A press release titled, "J.P. Morgan Asset Management launches EUR Government CNAV Fund," states, "J.P. Morgan Asset Management (JPMAM) is pleased to announce the launch of JPMorgan Liquidity Funds -- EUR Government CNAV Fund, a short-term public debt constant net asset value (CNAV) money market fund designed for investors seeking government exposure. The fund will invest in short-term EUR denominated government or government-backed debt securities, including government bonds, treasury bills, and other money market instruments, as well as reverse repurchase agreements (RRP). These RRP's will be fully collateralised by EUR denominated Government Debt Securities, with all investments denominated in Euros." J.P. Morgan's makes it just the 4th Euro Government money market fund to launch since Euro rates returned to positive territory in 2015, according to Crane Data's Money Fund Intelligence International. Euro Govt MMFs total just $6.6B, or 2.7% of E249 billion in Euro MMFs. (Note: Funds tracked by MFI International are only available to institutional investors in Europe and outside the U.S.)
JPMAM's Jim Fuell, Head of Global Liquidity Sales, International, comments, "With interest rates in Europe now firmly in positive territory after a decade of negative levels, we've observed growing demand from investors for a money market fund with exposure to short-term government rather than bank-issued short-term debt.... Our EUR Government CNAV Fund is likely to appeal to investors seeking an alternative to cash deposits for their medium-term or temporary cash investments, including seasonal operating cash or the liquidity components of investment portfolios."
The release adds, "The new fund, managed by Joe McConnell and Ian Crossman, will be part of JPMAM's Global Liquidity business, complementing two existing EUR denominated money market funds: the JPMorgan Liquidity Funds - EUR Liquidity LVNAV Fund and the JPMorgan Liquidity Funds – EUR Standard Money Market VNAV Fund, and will offer share classes for both retail and institutional investors."
A separate press release, "Moody's Ratings assigns Aaa-mf rating to JPMorgan Liquidity Funds - EUR Government CNAV Fund," tells us, "Moody's Ratings has assigned an Aaa-mf rating to JPMorgan Liquidity Funds - EUR Government CNAV Fund ..., a short term public debt constant net asset value (CNAV) money market fund domiciled in Luxembourg and managed by JPMorgan Asset Management (UK) Limited. The Fund's primary investment objective is to achieve a return in EUR in line with prevailing money market rates whilst aiming to preserve capital consistent with such rates and to maintain a high degree of liquidity. The Fund will be launched on 13 May 2024."
It continues, "The Aaa-mf rating reflects Moody's view that the Fund will have a very strong ability to meet its objectives of providing liquidity and preserving capital. This view is supported by the portfolio's high credit quality and liquidity, strong asset profile, and low exposure to market risk. The Fund will primarily invest in short term EUR denominated government or government backed debt securities and reverse repurchase agreements."
Moody's explains, "The Fund will make direct investments in government securities issued by European Union (EU) 'core' countries, such as Germany, the Netherlands, Luxembourg, Austria, France and Belgium. However, its reverse repurchase agreements will be fully collateralized by EUR denominated government debt securities issued by EU 'core' countries or EU 'periphery' countries such as Spain and Italy, which are of lower credit quality and therefore add risk to the portfolio."
They comment, "The Fund's weighted average maturity will be below 60 days and we expect the Fund to maintain a very strong liquidity profile given its underlying assets. As a result, we expect the Fund to have a very low exposure to market risk. Moody's expects modest shareholder concentration risk during the Fund's ramp-up period to diminish as the Fund grows in size and its institutional shareholders, primarily composed of corporates, diversifies. The Fund is managed by JPMorgan Asset Management (UK) Limited, part of JPMorgan Chase & Co. (A1 stable). JPMorgan Asset Management (UK) Limited's assets under management (AUM) amounted to USD3.4 trillion as of end of December 2023 of which about USD939 billion were invested in liquidity funds."
For more, see these Crane Data News stories: "ESMA, FSB Push European Money Fund Reforms; New HSBC ESG Euro MF" (3/27/23), "JPMorgan Launches Standard Euro MF" (7/14/20), "S&P Upgrades SSGA Standard Euro" (12/17/19), and "More Euro Money Funds Liquidate; Fitch, Deutsche on European MMFs" (8/6/15).
In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Wednesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of May 10) includes Holdings information from 68 money funds (up 5 from two weeks ago), or $3.088 trillion (up from $2.933 trillion) of the $6.422 trillion in total money fund assets (or 48.1%) 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 and our May 10 News, "May Money Fund Portfolio Holdings: Repo Jumps to No. 1, T-Bills Plunge.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Treasuries totaling $1.397 trillion (up from $1.370 trillion two weeks ago), or 45.3%; Repurchase Agreements (Repo) totaling $1.172 trillion (up from $1.064 trillion two weeks ago), or 38.0%, and Government Agency securities totaling $258.2 billion (up from $242.3 billion), or 8.4%. Commercial Paper (CP) totaled $91.0 billion (up from two weeks ago at $87.9 billion), or 2.9%. Certificates of Deposit (CDs) totaled $70.2 billion (down from $72.4 billion two weeks ago), or 2.3%. The Other category accounted for $66.3 billion or 2.1%, while VRDNs accounted for $32.0 billion, or 1.0%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.397 trillion (45.3% of total holdings), Fixed Income Clearing Corp with $258.7B (8.4%), Federal Home Loan Bank with $196.3B (6.4%), the Federal Reserve Bank of New York with $144.5 billion (4.7%), BNP Paribas with $81.7B (2.6%), Citi with $80.2B (2.6%), JP Morgan with $77.3B (2.5%), RBC with $63.6B (2.1%), Federal Farm Credit Bank with $59.5B (1.9%) and Goldman Sachs with $43.2B (1.4%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($250.9B), Goldman Sachs FS Govt ($224.0B), JPMorgan 100% US Treas MMkt ($199.1B), Fidelity Inv MM: Govt Port ($193.6B), BlackRock Lq FedFund ($139.9B), Morgan Stanley Inst Liq Govt ($138.9B), State Street Inst US Govt ($129.9B), Fidelity Inv MM: MM Port ($128.1B), Allspring Govt MM ($118.8B) and BlackRock Lq Treas Tr ($110.8B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
