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 Feb. 10) includes Holdings information from 45 money funds (down 8 from two weeks ago), which represent $1.359 trillion (down from $1.727 trillion) of the $5.197 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. See our latest Monthly Money Fund Portfolio Holdings here.) (Note: Register soon for Crane's Bond Fund Symposium, which will be held March 23-24, 2023, in Boston, Mass.)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $834.5 billion (down from $1.023 trillion two weeks ago), or 61.4%; Treasuries totaling $313.1 billion (down from $467.8 billion two weeks ago), or 23.0%, and Government Agency securities totaling $100.4 billion (down from $108.2 billion), or 7.4%. Commercial Paper (CP) totaled $49.6 billion (down from two weeks ago at $55.6 billion), or 3.6%. Certificates of Deposit (CDs) totaled $17.5 billion (down from $24.1 billion two weeks ago), or 1.3%. The Other category accounted for $33.5 billion or 2.5%, while VRDNs accounted for $10.3 billion, or 0.8%.
The Ten Largest Issuers in our Weekly Holdings product include: the Federal Reserve Bank of New York with $521.1 billion (38.3%), the US Treasury with $313.1 billion (23.0% of total holdings), Fixed Income Clearing Corp with $78.0B (5.7%), Federal Home Loan Bank with $64.4B (4.7%), JP Morgan with $41.4B (3.0%), Federal Farm Credit Bank with $33.2B (2.4%), RBC with $27.5B (2.0%), Goldman Sachs with $19.8B (1.5%), Mitsubishi UFJ Financial Group Inc with $17.9B (1.3%), and BNP Paribas with $13.7B (1.0%).
The Ten Largest Funds tracked in our latest Weekly include: Fidelity Inv MM: Govt Port ($138.8B), Dreyfus Govt Cash Mgmt ($134.0B), Morgan Stanley Inst Liq Govt ($120.0B), Fidelity Inv MM: MM Port ($97.2B), Allspring Govt MM ($89.4B), Invesco Govt & Agency ($83.7B), State Street Inst US Govt ($73.1B), First American Govt Oblg ($67.3B), Dreyfus Treas Obligations Cash Mgmt ($50.2B), and Invesco Treasury Portfolio ($49.9B). (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 release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in January, prime money market funds held 40.7 percent of their portfolios in daily liquid assets and 58.5 percent in weekly liquid assets, while government money market funds held 84.6 percent of their portfolios in daily liquid assets and 90.6 percent in weekly liquid assets." Prime DLA was down from 46.0% in December, and Prime WLA was up from 56.4%. Govt MMFs' DLA was down from 84.7% and Govt WLA increased from 90.2% the previous month.
ICI explains, "At the end of January, prime funds had a weighted average maturity (WAM) of 16 days and a weighted average life (WAL) of 45 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 13 days and a WAL of 59 days." Prime WAMs were 2 days longer and WALs were unchanged from the previous month. Govt WAMs were 2 days shorter and WALs were 1 day shorter from December.
Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas declined from $409.79 billion in December to $358.08 billion in January. Government money market funds' holdings attributable to the Americas declined from $3,794.89 billion in December to $3,686.39 billion in January."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $358.1 billion, or 49.6%; Asia and Pacific at $123.0 billion, or 17.0%; Europe at $231.0 billion, or 32.0%; and, Other (including Supranational) at $9.2 billion, or 1.4%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.686 trillion, or 93.3%; Asia and Pacific at $76.3 billion, or 1.9%; Europe at $167.8 billion, 4.2%, and Other (Including Supranational) at $20.2 billion, or 0.5%.
Finally, a release entitled, "ICI: Mandatory Swing Pricing Would Harm Millions of American Investors," tells us, "Investment Company Institute (ICI) President and CEO Eric Pan released the following statement regarding the Securities and Exchange Commission's (SEC) proposal to amend open-end fund liquidity risk management programs and impose mandatory swing pricing for mutual funds: 'The SEC's liquidity, swing pricing, and hard close proposal would seriously harm the more than 100 million Americans who use mutual funds to invest for their financial future.'"
Pan explains, "Mutual funds have existed for almost a century. Over the years, they have withstood shocks ranging from depressions to global wars. Mutual funds work. They help people build financial security, and 68% of mutual fund-owning households earn less than $150,000 annually. The SEC's unworkable and costly proposal would severely damage these funds, targeting middle-class Americans and making it harder for families to achieve their financial goals. The Commission's rulemaking seeks to re-engineer the entire mutual fund product, fundamentally altering how mutual funds are managed, priced, bought, and sold by everyday investors. The agency wants to mandate that all mutual funds manage liquidity under prescriptive new rules. Even worse, the proposal would mandate that funds 'swing' their daily share price, artificially changing it on most business days, under SEC conditions, unseen by investors."
He continues, "The Commission presents scant evidence of a real problem to solve. ICI estimates that daily dilution for U.S. mutual funds is on average far too small -- typically just hundredths or tenths of a basis point per day -- to incentivize shareholders to redeem heavily, contrary to what the Commission assumes. Even a scenario where dilution amounted to a few basis points annually is highly unlikely to outweigh investors' other concerns, in particular the daily gyrations of the stock market. Over the longer-term, any potential dilution would be greatly offset by the returns investors earn in mutual funds. The data simply do not support the SEC's proposed heavy-handed approach."
Pan adds, "The SEC already has a mandatory liquidity risk management rule and an optional swing pricing rule on the books. The SEC has failed to demonstrate that the enormous changes they are contemplating, including the 4 p.m. hard close, would be beneficial to investors. Similarly, the agency has not fairly analyzed whether the changes would be workable for funds, given that they would require a complete overhaul of operational systems and the conscription of thousands of fund staff.... We are also seriously concerned by the burdensome obligations envisioned for Form N-PORT filers. The information would include public disclosure of holdings that the Commission has previously found could encourage predatory trading.... The SEC should leave the current liquidity risk management regime in place, letting each fund determine if an anti-dilution measure is needed, and which measure to use. We cannot support this costly proposal, as it would deny mutual fund investors a level playing field. ICI urges the Commission to study the data we have presented and put investors over academic theories and one-size-fits-all requirements."
