The Federal Reserve released its latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (a.k.a. "Flow of Funds") Thursday. Among the 4 tables it includes on money market mutual funds, the Third Quarter 2020 edition shows that Total MMF Assets decreased by $228 billion to $4.408 trillion in Q3'20. The Household Sector, by far the largest investor segment with $2.463 trillion, saw assets plunge in Q3, after a massive buildup in the first half of 2020. The second largest segment, Nonfinancial Corporate Businesses, also saw a sharp drop in assets, as did Life Insurance Companies. (Note: Please join us next week for our last webinar of the year, Money Fund Wisdom Demo & Training, Dec. 16 from 1-2pmET. We'll review money market mutual fund information and statistics and we'll give an overview of and training on Crane Data's product lineup.)
The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, also show asset decreases in MMF holdings for the Other Financial Business (formerly Funding Corps) and Rest of the World category in Q3 2020. Private Pension Funds, Nonfinancial Noncorporate Business, State & Local Government Retirement and Property-Casualty Insurance all saw small assets decreases in Q3. The only segment to increase over the last quarter was State & Local Govts . Over the past 12 months, the Nonfinancial Corporate Businesses, Household Sector and Other Financial Business showed the biggest asset increases. Every category with the exception of Property-Casualty Insurance saw increases over the past year.
The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows that total assets decreased by $228 billion, or -4.9%, in the third quarter to $4.408 trillion. Over the year assets were up $966 billion, or 28.0%. The largest segment, the Household sector, totals $2.463 trillion, or 55.9% of assets. The Household Sector fell by $153 billion, or -5.8%, in the quarter, after increasing $197 billion in Q2'20. Over the past 12 months through Q3'20, Household assets were up $390 billion, or 18.8%.
Nonfinancial Corporate Businesses, the second-largest segment according to the Fed's data series, held $927 billion, or 21.0% of the total. Assets here fell by $35 billion in the quarter, or -3.6%, and they've increased by $399 billion, or 75.4%, over the past year. Other Financial Business was the third-largest investor segment with $412 billion, or 9.3% of money fund shares. They fell by $8 billion, or -1.9%, in the latest quarter. Other Financial Business has increased by $97 billion, or 31.0%, over the previous 12 months.
The fourth-largest segment, Private Pension Funds , held $163 billion (3.7%). The Rest of the World, was in 5th place, it held 3.6% of money fund assets ($157 billion), down by $8 billion (-4.9%) for the quarter, and up $34 billion, or 28.0%. The Nonfinancial Noncorporate Business remained sixth place in market share among investor segments with 2.8%, or $124 billion, while Life Insurance Companies held $75 billion (1.7%), State and Local Governments held $32 billion (0.7%), State and Local Government Retirement Funds held $31 billion (0.7%) and Property-Casualty Insurance held $24 billion (0.5%) according to the Fed's Z.1 breakout.
The Fed's "Flow of Funds" Table L.121 shows "Money Market Mutual Funds" largely invested in "Debt Securities," or Credit Market Instruments, with $3.291 trillion, or 74.6% of the total. Debt securities includes: Open market paper ($178 billion, or 4.0%; we assume this is CP), Treasury securities ($2.275 trillion, or 51.6%), Agency and GSE-backed securities ($700 billion, or 15.9%), Municipal securities ($121 billion, or 2.8%) and Corporate and foreign bonds ($16 billion, or 0.4%).
Other large holdings positions in the Fed's series include Security repurchase agreements ($997 billion, or 22.6% of total assets) and Time and savings deposits ($180 billion, or 4.1%). Money funds also hold minor positions in Miscellaneous assets ($15 billion, or 0.3%), Foreign deposits ($1 billion, 0.0%) and Checkable deposits and currency (-$76 billion, -1.7%). Note: The Fed also lists "Variable Annuity Money Funds," which currently total $44 billion.
During Q3, Debt Securities were down $254 billion. This subtotal included: Open Market Paper (down $41 billion), Treasury Securities (down $75 billion), Agency- and GSE-backed Securities (down $126 billion), Corporate and Foreign Bonds (up $4 billion) and Municipal Securities (down $15 billion). In the third quarter of 2020, Security Repurchase Agreements were up $91 billion, Foreign Deposits were down $1 billon, Checkable Deposits and Currency were down $31 billion, Time and Savings Deposits were down by $35 billion, and Miscellaneous Assets were up $2 billion.
Over the 12 months through 9/30/20, Debt Securities were up $1.261 trillion, which included Open Market Paper down $64B, Treasury Securities up $1.330T, Agencies up $4B, Municipal Securities (down $9), and Corporate and Foreign Bonds (unchanged). Foreign Deposits were down $3B, Checkable Deposits and Currency were down $46B, Time and Savings Deposits were down $75B, Securities repurchase agreements were down $175B and Miscellaneous Assets were up $5B.
Note that the Federal Reserve changed its numbers related to money market funds substantially in the second quarter of 2018. Its "Release Highlights Second Quarter 2018" tells us, "New source data for money market funds from the U.S. Securities and Exchange Commission's (SEC) form N-MFP have been incorporated into the sector's asset holdings (tables F.121 and L.121). Money market funds not available to the public, which are included in the SEC data, are excluded from Financial Accounts' estimates. Data revisions begin 2013:Q1. Holdings of money market fund shares by households and nonprofit organizations, state and local governments, and funding corporations (tables F.206 and L.206) have been revised due to a change in methodology based on detail from the Investment Company Institute. Data revisions begin 1976:Q1."
