Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Friday, and we'll be writing our normal monthly update on the September 30 data for Tuesday'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 Sept. 30, 2020, includes holdings information from 1,066 money funds (down 5 from last month), representing assets of $4.941 trillion (down $102 billion). Prime MMFs now total $999.0 billion, or 20.2% of the total, down from $1.149 trillion a month ago. We review the new N-MFP data below, and we also review ICI's latest money fund asset totals.

Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Treasury holdings totaled $2.494 trillion (up from $2.486 trillion), or a massive 50.5% of all holdings. Repurchase Agreement (Repo) holdings in money market funds totaled $1.050 trillion (up from $1.042 trillion), or 21.2% of all assets, and Government Agency securities totaled $768.3 billion (down from $812.4 billion), or 15.6%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.312 trillion, or a stunning 87.3% of all holdings.

Commercial paper (CP) totals $240.5 billion (down from $265.8 billion), or 4.9% of all holdings, and Certificates of Deposit (CDs) total $156.9 billion (down from $177.6 billion), 3.2%. The Other category (primarily Time Deposits) totals $138.1 billion (down from $161.0 billion), or 2.8%, and VRDNs account for $93.0 billion (down from $98.8 billion last month), or 1.9% of money fund securities.

Broken out into the SEC's more detailed categories, the CP totals were comprised of: $143.4 billion, or 2.9%, in Financial Company Commercial Paper; $52.5 billion or 1.1%, in Asset Backed Commercial Paper; and, $44.6 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($616.8B, or 12.5%), U.S. Govt Agency Repo ($384.9B, or 7.8%) and Other Repo ($48.0B, or 1.0%).

The N-MFP Holdings summary for the 208 Prime Money Market Funds shows: Treasury holdings of $276.5 billion (down from $329.0 billion), or 27.7%; CP holdings of $235.0 billion (down from $260.0 billion), or 23.5%; Repo holdings of $161.3 billion (up from $158.7 billion), or 16.1%; CD holdings of $156.8 billion (down from $177.6 billion), or 15.7%; Other (primarily Time Deposits) holdings of $92.9 billion (down from $109.9 billion), or 9.3%; Government Agency holdings of $65.4 billion (down from $102.9 billion), or 6.5% and VRDN holdings of $11.2 billion (down from $11.3 billion), or 1.1%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $143.4 billion (down from $157.8 billion), or 14.4%, in Financial Company Commercial Paper; $52.5 billion (down from $55.6 billion), or 5.3%, in Asset Backed Commercial Paper; and $39.1 billion (down from $46.6 billion), or 3.9%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($50.5 billion, or 5.1%), U.S. Govt Agency Repo ($62.8 billion, or 6.3%), and Other Repo ($48.0 billion, or 4.8%).

In other news, money market fund assets fell again in the latest week, their ninth decline in a row and 17th decline over the past 20 weeks. Assets have fallen by $193.1 billion since August 5 and $407.1 billion since May 20, when assets were at a record $4.789 trillion. ICI's latest weekly "Money Market Fund Assets" report says, "Total money market fund assets decreased by $21.64 billion to $4.38 trillion for the week ended Wednesday, October 7.... Among taxable money market funds, government funds decreased by $24.93 billion and prime funds increased by $2.65 billion. Tax-exempt money market funds increased by $640 million." ICI's stats show Institutional MMFs falling $24.9 billion and Retail MMFs increasing $3.3 billion. Total Government MMF assets, including Treasury funds, were $3.665 trillion (83.6% of all money funds), while Total Prime MMFs were $603.5 billion (13.8%). Tax Exempt MMFs totaled $114.1 billion (2.6%). (Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data.)

ICI shows money fund assets up a still massive $750 billion, or 20.7%, year-to-date in 2020, with Inst MMFs up $592 billion (26.2%) and Retail MMFs up $158 billion (11.5%). Over the past 52 weeks, ICI's money fund asset series has increased by $913 billion, or 26.3%, with Retail MMFs rising by $205 billion (15.5%) and Inst MMFs rising by $708 billion (33.0%). (Crane Data's separate and broader Money Fund Intelligence Daily data series shows total MF assets are down $21.5 billion in October (as of 10/7) to $4.756 trillion.)

They explain, "Assets of retail money market funds increased by $3.28 billion to $1.53 trillion. Among retail funds, government money market fund assets increased by $4.19 billion to $1.12 trillion, prime money market fund assets decreased by $868 million to $304.61 billion, and tax-exempt fund assets decreased by $46 million to $102.97 billion." Retail assets account for just over a third of total assets, or 34.9%, and Government Retail assets make up 73.3% of all Retail MMFs.

ICI adds, "Assets of institutional money market funds decreased by $24.92 billion to $2.85 trillion. Among institutional funds, government money market fund assets decreased by $29.12 billion to $2.54 trillion, prime money market fund assets increased by $3.52 billion to $298.89 billion, and tax-exempt fund assets increased by $687 million to $11.09 billion." Institutional assets, which broke below the $3.0 trillion level for the first time since April 22 at the end of August, accounted for 65.1% of all MMF assets, with Government Institutional assets making up 89.1% of all Institutional MMF totals.

As a reminder, last week we saw a huge $124 billion drop in Prime MMF assets, which was attributable to the conversion of the massive Vanguard Prime Money Market Fund. The fund was renamed Vanguard Cash Reserves Federal Money Market and switched to a Government money fund. Prime MMF assets had been at $725 billion, according to ICI's series before the conversion. (Crane Data's MFI Daily switched the fund's category from Prime Retail to Government Retail on Tuesday Sept. 29. See our August 28 News, "Vanguard Prime Money Market Fund Going Government; ICI's July Trends.")

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