The latest "ICI's Month-End Portfolio Holdings of Taxable Money Market Funds" report shows a jump in Government agency securities and a decline in repo holdings in June. Certificates of Deposit rebounded while Commercial Paper holdings inched lower. The Investment Company Institute's monthly surveys also show weighted average maturities continued to decline, and asset outflows continued their slow to a trickle.
CDs remain money funds largest holding at 21.2%, or $523.3 billion. They rose by $3.9 billion in June, led by a jump in Eurodollar CD holdings. CD holdings have decreased by $73.8 billion the past 3 months, by $39.4 billion YTD, and by $116.3 billion over the past 12 months.
Repurchase agreements remain the second largest holding in taxable money funds, even after their drop in June, with $472.7 billion, or $19.2%. Repo holdings have grown by $23.5 billion over the past 3 months, by $2.4 billion YTD, and have declined by $26.4 billion over the past 12 months. U.S. Government Agency Securities rank third with $460.2 billion, or 18.7% of assets. Agencies jumped $23.1 billion in June, but have declined by $14.6 billion over 3 months and $297.6 billion over one year.
Commercial Paper continues to be the fourth largest holding in money funds with $394.4 billion, representing 16.0% of assets. CP holdings in money funds declined by $4.0 billion in June, $63.1 billion over 3 months, $15.7 billion YTD, and $143.3 billion over 12 months. (Note that CP issuance has increased for 4 weeks in a row in July -- see the Federal Reserve's latest, so we expect to see these totals moving up next month.)
Treasury Bill and Securities Holdings also rose by $5.7 billion in June to $359.0 billion, or 14.6% of holdings. It seems money funds are substituting repo for Treasury and agency securities, all of which are eligible for funds' new mandated 30% weekly liquidity buckets. Taxable money funds hold an average of 52.5% of total holdings in these three asset classes, so it's unlikely that many are having trouble staying over the 30% floor.
Average Maturities of portfolios continued shortening in June, decreasing 5 days to 36 days, their lowest level in over 3 years. WAMs were 49 days on average at the start of this year and were at a high of 55 days in October 2009. The Number of Funds tracked by ICI's series increased by 2 funds to 468 in June.
Assets of money funds decreased by $22.4 billion in June according to ICI's monthly "Trends in Mutual Fund Investing." This marked the second consecutive month of less than 1.0% declines, and assets appear to have been almost flat in July too. (ICI's weekly money fund series showed an increase last week with assets re-taking the $2.8 trillion level.)
