Crane Data released its February Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Jan. 31, 2021, shows a huge jump in Treasuries, increases in TDs, CP and CDs, and big declines in Repo and Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $133.7 billion to $4.757 trillion in January, after decreasing $88.0 billion in December and increasing $86.6 billion in November. 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 jumped $126.3 billion (5.2%) to a record $2.575 trillion, or 54.1% of holdings, after increasing $8.1 billion in December and $19.0 billion in November. Repurchase Agreements (repo) decreased by $67.7 billion (-6.4%) to $992.7 billion, or 20.9% of holdings, after decreasing $15.8 billion in December and increasing $92.0 billion in November. Government Agency Debt decreased by $32.3 billion (-4.8%) to $640.1 billion, or 13.5% of holdings, after decreasing $13.8 billion in December and $30.2 billion in November. Repo, Treasuries and Agencies totaled $4.207 trillion, representing a massive 88.5% of all taxable holdings.
Money funds' holdings of CP, CD, Other (mainly Time Deposits) all saw assets increase in January while VRDNs experienced a decrease. Commercial Paper (CP) increased $36.2 billion (16.3%) to $258.6 billion, or 5.4% of holdings, after decreasing $8.3 billion in December and increasing $8.5 billion in November. Certificates of Deposit (CDs) rose by $15.8 billion (12.6%) to $141.3 billion, or 3.0% of taxable assets, after decreasing $10.9 billion in December and $11.4 billion in November. Other holdings, primarily Time Deposits, increased $57.8 billion (76.4%) to $133.4 billion, or 2.8% of holdings, after decreasing $46.7 billion in December and increasing $9.4 billion in November. VRDNs decreased to $16.2 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 increased $41.0 billion to $938.0 billion, or 19.7% of taxable money funds' $4.757 trillion total. Among Prime money funds, CDs represent 15.1% (up from 14.0% a month ago), while Commercial Paper accounted for 27.5% (up from 24.8%). The CP totals are comprised of: Financial Company CP, which makes up 19.0% of total holdings, Asset-Backed CP, which accounts for 4.9%, and Non-Financial Company CP, which makes up 3.6%. Prime funds also hold 4.7% in US Govt Agency Debt, 24.9% in US Treasury Debt, 2.5% in US Treasury Repo, 0.5% in Other Instruments, 10.3% in Non-Negotiable Time Deposits, 6.2% in Other Repo, 4.1% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $2.642 trillion (55.5% of all MMF assets), up $84.0 billion from $2.558 trillion in December, while Treasury money fund assets totaled another $1.177 trillion (24.7%), up from $1.168 trillion the prior month. Government money fund portfolios were made up of 22.6% US Govt Agency Debt, 13.2% US Government Agency Repo, 51.7% US Treasury Debt, 12.2% 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 82.9% US Treasury Debt and 17.1% in US Treasury Repo. Government and Treasury funds combined now total $3.819 trillion, or 80.3% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $139.3 billion in January to $651.6 billion; their share of holdings rose to 13.7% from last month's 11.1%. Eurozone-affiliated holdings rose to $446.2 billion from last month's $355.9 billion; they account for 9.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased to $226.2 billion (4.8% of the total) from last month's $225.8 billion. Americas related holdings fell $7.0 billion to $3.876 trillion and now represent 81.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $71.3 million, or -11.5%, to $547.9 billion, or 11.5% of assets); US Government Agency Repurchase Agreements (up $1.6 billion, or 0.4%, to $386.2 billion, or 8.1% of total holdings), and Other Repurchase Agreements (up $2.1 billion, or 3.7%, from last month to $58.6 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $27.9 billion to $178.5 billion, or 3.8% of assets), Asset Backed Commercial Paper (up $700 million to $46.1 billion, or 1.0%), and Non-Financial Company Commercial Paper (up $7.6 billion to $34.0 billion, or 0.7%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2021, include: the US Treasury ($2,574.6 billion, or 54.1%), Federal Home Loan Bank ($379.3B, 8.0%), BNP Paribas ($126.9B, 2.7%), Fixed Income Clearing Co ($110.8B, 2.3%), RBC ($107.3B, 2.3%), Federal Farm Credit Bank ($99.4B, 2.1%), Federal National Mortgage Association ($96.0B, 2.0%), JP Morgan ($71.7B, 1.5%), Mitsubishi UFJ Financial Group Inc ($65.6B, 1.4%), Barclays ($64.6B, 1.4%), Federal Home Loan Mortgage Co ($62.8B, 1.3%), Credit Agricole ($61.2B, 1.3%), Bank of America ($50.0B, 1.1%), Societe Generale ($47.9B, 1.0%), Citi ($47.0B, 1.0%), Sumitomo Mitsui Banking Co ($41.8B, 0.9%), Toronto-Dominion Bank ($37.2B, 0.8%), Bank of Montreal ($35.9B, 0.8%), Nomura ($33.2B, 0.7%) and Canadian Imperial Bank of Commerce ($31.5B, 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: BNP Paribas ($116.4B, 11.7%), Fixed Income Clearing Corp ($110.8B, 11.2%), RBC ($78.9B, 7.9%), JP Morgan ($59.7B, 6.0%), Barclays ($52.2B, 5.3%), Mitsubishi UFJ Financial Group Inc ($47.7B, 4.8%), Bank of America ($47.6B, 4.8%), Credit Agricole ($45.7B, 4.6%), Citi ($39.7B, 4.0%) and Societe Generale ($33.8B, 3.4%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($28.4B, 6.0%), Toronto-Dominion Bank ($22.3B, 4.7%), Mizuho Corporate Bank Ltd ($18.5B, 3.9%), Mitsubishi UFJ Financial Group Inc ($17.9B, 3.8%), Bank of Montreal ($15.7B, 3.3%), Credit Agricole ($15.5B, 3.3%), DNB ASA ($15.2B, 3.2%), Svenska Handelsbanken ($15.0B, 3.2%), Sumitomo Mitsui Banking Corp ($14.1B, 3.0%) and Societe Generale ($14.0B, 3.0%).
The 10 largest CD issuers include: Bank of Montreal ($13.6B, 9.6%), Sumitomo Mitsui Banking Corp ($11.3B, 8.0%), Mitsubishi UFJ Financial Group Inc ($10.2B, 7.2%), Toronto-Dominion Bank ($8.9B, 6.3%), Mizuho Corporate Bank Ltd ($7.6B, 5.4%), Canadian Imperial Bank of Commerce ($7.4B, 5.3%), Landesbank Baden-Wurttemberg ($6.5B, 4.6%), Nordea Bank ($6.1B, 4.3%), RBC ($5.6B, 4.0%) and Credit Suisse ($5.5B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Societe Generale ($13.2B, 5.7%), RBC ($12.7B, 5.5%), JP Morgan $12.0B, 5.2%), Toronto-Dominion Bank ($11.5B, 5.0%), NRW.Bank ($9.0B, 3.9%), BNP Paribas ($7.3B, 3.2%), Sumitomo Mitsui Trust Bank ($7.0B, 3.1%), Svenska Handelsbanken ($6.7B, 2.9%), Credit Suisse ($6.6B, 2.9%) and DNB ASA ($6.3B, 2.7%).
The largest increases among Issuers include: the US Treasury (up $126.3B to $2,574.6B), Credit Agricole (up $19.1B to $61.2B), Bank of America (up $8.0B to $50.0B), Barclays (up $7.7B to $64.6B), Societe Generale (up $6.6B to $47.9B), ABN Amro Bank (up $6.4B to $17.5B), Svenska Handelsbanken (up $5.0B to $15.0B), ING Bank (up $4.6B to $20.8B), NRW.Bank (up $3.8B to $10.7B) and Natixis (up $3.6B to $26.7B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Fixed Income Clearing Corp (down $62.6B to $110.8B), Federal Home Loan Bank (down $22.3B to $379.3B), RBC (down $10.7B to $107.3B), JP Morgan (down $10.6B to $71.7B), Goldman Sachs (down $10.2B to $21.8B), Sumitomo Mitsui Banking Corp (down $5.0B to $41.8B), Federal National Mortgage Association (down $4.8B to $96.0B), Bank of Montreal (down $4.8B to $35.9B), Canadian Imperial Bank of Commerce (down $4.7B to $31.5B) and Federal Home Loan Mortgage Corp (down $3.6B to $62.8B).
The United States remained the largest segment of country-affiliations; it represents 76.2% of holdings, or $3.625 trillion. France (6.0%, $287.4B) was number two, and Canada (5.3%, $250.8B) was third. Japan (4.5%, $213.7B) occupied fourth place. The United Kingdom (2.4%, $114.7B) remained in fifth place. The Netherlands (1.2%, $59.1B) was in sixth place, followed by Germany (1.2%, $58.0B), Sweden (1.0%, $45.4B), Australia (0.6%, $28.3B) and Switzerland (0.6%, $26.3B). (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 Jan. 31, 2021, Taxable money funds held 29.0% (down from 35.2%) of their assets in securities maturing Overnight, and another 11.9% maturing in 2-7 days (up from 9.9% last month). Thus, 40.8% in total matures in 1-7 days. Another 14.4% matures in 8-30 days, while 15.4% matures in 31-60 days. Note that close to three-quarters, or 70.7% 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 10.1% of taxable securities, while 16.4% matures in 91-180 days, and just 2.8% matures beyond 181 days.
