Crane Data's July Money Fund Portfolio Holdings, with data as of June 30, 2022, show that Treasuries plunged again last month while Repo (especially Fed repo) jumped once more. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $2.6 billion to $4.823 trillion in June, after decreasing $58.4 billion in May, $55.2 billion in April and $40.9 billion in March. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York, which surpassed the U.S. Treasury as the largest "Issuer" last month, is now borrowing over $2.0 trillion from money market funds. 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.
Among taxable money funds, Repurchase Agreements (repo) increased $128.6 billion (5.4%) to $2.531 trillion, or 52.5% of holdings, in June, after increasing $52.5 billion in May, decreasing $9.9 billion in April, and increasing $100.9 billion in March. Treasury securities fell $72.5 billion (-4.8%) to $1.454 trillion, or 30.1% of holdings, after decreasing $145.4 billion in May, $78.6 billion in April and $79.2 billion in March. Government Agency Debt was down $14.6 billion, or -3.5%, to $406.3 billion, or 8.4% of holdings, after increasing $35.1 billion in May, but decreasing $1.0 billion in April and $4.3 billion in March. Repo, Treasuries and Agency holdings now total $4.391 trillion, representing a massive 91.0% of all taxable holdings.
Money fund holdings of CP, CDs and Other (mainly Time Deposits) holdings all fell in June. Commercial Paper (CP) decreased $17.3 billion (-7.5%) to $212.6 billion, or 4.4% of holdings, after increasing $5.8 billion in May, decreasing $0.1 billion in April and $7.2 billion in March. Certificates of Deposit (CDs) decreased $1.0 billion (-0.9%) to $118.4 billion, or 2.5% of taxable assets, after increasing $3.4 billion in May, $7.3 billion in April but decreasing $5.7 billion in March. Other holdings, primarily Time Deposits, decreased $21.1 billion (-18.7%) to $91.4 billion, or 1.9% of holdings, after decreasing $4.7 billion in May, increasing $28.2 billion in April and decreasing $47.4 billion in March. VRDNs fell to $10.0 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)
Prime money fund assets tracked by Crane Data dropped to $800 billion, or 16.6% of taxable money funds' $4.823 trillion total. Among Prime money funds, CDs represent 14.8% (up from 14.3% a month ago), while Commercial Paper accounted for 26.6% (down from 27.5% in May). The CP totals are comprised of: Financial Company CP, which makes up 18.5% of total holdings, Asset-Backed CP, which accounts for 3.3%, and Non-Financial Company CP, which makes up 4.8%. Prime funds also hold 6.3% in US Govt Agency Debt, 7.0% in US Treasury Debt, 25.6% in US Treasury Repo, 0.3% in Other Instruments, 8.7% in Non-Negotiable Time Deposits, 5.6% in Other Repo, 2.3% in US Government Agency Repo and 0.7% in VRDNs.
Government money fund portfolios totaled $2.779 trillion (57.6% of all MMF assets), down from $2.790 trillion in May, while Treasury money fund assets totaled another $1.244 trillion (25.8%), up from $1.199 trillion the prior month. Government money fund portfolios were made up of 12.8% US Govt Agency Debt, 7.7% US Government Agency Repo, 22.0% US Treasury Debt, 57.1% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 63.2% US Treasury Debt and 36.5% in US Treasury Repo. Government and Treasury funds combined now total $4.023 trillion, or 83.4% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $111.1 billion in June to $345.7 billion; their share of holdings dropped to 7.2% from last month's 9.5%. Eurozone-affiliated holdings decreased to $238.5 billion from last month's $314.3 billion; they account for 4.9% of overall taxable money fund holdings. Asia & Pacific related holdings dropped lower to $170.8 billion (3.5% of the total) from last month's $192.2 billion. Americas related holdings rose to $4.301 trillion from last month's $4.172 trillion, and now represent 89.2% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $190.7 billion, or 9.3%, to $2.246 trillion, or 46.6% of assets); US Government Agency Repurchase Agreements (down $65.3 billion, or -22.0%, to $231.6 billion, or 4.8% of total holdings), and Other Repurchase Agreements (up $3.2 billion, or 6.4%, from last month to $53.1 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $7.9 billion to $147.8 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $2.7 billion to $26.5 billion, or 0.5%), and Non-Financial Company Commercial Paper (down $6.8 billion to $38.3 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of June 30, 2022, include: the Federal Reserve Bank of New York ($2.011T, 41.7%), the US Treasury ($1.454 trillion, or 30.1%), Federal Home Loan Bank ($280.8B, 5.8%), Federal Farm Credit Bank ($104.8B, 2.2%), BNP Paribas ($75.5B, 1.6%), Fixed Income Clearing Corp ($67.8B, 1.4%), RBC ($64.5B, 1.3%), Sumitomo Mitsui Banking Co ($46.2B, 1.0%), JP Morgan ($39.2B, 0.8%), Citi ($32.8B, 0.7%), Bank of America ($32.0B, 0.7%), Mitsubishi UFJ Financial Group Inc ($31.2B, 0.6%), Goldman Sachs ($29.0B, 0.6%), Mizuho Corporate Bank Ltd ($27.6B, 0.6%), Toronto-Dominion Bank ($27.1B, 0.6%), Barclays ($25.7B, 0.5%), Bank of Montreal ($24.3B, 0.5%), Canadian Imperial Bank of Commerce ($21.1B, 0.4%), Credit Agricole ($19.0B, 0.4%) and ING Bank ($15.9B, 0.3%).
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 ($2.011T, 79.5%), BNP Paribas ($69.3B, 2.7%), Fixed Income Clearing Corp ($67.8B, 2.7%), RBC ($44.9B, 1.8%), Sumitomo Mitsui Banking Corp ($32.9B, 1.3%), JP Morgan ($32.4B, 1.3%), Bank of America ($27.5B, 1.1%), Citi ($25.6B, 1.0%), Goldman Sachs ($24.8B, 1.0%) and Mitsubishi UFJ Financial Group Inc ($19.2B, 0.8%). The largest users of the $2.011 trillion in Fed RRP include: Vanguard Federal Money Mkt Fund ($129.9B), Fidelity Govt Money Market ($140.0B), Fidelity Govt Cash Reserves ($128.2B), JPMorgan US Govt MM ($121.4B), Goldman Sachs FS Govt ($116.9B), Morgan Stanley Inst Liq Govt ($114.0B), Federated Hermes Govt ObI ($83.0B), BlackRock Lq FedFund ($72.5B), Dreyfus Govt Cash Mgmt ($65.0B) and Fidelity Inv MM: Govt Port ($64.9B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($20.6B, 5.7%), RBC ($19.6B, 5.4%), Barclays PLC ($17.9B, 4.9%), Toronto-Dominion Bank ($16.0B, 4.4%), Bank of Montreal ($13.9B, 3.8%), Skandinaviska Enskilda Banken AB ($13.8B, 3.8%), Sumitomo Mitsui Banking Corp $13.3B, 3.7%), Mitsubishi UFJ Financial Group Inc ($12.0B, 3.3%), Canadian Imperial Bank of Commerce ($11.6B, 3.2%) and Australia & New Zealand Banking Group Ltd ( $11.4B, 3.1%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($11.3B, 9.5%), Mitsubishi UFJ Financial Group Inc ($8.5B, 7.2%), Canadian Imperial Bank of Commerce ($8.2B, 6.9%), Toronto-Dominion Bank ($6.8B, 5.8%), Bank of Nova Scotia ($6.5B, 5.5%), Sumitomo Mitsui Trust Bank ($6.2B, 5.2%), Landesbank Baden-Wurttemberg ($6.0B, 5.1%), Credit Agricole ($5.5B, 4.6%), Mizuho Corporate Bank Ltd ($4.7B, 4.0%) and Nordea Bank ($4.6B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($12.0B, 6.7%), Bank of Montreal ($8.8B, 4.9%), Toronto-Dominion Bank ($8.3B, 4.6%), National Australia Bank Ltd ($7.1B, 4.0%), JP Morgan ($6.7B, 3.8%), Australia & New Zealand Banking Group Ltd ( $6.0B, 3.4%), Barclays PLC ($5.2B, 2.9%), Macquarie Bank Limited ($4.8B, 2.7%), BNP Paribas ($4.7B, 2.6%) and UBS AG ($4.6B, 2.6%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $267.3B to $2.011T), Mizuho Corporate Bank Ltd (up $4.3B to $27.6B), Goldman Sachs (up $3.9B to $29.0B), Banco Santander (up $2.3B to $12.1B), DBS Bank Ltd (up $1.3B to $4.9B), Mitsubishi UFJ Trust and Banking Corporation (up $1.1B to $7.5B) and Oversea-Chinese Banking Corp (up $1.0B to $5.2B).
The largest decreases among Issuers of money market securities (including Repo) in June were shown by: the US Treasury (down $72.5B to $1.454T), BNP Paribas (down $19.6B to $75.5B), Fixed Income Clearing Corp (down $19.0B to $67.8B), Credit Agricole (down $13.1B to $19.0B), Societe Generale (down $11.8B to $12.8B), Barclays PLC (down $11.6B to $25.7B), JP Morgan (down $9.4B to $39.2B), Mitsubishi UFJ Financial Group Inc (down $8.5B to $31.2B), Sumitomo Mitsui Banking Corp (down $6.6B to $46.2B) and RBC (down $6.2B to $64.5B).
The United States remained the largest segment of country-affiliations; it represents 85.8% of holdings, or $4.139 trillion. Canada (3.4%, $162.7B) was in second place, while Japan (3.2%, $153.9B) was No. 3. France (2.7%, $130.5B) occupied fourth place. The United Kingdom (1.1%, $54.2B) remained in fifth place. Australia (0.7%, $33.0B) was in sixth place, followed by Sweden (0.7%, $33.0B) Netherlands (0.7%, $31.5B), ` Germany <b:>`_ (0.6%, $30.1B) and Switzerland (0.3%, $14.7B). (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 June 30, 2022, Taxable money funds held 63.8% (up from 62.4%) of their assets in securities maturing Overnight, and another 6.9% maturing in 2-7 days (up from 6.8%). Thus, 70.7% in total matures in 1-7 days. Another 6.2% matures in 8-30 days, while 6.4% matures in 31-60 days. Note that over three-quarters, or 83.3% 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 5.7% of taxable securities, while 8.5% matures in 91-180 days, and just 2.5% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
