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 Third Quarter 2022 edition shows that Total MMF Assets increased by $52 billion to $5.084 trillion in Q3'22. The Household Sector, by far the largest investor segment with $2.781 trillion, saw an asset increase in Q3. The second largest segment, Nonfinancial Corporate Businesses, also experienced a jump 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 Q3 2022. (Note: We look forward to seeing some of you at our Money Fund University this Thursday (12/15) in Boston! Attendees and subscribers may access the conference materials at the bottom of our "Content" page or via our "Money Fund University 2022 Download Center.")
Mutual Funds, Exchange-traded Funds and Other Financial Business categories all saw minor asset decreases last quarter. The Property-Casualty Insurance, Life Insurance Companies, Private Pension Funds, Nonfinancial Noncorporate Business and the Rest of the World categories saw small asset increases in Q3, while the State & Local Govt Retirement and State & Local Governments sectors remained unchanged. Over the past 12 months, the Household Sector, Other Financial Business, Private Pension Funds, Nonfinancial Corporate Business and Life Insurance Companies categories showed the biggest asset increases, while Mutual Funds, Exchange-traded Funds and Property-Casualty Insurance saw the biggest asset decreases.
The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows that total assets increased by $52 billion, or 1.0%, in the third quarter to $5.084 trillion. The largest segment, the Household sector, totals $2.781 trillion, or 54.7% of assets. The Household Sector increased by $51 billion, or 1.9%, in the quarter. Over the past 12 months through September 30, 2022, Household assets were up $72 billion, or 2.6%.
Nonfinancial Corporate Businesses, the second-largest segment according to the Fed's data series, held $781 billion, or 15.4% of the total. Assets here increased by $5 billion in the quarter, or 0.7%, and they've increased by $12 billion, or 1.6%, over the past year. Other Financial Business was the third-largest investor segment with $554 billion, or 10.9% of money fund shares. This category dropped $7 billion, or -1.3%, in the latest quarter. Other Financial Business, which we believe includes Securities Lending, has increased by $32 billion, or 6.2%, over the previous 12 months.
The fourth-largest segment, Private Pension Funds held $249 billion (4.9%). (A new addition to the tables), Mutual Funds, was the 5th largest category with 4.6% of money fund assets ($233 billion); it was down by $16 billion (-6.4%) for the quarter and down $69 billion, or -22.8% over the last 12 months. The Rest of World remained sixth place in market share among investor segments with 3.0%, or $154 billion, while Nonfinancial Noncorporate Business held $124 billion (2.4%), Life Insurance Companies held $80 billion (1.6%), State & Local Governments held $53 billion (1.0%), Exchange-traded Funds held $28 billion (0.5%), State & Local Govt Retirement held $24 billion (0.5%), 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 “Security Repurchase Agreements” with $2.743 trillion, or 53.9% and "Debt Securities," or Credit Market Instruments, with $2.113 trillion, or 41.6% of the total. Debt securities includes: Open market paper ($245 billion, or 4.8%; we assume this is CP), Treasury securities ($1.256 trillion, or 24.7%), Agency and GSE-backed securities ($492 billion, or 9.7%), Municipal securities ($113 billion, or 2.2%) and Corporate and foreign bonds ($6 billion, or 0.1%).
Another large MMF position in the Fed's series includes `Time and savings deposits ($210 billion, or 4.1%). Money funds also hold minor positions in Miscellaneous assets ($17 billion, or 0.3%) and Foreign deposits ($1 billion, 0.0%). Note: The Fed also lists "Variable Annuity Money Funds," which currently total $43 billion.
During Q3, Debt Securities were down $111 billion. This subtotal included: Open Market Paper (up $24 billion), Treasury Securities (down $203 billion), Agency- and GSE-backed Securities (up $69 billion), Corporate and Foreign Bonds (up $3 billion) and Municipal Securities (down $4 billion). In the third quarter of 2022, Security Repurchase Agreements were up $147 billion, Foreign Deposits were unchanged, Time and Savings Deposits were up by $23 billion, and Miscellaneous Assets were down $7 billion.
Over the 12 months through 9/30/22, Debt Securities were down $421 billion, which included Open Market Paper (down $4B), Treasury Securities (down $439B), Agencies (up $18B), Municipal Securities (up $7B), and Corporate and Foreign Bonds (down $4B). Foreign Deposits were unchanged, Time and Savings Deposits were up $31B, Securities repurchase agreements were up $479 billion and Miscellaneous Assets were down $24B.
The L.121 table shows `Stable NAV money market funds with $4,411 billion, or 86.8% of the total (up $25.7 or 0.6% in Q3 and up $56B or 1.3% over 1-year), and Floating NAV money market funds with $673 billion, or 13.2% (up $26.1B or 4.0% in Q3 and up $9B or 1.3% over 1-year). Government money market funds total $4.012 trillion, or 78.9% (down $59.6B or -1.5% in Q3 and down $52B or -1.3% over 1-year), Prime money market funds total $966 billion, or 19.0% (up $116.1B or 13.7% in Q3 and up $107B or 12.5% over 1-year) and Tax-exempt money market funds $107B, or 2.1% (down $4.7B or -4.2% in Q3 and up $9B or 9.4% last year).
The Federal Reserve made changes to the Z.1 tables three 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."
