Crane Data released its December Money Fund Portfolio Holdings Wednesday, and our most recent collection, with data as of November 30, 2020, shows a big jump in repo and an increase in every category except Agencies, CDs and VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $86.6 billion to $4.711 trillion last month, after decreasing $148.0 billion in October, $94.3 billion in September and $12.7 billion in August. Treasury securities remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us to see our latest Portfolio Holdings reports.)
Among taxable money funds, Treasury securities increased by $19.0 billion (0.8%) to $2.440 trillion, or 51.8% of holdings, after decreasing $39.8 billion in October and $6.3 billion in September. Repurchase Agreements (repo) increased by $92.0 billion (9.3%) to $1.076 trillion, or 22.8% of holdings, after decreasing $58.4 billion in October and $6.7 billion in September. Government Agency Debt decreased by $30.2 billion (-4.2%) to $686.3 billion, or 14.6% of holdings, after decreasing $50.5 billion in October and $28.1 billion in September. Repo, Treasuries and Agencies totaled $4.203 trillion, representing a massive 89.2% of all taxable holdings.
Money funds' holdings of CP and Other (mainly Time Deposits) rose in November, while VRDNs and CDs saw assets decrease. Commercial Paper (CP) increased $8.5 billion (3.8%) to $230.7 billion, or 4.9% of holdings, after decreasing $9.7 billion in October and $11.6 billion in September. Certificates of Deposit (CDs) fell by $11.4 billion (-7.7%) to $136.4 billion, or 2.9% of taxable assets, after decreasing $8.4 billion in October and $20.8 billion in September. Other holdings, primarily Time Deposits, increased $9.4 billion (8.3%) to $122.4 billion, or 2.6% of holdings, after increasing $18.4 billion in November but decreasing $21.0 billion in September. VRDNs decreased to $19.1 billion, or 0.4% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately late Thursday.)
Prime money fund assets tracked by Crane Data increased $2.0 billion to $950.0 billion, or 20.2% of taxable money funds' $4.711 trillion total. Among Prime money funds, CDs represent 14.4% (down from 15.6% a month ago), while Commercial Paper accounted for 24.3% (up from 23.4%). The CP totals are comprised of: Financial Company CP, which makes up 15.6% of total holdings, Asset-Backed CP, which accounts for 4.8%, and Non-Financial Company CP, which makes up 3.9%. Prime funds also hold 5.7% in US Govt Agency Debt, 26.7% in US Treasury Debt, 4.1% in US Treasury Repo, 0.5% in Other Instruments, 8.8% in Non-Negotiable Time Deposits, 5.4% in Other Repo, 5.9% in US Government Agency Repo and 1.0% in VRDNs.
Government money fund portfolios totaled $2.592 trillion (55.0% of all MMF assets), up $60.0 billion from $2.532 trillion in October, while Treasury money fund assets totaled another $1.169 trillion (24.8%), up from $1.145 trillion the prior month. Government money fund portfolios were made up of 24.4% US Govt Agency Debt, 13.5% US Government Agency Repo, 47.1% US Treasury debt, 14.6% in US Treasury Repo, 0.2% in VRDNs, 0.1% in Other Instruments and 0.1% in Investment Company . Treasury money funds were comprised of 82.7% US Treasury Debt and 17.3% in US Treasury Repo. Government and Treasury funds combined now total $3.761 trillion, or 79.8% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $19.9 billion in November to $650.5 billion; their share of holdings rose to 13.8% from last month's 13.6%. Eurozone-affiliated holdings rose to $463.8 billion from last month's $449.7 billion; they account for 9.9% of overall taxable money fund holdings. Asia & Pacific related holdings increased $12.2 billion to $234.1 billion (5.0% of the total). Americas related holdings rose $54.0 billion to $3.822 trillion and now represent 81.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $68.0 billion, or 12.3%, to $619.6 billion, or 13.2% of assets); US Government Agency Repurchase Agreements (up $22.7 billion, or 5.9%, to $405.2 billion, or 8.6% of total holdings), and Other Repurchase Agreements (up $1.3 billion, or 2.6%, from last month to $51.3 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $8.7 billion to $148.2 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $2.0 billion to $45.8 billion, or 1.0%), and Non-Financial Company Commercial Paper (up $1.8 billion to $36.8 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2020, include: the US Treasury ($2,441.4 billion, or 51.8%), Federal Home Loan Bank ($413.7B, 8.8%), Fixed Income Clearing Co ($148.2B, 3.1%), BNP Paribas ($140.1B, 3.0%), Federal National Mortgage Association ($102.9B, 2.2%), RBC ($98.9B, 2.1%), Federal Farm Credit Bank ($97.9B, 2.1%), JP Morgan ($74.7B, 1.6%), Federal Home Loan Mortgage Co ($68.7B, 1.5%), Barclays ($66.1B, 1.4%), Credit Agricole ($65.5B, 1.4%), Mitsubishi UFJ Financial Group Inc ($60.0B, 1.3%), Citi ($56.3B, 1.2%), Societe Generale ($52.2B, 1.1%), Sumitomo Mitsui Banking Co ($51.3B, 1.1%), Bank of America ($40.8B, 0.9%), Bank of Montreal ($38.3B, 0.8%), Toronto-Dominion Bank ($37.6B, 0.8%), Canadian Imperial Bank of Commerce ($34.3B, 0.7%) and Mizuho Corporate Bank Ltd ($32.5B, 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: Fixed Income Clearing Corp ($148.2B, 13.8%), BNP Paribas ($125.6B, 11.7%), RBC ($77.8B, 7.2%), JP Morgan ($64.7B, 6.0%), Barclays PLC ($55.8B, 5.2%), Credit Agricole ($49.4B, 4.6%), Citi ($47.8B, 4.4%), Mitsubishi UFJ Financial Group Inc ($46.1B, 4.3%), Societe Generale ($39.9B, 3.7%) and Bank of America ($38.1B, 3.5%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($22.6B, 5.2%), RBC ($21.1B, 4.9%), Mizuho Corporate Bank Ltd ($20.7B, 4.8%), Sumitomo Mitsui Banking Corp ($17.0B, 3.9%), Credit Agricole ($16.2B, 3.7%), Bank of Montreal ($15.2B, 3.5%), BNP Paribas ($14.6B, 3.4%), Mitsubishi UFJ Financial Group Inc ($13.9B, 3.2%), Sumitomo Mitsui Trust Bank ($13.7B, 3.2%) and Credit Suisse ($12.9B, 3.0%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($14.1B, 10.3%), Bank of Montreal ($13.1B, 9.6%), Toronto-Dominion Bank ($9.1B, 6.7%), Mizuho Corporate Bank Ltd ($8.5B, 6.3%), Mitsubishi UFJ Financial Group Inc ($8.4B, 6.1%), Sumitomo Mitsui Trust Bank ($7.4B, 5.4%), Canadian Imperial Bank of Commerce ($7.4B, 5.4%), Credit Suisse ($6.0B, 4.4%), RBC ($5.6B, 4.1%) and Landesbank Baden-Wurttemberg ($4.6B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($12.0B, 5.9%), Societe Generale ($11.3B, 5.5%), RBC ($10.1B, 4.9%), JP Morgan $9.9B, 4.9%), BPCE SA ($7.9B, 3.9%), BNP Paribas ($7.6B, 3.8%), Citi ($7.5B, 3.7%), NRW.Bank ($7.3B, 3.6%), Credit Suisse ($6.9B, 3.4%) and UBS AG ($5.6B, 2.8%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $51.2B to $148.2B), US Treasury (up $20.2B to $2,441.4B), RBC (up $7.8B to $98.9B), Nomura (up $6.7B to $30.9B), Canadian Imperial Bank of Commerce (up $6.2B to $34.3B), Barclays PLC (up $5.9B to $66.1B), Mizuho Corporate Bank Ltd (up $4.6B to $32.5B), Sumitomo Mitsui Banking Corp (up $4.3B to $51.3B), Bank of Montreal (up $4.1B to $38.3B) and Credit Agricole (up $3.1B to $65.5B).
The largest decreases among Issuers of money market securities (including Repo) in November were shown by: Federal Home Loan Bank (down $17.1B to $413.7B), JP Morgan (down $11.8B to $74.7B), Bank of America (down $5.6B to $40.8B), Federal Home Loan Mortgage Corp (down $5.1B to $68.7B), UBS AG (down $2.6B to $8.3B), Sumitomo Mitsui Trust Bank (down $1.8B to $18.9B), Deutsche Bank AG (down $1.8B to $11.1B), Bank of Nova Scotia (down $1.4B to $17.9B), HSBC (down $0.9B to $20.2B) and Credit Suisse (down $0.9B to $19.8B).
The United States remained the largest segment of country-affiliations; it represents 76.0% of holdings, or $3.582 trillion. France (6.6%, $309.6B) was number two, and Canada (5.1%, $239.7B) was third. Japan (4.7%, $222.8B) occupied fourth place. The United Kingdom (2.4%, $114.7B) remained in fifth place. the Netherlands (1.2%, $57.2B) was in sixth place, followed by Germany (1.2%, $56.7B), Sweden (0.6%, $29.0B), Switzerland (0.6%, $28.8B) and Australia (0.6%, $27.9B). (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 Nov. 30, 2020, Taxable money funds held 37.9% (up from 33.7%) of their assets in securities maturing Overnight, and another 8.6% maturing in 2-7 days (down from 11.6% last month). Thus, 46.6% in total matures in 1-7 days. Another 11.7% matures in 8-30 days, while 13.8% matures in 31-60 days. Note that close to three-quarters, or 72.1% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 10.4% of taxable securities, while 15.0% matures in 91-180 days, and just 2.5% matures beyond 181 days.
