street Inst US Govt ($107.1B), Dreyfus Govt Cash Mgmt ($102.3B) and Goldman Sachs FS Treas Instruments ($88.5B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
Finally, ICI also 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. This release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in July, prime money market funds held 41.9 percent of their portfolios in daily liquid assets and 59.5 percent in weekly liquid assets, while government money market funds held 81.7 percent of their portfolios in daily liquid assets and 88.5 percent in weekly liquid assets." Prime DLA was down from 43.1% in June, and Prime WLA was up from 58.8%. Govt MMFs' DLA was down from 81.8% and Govt WLA increased from 88.0% the previous month.
ICI explains, "At the end of July, prime funds had a weighted average maturity (WAM) of 22 days and a weighted average life (WAL) of 46 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 24 days and a WAL of 64 days." Prime WAMs were 2 days shorter and WALs were 2 days shorter from the previous month. Govt WAMs were unchanged and WALs were unchanged from June.
Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds’ holdings attributable to the Americas declined from $451.64 billion in June to $432.67 billion in July. Government money market funds’ holdings attributable to the Americas declined from $4,151.56 billion in June to $4,146.49 billion in July."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $432.7 billion, or 51.1%; Asia and Pacific at $129.8 billion, or 15.3%; Europe at $269.8 billion, or 31.9%; and, Other (including Supranational) at $13.6 billion, or 1.6%. The Government Money Market Funds by Region of Issuer table shows Americas at $4.146 trillion, or 91.0%; Asia and Pacific at $100.7 billion, or 2.2%; Europe at $295.2 billion, 6.5%, and Other (Including Supranational) at $15.1 billion, or 0.3%.
