Crane Data released its January Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Dec. 31, 2020, shows decreases in every category except Treasuries last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $88.0 billion to $4.623 trillion in December, after increasing $86.6 billion in November, but decreasing $148.0 billion in October. 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, or contact us to request our latest Portfolio Holdings reports.)
Among taxable money funds, Treasury securities increased by $8.1 billion (0.3%) to $2.448 trillion, or 53.0% of holdings, after increasing $19.0 billion in November and decreasing $39.8 billion in October. Repurchase Agreements (repo) decreased by $15.8 billion (-1.5%) to $1.060 trillion, or 22.9% of holdings, after increasing $92.0 billion in November but decreasing $58.4 billion in October. Government Agency Debt decreased by $13.8 billion (-2.0%) to $672.4 billion, or 14.5% of holdings, after decreasing $30.2 billion in November and $50.5 billion in October. Repo, Treasuries and Agencies totaled $4.181 trillion, representing a massive 90.4% of all taxable holdings.
Money funds' holdings of CP, CD, Other (mainly Time Deposits) and VRDNs all saw assets decrease in December. Commercial Paper (CP) decreased $8.3 billion (-3.6%) to $222.4 billion, or 4.8% of holdings, after increasing $8.5 billion in November but decreasing $9.7 billion in October. Certificates of Deposit (CDs) fell by $10.9 billion (-8.0%) to $125.5 billion, or 2.7% of taxable assets, after decreasing $11.4 billion in November and $8.4 billion in October. Other holdings, primarily Time Deposits, decreased $46.7 billion (-38.2%) to $75.6 billion, or 1.6% of holdings, after increasing $9.4 billion in November and $18.4 billion in October. VRDNs decreased to $18.7 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 Wednesday.)
Prime money fund assets tracked by Crane Data decreased $53.0 billion to $897.0 billion, or 19.4% of taxable money funds' $4.623 trillion total. Among Prime money funds, CDs represent 14.0% (down from 14.4% a month ago), while Commercial Paper accounted for 24.8% (up from 24.3%). The CP totals are comprised of: Financial Company CP, which makes up 16.8% of total holdings, Asset-Backed CP, which accounts for 5.1%, and Non-Financial Company CP, which makes up 2.9%. Prime funds also hold 6.1% in US Govt Agency Debt, 25.2% in US Treasury Debt, 7.6% in US Treasury Repo, 0.6% in Other Instruments, 4.3% in Non-Negotiable Time Deposits, 6.3% in Other Repo, 6.9% in US Government Agency Repo and 1.0% in VRDNs.
Government money fund portfolios totaled $2.558 trillion (55.3% of all MMF assets), down $34.0 billion from $2.592 trillion in November, while Treasury money fund assets totaled another $1.168 trillion (25.3%), down from $1.169 trillion the prior month. Government money fund portfolios were made up of 24.2% US Govt Agency Debt, 12.6% US Government Agency Repo, 48.7% US Treasury Debt, 14.0% in US Treasury Repo, 0.2% in VRDNs, 0.1% in Other Instruments and 0.2% in Investment Company . Treasury money funds were comprised of 83.5% US Treasury Debt and 16.4% in US Treasury Repo. Government and Treasury funds combined now total $3.726 trillion, or 80.6% of all taxable money fund assets.
European-affiliated holdings (including repo) dropped by $138.2 billion in December to $512.3 billion; their share of holdings fell to 11.1% from last month's 13.8%. Eurozone-affiliated holdings fell to $355.9 billion from last month's $463.8 billion; they account for 7.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $8.3 billion to $225.8 billion (4.9% of the total). Americas related holdings rose $61.0 billion to $3.883 trillion and now represent 84.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $400 million, or -0.1%, to $619.2 billion, or 13.4% of assets); US Government Agency Repurchase Agreements (down $20.6 billion, or -5.1%, to $384.6 billion, or 8.3% of total holdings), and Other Repurchase Agreements (up $5.2 billion, or 10.2%, from last month to $56.5 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $2.4 billion to $150.6 billion, or 3.3% of assets), Asset Backed Commercial Paper (down $400 million to $45.4 billion, or 1.0%), and Non-Financial Company Commercial Paper (down $10.4 billion to $26.4 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2020, include: the US Treasury ($2,448.3 billion, or 53.0%), Federal Home Loan Bank ($401.6B, 8.7%), Fixed Income Clearing Co ($173.4B, 3.7%), BNP Paribas ($123.5B, 2.7%), RBC ($118.0B, 2.6%), Federal National Mortgage Association ($100.8B, 2.2%), Federal Farm Credit Bank ($99.5B, 2.2%), JP Morgan ($82.4B, 1.8%), Federal Home Loan Mortgage Co ($66.4B, 1.4%), Mitsubishi UFJ Financial Group Inc ($66.4B, 1.4%), Barclays ($56.9B, 1.2%), Citi ($48.8B, 1.1%), Sumitomo Mitsui Banking Co ($46.8B, 1.0%), Credit Agricole ($42.1B, 0.9%), Bank of America ($42.0B, 0.9%), Societe Generale ($41.2B, 0.9%), Bank of Montreal ($40.7B, 0.9%), Toronto-Dominion Bank ($39.1B, 0.8%), Canadian Imperial Bank of Commerce ($36.2B, 0.8%) and Nomura ($32.3B, 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 ($173.4B, 16.4%), BNP Paribas ($114.3B, 10.8%), RBC ($88.2B, 8.3%), JP Morgan ($71.7B, 6.8%), Barclays ($52.1B, 4.9%), Mitsubishi UFJ Financial Group Inc ($50.3B, 4.7%), Citi ($41.1B, 3.9%), Bank of America ($39.6B, 3.7%), Credit Agricole ($35.9B, 3.4%) and Nomura ($32.3B, 3.0%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($29.8B, 7.8%), Toronto-Dominion Bank ($23.9B, 6.2%), Mizuho Corporate Bank Ltd ($18.3B, 4.8%), Bank of Montreal ($16.5B, 4.3%), Sumitomo Mitsui Banking Corp ($16.3B, 4.2%), Mitsubishi UFJ Financial Group Inc ($16.2B, 4.2%), Canadian Imperial Bank of Commerce ($14.5B, 3.8%), Societe Generale ($13.2B, 3.4%), Credit Suisse ($12.4B, 3.2%) and Australia & New Zealand Banking Group Ltd ($10.8B, 2.8%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($13.4B, 10.7%), Bank of Montreal ($12.9B, 10.3%), Toronto-Dominion Bank ($10.6B, 8.5%), Mitsubishi UFJ Financial Group Inc ($9.1B, 7.3%), Canadian Imperial Bank of Commerce ($7.8B, 6.2%), Mizuho Corporate Bank Ltd ($6.6B, 5.2%), RBC ($6.4B, 5.1%), Credit Suisse ($5.8B, 4.7%), Bank of Nova Scotia ($4.5B, 3.6%) and Svenska Handelsbanken ($4.1B, 3.3%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.2B, 6.5%), Toronto-Dominion Bank ($13.1B, 6.5%), Societe Generale ($11.6B, 5.7%), JP Morgan $10.6B, 5.2%), Sumitomo Mitsui Trust Bank ($6.8B, 3.4%), Citi ($6.8B, 3.4%), BPCE SA ($6.6B, 3.3%), Credit Suisse ($6.5B, 3.2%), NRW.Bank ($6.5B, 3.2%) and BNP Paribas ($6.1B, 3.0%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $25.2B to $173.4B), RBC (up $19.1B to $118.0B), JP Morgan (up $7.7B to $82.4B), US Treasury (up $6.8B to $2,448.3B), Mitsubishi UFJ Financial Group Inc (up $6.4B to $66.4B), Bank of Nova Scotia (up $6.2B to $24.1B), Goldman Sachs (up $4.6B to $32.1B), Bank of Montreal (up $2.4B to $40.7B), Australia & New Zealand Banking Group Ltd (up $2.1B to $14.7B) and Canadian Imperial Bank of Commerce (up $1.9B to $36.2B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Credit Agricole (down $23.4B to $42.1B), BNP Paribas (down $16.6B to $123.5B), Federal Home Loan Bank (down $12.1B to $401.6B), Societe Generale (down $11.0B to $41.2B), Barclays (down $9.2B to $56.9B), Mizuho Corporate Bank Ltd (down $8.2B to $24.3B), ABN Amro Bank (down $7.9B to $11.1B), Citi (down $7.5B to $48.8B), ING Bank (down $7.1B to $16.2B) and Sumitomo Mitsui Banking Corp (down $4.5B to $46.8B).
The United States remained the largest segment of country-affiliations; it represents 78.2% of holdings, or $3.614 trillion. Canada (5.8%, $269.5B) was number two, and France (5.5%, $252.1B) was third. Japan (4.6%, $214.5B) occupied fourth place. The United Kingdom (2.3%, $106.4B) remained in fifth place. Germany (0.8%, $36.5B) was in sixth place, followed by the Netherlands (0.7%, $32.5B), Australia (0.7%, $30.4B), Switzerland (0.5%, $24.9B) and Sweden (0.5%, $20.6B). (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 Dec. 31, 2020, Taxable money funds held 35.2% (down from 37.9%) of their assets in securities maturing Overnight, and another 9.9% maturing in 2-7 days (up from 8.6% last month). Thus, 45.1% in total matures in 1-7 days. Another 11.6% matures in 8-30 days, while 13.9% matures in 31-60 days. Note that close to three-quarters, or 70.6% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 11.2% of taxable securities, while 15.2% matures in 91-180 days, and just 3.0% matures beyond 181 days.
