The Federal Reserve released its latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (a.k.a. "Flow of Funds") late last week. Among the 4 tables it includes on money market mutual funds, the Second Quarter 2022 edition shows that Total MMF Assets decreased by $58 billion to $5.032 trillion in Q2'22. The Household Sector, by far the largest investor segment with $2.723 trillion, saw an asset decrease in Q2. The second largest segment, Nonfinancial Corporate Businesses, also experienced a drop in assets. The Fed's latest Z.1 numbers, which contain one of the few looks at money fund investor segments available, also shows asset decreases in MMF holdings for the Other Financial Business and Mutual Funds categories in Q2 2022.
State & Local Governments, Property-Casualty Insurance, Mutual Funds, Exchange-traded Funds, Other Financial Business and the Rest of the World categories all saw minor asset decreases last quarter. The Life Insurance Companies, Private Pension Funds and Nonfinancial Noncorporate Business categories saw small asset increases in Q2, while the State & Local Govt Retirement sector remained unchanged. Over the past 12 months, the Other Financial Business, Nonfinancial Noncorporate Business, Rest of World and Private Pension Funds categories showed the biggest asset increases, while Mutual Funds, Household sector and Property-Casualty Insurance saw the biggest asset decreases.
The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows that total assets decreased by $58 billion, or -1.1%, in the second quarter to $5.032 trillion. The largest segment, the Household sector, totals $2.723 trillion, or 54.1% of assets. The Household Sector decreased by $4 billion, or -0.1%, in the quarter. Over the past 12 months through June 30, 2022, Household assets were down $33 billion, or -1.2%.
Nonfinancial Corporate Businesses, the second-largest segment according to the Fed's data series, held $776 billion, or 15.4% of the total. Assets here decreased by $8 billion in the quarter, or -1.1%, and they've increased by $15 billion, or 2.0%, over the past year. Other Financial Business was the third-largest investor segment with $560 billion, or 11.1% of money fund shares. This category dropped $19 billion, or -3.3%, in the latest quarter. Other Financial Business, which we believe includes Securities Lending, has increased by $33 billion, or 6.2%, over the previous 12 months.
The fourth-largest segment (a new addition to the tables), Mutual Funds, held $252 billion (5.0%). Private Pension Funds, was the 5th largest category with 4.8% of money fund assets ($241 billion); it was up by $7 billion (2.9%) for the quarter and up $14 billion, or 5.9% over the last 12 months. The Rest of World remained sixth place in market share among investor segments with 3.0%, or $153 billion, while ` Nonfinancial Noncorporate Business <b:>`_ held $123 billion (2.4%), Life Insurance Companies held $73 billion (1.5%), State & Local Governments held $53 billion (1.0%), Exchange-traded Funds held $33 billion (0.7%), State & Local Govt Retirement held $25 billion (0.5%), and Property-Casualty Insurance held $22 billion (0.4%), 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 “Security Repurchase Agreements” with $2.596 trillion, or 51.6% and "Debt Securities," or Credit Market Instruments, with $2.225 trillion, or 44.2% of the total. Debt securities includes: Open market paper ($221 billion, or 4.4%; we assume this is CP), Treasury securities ($1.459 trillion, or 29.0%), Agency and GSE-backed securities ($424 billion, or 8.4%), Municipal securities ($117 billion, or 2.3%) and Corporate and foreign bonds ($4 billion, or 0.1%).
Another large MMF position in the Fed's series includes `Time and savings deposits ($187 billion, or 3.7%). Money funds also hold minor positions in Miscellaneous assets ($23 billion, or 0.5%) and Foreign deposits ($2 billion, 0.0%). Note: The Fed also lists "Variable Annuity Money Funds," which currently total $18 billion.
During Q2, Debt Securities were down $290 billion. This subtotal included: Open Market Paper (down $12 billion), Treasury Securities (down $300 billion), Agency- and GSE-backed Securities (up $20 billion), Corporate and Foreign Bonds (down $2 billion) and Municipal Securities (up $4 billion). In the second quarter of 2022, Security Repurchase Agreements were up $219 billion, Foreign Deposits were unchanged, Time and Savings Deposits were up by $12 billion, and Miscellaneous Assets were up $1 billion.
Over the 12 months through 6/30/22, Debt Securities were down $961 billion, which included Open Market Paper (down $15B), Treasury Securities (down $829B), Agencies (down $112B), Municipal Securities (up $5B), and Corporate and Foreign Bonds (down $9B). Foreign Deposits were up $1B, Time and Savings Deposits were up $11B, Securities repurchase agreements were up $881 billion and Miscellaneous Assets were up $84B.
The L.121 table shows `Stable NAV money market funds with $4,385 billion, or 87.1% of the total (down $40.6 or -0.9% in Q2 and up $48B or 1.1% over 1-year), and Floating NAV money market funds with $647 billion, or 12.9% (down $17.6B or -2.6% in Q2 and down $31B or -4.6% over 1-year). Government money market funds total $4.071 trillion, or 80.9% (down $80.3B or -1.9% in Q2 and up $42B or 1.1% over 1-year), Prime money market funds total $850 billion, or 16.9% (up $5.2B or 0.6% in Q2 and down $35B or -3.9% over 1-year) and Tax-exempt money market funds $112B, or 2.2% (up $16.8B or 17.7% in Q2 and up $9B or 9.0% last year).
The Federal Reserve made changes to the Z.1 tables two quarters ago. Describing a "Money market funds sector data source change," the report says, "The money market mutual funds (MMF) sector (tables F.121 and L.121) has been revised beginning 2010:Q4 to reflect a change in data source to Securities and Exchange Commission Form NMFP. The level of assets and shares outstanding of the sector have increased due to the inclusion of private placement MMFs in the source data. Changes in the level due to changes in the data source in 2010:Q4 are recorded as other volume changes in the Financial Accounts."
On "Mutual funds sector holdings of money market funds," Z.1 tells us, "The mutual funds sector (tables F.122 and L.122) has been revised beginning 2010:Q4 to reflect holdings of money market funds not previously reported on the tables. In addition, holdings of repurchase agreements, commercial paper, corporate bonds, and miscellaneous assets have been revised. Additional and revised holdings are estimated using data from Morningstar and Investment Company Institute.... The exchange-traded funds sector (tables F.124 and L.124) has been revised beginning 2010:Q4 to reflect holdings of money market funds not previously reported on the tables."
