Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out later Friday, and we'll be writing our normal monthly update on the June 30 data for Monday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Thursday. (We continue to merge the two series, and the N-MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of June 30, 2020, includes holdings information from 1,078 money funds (up 2 from last month), representing assets of a record $5.153 trillion (down $168 billion). We review the new N-MFP data below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Treasury holdings totaled a record $2.566 trillion (up from $2.506 trillion), or a shockingly high 49.8% of all holdings. Repurchase Agreement (Repo) holdings in money market funds totaled $952.8 billion (down from $1.078 trillion), or 18.5% of all assets, and Government Agency securities totaled $896.0 billion (down from $962.3 billion), or 17.4%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.415 trillion, or a stunning 85.7% of all holdings.
Commercial paper (CP) totals $297.0 billion (down from $303.4 billion), or 5.8%, and Certificates of Deposit (CDs) total $208.9 billion (down from $219.6 billion), or 4.1%. The Other category (primarily Time Deposits) totals $125.5 billion (down from $137.2 billion), or 2.4%, and VRDNs account for $107.7 billion (down from $114.0 billion last month), or 2.1%.
Fund holdings overall dropped by $167.8 billion, or -3.2%, in June. Decreases in holdings were seen among: Repurchase Agreements (down $125.6B, or -11.6%); Government Agencies (down $66.3B, or -6.9%); Other (down $11.7B, or -8.6%); Certificates of Deposit (down $10.7B, or -4.9%); Commercial Paper (down $6.5B, or -2.1%); and VRDNs (down $6.3B, or -5.5%). Treasury holdings showed the only gain last month; they were up $59.3 billion, or 2.4%.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $174.0 billion, or 3.4%, in Financial Company Commercial Paper; $61.9 billion or 1.2%, in Asset Backed Commercial Paper; and, $61.1 billion, or 1.2%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($537.4B, or 10.4%), U.S. Govt Agency Repo ($366.4B, or 7.1%) and Other Repo ($49.0B, or 1.0%).
The N-MFP Holdings summary for the 221 Prime Money Market Funds shows: Treasury holdings of $349.9 billion (up from $325.9 billion), or 29.8%; CP holdings of $290.8 billion (down from $297.6 billion), or 24.8%; CD holdings of $208.9 billion (down from $219.6 billion), or 17.8%; Repo holdings of $155.4 billion (up from $153.9 billion), or 13.3%; Government Agency holdings of $77.7 billion (up from $57.9 billion), or 6.6%; Other (primarily Time Deposits) holdings of $77.1 billion (down from $90.0 billion), or 6.6%; and VRDN holdings of $12.5 billion (down from $12.8 billion), or 1.1%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $174.0 billion (up from $171.6 billion), or 14.8%, in Financial Company Commercial Paper; $61.9 billion (up from $61.5 billion), or 5.3%, in Asset Backed Commercial Paper; and $55.0 billion (down from $64.5 billion), or 4.7%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($41.8 billion, or 3.6%), U.S. Govt Agency Repo ($64.5 billion, or 5.5%), and Other Repo ($49.0 billion, or 4.2%).
Prime Money Market Fund holdings overall increased by $16.1 billion, or 1.4%, in the latest month. Increases in holdings were seen by: Treasury (up $24.0B, or 7.4%); Government Agency (up $19.9B, or 34.3%); and Repurchase Agreement (up $1.5B, or 1.0%). Decreases in holdings were seen by: Other (down $11.5B, or -13.0%); Certificates of Deposit (down $10.7B, or -4.9%); Commercial Paper (down $6.7B, or -2.3%); and VRDNs (down $299M, or -2.3%).
In other news, money market fund assets inched higher following six weeks of declines. Since the week ended May 20, assets have fallen by $133.7 billion, but this follows 15 straight weeks of inflows (during which time assets increased by $1.172 trillion). ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets increased by $325 million to $4.66 trillion for the week ended Wednesday, July 8, the Investment Company Institute reported.... Among taxable money market funds, government funds decreased by $1.63 billion and prime funds increased by $3.79 billion. Tax-exempt money market funds decreased by $1.84 billion." ICI's stats show Institutional MMFs increasing $1.1 billion and Retail MMFs decreasing $78 million. Total Government MMF assets, including Treasury funds, were $3.762 trillion (80.8% of all money funds), while Total Prime MMFs were $764.9 billion (16.4%). Tax Exempt MMFs totaled $128.7 billion, 2.8%.
Money fund assets are up an eye-popping $1.024 trillion, or 28.2%, year-to-date in 2020, with Inst MMFs up $837 billion (37.0%) and Retail MMFs up $187 billion (13.6%). Over the past 52 weeks, ICI's money fund asset series has increased by $1.403 trillion, or 43.1%, with Retail MMFs rising by $313 billion (25.2%) and Inst MMFs rising by $1.090 trillion (54.3%).
They explain, "Assets of retail money market funds decreased by $779 million to $1.56 trillion. Among retail funds, government money market fund assets increased by $2.81 billion to $983.99 billion, prime money market fund assets decreased by $2.04 billion to $458.33 billion, and tax-exempt fund assets decreased by $1.55 billion to $114.50 billion." Retail assets account for just over a third of total assets, or 33.4%, and Government Retail assets make up 63.2% of all Retail MMFs.
ICI adds, "Assets of institutional money market funds increased by $1.10 billion to $3.10 trillion. Among institutional funds, government money market fund assets decreased by $4.44 billion to $2.78 trillion, prime money market fund assets increased by $5.84 billion to $306.55 billion, and tax-exempt fund assets decreased by $292 million to $14.22 billion." Institutional assets accounted for 66.6% of all MMF assets, with Government Institutional assets making up 89.6% of all Institutional MMF totals. (Note: Crane Data has its own separate daily and monthly asset series.)
