Crane Data's November Money Fund Portfolio Holdings, with data as of Oct. 31, 2021, show Treasuries jumping after 6 straight months of declines and Repo falling after 8 months of increases. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) jumped by $72.4 billion to $4.925 trillion in October, after decreasing $26.0 billion in Sept., 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 remained the largest portfolio segment, but Treasuries gained back some ground in the No. 2 spot. MMF holdings of Fed repo dipped to $1.34 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: Thanks to those who visited us at this week's AFP Treasury Conference in Washington. We hope you had a good show!)
Among taxable money funds, Treasury securities jumped $158.2 billion (9.4%) to $1.839 trillion, or 37.3% of holdings, after falling $262.4 billion in Sept., $113.8 billion in August, $200.6 billion in July, $134.5 billion in June and $135.0 billion in May. Repurchase Agreements (repo) declined $107.9 billion (-4.8%) to $2.140 trillion, or 46.3% of holdings, after rising $299.8 billion in Sept., $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 $27.3 billion, or -5.9% to $433.6 billion, or 8.8% of holdings, after decreasing $31.3 billion in Sept., $8.1 billion in August, rising $3.8 billion in July, and decreasing $26.7 billion in June. Repo, Treasuries and Agency holdings totaled $4.413 trillion, representing a massive 89.6% of all taxable holdings.
Money funds' holdings of CP, CDs and Other (mainly Time Deposits) were higher in October as Prime MMF holdings of CP, CDs and Other/TDs moved higher. Commercial Paper (CP) increased $8.2 billion (3.4%) to $249.7 billion, or 5.1% of holdings, after increasing $3.1 billion in Sept., $3.2 billion in August and $8.2 billion in July. Other holdings, primarily Time Deposits, declined by $32.7 billion (-27.2%) to $87.4 billion, or 1.8% of holdings, after declining $32.7 billion in Sept. and $4.7 billion in August, but jumping $39.9 billion in July. Certificates of Deposit (CDs) rose by $7.4 billion (6.2%) to $127.6 billion, or 2.6% of taxable assets, after falling $3.8 billion in Sept., rising $1.9 billion in August and dropping $1.5 billion in July. 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 Wednesday.)
Prime money fund assets tracked by Crane Data fell to $844 billion, or 17.1% of taxable money funds' $4.925 trillion total. Among Prime money funds, CDs represent 15.1% (up from 14.1% a month ago), while Commercial Paper accounted for 29.6% (up from 28.4% in Sept.). The CP totals are comprised of: Financial Company CP, which makes up 20.6% of total holdings, Asset-Backed CP, which accounts for 4.2%, and Non-Financial Company CP, which makes up 4.8%. Prime funds also hold 3.3% in US Govt Agency Debt, 8.8% in US Treasury Debt, 19.9% in US Treasury Repo, 2.2% in Other Instruments, 11.3% in Non-Negotiable Time Deposits, 6.0% in Other Repo, 3.3% in US Government Agency Repo and 0.7% in VRDNs.
Government money fund portfolios totaled $2.846 trillion (57.8% of all MMF assets), up from $2.784 trillion in Sept., while Treasury money fund assets totaled another $1.236 trillion (25.1%), up from $1.218 trillion the prior month. Government money fund portfolios were made up of 14.2% US Govt Agency Debt, 10.7% US Government Agency Repo, 31.8% US Treasury Debt, 43.0% in US Treasury Repo, 0.3% in Other Instruments. Treasury money funds were comprised of 69.6% US Treasury Debt and 30.3% in US Treasury Repo. Government and Treasury funds combined now total $4.082 trillion, or 82.9% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $49.5 billion in Oct. to $541.9 billion; their share of holdings rose to 11.0% from last month's 10.2%. Eurozone-affiliated holdings increased to $403.5 billion from last month's $354.8 billion; they account for 8.2% of overall taxable money fund holdings. Asia & Pacific related holdings increased to $219.8 billion (4.5% of the total) from last month's $212.2 billion. Americas related holdings rose to $4.159 trillion from last month's $4.144 trillion, and now represent 84.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $97.7 billion, or -5.2%, to $1.767 trillion, or 35.9% of assets); US Government Agency Repurchase Agreements (down $10.4 billion, or -3.1%, to $322.2 billion, or 6.5% of total holdings), and Other Repurchase Agreements (up $0.3 billion, or 0.7%, from last month to $50.5 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.1 billion to $174.0 billion, or 3.5% of assets), Asset Backed Commercial Paper (up $0.4 billion to $35.2 billion, or 0.7%), and Non-Financial Company Commercial Paper (up $4.7 billion to $40.6 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2021, include: the US Treasury ($1.839 trillion, or 37.3%), Federal Reserve Bank of New York ($1.340T, 27.2%), Federal Home Loan Bank ($252.6B, 5.1%), BNP Paribas ($111.6B, 2.3%), RBC ($108.5B, 2.2%), Federal Farm Credit Bank ($87.5B, 1.8%), Fixed Income Clearing Corp ($69.8B, 1.4%), Sumitomo Mitsui Banking Co ($57.9B, 1.2%), JP Morgan ($56.9B, 1.2%), Federal National Mortgage Association ($52.7B, 1.1%), Credit Agricole ($52.3B, 1.1%), Bank of America ($48.2B, 1.0%), Societe Generale ($41.3B, 0.8%), Mitsubishi UFJ Financial Group Inc ($40.7B, 0.8%), Citi ($38.1B, 0.8%), Bank of Montreal ($37.8B, 0.8%), Federal Home Loan Mortgage Corp ($37.6B, 0.8%), Barclays ($33.0B, 0.7%), Toronto-Dominion Bank ($32.4B, 0.7%) and Canadian Imperial Bank of Commerce ($30.7B, 0.6%).
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 ($1.340T, 62.6%), BNP Paribas ($99.9B, or 4.7%), RBC ($89.4B, or 4.2%), Fixed Income Clearing Corp ($69.8B, or 3.3%), JP Morgan ($51.7B, or 2.4%), Sumitomo Mitsui Banking Corp ($45.0B, or 2.1%), Bank of America ($44.1B, or 2.1%), Citi ($33.2B, or 1.6%), Mitsubishi UFJ Financial Group Inc ($31.7B, or 1.5%) and Societe Generale ($31.6B, or 1.5%). The largest users of the $1.340 trillion in Fed RRP included: JPMorgan US Govt MM ($108.1B), Fidelity Govt Money Market ($79.9B), Vanguard Federal Money Mkt Fund ($71.5B), Fidelity Govt Cash Reserves ($70.7B), Morgan Stanley Inst Liq Govt ($67.3B), BlackRock Lq FedFund ($64.0B), BlackRock Lq T-Fund ($54.8B), Federated Hermes Govt Obl ($54.5B), Wells Fargo Govt MM ($50.9B) and Fidelity Inv MM: Govt Port ($47.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($22.9B or 5.4%), Mizuho Corporate Bank Ltd ($19.4B or 4.5%), RBC ($19.1B or 4.5%), Toronto-Dominion Bank ($18.4B or 4.3%), Bank of Montreal ($17.3B or 4.0%), Barclays PLC ($16.7B or 3.9%), Sumitomo Mitsui Trust Bank ($13.5B or 3.1%), Canadian Imperial Bank of Commerce ($13.4B or 3.1%), Sumitomo Mitsui Banking Corp ($12.9B or 3.0%) and DNB ASA ($12.2B or 2.8%).
The 10 largest CD issuers include: Bank of Montreal ($12.2B or 9.6%), Sumitomo Mitsui Banking Corp $10.6B or 8.3%), Landesbank Baden-Wurttemberg ($7.6B or 5.9%), Canadian Imperial Bank of Commerce ($7.6B or 5.9%), Toronto-Dominion Bank ($7.2B or 5.7%), Mizuho Corporate Bank Ltd ($6.0B or 4.7%), Mitsubishi UFJ Financial Group Inc ($5.7B or 4.5%), Natixis ($4.8B or 3.8%) and Svenska Handelsbanken ($4.6B or 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.3B or 6.3%), Toronto-Dominion Bank ($10.7B or 5.1%), BNP Paribas ($9.3B or 4.4%), Societe Generale ($9.3B or 4.4%), Sumitomo Mitsui Trust Bank ($6.9B or 3.3%), Barclays PLC ($6.5B or 3.1%), BPCE SA ($6.5B or 3.1%), National Australia Bank Ltd ($6.1B or 2.9%), Skandinaviska Enskilda Banken ($5.6B or 2.7%) and Mizuho Corporate Bank Ltd ($5.4B or 2.6%).
The largest increases among Issuers include: US Treasury (up $158.2B to $1.839T), Credit Agricole (up $21.3B to $52.3B), RBC (up $13.0B to $108.5B), BNP Paribas (up $6.5B to $111.6B), KBC Group NV (up $5.9B to $6.4B), DNB ASA (up $5.3B to $13.4B), Landesbank Hessen-Thueringen Girozentrale (up $4.4B to $6.8B), Mizuho Corporate Bank Ltd (up $4.2B to $27.0B), Bank of America (up $3.6B to $48.2B) and Societe Generale (up $3.5B to $41.3B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of New York (down $94.1B to 1.340T), Fixed Income Clearing Corp (down $21.1B to $69.8B), Federal National Mortgage Association (down $16.6B to $52.7B), JP Morgan (down $10.4B to $56.9B), Federal Home Loan Bank (down $6.5B to $252.6B), Federal Home Loan Mortgage Corp (down $5.5B to $37.6B), Nomura (down $4.9B to $21.9B), Rabobank (down $3.6B to $11.4B), Canadian Imperial Bank of Commerce (down $2.5B to $30.7B) and Toronto-Dominion Bank (down $2.4B to $32.4B).
The United States remained the largest segment of country-affiliations; it represents 79.6% of holdings, or $3.921 trillion. France (5.1%, $251.5B) moved up to second place, while Canada (4.8%, $237.4B) fell to No. 3. Japan (4.1%, $200.2B) occupied fourth place. The United Kingdom (1.5%, $75.0B) remained in fifth place. The Netherlands (1.1%, $52.3B) was in sixth place, followed by Germany (1.1%, $54.2B). Sweden (0.7%, $32.3B), Australia (0.6%, $30.3B) and Switzerland (0.3%, $16.1B). (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 Oct. 31, 2021, Taxable money funds held 51.4% (down from 54.5%) of their assets in securities maturing Overnight, and another 9.3% maturing in 2-7 days (up from 8.7%). Thus, 60.6% in total matures in 1-7 days. Another 11.0% matures in 8-30 days, while 8.7% matures in 31-60 days. Note that over three-quarters, or 80.3% 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 5.9% of taxable securities, while 10.0% matures in 91-180 days, and just 4.0% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
