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 April 30, 2021) includes Holdings information from 49 money funds (down 23 funds from a week ago), which represent $1.624 trillion (down from $1.999 trillion) of the $4.888 trillion (33.2%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $833.0 billion (down from $1.018 trillion a week ago), or 51.3%, Repurchase Agreements (Repo) totaling $720.4 billion (down from $489.0 billion a week ago), or 25.9% and Government Agency securities totaling $198.0 billion (down from $235.8 billion), or 12.2%. Commercial Paper (CP) totaled $66.4 billion (down from $88.4 billion), or 4.1%. Certificates of Deposit (CDs) totaled $45.7 billion (down from $62.9 billion), or 2.8%. The Other category accounted for $42.8 billion or 2.6%, while VRDNs accounted for $18.0 billion, or 1.1%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $833.0 trillion (51.3% of total holdings), Federal Home Loan Bank with $112.7B (6.9%), BNP Paribas with $44.1B (2.7%), RBC with $38.7B (2.4%), Federal Farm Credit Bank with $36.3B (2.2%), Federal Reserve Bank of New York with $36.1B (2.2%), Fixed Income Clearing Corp with $35.7B (2.2%), Federal National Mortgage Association with $33.1B (2.0%), JP Morgan with $26.9B (1.7%) and Credit Agricole with $24.9B (1.5%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($216.4 billion), Wells Fargo Govt MM ($145.1B), Fidelity Inv MM: Govt Port ($132.3B), Morgan Stanley Inst Liq Govt ($121.4B), JP Morgan 100% US Treas MMkt ($104.4B), Dreyfus Govt Cash Mgmt ($104.0B), First American Govt Oblg ($98.1B), State Street Inst US Govt ($83.7B), JPMorgan Prime MM ($76.5B) and Morgan Stanley Inst Liq Treas Sec ($62.0B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)
In other news, S&P Global Ratings published "U.S. Domestic 'AAAm' Money Market Fund Trends (First-Quarter 2021)," which tells us, "Rated U.S. MMFs finished the first quarter of 2021 with sizable positive flows. Government funds remained the driving force behind this trend, highlighting their growing favor among investors. For the first quarter, government MMF assets increased nearly 9%, reaching levels akin to the peak of 2020, and prime fund assets remained consistent with the previous quarter end. Overall, for the first quarter, U.S. domestic PSFR assets increased to $3.2 trillion, from $2.98 trillion."
The update tells us, "Large purchases of Treasury bills were ongoing in government funds--along with an uptick in Treasury notes--as managers moved from agency securities. Agency and floater exposures hit a low by quarter-end, reflective of low rates. Several managers were awaiting the introduction in this quarter of the Bloomberg Short-Term Bank Yield Index (BSBY), an alternative money market reference rate to SOFR (Secured Overnight Financing Rate), which may reignite interest in floating rate instruments."
S&P adds, "Prime funds have slowly begun to reposition themselves to slightly mirror pre-pandemic times. For instance, while Treasury bills remained a valuable tool for overnight liquidity, there was less emphasis on usage. Average T-bill exposures decreased to 3%, the lowest concentration since before the COVID-19 pandemic. Managers also increased their bank deposit and asset-backed commercial paper exposures. The Federal Reserve's Money Market Mutual Fund Liquidity Facility officially ended, but the pressing issue for prime funds is the likelihood of regulatory reform as the SEC seeks public comments on potential reform measures for MMFs during the quarter."
S&P also published "European 'AAAm' Money Market Fund Trends (First-Quarter 2021)," which comments, "European-domiciled MMFs we rate had mixed results during the first quarter of 2021 as euro and sterling-denominated MMFs had negative flows of 20% and 8%, respectively, while U.S. dollar funds saw a 1% increase from Dec. 31, 2020. Comparatively, since the first quarter of 2020, the three currencies showed asset growth of 16% (euro), 7% (sterling), and 18% (U.S. dollar), continuing to emphasize the demand for MMFs, despite low and negative yielding investments."
They write, "During the past 12 months, money market funds have been in the spotlight again and tested by the wider market impact of COVID-19, yet the MMFs we rate all had their 'AAAm' ratings affirmed in 2020. Going forward, we'll continue our weekly surveillance and regular interactions with MMF fund managers, and we expect that ratings will hold up."
Also, Fitch Ratings also published several fund ratings actions. The first, "Fitch Assigns 'AAAmmf' Rating to the North Carolina Investment Pool-Liquid Portfolio," explains, "Fitch Ratings has assigned a 'AAAmmf' money market fund (MMF) rating to the North Carolina Investment Pool-Liquid Portfolio (NCIP). The commingled local government investment pool was established pursuant to North Carolina's state code as a statutory trust for the benefit of the North Carolina local governments, and is governed by a board of trustees that are representatives of participant units of local government. PFM Asset Management LLC (PFMAM) serves as the pool's investment adviser and administrator. NCIP was established to invest idle funds of its participants in various high-quality money market investments, in accordance with North Carolina General Statutes. NCIP seeks to maintain a stable NAV of $1.00."
Another release, "Fitch Rates COLOTRUST EDGE 'AAAf'/'S1'," states, "Fitch Ratings has assigned a 'AAAf' International Fund Credit Quality Rating (FCQR) and a 'S1' Fund Market Risk Sensitivity Rating (MRSR) to COLOTRUST EDGE. The pool was established as an authorized investment for local government participants, pursuant to Colorado state regulatory requirements. The COLOTRUST program is supervised by a board of trustees comprised of eligible local government participants of the program. Public Trust Advisors, LLC (PTA) serves as the investment advisor and administrator for the pool."
A third LGIP release, "Fitch Rates FLCLASS Enhanced Cash 'AAAf'/'S1'," adds, "Fitch Ratings has assigned a 'AAAf' International Fund Credit Quality Rating (FCQR) and a 'S1' Fund Market Risk Sensitivity Rating (MRSR) to FLCLASS Enhanced Cash. The pool was established as an authorized investment for local government participants, pursuant to Florida state regulatory requirements. The FLCLASS program is supervised by a board of trustees comprised of eligible local government participants of the program. Public Trust Advisors, LLC (PTA) serves as the investment advisor and administrator for the pool."
Finally, a fourth release, "Fitch Rates Goldman Sachs Financial Square Federal Instruments Fund 'AAAmmf'," says, "Fitch Ratings has assigned a 'AAAmmf' rating to the Goldman Sachs Financial Square Federal Instruments Fund. The fund is a Rule 2a-7 registered government money market fund managed by Goldman Sachs Asset Management, L.P."
