Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Tuesday, and we'll be writing our normal monthly update on the December 31 data for Wednesday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Monday. (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 Dec. 31, 2020, includes holdings information from 1,071 money funds (down two from last month), representing assets of $4.786 trillion (down $92 billion). Prime MMFs now total $910.2 billion, or 19.0% of the total, down from $963.0 billion a month ago. 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 $2.470 trillion (up from $2.459 trillion), or a massive 51.6% of all holdings. Repurchase Agreement (Repo) holdings in money market funds totaled $1.069 trillion (down from $1.080 trillion), or 22.3% of all assets, and Government Agency securities totaled $688.1 billion (down from $706.4 billion), or 14.4%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.227 trillion, or a stunning 88.3% of all holdings.
Commercial paper (CP) totals $231.6 billion (down from $239.9 billion), or 4.8% of all holdings, and Certificates of Deposit (CDs) total $126.0 billion (down from $136.9 billion), 2.6%. The Other category (primarily Time Deposits) totals $116.2 billion (down from $168.5 billion), or 2.4%, and VRDNs account for $85.3 billion (down from $88.5 billion last month), or 1.8% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $153.1 billion, or 3.2%, in Financial Company Commercial Paper; $45.4 billion or 0.9%, in Asset Backed Commercial Paper; and, $33.1 billion, or 0.7%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($632.6B, or 13.2%), U.S. Govt Agency Repo ($379.6B, or 7.9%) and Other Repo ($56.5B, or 1.2%).
The N-MFP Holdings summary for the 207 Prime Money Market Funds shows: Treasury holdings of $232.0 billion (down from $259.4 billion), or 25.5%; CP holdings of $226.2 billion (down from $234.6 billion), or 24.9%; Repo holdings of $188.0 billion (up from $147.8 billion), or 20.7%; CD holdings of $126.0 billion (down from $136.9 billion), or 13.8%; Other (primarily Time Deposits) holdings of $72.1 billion (down from $118.3 billion), or 7.9%; Government Agency holdings of $55.3 billion (up from $55.1 billion), or 6.1% and VRDN holdings of $10.5 billion (down from $10.9 billion), or 1.2%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $153.1 billion (up from $150.0 billion), or 16.8%, in Financial Company Commercial Paper; $45.4 billion (down from $45.9 billion), or 5.0%, in Asset Backed Commercial Paper; and $27.6 billion (down from $38.8 billion), or 3.0%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($69.7 billion, or 7.7%), U.S. Govt Agency Repo ($61.8 billion, or 6.8%), and Other Repo ($56.5 billion, or 6.2%).
In other news, ICI released its "2020 Annual Report" on Monday, which recaps many of the major challenges of 2020. They tell us, "In June, the Executive Committee of ICI's Board of Governors established the COVID-19 Market Impact Working Group, a group of senior industry executives charged with examining the causes of the 2020 market turmoil and the experiences of regulated funds. Their goal was to help provide a sound, empirical basis for any future regulatory discussions or other responses that could affect regulated funds and their investors. A second group, the Money Market Working Group, was formed to bring in a wider range of perspectives from sponsors of money market funds."
ICI explains, "The working group's examination of money market funds finds that, contrary to statements by some commentators, these funds did not cause the COVID-19 market turmoil. Data demonstrate that there were serious and widespread dislocations in short-term credit and other fixed-income markets before institutional prime money market funds experienced redemption pressure. Evidence shows that the 2010 Securities and Exchange Commission (SEC) reforms improved the resiliency of prime money market funds. The paper also finds, however, that one of the SEC's principal 2014 reforms -- giving fund boards the option to impose liquidity fees and gates if a fund dipped below the 30 percent weekly liquid assets threshold -- may have intensified flows from institutional prime money market funds instead of moderating them."
In a section on "Financial markets," they write, "Fixed-income markets first showed signs of dislocation in early March, followed by turmoil in other markets as businesses and investors reacted, racing to bolster their cash to protect themselves from the uncertainty that the pandemic and the economy's swift contraction engendered. As a result of this sudden demand for liquidity, short-term markets froze in mid-March, and some money market funds came under intense pressure."
The report continues, "During this time, ICI worked closely with members to understand what was happening in the markets. The Institute conveyed these market insights to policymakers and advocated for swift action to help restore market liquidity. When the Federal Reserve established a number of liquidity facilities, including the Money Market Mutual Fund Liquidity Facility (MMLF), ICI advocated for expanding the MMLF to include a wider range of securities."
It adds, "To help policymakers and government officials better understand how the markets and funds and their investors behaved during the onset of the pandemic, ICI published The Report of the COVID-19 Market Impact Working Group. It includes data-based, in-depth analysis of US markets and the experience of money market funds, exchange-traded funds, bond funds, and Undertakings for Collective Investment in Transferable Securities (UCITS)." (For more, see Crane Data News articles: "ICI Says UCITS Weathered Covid Crisis, Assets Plunge, Retirement MMFs" (12/18/20); "ICI: Prime Didn't Cause Crisis; N-MFP Holdings: Treasuries Still Half" (11/10/20); "ICI's Impact of Covid on Fin. Markets Report Examines Crisis, Support" (10/19/20); and "ICI Releases MMF Covid Report.")
