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 25) includes Holdings information from 78 money funds (up 23 from a week ago), which totals $3.102 trillion (up from $2.436 trillion) of the $5.955 trillion in total money fund assets (or 52.1%) 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.) (Reminder: Register ASAP for our European Money Fund Symposium, which takes place Sept. 25-26, 2024 in Edinburgh!)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $1.628 billion (up from $1.298 trillion a week ago), or 52.5%; Treasuries totaling $909.8 billion (up from $705.6 billion a week ago), or 29.3%, and Government Agency securities totaling $254.1 billion (up from $223.0 billion), or 8.2%. Commercial Paper (CP) totaled $104.8 billion (up from a week ago at $76.2 billion), or 3.4%. Certificates of Deposit (CDs) totaled $84.5 billion (up from $63.5 billion a week ago), or 2.7%. The Other category accounted for $83.8 billion or 2.7%, while VRDNs accounted for $37.0 billion, or 1.2%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $909.8 billion (29.3% of total holdings), the Federal Reserve Bank of New York with $839.3 billion (27.1%), Fixed Income Clearing Corp with $219.1B (7.1%), Federal Home Loan Bank with $184.2B (5.9%), Federal Farm Credit Bank with $60.4B (1.9%), Citi with $50.0B (1.6%), BNP Paribas with $49.9B (1.6%), RBC with $46.9B (1.5%), Goldman Sachs with $40.4B (1.3%) and Bank of America with $38.5B (1.2%).
The Ten Largest Funds tracked in our latest Weekly include: Goldman Sachs FS Govt ($265.0B), JPMorgan US Govt MM ($255.8B), Fidelity Inv MM: Govt Port ($180.9B), JPMorgan 100% US Treas MMkt ($150.7B), Federated Hermes Govt ObI ($147.4B), BlackRock Lq FedFund ($141.4B), Allspring Govt MM ($119.4B), State Street Inst US Govt ($114.1B), Fidelity Inv MM: MM Port ($110.4B) and BlackRock Lq Treas Tr ($104.6B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
In other news, law firm Vedder Price writes on website JD Supra, "SEC Adopts Significant Money Market Fund Reforms and Amended Form PF Reporting Requirements for Private Liquidity Fund Advisers." The summary says, "On July 12, 2023, in a 3-2 vote, the SEC adopted amendments to Rule 2a-7 under the Investment Company Act of 1940, representing the SEC's latest reforms of the rules governing money market funds in its effort to improve their resiliency and ability to manage significant investor redemptions during market stress events."
They tell us, "Key elements of the final rule include: Increased Minimum Daily and Weekly Liquidity Requirements; Board Reporting of Liquidity Threshold Events. The amendments increase the minimum daily and weekly liquid asset requirements to 25% (up from 10%) and 50% (up from 30%), respectively, of total assets. The amendments also require a fund to notify its board of directors when the fund's liquidity falls to less than half of the required levels -- i.e., when the fund has invested less than 12.5% of its total assets in daily liquid assets or less than 15% of its total assets in weekly liquid assets -- a circumstance referred to as a 'liquidity threshold event.'"
Key elements also include, "Removal of Redemption Gates from Rule 2a-7. The amendments remove money market funds' ability to temporarily suspend investor redemptions (i.e., impose a 'gate') under Rule 2a-7. Money market funds will continue to be able to impose permanent gates to facilitate an orderly liquidation of a fund pursuant to Rule 22e-3. Mandatory Liquidity Fees for Institutional Prime and Institutional Tax-Exempt Money Market Funds. The SEC adopted a mandatory liquidity fee framework for institutional prime and institutional tax-exempt money market funds -- a notable change from the SEC's proposed swing pricing requirement.... Specifically, institutional prime and institutional tax-exempt money market funds will be subject to a mandatory liquidity fee when net redemptions exceed 5% of net assets."
Additional key elements are: "Discretionary Liquidity Fees for Non-Government Money Market Funds. The amendments allow any non-government money market fund to impose a discretionary liquidity fee if the fund’s board determines a fee is in the fund’s best interest. Removal of Linkage between Weekly Liquid Assets and Liquidity Fees; Reporting Amendments. Under the SEC's new liquidity fee framework, the amendments remove the tie between a money market fund's weekly liquid asset levels and liquidity fees, for both mandatory and discretionary liquidity fees. This change seeks 'to avoid predictable triggers that may incentivize investors to preemptively redeem to avoid incurring fees.'"
Vedder Price continues, "Board Delegation of Liquidity Fee Administration. Importantly, the amendments allow a money market fund's board to delegate responsibility for administering a liquidity fee to the fund's investment adviser or officers, subject to written guidelines established and reviewed by the board and ongoing board oversight. The current rule does not permit a board to delegate its responsibility for liquidity fee determinations. The SEC's adopting release states that the written guidelines generally should specify the manner in which the delegate is to act with respect to any discretionary aspect of the liquidity fee mechanism (e.g., whether the fund will apply a fee to a shareholder based on the shareholder’s gross or net redemption activity for the relevant day). The board will also need to periodically review the delegate's liquidity fee determinations."
They also list, "Option to Use RDM in Negative Interest Rate Environment. If negative interest rates result in a negative gross yield, a retail or government money market fund that seeks to maintain a stable net asset value may convert to a floating share price, as the current rule already permits. The amendments will also permit a stable NAV fund to reduce the number of its shares outstanding to maintain a stable NAV per share in the event of negative interest rates, subject to certain board determinations and disclosures to investors. This new option is referred to as 'share cancellation,' 'reverse distribution mechanism,' or 'RDM.'"
Lastly, they mention, "Amendments to Form PF. The SEC is also amending Section 3 of Form PF, the confidential reporting form for certain SEC-registered investment advisers to private funds, to require additional information regarding the liquidity funds they advise. These private funds seek to maintain a stable NAV (or minimize fluctuations in their NAVs) and thus are similar in certain respects to money market funds. The amendments will require certain information regarding asset turnover, liquidity management and secondary market activities, subscriptions and redemptions, and ownership type and concentration."
The update writes on the "Compliance Dates," "The rule amendments will be effective October 2, 2023, and compliance with the reformed requirements is staggered over a 12-month period, as indicated below. October 2, 2023: removal of redemption gate provisions. April 2, 2024: increased minimum liquidity requirements, discretionary liquidity fee. June 11, 2024: amendments to Forms N-MFP, N-CR, and PF. October 2, 2024: mandatory liquidity fee. The SEC's adopting release is available here, and the SEC's corresponding fact sheet is available here."
