Crane Data's April Money Fund Portfolio Holdings, with data as of March 31, 2021, shows huge jumps in Treasuries and Repo, and drops in Agencies and Other/Time Deposits. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) leapt by $187.5 billion to $4.888 trillion in March, after increasing $34.3 billion in February and $42.9 billion in January. Treasury securities remained the largest portfolio segment, followed by Repo, then Agencies. CP remained fourth, ahead of CD , Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: See also the press release, "ICI Responds to the President's Working Group Report on Potential Options for Money Market Fund Reforms," which we'll cover in detail in tomorrow's News.)
Among taxable money funds, Treasury securities rose $142.8 billion (5.9%) to $2.571 trillion, or 52.6% of holdings, after decreasing $42.6 billion in February and increasing $22.1 billion in January. Repurchase Agreements (repo) increased by $108.3 billion (10.1%) to $1.184 billion, or 24.2% of holdings, after increasing $79.7 billion in February and decreasing $67.7 billion in January. Government Agency Debt decreased by $35.1 billion (-5.5%) to $601.9 billion, or 12.3% of holdings, after decreasing $13.4 billion in February and $32.3 billion in January. Repo, Treasuries and Agencies totaled $4.356 trillion, representing a massive 89.1% of all taxable holdings.
Money funds' holdings of CP and CD saw increases in March while Other (mainly Time Deposits) and VRDNs saw assets decrease. Commercial Paper (CP) increased $3.1 billion (1.2%) to $265.6 billion, or 5.4% of holdings, after increasing $3.8 billion in February and $36.2 billion in January. Certificates of Deposit (CDs) rose by $4.1 billion (3.1%) to $135.9 billion, or 2.8% of taxable assets, after decreasing $9.6 billion in February and increasing $15.8 billion in January. Other holdings, primarily Time Deposits, decreased $35.3 billion (-23.5%) to $114.6 billion, or 2.3% of holdings, after increasing $16.5 billion in February and $57.8 billion in January. VRDNs decreased to $15.4 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 Tuesday.)
Prime money fund assets tracked by Crane Data were flat at $909.0 billion, or 18.6% of taxable money funds' $4.888 trillion total. Among Prime money funds, CDs represent 14.9% (up from 14.5% a month ago), while Commercial Paper accounted for 29.2% (up from 28.9%). The CP totals are comprised of: Financial Company CP, which makes up 20.5% of total holdings, Asset-Backed CP, which accounts for 4.5%, and Non-Financial Company CP, which makes up 4.2%. Prime funds also hold 4.2% in US Govt Agency Debt, 21.4% in US Treasury Debt, 8.0% in US Treasury Repo, 0.5% in Other Instruments, 8.8% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 3.7% in US Government Agency Repo and 0.7% in VRDNs.
Government money fund portfolios totaled $2.706 trillion (55.4% of all MMF assets), up $105 billion from $2.601 trillion in February, while Treasury money fund assets totaled another $1.273 trillion (26.0%), up from $1.191 trillion the prior month. Government money fund portfolios were made up of 20.8% US Govt Agency Debt, 14.7% US Government Agency Repo, 48.1% US Treasury Debt, 15.9% 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 84.5% US Treasury Debt, 15.4% in US Treasury Repo, and 0.1% in Other Instrument. Government and Treasury funds combined now total $3.979 trillion, or 81.4% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $68.4 billion in March to $633.4 billion; their share of holdings fell to 13.5% from last month's 14.9%. Eurozone-affiliated holdings fell to $444.1 billion from last month's $479.8 billion; they account for 9.5% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $230.5 billion (4.9% of the total) from last month's $238.2 billion. Americas related holdings increased $26 billion to $4.018 trillion and now represent 85.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $120.9 billion, or 20.9%, to $699.0 billion, or 14.3% of assets); US Government Agency Repurchase Agreements (down $7.4 billion, or -1.7%, to $432.1 billion, or 8.8% of total holdings), and Other Repurchase Agreements (down $5.2 billion, or -8.9%, from last month to $52.8 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $6.9 billion to $186.6 billion, or 3.8% of assets), Asset Backed Commercial Paper (down $2.8 billion to $40.9 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $0.9 billion to $38.1 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of March 31, 2021, include: the US Treasury ($2,570.4 billion, or 52.6%), Federal Home Loan Bank ($337.5B, 6.9%), Federal Reserve Bank of New York ($125.3B, 2.6%), BNP Paribas ($121.8B, 2.5%), Fixed Income Clearing Co ($121.3B, 2.5%), RBC ($116.1B, 2.4%), Federal Farm Credit Bank ($97.7B, 2.0%), JP Morgan ($92.6B, 1.9%), Federal National Mortgage Association ($92.3B, 1.9%), Federal Home Loan Mortgage Co ($70.5B, 1.4%), Credit Agricole ($60.3B, 1.2%), Bank of America ($60.0B, 1.2%), Mitsubishi UFJ Financial Group Inc ($59.2B, 1.2%), Barclays ($58.7B, 1.2%), Citi ($50.8B, 1.0%), Sumitomo Mitsui Banking Co ($47.5B, 1.0%), Societe Generale ($43.6B, 0.9%), Canadian Imperial Bank of Commerce ($40.6B, 0.8%), Nomura ($39.2B, 0.8%) and Bank of Montreal ($38.5B, 0.8%).
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 ($125.3B, 10.6%), Fixed Income Clearing Corp ($121.0B, 10.2%), BNP Paribas ($104.3B, 8.8%), RBC ($91.4B, 7.7%), JP Morgan ($83.0B, 7.0%), Bank of America ($56.4B, 4.8%), Mitsubishi UFJ Financial Group Inc ($46.1B, 3.9%), Citi ($45.2B, 3.8%), Credit Agricole ($44.4B, 3.7%) and Barclays ($43.0B, 3.6%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($24.7B, 5.5%), Toronto-Dominion Bank ($18.1B, 4.0%), BNP Paribas ($17.6B, 3.9%), Bank of Montreal ($17.5B, 3.9%), Mizuho Corporate Bank Ltd ($17.4B, 3.9%), Credit Agricole ($15.9B, 3.5%), Barclays ($15.6B, 3.5%), Canadian Imperial Bank of Commerce ($15.2B, 3.4%), Svenska Handelsbanken ($14.8B, 3.3%) and Mitsubishi UFJ Financial Group Inc ($13.1B, 2.9%).
The 10 largest CD issuers include: Bank of Montreal ($13.1B, 9.6%), Toronto-Dominion Bank ($10.1B, 7.5%), Sumitomo Mitsui Banking Corp ($9.5B, 7.0%), Mitsubishi UFJ Financial Group Inc ($8.4B, 6.2%), Canadian Imperial Bank of Commerce ($8.1B, 6.0%), Mizuho Corporate Bank Ltd ($7.8B, 5.7%), Sumitomo Mitsui Trust Bank ($7.0B, 5.1%), Landesbank Baden-Wurttemberg ($5.5B, 4.1%), RBC ($5.3B, 3.9%) and Skandinaviska Enskilda Banken ($4.9B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($13.8B, 6.1%), RBC ($11.9B, 5.2%), JP Morgan ($9.6B, 4.2%), Societe Generale ($9.0B, 4.0%), Barclays ($8.5B, 3.8%), NRW.Bank ($7.7B, 3.4%), BPCE SA ($7.5B, 3.3%), Toronto-Dominion Bank ($6.9B, 3.1%), Credit Agricole ($6.9B, 3.0%) and DNB ASA ($6.6B, 2.9%).
The largest increases among Issuers include: US Treasury (up $142.6B to $2,570.4B), Federal Reserve Bank of New York (up $125.3B to $125.3B), Fixed Income Clearing Corp (up $20.5B to $121.3B), Federal Home Loan Mortgage Corp (up $7.9B to $70.5B), Citi (up $7.1B to $50.8B), Bank of Montreal (up $6.4B to $38.5B), Canadian Imperial Bank of Commerce (up $4.7B to $40.6B), Bank of America (up $4.7B to $60.0B), Banco Santander ( up $3.8B to $12.6B) and National Australia Bank Ltd (up $2.7B to $10.9B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Federal Home Loan Bank (down $36.1B to $337.5B), Barclays PLC (down $18.8B to $58.7B), BNP Paribas (down $9.7B) to $121.8B), Deutsche Bank AG (down $8.2B to $11.1B), Credit Agricole (down $6.9B to $60.3B), DNB ASA (down $6.6B to $13.3B), Credit Suisse (down $6.1B to $11.7B), Federal National Mortgage Association (down $6.1B to $92.3B), Mitsubishi UFJ Financial Group Inc (down $5.5B to $59.2B) and RBC (down $5.3B to $116.1B).
The United States remained the largest segment of country-affiliations; it represents 76.8% of holdings, or $3.753 trillion. France (5.6%, $275.0B) was number two, and Canada (5.4%, $264.3B) was third. Japan (4.4%, $216.7B) occupied fourth place. The United Kingdom (2.3%, $111.2B) remained in fifth place. The Netherlands (1.3%, $63.4B) was in sixth place, followed by Germany (1.1%, $54.9B), Sweden (0.9%, $42.0B), Australia (0.7%, $34.7B) and Switzerland (0.4%, $20.2B). (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 March 31, 2021, Taxable money funds held 34.0% (up from 31.3%) of their assets in securities maturing Overnight, and another 9.4% maturing in 2-7 days (down from 11.9%). Thus, 43.4% in total matures in 1-7 days. Another 14.1% matures in 8-30 days, while 14.7% matures in 31-60 days. Note that close to three-quarters, or 72.2% 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 11.5% of taxable securities, while 12.7% matures in 91-180 days, and just 3.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
