Crane Data's June Money Fund Portfolio Holdings, with data as of May 31, 2021, show a huge increase in Repo holdings and a giant drop in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) rose $30.2 billion to $4.947 trillion in May, after rising $29.1 billion in April and $187.5 billion in March. 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: Please join us next Thursday, June 17 from 10am-12pm Eastern, for our "Asian Money Fund Symposium" webinar.)
Among taxable money funds, Treasury securities dropped $135.0 billion (-5.3%) to $2.406 trillion, or 48.6% of holdings, after falling $29.6 billion in April and jumping $142.8 billion in March. Repurchase Agreements (repo) jumped $200.9 billion (16.2%) to $1.439 billion, or 29.1% of holdings, after increasing $54.1 billion in April and $108.3 billion in March. Government Agency Debt decreased by $22.7 billion (-3.9%) to $563.4 billion, or 11.4% of holdings, after decreasing $15.8 billion in April and $35.1 billion in March. Repo, Treasuries and Agencies totaled $4.409 trillion, representing a massive 89.1% of all taxable holdings.
Money funds' holdings of VRDNs saw an increase in the last month, while CP, CDs and Other (mainly Time Deposits) all experienced decreases in May. Commercial Paper (CP) decreased $5.0 billion (-1.9%) to $263.0 billion, or 5.3% of holdings, after increasing $2.4 billion in April and $3.1 billion in March. Certificates of Deposit (CDs) fell by $3.7 billion (-2.6%) to $138.6 billion, or 2.8% of taxable assets, after increasing $6.5 billion in April and $4.1 billion in March. Other holdings, primarily Time Deposits, decreased $5.4 billion (-4.3%) to $120.7 billion, or 2.4% of holdings, after increasing $11.5 billion in April and decreasing $35.3 billion in March. VRDNs increased to $16.5 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 Thursday.)
Prime money fund assets tracked by Crane Data were up at $893 billion, or 18.1% of taxable money funds' $4.947 trillion total. Among Prime money funds, CDs represent 15.5% (down from 15.7% a month ago), while Commercial Paper accounted for 29.5% (unchanged from the April). The CP totals are comprised of: Financial Company CP, which makes up 21.1% of total holdings, Asset-Backed CP, which accounts for 4.3%, and Non-Financial Company CP, which makes up 4.1%. Prime funds also hold 3.7% in US Govt Agency Debt, 18.0% in US Treasury Debt, 10.7% in US Treasury Repo, 0.4% in Other Instruments, 10.3% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 3.0% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $2.767 trillion (55.9% of all MMF assets), up from $2.734 trillion in April, while Treasury money fund assets totaled another $1.287 trillion (26.0%), up from $1.274 trillion the prior month. Government money fund portfolios were made up of 19.2% US Govt Agency Debt, 14.3% US Government Agency Repo, 43.5% US Treasury Debt, 22.6% 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 81.0% US Treasury Debt and 19.0% in US Treasury Repo. Government and Treasury funds combined now total $4.054 trillion, or 81.9% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $31.9 billion in May to $657.3 billion; their share of holdings fell to 13.3% from last month's 14.0%. Eurozone-affiliated holdings decreased to $454.6 billion from last month's $475.5 billion; they account for 9.2% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $231.5 billion (4.7% of the total) from last month's $241.7 billion. Americas related holdings increased to $4.054 trillion from last month’s $3.981 trillion, and now represent 81.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $197.8 billion, or 25.8%, to $965.7 billion, or 19.5% of assets); US Government Agency Repurchase Agreements (up $4.1 billion, or 1.0%, to $422.4 billion, or 8.5% of total holdings), and Other Repurchase Agreements (down $1.0 billion, or -1.9%, from last month to $50.8 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $0.8 billion to $188.4 billion, or 3.8% of assets), Asset Backed Commercial Paper (down $2.5 billion to $38.3 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $3.3 billion to $36.3 billion, or 0.7%).
The 20 largest Issuers to taxable money market funds as of May 31, 2021, include: the US Treasury ($2,406 billion, or 48.6%), Federal Reserve Bank of New York ($459.7B, 9.3%), Federal Home Loan Bank ($316.2B, 6.4%), BNP Paribas ($116.6B, 2.4%), RBC ($101.8B, 2.1%), Federal Farm Credit Bank ($95.6B, 1.9%), Federal National Mortgage Association ($87.2B, 1.8%), JP Morgan ($83.8B, 1.7%), Fixed Income Clearing Corp ($72.1B, 1.5%), Credit Agricole ($67.5B, 1.4%), Bank of America ($67.0B, 1.4%), Barclays PLC ($62.7B, 1.3%), Federal Home Loan Mortgage Corp ($61.0B, 1.2%), Societe Generale ($52.0B, 1.1%), Sumitomo Mitsui Banking Co ($51.5B, 1.0%), Mitsubishi UFJ Financial Group Inc ($44.7B, 0.9%), Citi ($44.1B, 0.9%), Canadian Imperial Bank of Commerce ($40.0B, 0.8%), Nomura ($36.8B, 0.7%) and Bank of Montreal ($32.1B, 0.6%).
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 ($459.7B, 31.9%), BNP Paribas ($104.1B, or 7.2%), RBC ($81.9B, or 5.7%), JP Morgan ($75.8B, or 5.3%), Fixed Income Clearing Corp ($72.1B, or 5.0%), Bank of America ($63.5B, or 4.4%), Credit Agricole (47.3B, or 3.3%), Barclays PLC ($45.9B, or 3.2%), Societe Generale ($40.9B, or 2.8%), and Citi ($88.9B, or 2.7%).
The largest users of the $460B in Fed RRP included: Goldman Sachs FS Govt ($48.0B), Fidelity Govt Money Market ($43.8B), JPMorgan US Govt MM ($40.5B), Fidelity Govt Cash Reserves ($35.9B), Morgan Stanley Inst Liq Govt ($35.8B), Fidelity Cash Central Fund ($35.3B), Fidelity Inv MM: Govt Port ($27.6B), BlackRock Lq FedFund ($25.6B), Fidelity Sec Lending Cash Central Fund ($22.6B) and BlackRock Lq T-Fund ($16.7B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($21.0B, or 4.75), Credit Agricole ($20.3B, or 4.5%), RBC ($20.0B, or 4.4%), Canadian Imperial Bank of Commerce ($17.1B, or 3.8%), Barclays PLC ($16.9B, or 3.7%), Toronto-Dominion Bank ($16.4B, or 3.6%), Skandinaviska Enskilda Banken AB ($15.5B, or 3.5%), Federated ($14.0B, or 3.1%), Sumitomo Mitsui Banking Corp ($12.9B, or 2.9%) and Sumitomo Mitsui Trust Bank ($12.6B, or 2.8%).
The 10 largest CD issuers include: Bank of Montreal ($10.2B, or 7.4%), Sumitomo Mitsui Banking Corp ($9.4B, or 6.8%), Canadian Imperial Bank of Commerce ($9.4B, or 6.8%), Sumitomo Mitsui Trust Bank ($8.3B, or 6.0%), Toronto-Dominion Bank ($8.1B, or 5.9%), Credit Agricole ($7.4B, or 5.4%), Mizuho Corporate Bank Ltd ($6.8B, or 4.9%), Credit Mutuel ($5.6B, or 4.0%), Mitsubishi UFJ Financial Group Inc ($5.6B, or 4.0%) and Landesbank Baden-Wurttemberg ($5.2B, or 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($11.7B, or 5.4%), BNP Paribas ($10.8B, or 5.0%), Societe Generale ($10.5B, or 4.8%), JP Morgan ($8.0B, or 3.7%), Toronto-Dominion Bank ($$7.8B, or 3.6%), Barclays PLC ($7.4B, or 3.4%), DNB ASA ($7.1B, or 3.3%), Credit Suisse ($7.0B, or 3.2%), Skandinaviska Enskilda Banken AB ($7.0B, or 3.2%) and Swedbank AB ($6.5B, or 3.0%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $279.9B to $459.7B), Bank of America (up $9.8B to $67.0B), JP Morgan (up $5.1B to $83.8B), Mizuho Corporate Bank Ltd (up $2.1B to $29.1B), Societe Generale (up $2.0B to $52.0B), Standard Chartered Bank (up $1.4B to $11.8B), KBC Group NV (up $1.1B to $9.1B), Rabobank (up $1.0B to $8.7B), Canadian Imperial Bank of Commerce (up $0.7B to $40.0B) and Credit Suisse (up $0.5B to $17.0B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: US Treasury (down $136.6B to $2,406B), Fixed Income Clearing Co (down $39.1B to $72.1B), Federal Home Loan Bank (down $21.2B to $316.2B), Mitsubishi UFJ Financial Group Inc (down $15.0B to $44.7B), RBC (down $12.7B to $101.8B), Credit Agricole (down $10.6B to $67.5B), Barclays PLC (down $8.5B to $62.7B), DNB ASA (down $5.7B to $13.6B), ING Bank (down $4.8B to $20.9B) and Sumitomo Mitsui Banking Corp (down $4.2B to 51.5B).
The United States remained the largest segment of country-affiliations; it represents 77.1% of holdings, or $3.813 trillion. France (5.9%, $291.2B) was number two, and Canada (4.9%, $241.2B) was third. Japan (4.4%, $217.3B) occupied fourth place. The United Kingdom (2.4%, $117.0B) remained in fifth place. Germany (1.3%, $61.9B) was in sixth place, followed by the Netherlands (1.1%, $53.6B), Sweden (0.9%, $45.9B), Australia (0.6%, $28.8B) and Switzerland (0.5%, $24.0B). (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 May 31, 2021, Taxable money funds held 38.6% (up from 32.7%) of their assets in securities maturing Overnight, and another 10.4% maturing in 2-7 days (down from 12.0%). Thus, 49.0% in total matures in 1-7 days. Another 15.5% matures in 8-30 days, while 14.5% matures in 31-60 days. Note that over three-quarters, or 79.0% 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 8.4% of taxable securities, while 10.1% matures in 91-180 days, and just 2.5% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
