Crane Data's October Money Fund Portfolio Holdings, with data as of Sept. 30, 2021, show Repo jumping for the 8th month in a row and Treasury holdings plunging for the 6th straight month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $26.0 billion to $4.853 trillion in September, after increasing $47.4 billion in August and decreasing $89.1 billion in July. Assets also rose $1.5 billion in June, $30.2 billion in May and $29.1 billion in April. Repo reclaimed the largest portfolio segment, the first time since March 2020, while Treasuries slid down to No. 2. MMF holdings of Fed repo rose to over $1.4 trillion. Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: Please join us for our upcoming European Money Fund Symposium Online, a free 2 1/2 hour webinar, which takes place Oct. 21 from 9:30-12:00pm Eastern.)

Among taxable money funds, Treasury securities plummeted $262.4 billion (-13.5%) to $1.681 trillion, or 34.6% of holdings, after falling $113.8 billion in August, $200.6 billion in July, $134.5 billion in June and $135.0 billion in May. Repurchase Agreements (repo) jumped $299.8 billion (15.4%) to $2.248 trillion, or 46.3% of holdings, after rising $169.6 billion in August, $62.9 billion in July, $251.0 billion in June and $200.9 billion in May. Government Agency Debt was down $31.3 billion, or -6.4% to $460.9 billion, or 9.5% of holdings, after decreasing $8.1 billion in August, rising $3.8 billion in July, and decreasing $26.7 billion in June. Repo, Treasuries and Agency holdings totaled $4.389 trillion, representing a massive 90.4% of all taxable holdings.

Money funds' holdings of CP, CDs and Other (mainly Time Deposits) were mixed in September as Prime MMF holdings of Other/TDs plunged, while CP inched higher and CDs inched lower. Commercial Paper (CP) increased $3.1 billion (1.3%) to $241.5 billion, or 5.0% of holdings, after increasing $3.2 billion in August and $8.2 billion in July (but decreasing $36.1 billion in June). Other holdings, primarily Time Deposits, declined by $32.7 billion (-27.2%) to $87.4 billion, or 1.8% of holdings, after declining $4.7 billion in August, jumping $39.9 billion in July, and dropping $35.9 billion in June. Certificates of Deposit (CDs) fell by $3.8 billion (-3.1%) to $120.2 billion, or 2.5% of taxable assets, after rising $1.9 billion in August and dropping $1.5 billion in July and $14.9 billion in June. VRDNs increased to $13.8 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately late Monday.)

Prime money fund assets tracked by Crane Data remained flat at $851 billion, or 17.1% of taxable money funds' $4.853 trillion total. Among Prime money funds, CDs represent 14.1% (down from 14.6% a month ago), while Commercial Paper accounted for 28.4% (up from 27.7% in August). The CP totals are comprised of: Financial Company CP, which makes up 20.1% of total holdings, Asset-Backed CP, which accounts for 4.1%, and Non-Financial Company CP, which makes up 4.2%. Prime funds also hold 2.5% in US Govt Agency Debt, 8.4% in US Treasury Debt, 27.6% in US Treasury Repo, 1.2% in Other Instruments, 7.0% in Non-Negotiable Time Deposits, 8.4% in Other Repo, 2.2% in US Government Agency Repo and 0.8% in VRDNs.

Government money fund portfolios totaled $2.784 trillion (57.4% of all MMF assets), down from $2.805 trillion in August, while Treasury money fund assets totaled another $1.218 trillion (25.1%), down from $1.222 trillion the prior month. Government money fund portfolios were made up of 15.7% US Govt Agency Debt, 11.3% US Government Agency Repo, 28.3% US Treasury Debt, 44.4% in US Treasury Repo, 0.2% in Other Instruments. Treasury money funds were comprised of 67.5% US Treasury Debt and 32.3% in US Treasury Repo. Government and Treasury funds combined now total $4.002 trillion, or 82.5% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $88.5 billion in Sept. to $492.4 billion; their share of holdings fell to 10.2% from last month's 11.9%. Eurozone-affiliated holdings decreased to $354.8 billion from last month's $413.0 billion; they account for 7.3% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $212.2 billion (4.4% of the total) from last month's $223.9 billion. Americas related holdings jumped to $4.144 trillion from last month’s $4.070 trillion, and now represent 85.4% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $325.7 billion, or 21.2%, to $1.865 trillion, or 38.4% of assets); US Government Agency Repurchase Agreements (down $26.5 billion, or -7.4%, to $332.6 billion, or 6.9% of total holdings), and Other Repurchase Agreements (up $0.6 billion, or 1.2%, from last month to $50.2 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $4.5 billion to $170.9 billion, or 3.5% of assets), Asset Backed Commercial Paper (down $0.2 billion to $34.8 billion, or 0.7%), and Non-Financial Company Commercial Paper (down $1.1 billion to $35.8 billion, or 0.7%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2021, include: the US Treasury ($1.681 trillion, or 35.8%), Federal Reserve Bank of New York ($1.435T, 30.5%), Federal Home Loan Bank ($259.0B, 5.5%), BNP Paribas ($105.1B, 2.2%), RBC ($95.5B, 2.0%), Fixed Income Clearing Corp ($90.9B, 1.9%), Federal Farm Credit Bank ($85.9B, 1.8%), Federal National Mortgage Association ($69.3B, 1.5%), JP Morgan ($67.3B, 1.4%), Sumitomo Mitsui Banking Co ($56.7B, 1.2%), Bank of America ($44.6B, 0.9%), Federal Home Loan Mortgage Corp ($43.1B, 0.9%), Mitsubishi UFJ Financial Group Inc ($41.1B, 0.9%), Citi ($38.2B, 0.8%), Societe Generale ($37.8B, 0.8%), Bank of Montreal ($35.2B, 0.8%), Barclays ($35.0B, 0.7%), Toronto-Dominion Bank ($34.8B, 0.7%), Canadian Imperial Bank of Commerce ($33.3B, 0.7%) and Credit Agricole ($31.0B, 0.7%).

In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Federal Reserve Bank of New York ($1.435T, 63.8%), BNP Paribas ($91.8B, or 4.1%), Fixed Income Clearing Corp ($90.9B, or 4.0%), RBC ($75.5B, or 3.4%), JP Morgan ($62.6B, or 2.8%), Sumitomo Mitsui Banking Corp ($43.9B, or 2.0%), Bank of America ($41.6B, or 1.8%), Mitsubishi UFJ Financial Group Inc ($33.1B, or 1.5%), Citi ($32.5B, or 1.4%) and Societe Generale ($30.9B, or 1.4%). The largest users of the $1.435 trillion in Fed RRP included: JPMorgan US Govt MM ($89.4B), BlackRock Lq FedFund ($84.0B), Morgan Stanley Inst Liq Govt ($79.8B), Fidelity Govt Money Market ($74.5B), Fidelity Govt Cash Reserves ($66.5B), Vanguard Federal Money Mkt Fund ($65.2B), BlackRock Lq T-Fund ($65.0B), Federated Hermes Govt Obl ($62.3B), Vanguard Market Liquidity Fund ($53.8B) and Fidelity Cash Central Fund ($51.5B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($20.0B or 5.2%), Toronto-Dominion Bank ($18.9B or 4.9%), Canadian Imperial Bank of Commerce ($16.5B or 4.3%), Mizuho Corporate Bank Ltd ($15.7B or 4.1%), Bank of Montreal ($15.2B or 3.9%), Rabobank ($15.0B or 3.9%), Sumitomo Mitsui Trust Bank ($14.0B or 3.6%), Barclays ($13.6B or 3.5%), BNP Paribas ($13.2B or 3.4%) and Sumitomo Mitsui Banking Corp ($12.8B or 3.3%).

The 10 largest CD issuers include: Bank of Montreal ($12.2B or 10.2%), Sumitomo Mitsui Banking Corp $9.4B or 7.8%), Canadian Imperial Bank of Commerce ($8.0B or 6.6%), Sumitomo Mitsui Trust Bank ($7.1B or 5.9%), Rabobank $7.0B or 5.8%), Toronto-Dominion Bank ($6.3B or 5.2%), Mizuho Corporate Bank Ltd $6.1B or 5.1%), Landesbank Baden-Wurttemberg ($5.3B or 4.4%), Mitsubishi UFJ Financial Group Inc ($4.8B or 4.0%) and Natixis ($4.7B or 3.9%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($12.8B or 6.3%), Toronto-Dominion Bank ($11.9B or 5.9%), BNP Paribas ($9.6B or 4.7%), Barclays PLC ($7.1B or 3.5%), DNB ASA ($6.2B or 3.1%), Societe Generale ($6.0B or 3.0%), National Australia Bank Ltd ($5.7B or 2.8%), Sumitomo Mitsui Trust Bank ($5.3B or 2.6%), JP Morgan ($5.1B or 2.5%) and Rabobank ($5.0B or 2.5%).

RBC ($13.2B or 6.3%), Toronto-Dominion Bank ($12.3B or 5.9%), BNP Paribas ($11.1B or 5.3%), Societe Generale ($6.8B or 3.3%), Sumitomo Mitsui Trust Bank ($6.8B or 3.3%), Barclays ($6.5B or 3.1%), National Australia Bank Ltd ($6.4B or 3.1%), NRW.Bank ($6.1B or 2.9%), Canadian Imperial Bank of Commerce ($6.0B or 2.9%) or Rabobank ($5.7B or 2.7%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $387.8BB to $1,434.5B), Rabobank (up $3.8B to $15.0B), NRW.Bank (up $2.9B to $7.0B), Lloyds Banking Group (up $1.8B to $10.0B), Sumitomo Mitsui Trust Bank (up $1.8B to $17.5B), Toronto-Dominion Bank (up $1.5B to $34.8B), Bank of Nova Scotia (up $1.3B to $15.0B), JP Morgan (up $1.1B to $67.3B), National Australia Bank Ltd (up $0.7B to $10.2B) and Bank of Montreal (up $0.5B to $35.2B).

The largest decreases among Issuers of money market securities (including Repo) in September were shown by: the US Treasury (down $262.4B to $1,681.0B), Credit Agricole (down $22.2B to $31.0B), Barclays (down $18.2B to $35.0B), Fixed Income Clearing Corp (down $13.3B to $90.9B), Deutsche Bank (down $10.7B to $13.7B), Federal National Mortgage Association (down $10.1B to $69.3B), Federal Home Loan Bank (down $9.0B to $259.0B), Federal Home Loan Mortgage Corp (down $8.4B to $43.1B), DNB ASA (down $7.0B to $8.1B) and Banco Santander (down $4.2B to $7.8B).

The United States remained the largest segment of country-affiliations; it represents 80.7% of holdings, or $3.918 trillion. Canada (4.7%, $226.3B) moved up to second place, while France (4.4%, $213.9B) fell to No. 3. Japan (4.1%, $201.1B) occupied fourth place. The United Kingdom (1.7%, $80.8B) remained in fifth place. The Netherlands (1.1%, $54.3B) was in sixth place, followed by Germany (1.0%, $46.9B). Sweden (0.7%, $32.8B), Australia (0.6%, $29.3B) and Switzerland (0.3%, $14.3B). (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)

As of Sept. 30, 2021, Taxable money funds held 54.5% (up from 48.4%) of their assets in securities maturing Overnight, and another 8.7% maturing in 2-7 days (unchanged). Thus, 63.2% in total matures in 1-7 days. Another 6.4% matures in 8-30 days, while 8.1% matures in 31-60 days. Note that over three-quarters, or 77.7% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 8.2% of taxable securities, while 10.8% matures in 91-180 days, and just 4.1% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

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