Crane Data released its March Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Feb. 28, 2021, shows a jump in Repo, increases in TDs and CP, and declines in Treasuries, CDs, VRDNs and Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $34.3 billion to $4.701 trillion in February, after increasing $42.9 billion in January and decreasing $88.0 billion in December. Treasury securities remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of Other/Time Deposits, CD 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 fell $42.6 billion (-1.7%) to $2.428 trillion, or 51.7% of holdings, after increasing $22.1 billion in January and $8.1 billion in December. Repurchase Agreements (repo) increased by $79.7 billion (8.0%) to $1.076 billion, or 22.9% of holdings, after decreasing $67.7 billion in January and $15.8 billion in December. Government Agency Debt decreased by $13.4 billion (-2.1%) to $637.0 billion, or 13.6% of holdings, after decreasing $32.3 billion in January and $13.8 billion in December. Repo, Treasuries and Agencies totaled $4.140 trillion, representing a massive 88.2% of all taxable holdings.
Money funds' holdings of CP and Other (mainly Time Deposits) saw increases in February while CD and VRDNs saw assets decrease. Commercial Paper (CP) increased $3.8 billion (1.5%) to $262.5 billion, or 5.6% of holdings, after increasing $36.2 billion in January and decreasing $8.3 billion in December. Other holdings, primarily Time Deposits, increased $16.5 billion (12.4%) to $149.9 billion, or 3.2% of holdings, after increasing $57.8 billion in January and decreasing $46.7 billion in December. Certificates of Deposit (CDs) fell by $9.6 billion (-6.8%) to $131.7 billion, or 2.8% of taxable assets, after increasing $15.8 billion in January and decreasing $10.9 billion in December. VRDNs decreased to $16.0 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 decreased $29.0 billion to $909.0 billion, or 19.3% of taxable money funds' $4.700 trillion total. Among Prime money funds, CDs represent 14.5% (down from 15.1% a month ago), while Commercial Paper accounted for 28.9% (up from 27.5%). The CP totals are comprised of: Financial Company CP, which makes up 19.8% of total holdings, Asset-Backed CP, which accounts for 4.8%, and Non-Financial Company CP, which makes up 4.3%. Prime funds also hold 4.2% in US Govt Agency Debt, 22.4% in US Treasury Debt, 2.8% in US Treasury Repo, 0.5% in Other Instruments, 12.5% in Non-Negotiable Time Deposits, 6.4% in Other Repo, 3.9% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $2.601 trillion (55.3% of all MMF assets), down $41.0 billion from $2.642 trillion in January, while Treasury money fund assets totaled another $1.191 trillion (25.3%), up from $1.177 trillion the prior month. Government money fund portfolios were made up of 23.0% US Govt Agency Debt, 15.5% US Government Agency Repo, 48.0% US Treasury Debt, 13.1% 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 82.0% US Treasury Debt and 17.9% in US Treasury Repo. Government and Treasury funds combined now total $3.792 trillion, or 80.7% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $50.2 billion in February to $701.8 billion; their share of holdings rose to 14.9% from last month's 13.7%. Eurozone-affiliated holdings rose to $479.8 billion from last month's $446.2 billion; they account for 10.2% of overall taxable money fund holdings. Asia & Pacific related holdings increased to $238.2 billion (5.1% of the total) from last month's $226.2 billion. Americas related holdings fell $118.0 billion to $3.758 trillion and now represent 80.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $26.7 million, or 4.8%, to $578.1 billion, or 12.3% of assets); US Government Agency Repurchase Agreements (up $53.6 billion, or 13.9%, to $439.4 billion, or 9.3% of total holdings), and Other Repurchase Agreements (down $0.6 billion, or -1.0%, from last month to $58.0 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.2 billion to $179.7 billion, or 3.8% of assets), Asset Backed Commercial Paper (down $2.4 billion to $43.7 billion, or 0.9%), and Non-Financial Company Commercial Paper (up $5.1 billion to $39.0 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2021, include: the US Treasury ($2,427.8 billion, or 51.7%), Federal Home Loan Bank ($373.6B, 7.9%), BNP Paribas ($131.5B, 2.8%), RBC ($121.4B, 2.6%), Fixed Income Clearing Co ($100.8B, 2.1%), Federal Farm Credit Bank ($98.5B, 2.1%), Federal National Mortgage Association ($98.4B, 2.1%), JP Morgan ($93.3B, 2.0%), Barclays ($77.5B, 1.6%), Credit Agricole ($67.1B, 1.4%), Mitsubishi UFJ Financial Group Inc ($64.6B, 1.4%), Federal Home Loan Mortgage Co ($62.5B, 1.3%), Bank of America ($55.3B, 1.2%), Societe Generale ($48.8B, 1.0%), Sumitomo Mitsui Banking Co ($46.3B, 1.0%), Citi ($43.8B, 0.9%), Nomura ($39.0B, 0.8%) Goldman Sachs ($36.0B, 0.8%), Canadian Imperial Bank of Commerce ($35.9B, 0.8%) and Toronto-Dominion Bank ($34.6B, 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 ($121.3B, 11.3%), Fixed Income Clearing Corp ($100.8B, 9.4%), RBC ($94.0B, 8.7%), JP Morgan ($82.4B, 7.7%), Barclays ($61.7B, 5.7%), Bank of America ($53.2B, 4.9%), Credit Agricole ($47.5B, 4.4%), Mitsubishi UFJ Financial Group Inc ($47.0B, 4.4%), Nomura ($39.0B, 3.6%) and Citi ($37.5B, 3.5%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($27.4B, 5.7%), Mizuho Corporate Bank Ltd ($20.7B, 4.3%), Svenska Handelsbanken ($19.8B, 4.1%), Credit Agricole ($19.6B, 4.1%), Toronto-Dominion Bank ($18.0B, 3.8%), Mitsubishi UFJ Financial Group Inc ($17.6B, 3.7%), Canadian Imperial Bank of Commerce ($16.5B, 3.4%), Barclays ($15.8B, 3.3%), DNB ASA ($15.1B, 3.1%) and Bank of Montreal ($13.8B, 2.9%).
The 10 largest CD issuers include: Bank of Montreal ($12.1B, 9.2%), Sumitomo Mitsui Banking Corp ($10.0B, 7.6%), Mitsubishi UFJ Financial Group Inc ($9.5B, 7.2%), Toronto-Dominion Bank ($8.2B, 6.2%), Canadian Imperial Bank of Commerce ($8.2B, 6.2%), Mizuho Corporate Bank Ltd ($7.9B, 6.0%), RBC ($5.4B, 4.1%), Skandinaviska Enskilda Banken ($5.3B, 4.0%), Credit Suisse ($5.1B, 3.9%) and Sumitomo Mitsui Trust Bank ($4.9B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Societe Generale ($12.3B, 5.4%), RBC ($11.2B, 4.9%), JP Morgan $10.9B, 4.8%), Barclays ($8.3B, 3.6%), NRW.Bank ($8.1B, 3.5%), BPCE SA ($7.8B, 3.4%), Toronto-Dominion Bank ($7.6B, 3.3%), Credit Suisse ($7.5B, 3.3%), BNP Paribas ($7.0B, 3.1%) and Mizuho Corporate Bank Ltd ($6.9B, 3.0%).
The largest increases among Issuers include: JP Morgan (up $21.6B to $93.3B), Barclays (up $12.9B to $77.5B), RBC (up $12.8B to $121.4B), Goldman Sachs (up $10.1B to $36.0B), Deutsche Bank AG (up $7.9B to $19.4B), Credit Agricole (up $5.9B to $67.1B), Nomura (up $5.7B to $39.0B), Bank of America (up $5.2B to $55.3B), Svenska Handelsbanken (up $4.8B to $19.8B) and BNP Paribas (up $4.6B to $131.5B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: the US Treasury (down $42.6B to $2,427.8B), Federal Home Loan Bank (down $10.7B to $373.6B), Fixed Income Clearing Corp (down $9.9B to $100.8B), Bank of Montreal (down $3.9B to $32.1B), Citi (down $3.2B to $43.8B), Toronto-Dominion Bank (down $2.6B to $34.6B), Nordea Bank (down $2.6B to $9.7B), Federal Home Lan Mortgage Corp (down $1.8B to $62.5B), Bank of Nova Scotia (down $1.1B to $25.7B) and Mitsubishi UFJ Financial Group (down $1.0B to $64.6B).
The United States remained the largest segment of country-affiliations; it represents 74.4% of holdings, or $3.495 trillion. France (6.4%, $300.9B) was number two, and Canada (5.6%, $263.0B) was third. Japan (4.8%, $225.8B) occupied fourth place. The United Kingdom (2.8%, $130.4B) remained in fifth place. Germany (1.5%, $68.5B) was in sixth place, followed by the Netherlands (1.4%, $63.2B), Sweden (1.0%, $45.1B), Australia (0.6%, $30.2B) and Switzerland (0.5%, $25.3B). (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 Feb. 28, 2021, Taxable money funds held 31.3% (up from 29.0%) of their assets in securities maturing Overnight, and another 11.9% maturing in 2-7 days (unchanged from last month). Thus, 43.1% in total matures in 1-7 days. Another 13.3% matures in 8-30 days, while 14.2% 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 11.8% of taxable securities, while 14.6% matures in 91-180 days, and just 3.0% matures beyond 181 days.
