The Investment Company Institute's latest "Month-End Portfolio Holdings of Taxable Money Market Funds" shows a continued shift into Treasury Bills and U.S. Government Agency Securities, a rebound in Commercial Paper, and a retreat from Eurodollar CDs, CDs, Corporate Notes and Bank Notes. Overall money fund assets posted their second largest increase on record in October, a gain of $149 billion, to a record $3.59 trillion following their largest drop ever, $137 billion, in September.
According to ICI, commercial paper remains the largest holding in taxable money funds with $639 billion, or 20.6% of assets. (Money funds own approximately 41% of the $1.55 trillion CP market based on the Federal Reserve's Oct. 31 statistics.) Repo, or repurchase agreements rank a close second among holdings with $624 billion, or 20.1% of assets. CP rose by $52 billion, or 8.9%, in October while repo rose by $7 billion, or 1.2%. Over the past year, CP holdings in money funds have declined $65 billion, or 9.2%, while repo holdings have increased $96 billion, or 18.1%.
U.S. Government agency securities are the 3rd largest holding in money funds at $519 billion, or 16.7%, and Treasury bills and securities total $516 billion, or 16.6%. Agency holdings jumped $83 billion in October (up 19.1%) and have surged by $339 billion (188.3%) over the past year. Treasury holdings jumped $85 billion (19.7%) in October and have skyrocketed $383 (286.9%) since October 2007. CDs and corporate notes, representing $375 billion (12.1% of assets) and $182 billion (5.9%), respectively, declined sharply in October.
As we mentioned, money fund assets increased by almost $150 billion in October, a gain of 4.3%, to $3.6 trillion. Taxable assets grew to $3.1 trillion while tax-free money fund assets grew to $487 billion. Total assets have increased by $483 billion, or 15.5%, year-to-date. The average maturities of money fund portfolios lengthened in October from 41 days to 44 days, a heartening sign for money markets, and the number of accounts outstanding grew from 33.78 million to 34.07 million.
Both money market funds and commercial paper have continued their amazing recuperation in November. This week's extension of the Treasury Temporary Guarantee Program for Money Market Funds and launch of the New York Federal Reserve's Money Market Investor Funding Facility this week should help push assets higher in December too. The New York Fed's Andrew Williams tells Crane Data, "[T]he MMIFF is operational and our extension of credit to the program will be disclosed each Thursday at 4:30 in this release: http://federalreserve.gov/releases/h41/Current/."
