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 1) includes Holdings information from 73 money funds (up 18 from a week ago), or $4.095 trillion (up from $3.526 trillion) of the $7.485 trillion in total money fund assets (or 54.7%) tracked by Crane Data. (Note: 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 July 11 News, "July Money Fund Portfolio Holdings: Repo Jumps to 42%, T-Bills Plunge.") (Note too: Money market mutual fund assets broke the $7.5 trillion level for the first time ever on Monday, August 4, according to our Money Fund Intelligence Daily product!)
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Treasuries totaling $1.770 trillion (up from $1.579 trillion two weeks ago), or 43.2%; Repurchase Agreements (Repo) totaling $1.529 trillion (up from $1.297 trillion two weeks ago), or 37.3%, and Government Agency securities totaling $368.4 billion (up from $310.9 billion), or 9.0%. Commercial Paper (CP) totaled $175.5 billion (up from two weeks ago at $132.7 billion), or 4.3%. Certificates of Deposit (CDs) totaled $105.2 billion (up from $91.3 billion a week ago), or 2.6%. The Other category accounted for $82.9 billion or 2.0%, while VRDNs accounted for $64.3 billion, or 1.6%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.770 trillion (43.2% of total holdings), Fixed Income Clearing Corp with $567.3B (13.9%), the Federal Home Loan Bank with $228.9 billion (5.6%), JP Morgan with $125.6B (3.1%), BNP Paribas with $99.9B (2.4%), Federal Farm Credit Bank with $94.5B (2.3%), Citi with $92.3B (2.3%), Wells Fargo with $79.5B (1.9%), RBC with $77.6B (1.9%) and Bank of America with $59.4B (1.4%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($304.3B), JPMorgan 100% US Treas MMkt ($257.7B), Fidelity Inv MM: Govt Port ($249.1B), Goldman Sachs FS Govt ($238.8B), BlackRock Lq FedFund ($176.4B), Federated Hermes Govt ObI ($168.6B), Morgan Stanley Inst Liq Govt ($164.6B), Fidelity Inv MM: MM Port ($160.7B), State Street Inst US Govt ($160.5B) and BlackRock Lq Treas Tr ($153.0B). (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, Moody's Ratings recently updated its "Default and Recovery Rates of Corporate Commercial Paper Issuers, 1972-2024." They explain, "This report updates our 2017 paper on default and rating transitions of corporate commercial paper (CP) issuers since 1972. Briefly, this study finds the following: Since the COVID-19 pandemic, the CP market has slightly increased in terms of total volume. Total CP outstanding was $1.2 trillion at year-end 2024, up from $977 billion in 2017. Both the asset-backed and financial-sector CP markets increased after the US Federal Reserve announced the Commercial Paper Funding Facility (CPFF) in March 2020 to support market functioning and provide a liquidity backstop."
It also finds, "The credit quality of corporate CP issuers has improved since our 2017 report....; Average default rates have been low from 1972 through 2024. Over a 180-day horizon, P-1 rated issuers historically had a 0.02% probability of default.... From 1972 through 2024, 126 CP issuers defaulted on about $26.5 billion of rated and unrated CP; and, Our data indicate that an 'orderly exit' mechanism operates in the CP market."
The "Introduction states, "As an important and flexible source of short-term financing, CP enables large, creditworthy corporations to raise funds at low cost. CP offers an interest rate slightly higher than Treasury bills of the same maturity. The credit quality of CP issuers is generally very high, and they usually refinance maturing CP by issuing new CP. The need to constantly roll over short-term debt makes issuers vulnerable to investors' willingness to purchase new debt. While the CP market is generally stable, it has had a few sudden and severe disruptions, such as during the 2008 global financial crisis."
Moody's writes, "This report documents the rating transitions and default and recovery rates of corporate CP issuers from 1972 through 2024. The report's first section offers an overview of the CP market, which is followed by a discussion of CP rating distribution and transitions. The final section examines the default and recovery experience of CP markets worldwide."
A "CP Market Overview," tells us, "Pandemic fears initially triggered a bout of severe financial market turmoil ..., but the Federal Reserve intervened with timely and unprecedented measures to ensure financial market liquidity and limit economic damage. It relaunched the Money Market Mutual Fund Liquidity Facility (MMLF) that was used during the global financial crisis to help money market funds meet redemption demands from households and other investors. To support the CP market, the Fed also reinstated the Commercial Paper Funding Facility (CPFF) used in past crises to lend directly to companies by buying CP. These facilities and other measures the Fed deployed helped restore financial market conditions despite their limited usage. As a result, credit spreads quickly narrowed from panic levels and have remained well-contained since."
The update says, "A closer look at the CP market reveals divergent paths for corporate and asset-backed CP (ABCP). Corporate CP mildly recovered after the 2008 financial crisis, with the total outstanding volume rising to $804 billion at the end of 2024 from $687 billion in 2017. In contrast, the ABCP market has persistently declined since the third quarter of 2007, when the residential mortgage-backed securities and asset-backed securities markets began to unravel after the collapse of two Bear Stearns hedge funds and the suspension of three funds by BNP Paribas.... By the end of June 2011, ABCP outstanding had declined to $413 billion from a peak of $1.2 trillion in 2007. By year-end 2024, the market had declined to $348 billion. Its persistent decline reflects a tougher regulatory environment and banks' reduced need for off-balance-sheet funding."
Moody's comments, "Increased nonfinancial corporate CP issuance largely drove the corporate CP market recovery. Nonfinancial sector CP outstanding climbed steadily to a peak of $328 billion in mid-2018 from a 10-year low of $103 billion in December 2009. However, it dropped by almost half in late 2020 because of pandemic-related uncertainty. Following monetary policies to stimulate the market, nonfinancial CP gradually recovered to pre-pandemic levels amid a global economic recovery. Financial CP was less affected by the pandemic ... and has trended higher since 2017, peaking at $736 billion in May 2021."
They add, "The spread between one-month AA nonfinancial CP and A2 nonfinancial CP had a small spike during the start of the pandemic. However, it quickly fell from panic levels and has since remained well-contained because of the MMLF and CPFF, and other measures the Fed deployed.... The Fed's interventions restored the financial market conditions despite their limited usage. Since 2021, the CP spread between the two sectors, financial and nonfinancial AA, has remained below 20 basis points until the end of 2024 (bp)."
Finally, they say, "Default risk decreased after the global financial crisis," writing, "When a CP issuer's fundamental credit quality deteriorates, it is typically forced to exit the market via an 'orderly exit' mechanism when it cannot roll over maturing CP. The mechanism generally lowers default risk in the CP market compared with the long-term debt market. Since 1972, a total of 126 rated CP issuers either defaulted on a scheduled CP payment or filed for bankruptcy within five years of holding a CP rating. Of the 126, 78 (or 62%) exited the CP market before they defaulted.... Our long-term debt default research indicates that senior unsecured bond investors can expect to recover about 38% of the principal on a defaulted bond, but many CP investors have a much better recovery experience. Most CP holders received full payment of principal ... because many CP defaulters held investment-grade long-term ratings. Moreover, CP defaults are driven by liquidity shocks or other highly situation-specific factors that do not necessarily affect recoveries."
