Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Thursday, and we'll be writing our normal monthly update on the August 31 data for Friday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Wednesday. (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 August 31, 2020, includes holdings information from 1,071 money funds (down 5 from last month), representing assets of $5.043 trillion (down $17 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 $2.486 trillion (up from $2.483 trillion and just below their record level of 2 months ago), or a massive 49.3% of all holdings. Repurchase Agreement (Repo) holdings in money market funds totaled $1.042 trillion (up from $992.1 billion), or 20.7% of all assets, and Government Agency securities totaled $812.4 billion (down from $850.0 billion), or 16.1%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.340 trillion, or a stunning 86.1% of all holdings.
Commercial paper (CP) totals $265.8 billion (down from $285.7 billion), or 5.3% of all holdings, and Certificates of Deposit (CDs) total $177.6 billion (down from $196.4 billion), 3.5%. The Other category (primarily Time Deposits) totals $161.0 billion (up from $149.7 billion), or 3.2%, and VRDNs account for $98.8 billion (down from $103.1 billion last month), or 2.0% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $157.8 billion, or 3.1%, in Financial Company Commercial Paper; $55.6 billion or 1.1%, in Asset Backed Commercial Paper; and, $52.5 billion, or 1.0%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($606.1B, or 12.0%), U.S. Govt Agency Repo ($387.6B, or 7.7%) and Other Repo ($48.1B, or 1.0%).
The N-MFP Holdings summary for the 210 Prime Money Market Funds shows: Treasury holdings of $329.0 billion (up from $326.2 billion), or 28.6%; CP holdings of $260.0 billion (down from $280.0 billion), or 22.6%; CD holdings of $177.6 billion (down from $196.4 billion), or 15.5%; Repo holdings of $158.7 billion (up from $142.5 billion), or 13.8%; Other (primarily Time Deposits) holdings of $109.9 billion (up from $98.3 billion), or 9.6%; Government Agency holdings of $102.9 billion (up from $92.4 billion), or 9.0% and VRDN holdings of $11.3 billion (down from $14.3 billion), or 1.0%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $157.8 billion (down from $163.8 billion), or 13.7%, in Financial Company Commercial Paper; $55.6 billion (down from $58.6 billion), or 4.8%, in Asset Backed Commercial Paper; and $46.6 billion (down from $57.5 billion), or 4.1%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($56.9 billion, or 5.0%), U.S. Govt Agency Repo ($53.6 billion, or 4.7%), and Other Repo ($48.1 billion, or 4.2%).
In other news, a press release entitled, "OFR Begins Publishing Repo Data, Unveils Short-term Funding Monitor," tells us, "The U.S. Office of Financial Research (OFR) released its new U.S. Repo Markets Data Release, a prototype publication of daily data on repo markets, and unveiled the Short-term Funding Monitor, an interactive tool that provides a more complete view into short-term funding markets."
It continues, "Trillions of dollars in repo agreements trade hands daily in short-term funding markets. Pressure in short-term funding markets can serve as an early warning signal of financial stress. To help the Financial Stability Oversight Council monitor risk in these markets, the OFR collects data on centrally cleared repurchase agreements, which amount to more than one trillion dollars in daily repo transactions. Through its new data release, the OFR is making aggregates of this data, and data covering tri-party repo, available to the public. The monitor is available on the OFR's website at: https://www.financialresearch.gov/short-term-funding-monitor/."
OFR Director Dina Falaschetti comments, "Fulfilling the OFR's Dodd Frank mandate, the cleared repo data provides the FSOC with a more complete view of the complex and critical repurchase agreement market.... We're making aggregates of these data available to the public to increase transparency and facilitate research on the financial system."
The release explains, "The Short-term Funding Monitor integrates the OFR's U.S. Repo Markets Data Release with other existing data sets previously scattered across many sources. The monitor combines data on the balance sheets and funding needs of short-term funding market participants, and the volumes and rates across market segments. Users can download all of the monitor data via a public API."
It adds, "The OFR's cleared repo data also supports the calculation of the Secured Overnight Financing Rate (SOFR), the Alternative Reference Rates Committee's preferred alternative to the U.S. dollar LIBOR reference rate. Due to concerns about LIBOR, different markets across the world are transitioning to other reference rates." Falaschetti says, "The OFR's repo collection is expected to provide a permanent and expanded source of data to support the SOFR and reference rate transition."
