Crane Data's May Money Fund Portfolio Holdings, with data as of April 30, 2021, show big increases in Repo and Other/Time Deposits, but big drops in Treasuries and Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) rose $29.1 billion to $4.917 trillion in April, after jumping $187.5 billion in March and increasing $34.3 billion in February. 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.
Among taxable money funds, Treasury securities fell $29.6 billion (-1.2%) to $2.541 trillion, or 51.7% of holdings, after jumping $142.8 billion in March and decreasing $42.6 billion in February. Repurchase Agreements (repo) increased by $54.1 billion (4.6%) to $1.238 billion, or 25.2% of holdings, after increasing $108.3 billion in March and $79.7 billion in February. Government Agency Debt decreased by $15.8 billion (-2.6%) to $586.1 billion, or 11.9% of holdings, after decreasing $35.1 billion in March and $13.4 billion in February. Repo, Treasuries and Agencies totaled $4.365 trillion, representing a massive 88.8% of all taxable holdings.
Money funds' holdings of CP, CDs, Other (mainly Time Deposits) and VRDNs all saw increases in April. Commercial Paper (CP) increased $2.4 billion (0.9%) to $268.0 billion, or 5.5% of holdings, after increasing $3.1 billion in March and $3.8 billion in February. Certificates of Deposit (CDs) rose by $6.5 billion (4.8%) to $142.4 billion, or 2.9% of taxable assets, after increasing $4.1 billion in March and decreasing $9.6 billion in February. Other holdings, primarily Time Deposits, increased $11.5 billion (10.0%) to $126.1 billion, or 2.6% of holdings, after decreasing $35.3 billion in March and increasing $16.5 billion in February. VRDNs increased to $15.9 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 were up at $910.0 billion, or 18.5% of taxable money funds' $4.917 trillion total. Among Prime money funds, CDs represent 15.7% (up from 14.9% a month ago), while Commercial Paper accounted for 29.5% (up from 29.2%). The CP totals are comprised of: Financial Company CP, which makes up 20.6% of total holdings, Asset-Backed CP, which accounts for 4.5%, and Non-Financial Company CP, which makes up 4.4%. Prime funds also hold 3.8% in US Govt Agency Debt, 19.9% in US Treasury Debt, 8.5% in US Treasury Repo, 0.5% in Other Instruments, 9.9% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 3.1% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $2.734 trillion (55.6% of all MMF assets), up from $2.706 trillion in March, while Treasury money fund assets totaled another $1.274 trillion (25.9%), up from $1.273 trillion the prior month. Government money fund portfolios were made up of 20.2% US Govt Agency Debt, 14.3% US Government Agency Repo, 47.4% US Treasury Debt, 17.6% in US Treasury Repo, 0.2% in VRDNs, 0.1% in Other Instruments and 0.3% 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 $4.008 trillion, or 81.5% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $48.8 billion in April to $689.2 billion; their share of holdings rose to 14.0% from last month's 13.5%. Eurozone-affiliated holdings increased to $475.5 billion from last month's $444.1 billion; they account for 9.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased to $241.7 billion (4.9% of the total) from last month's $230.5 billion. Americas related holdings decreased $37 billion to $3.981 trillion and now represent 81.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $68.9 billion, or 9.9%, to $767.9 billion, or 15.6% of assets); US Government Agency Repurchase Agreements (down $13.8 billion, or -3.2%, to $418.3 billion, or 8.5% of total holdings), and Other Repurchase Agreements (down $1.0 billion, or -2.0%, from last month to $51.8 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.1 billion to $187.7 billion, or 3.8% of assets), Asset Backed Commercial Paper (down $0.2 billion to $40.8 billion, or 0.8%), and Non-Financial Company Commercial Paper (up $1.5 billion to $39.6 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of April 30, 2021, include: the US Treasury ($2,542.7 billion, or 51.7%), Federal Home Loan Bank ($337.3B, 6.9%), Federal Reserve Bank of New York ($179.7B, 3.7%), BNP Paribas ($116.9B, 2.4%), RBC ($114.5B, 2.3%), Fixed Income Clearing Co ($111.3B, 2.3%), Federal Farm Credit Bank ($96.3B, 2.0%), Federal National Mortgage Association ($88.1B, 1.8%), JP Morgan ($78.8B, 1.6%), Credit Agricole ($78.2B, 1.6%), Barclays ($71.2B, 1.4%), Federal Home Loan Mortgage Co ($61.0B, 1.2%), Mitsubishi UFJ Financial Group Inc ($59.7B, 1.2%), Bank of America ($57.2B, 1.2%), Sumitomo Mitsui Banking Co ($55.7B, 1.1%), Societe Generale ($49.9B, 1.0%), Citi ($45.5B, 0.9%), Canadian Imperial Bank of Commerce ($39.2B, 0.8%), Nomura ($37.4B, 0.8%) and Bank of Montreal ($35.0B, 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: Federal Reserve Bank of New York ($179.7B, 14.5%), Fixed Income Clearing Corp ($111.3B, 9.0%), BNP Paribas ($104.1B, 8.4%), RBC ($95.0B, 7.7%), JP Morgan ($70.2B, 5.7%), Credit Agricole ($59.2B, 4.8%), Bank of America ($53.4B, 4.3%), Barclays PLC ($52.5B, 4.2%), Mitsubishi UFJ Financial Group Inc ($45.8B, 3.7%) and Sumitomo Mitsui Banking Corp ($43.5B, 3.5%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($19.5B, 4.2%), Mizuho Corporate Bank Ltd ($19.2B, 4.1%), Credit Agricole ($19.0B, 4.1%), Barclays PLC ($18.8B, 4.1%), Toronto-Dominion Bank ($18.1B, 3.9%), Skandinaviska Enskilda Banken AB ($16.6B, 3.6%), Federated ($16.5B, 3.6%), Bank of Montreal ($15.7B, 3.4%), DNB ASA ($15.5B, 3.4%) and Canadian Imperial Bank of Commerce ($15.3B, 3.3%).
The 10 largest CD issuers include: Bank of Montreal ($11.7B, 8.2%), Toronto-Dominion Bank ($9.2B, 6.5%), Sumitomo Mitsui Banking Corp ($8.9B, 6.2%), Canadian Imperial Bank of Commerce ($8.8B, 6.2%), Sumitomo Mitsui Trust Bank ($8.2B, 5.8%), Mitsubishi UFJ Financial Group Inc ($8.0B, 5.6%), Mizuho Corporate Bank Ltd ($7.7B, 5.4%), Skandinaviska Enskilda Banken AB ($5.9B, 4.2%), Landesbank Baden-Wurttemberg ($5.8B, 4.0%) and Credit Agricole ($4.8B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($11.9B, 5.3%), BNP Paribas ($9.4B, 4.6%), Societe Generale ($9.4B, 4.2%), Credit Suisse ($8.8B, 3.9%), Barclays PLC ($8.8B, 3.9%), JP Morgan ($8.5B, 3.8%), Toronto-Dominion Bank ($7.4B, 3.3%), BPCE SA ($7.1B, 3.2%), DNB ASA ($6.9B, 3.1%) and NRW.Bank ($6.7B, 3.0%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $54.4B to $179.7B), Credit Agricole (up $17.9B to $78.2B), Barclays PLC (up $12.6B to $71.2B), Sumitomo Mitsui Banking Corp (up $8.2B to $55.7B), Deutsche Bank AG (up $6.4B to $17.5B), Societe Generale (up $6.3B to $49.9B), DNB ASA (up $6.0B to $19.3B), Credit Suisse (up $4.8B to $16.5B), Skandinaviska Enskilda Banken AB (up $3.1B to $16.6B) and Mizuho Corporate Bank Ltd (up $2.6B to $27.0B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: US Treasury (down $27.7B to $2,542.7B), JP Morgan (down $13.8B to $78.8B), Fixed Income Clearing Corp (down $10.1B to $111.3B), Federal Home Loan Mortgage Corp (down $9.5B to $61.0B), Wells Fargo (down $9.1B to $12.4B), Goldman Sachs (down $8.0B to $28.9B), Citi (down $5.3B to $45.5B), BNP Paribas (down $5.0B to $116.9B), Federal National Mortgage Association (down $4.2B to $88.1B) and Bank of Montreal (down $3.5B to $35.0B).
The United States remained the largest segment of country-affiliations; it represents 75.7% of holdings, or $3.720 trillion. France (6.1%, $299.2B) was number two, and Canada (5.3%, $260.9B) was third. Japan (4.6%, $227.8B) occupied fourth place. The United Kingdom (2.5%, $123.8B) remained in fifth place. Germany (1.3%, $65.0B) was in sixth place, followed by the Netherlands (1.2%, $60.7B), Sweden (0.9%, $43.9B), Australia (0.6%, $30.6B) and Switzerland (0.5%, $24.4B). (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 April 30, 2021, Taxable money funds held 32.7% (down from 34.0%) of their assets in securities maturing Overnight, and another 12.0% maturing in 2-7 days (up from 9.4%). Thus, 44.6% in total matures in 1-7 days. Another 14.0% matures in 8-30 days, while 16.0% matures in 31-60 days. Note that close to three-quarters, or 74.6% of securities, mature in 60 days or less (unchanged 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 10.8% matures in 91-180 days, and just 3.4% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
