Crane Data's July Money Fund Portfolio Holdings, with data as of June 30, 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) inched higher by $1.5 billion to $4.949 trillion in June, after rising $30.2 billion in May, $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 Tuesday, July 20 from 2-3pm Eastern, for our "Money Fund Wisdom Product Training" webinar.)
Among taxable money funds, Treasury securities dropped $134.5 billion (-5.6%) to $2.272 trillion, or 45.9% of holdings, after falling $135.0 billion in May and $29.6 billion in April (but jumping $142.8 billion in March). Repurchase Agreements (repo) surged $251.0 billion (17.4%) to $1.690 billion, or 34.1% of holdings, after jumping $200.9 billion in May, $54.1 billion in April and $108.3 billion in March. Government Agency Debt decreased by $26.7 billion (-4.7%) to $536.7 billion, or 10.8% of holdings, after decreasing $22.7 billion in May, $15.8 billion in April and $35.1 billion in March. Repo, Treasuries and Agencies totaled $4.498 trillion, representing a massive 90.9% of all taxable holdings.
Money funds' holdings of CP, CDs, VRDNs and Other (mainly Time Deposits) all were lower in June. Commercial Paper (CP) decreased $36.1 billion (-13.7%) to $226.9 billion, or 4.6% of holdings, after decreasing $5.0 billion in May, but increasing $2.4 billion in April and $3.1 billion in March. Certificates of Deposit (CDs) fell by $14.9 billion (-10.8%) to $123.7 billion, or 2.5% of taxable assets, after dropping $3.7 billion in May, but increasing $6.5 billion in April and $4.1 billion in March. Other holdings, primarily Time Deposits, decreased $35.9 billion (-29.7%) to $84.9 billion, or 1.7% of holdings, after dropping $5.4 billion in May, increasing $11.5 billion in April and decreasing $35.3 billion in March. VRDNs decreased to $15.0 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 Tuesday.)
Prime money fund assets tracked by Crane Data fell to $878 billion, or 17.7% of taxable money funds' $4.949 trillion total. Among Prime money funds, CDs represent 14.1% (down from 15.5% a month ago), while Commercial Paper accounted for 25.8% (down from 29.5% in May). The CP totals are comprised of: Financial Company CP, which makes up 18.2% of total holdings, Asset-Backed CP, which accounts for 4.0%, and Non-Financial Company CP, which makes up 3.6%. Prime funds also hold 3.7% in US Govt Agency Debt, 15.8% in US Treasury Debt, 21.5% in US Treasury Repo, 0.4% in Other Instruments, 6.1% in Non-Negotiable Time Deposits, 0.8% in Other Repo, 3.3% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $2.808 trillion (56.7% of all MMF assets), up from $2.767 trillion in May, while Treasury money fund assets totaled another $1.263 trillion (25.5%), down from $1.287 trillion the prior month. Government money fund portfolios were made up of 18.0% US Govt Agency Debt, 12.2% US Government Agency Repo, 40.9% US Treasury Debt, 28.5% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 78.0% US Treasury Debt and 21.9% in US Treasury Repo. Government and Treasury funds combined now total $4.071 trillion, or 82.3% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $156.1 billion in June to $501.2 billion; their share of holdings fell to 10.1% from last month's 13.3%. Eurozone-affiliated holdings decreased to $364.5 billion from last month's $454.6 billion; they account for 7.0% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $223.3 billion (4.5% of the total) from last month's $231.5 billion. Americas related holdings increased to $4.220 trillion from last month’s $4.054 trillion, and now represent 85.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $298.9 billion, or 31.0%, to $1.265 trillion, or 25.6% of assets); US Government Agency Repurchase Agreements (down $50.4 billion, or -11.9%, to $372.0 billion, or 7.5% of total holdings), and Other Repurchase Agreements (up $2.5 billion, or 5.0%, from last month to $53.3 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $28.7 billion to $159.7 billion, or 3.2% of assets), Asset Backed Commercial Paper (down $2.7 billion to $35.5 billion, or 0.7%), and Non-Financial Company Commercial Paper (down $4.7 billion to $31.6 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of June 30, 2021, include: the US Treasury ($2,272 billion, or 45.9%), Federal Reserve Bank of New York ($853.8B, 17.3%), Federal Home Loan Bank ($293.5B, 5.9%), BNP Paribas ($107.8B, 2.2%), Federal Farm Credit Bank ($90.9B, 1.8%), RBC ($90.2B, 1.8%), Fixed Income Clearing Corp ($82.3B, 1.7%), Federal National Mortgage Association ($81.9B, 1.7%), JP Morgan ($79.9B, 1.6%), Sumitomo Mitsui Banking Co ($60.5B, 1.2%), Federal Home Loan Mortgage Corp ($52.4B, 1.1%), Citi ($46.7B, 0.9%), Barclays PLC ($46.1B, 0.9%), Mitsubishi UFJ Financial Group Inc ($45.5B, 0.9%), Bank of America ($44.6B, 0.9%), Canadian Imperial Bank of Commerce ($36.3B, 0.7%), Toronto-Dominion Bank ($34.0B, 0.7%), Nomura ($33.6B, 0.7%), Societe Generale ($32.9B, 0.7%) and Bank of Montreal ($30.2B, 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 ($839.0B, 49.6%), BNP Paribas ($89.5B, or 5.3%), Fixed Income Clearing Corp ($82.3B, or 4.9%), JP Morgan ($72.7B, or 4.3%), RBC ($71.5B, or 4.2%), Sumitomo Mitsui Banking Corp ($45.4B, or 2.7%), Bank of America ($41.6B, or 2.5%), Citi ($40.8B, or 2.4%), Mitsubishi UFJ Financial Group Inc ($37.3B, or 2.2%) and Nomura ($33.6B, or 2.0%). The largest users of the $460B in Fed RRP included: Fidelity Govt Money Market ($61.4B), JPMorgan US Govt MM ($59.5B), Fidelity Govt Cash Reserves ($57.2B), Morgan Stanley Inst Liq Govt ($50.7B), Fidelity Cash Central Fund ($49.0B), Fidelity Inv MM: Govt Port ($40.4B), Goldman Sachs FS Govt ($40.0B), BlackRock Lq FedFund ($39.5B), Federated Hermes Govt ObI ($37.0B) and BlackRock Lq T-Fund ($30.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($18.7B or 5.0%), Toronto-Dominion Bank ($18.5B or 4.9%), BNP Paribas ($18.3B or 4.9%), Canadian Imperial Bank of Commerce ($16.2B or 4.3%), Sumitomo Mitsui Banking Corp ($15.1B or 4.0%), Bank of Montreal ($14.3B or 3.8%), Mizuho Corporate Bank Ltd ($13.2B or 3.5%), Barclays PLC ($12.9B or 3.4%), Sumitomo Mitsui Trust Bank ($11.9B or 3.2%) and Skandinaviska Enskilda Banken AB ($10.2B or 2.7%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($11.6B or 9.4%), Bank of Montreal ($11.3B or 9.1%), Canadian Imperial Bank of Commerce ($9.5B or 7.7%), Toronto-Dominion Bank ($7.1B or 5.8%), Sumitomo Mitsui Trust Bank ($6.7B or 5.4%), Landesbank Baden-Wurttemberg ($6.6B or 5.3%), Mitsubishi UFJ Financial Group Inc ($5.7B or 4.6%), Mizuho Corporate Bank Ltd ($5.3B or 4.3%), Credit Mutuel ($4.1B or 3.4%) and Bank of Nova Scotia ($3.9B or 3.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($14.0B or 7.2%), Toronto-Dominion Bank ($11.3B or 5.8%), RBC ($9.5B or 4.9%), Societe Generale ($6.9B or 3.6%), JP Morgan ($6.8B or 3.5%), Barclays PLC ($6.2B or 3.2%), DNB ASA ($5.6B or 2.9%), NRW.Bank ($5.5B or 2.8%), Swedbank AB ($5.4B or 2.8%) and UBS AG ($5.4B or 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $394.1B to $853.8B), Fixed Income Clearing Corp (up $10.2B to $82.3B), Sumitomo Mitsui Banking Corp (up $9.0B to $60.5B), Citi (up $2.6B to $46.7B), Toronto-Dominion Bank (up $2.0B to $34.0B), Caisse d'Amortissement de la Dette Sociale (up $1.5B to $7.0B), ING Bank (up $1.4B to $22.3B), Mitsubishi UFJ Financial Group Inc (up $0.8B to $45.5B), Standard Chartered Bank (up $0.7B to $12.6B) and ABN Amro Bank (up $0.5B to $19.8B).
The largest decreases among Issuers of money market securities (including Repo) in June were shown by: US Treasury (down $134.5B to $2,271.6B), Credit Agricole (down $38.1B to $29.4B), Federal Home Loan Bank (down $22.7B to $293.5B), Bank of America (down $22.4B to $44.6B), Societe Generale (down $19.1B to $32.9B), Barclays PLC (down $16.6B to $46.1B), RBC (down $11.6 to $90.2B), Natixis (down $10.1B to $16.8B), Bank of Nova Scotia (down $9.2B to $16.4B) and BNP Paribas (down $8.8B to $107.8).
The United States remained the largest segment of country-affiliations; it represents 80.9% of holdings, or $4.003 trillion. Canada (4.4%, $217.1B) was number two, and Japan (4.3%, $211.4B) was third. France (4.2%, $208.2B) occupied fourth place. The United Kingdom (1.9%, $96.1B) remained in fifth place. The Netherlands (1.0%, $51.4B) was in sixth place, followed by Germany (1.1%, $50.0B), Sweden (0.6%, $29.4B), Australia (0.6%, $28.2B) and Switzerland (0.4%, $17.7B). (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 June 30, 2021, Taxable money funds held 43.9% (up from 38.6%) of their assets in securities maturing Overnight, and another 8.9% maturing in 2-7 days (down from 10.4%). Thus, 52.8% in total matures in 1-7 days. Another 13.4% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that over three-quarters, or 77.5% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 7.8% of taxable securities, while 11.2% 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.)
