Crane Data's July Money Fund Portfolio Holdings, with data as of July 31, 2021, show another increase in Repo holdings, a jump in Other (Time Deposits) and another plunge in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) declined by $89.1 billion to $4.860 trillion in July, after rising $1.5 billion in June, $30.2 billion in May, $29.1 billion in April and $187.5 billion in March. Treasury securities remained the largest portfolio segment, though Repo is closing in on the No. 1 spot. `Agencies were the third largest segment, CP remained fourth, ahead of Other/Time Deposits, CDs , and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics.

Among taxable money funds, Treasury securities plummeted $200.6 billion (-8.8%) to $2.071 trillion, or 42.6% of holdings, after falling $134.5 billion in June, $135.0 billion in May and $29.6 billion in April. Repurchase Agreements (repo) rose by $62.9 billion (3.7%) to $1.753 billion, or 36.1% of holdings, after jumping $251.0 billion in June, $200.9 billion in May, and $54.1 billion in April. Government Agency Debt was flat (up $3.8 billion, or 0.7%) to $540.5 billion, or 11.1% of holdings, after decreasing $26.7 billion in June, $22.7 billion in May and $15.8 billion in April. Repo, Treasuries and Agency holdings totaled $4.364 trillion, representing a massive 89.8% of all taxable holdings.

Money funds' holdings of CP and Other (mainly Time Deposits) were higher in July as Prime MMFs shifted away from Repo and towards TDs, but CDs and VRDNs declined. Commercial Paper (CP) increased $8.2 billion (3.6%) to $235.2 billion, or 4.8% of holdings, after decreasing $36.1 billion in June and $5.0 billion in May, but increasing $2.4 billion in April. Other holdings, primarily Time Deposits, jumped by $39.9 billion (47.0%) to $124.7 billion, or 2.6% of holdings (surpassing CDs), after dropping $35.9 billion in June and $5.4 billion in May, but increasing $11.5 billion in April. Certificates of Deposit (CDs) fell by $1.5 billion (-1.2%) to $122.2 billion, or 2.5% of taxable assets, after dropping $14.9 billion in June and $3.7 billion in May, but increasing $6.5 billion in April. VRDNs decreased to $1.8 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 fell to $858 billion, or 17.7% of taxable money funds' $4.860 trillion total. Among Prime money funds, CDs represent 14.2% (up from 14.1% a month ago), while Commercial Paper accounted for 27.4% (up from 25.8% in June). The CP totals are comprised of: Financial Company CP, which makes up 19.3% of total holdings, Asset-Backed CP, which accounts for 3.9%, and Non-Financial Company CP, which makes up 4.2%. Prime funds also hold 2.4% in US Govt Agency Debt, 13.1% in US Treasury Debt, 18.2% in US Treasury Repo, 2.4% in Other Instruments, 11.1% in Non-Negotiable Time Deposits, 6.2% in Other Repo, 2.4% in US Government Agency Repo and 0.7% in VRDNs.

Government money fund portfolios totaled $2.742 trillion (56.4% of all MMF assets), down from $2.808 trillion in June, while Treasury money fund assets totaled another $1.259 trillion (25.9%), down from $1.263 trillion the prior month. Government money fund portfolios were made up of 18.6% US Govt Agency Debt, 13.1% US Government Agency Repo, 36.9% US Treasury Debt, 31.1% in US Treasury Repo, 0.3% in Other Instruments. Treasury money funds were comprised of 75.3% US Treasury Debt and 24.6% in US Treasury Repo. Government and Treasury funds combined now total $4.001 trillion, or 82.3% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $82.3 billion in July to $583.4 billion; their share of holdings rose to 12.0% from last month's 10.1%. Eurozone-affiliated holdings increased to $409.6 billion from last month's $364.5 billion; they account for 8.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased to $226.3 billion (4.7% of the total) from last month's $223.3 billion. Americas related holdings decreased to $4.045 trillion from last month’s $4.220 trillion, and now represent 83.2% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $54.2 billion, or 4.3%, to $1.319 trillion, or 27.1% of assets); US Government Agency Repurchase Agreements (up $8.5 billion, or 2.3%, to $380.6 billion, or 7.8% of total holdings), and Other Repurchase Agreements (up $0.2 billion, or 0.4%, from last month to $53.5 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.6 billion to $165.3 billion, or 3.4% of assets), Asset Backed Commercial Paper (down $2.1 billion to $33.4 billion, or 0.7%), and Non-Financial Company Commercial Paper (up $4.8 billion to $36.4 billion, or 0.7%).

The 20 largest Issuers to taxable money market funds as of July 31, 2021, include: the US Treasury ($2,071 billion, or 42.6%), Federal Reserve Bank of New York ($889.5.8B, 18.3%), Federal Home Loan Bank ($286.3B, 5.9%), BNP Paribas ($115.1B, 2.4%), RBC ($95.9B, 2.0%), Federal Farm Credit Bank ($90.3B, 1.9%), Federal National Mortgage Association ($79.6B, 1.6%), Fixed Income Clearing Corp ($77.0B, 1.6%), JP Morgan ($72.6B, 1.5%), Credit Agricole ($55.9B, 1.2%), Sumitomo Mitsui Banking Co ($55.8B, 1.1%), Barclays PLC ($55.6B, 1.1%), Federal Home Loan Mortgage Corp ($52.0B, 1.1%), Bank of America ($48.9B, 1.0%), Citi ($48.0B, 1.0%), Mitsubishi UFJ Financial Group Inc ($44.7B, 0.9%), Societe Generale ($36.4B, 0.7%), Canadian Imperial Bank of Commerce ($33.7B, 0.7%), Toronto-Dominion Bank ($33.2B, 0.7%) and Nomura ($32.6B, 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: Federal Reserve Bank of New York ($861.1B, 49.1%), BNP Paribas ($100.8B, or 5.7%), Fixed Income Clearing Corp ($77.0B, or 4.4%), RBC ($72.5B, or 4.1%), JP Morgan ($67.1B, or 3.8%), Bank of America ($46.2B, or 2.6%), Citi ($42.5B, or 2.4%), Barclays ($41.7B, or 2.4%), Sumitomo Mitsui Banking Corp ($41.3B, or 2.4%) and Credit Agricole ($40.1B, or 2.3%). The largest users of the $861B in Fed RRP included: Fidelity Govt Cash Reserves ($55.7B), Fidelity Govt Money Market ($54.2B), JPMorgan US Govt MM ($46.3B), Fidelity Inv MM: Govt Port ($49.5B), Wells Fargo Govt MM ($32.9b), Federated Hermes Govt ObI ($44.0B), Fidelity Cash Central Fund ($57.9B), Morgan Stanley Inst Liq Govt ($50.0B), Dreyfus Govt Cash Mgmt ($36.3B) and Fidelity Sec Lending Cash Central Fund ($27.1B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($23.4B or 5.7%), Mizuho Corporate Bank Ltd ($19.5B or 4.7%), Toronto-Dominion Bank ($16.6B or 4.0%), Credit Agricole ($15.8B or 3.8%), Sumitomo Mitsui Banking Corp ($14.5B or 3.5%), BNP Paribas ($14.4B or 3.5%), Bank of Montreal ($14.1B or 3.4%), Barclays PLC ($13.9B or 3.4%), Canadian Imperial Bank of Commerce ($13.7B or 3.3%) and Sumitomo Mitsui Trust Bank ($13.0B or 3.2%).

The 10 largest CD issuers include: Bank of Montreal ($12.5B or 10.2%), Sumitomo Mitsui Banking Corp ($11.3B or 9.2%), Canadian Imperial Bank of Commerce ($9.0B or 7.4%), Sumitomo Mitsui Trust Bank ($6.6B or 5.4%), Toronto-Dominion Bank ($5.9B or 4.8%), Landesbank Baden-Wurttemberg ($5.4B or 4.5%), Credit Agricole ($5.3B or 4.4%), Mizuho Corporate Bank Ltd ($5.2B or 4.2%), Mitsubishi UFJ Financial Group Inc ($5.0B or 4.1%) and Rabobank ($4.8B or 3.9%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($11.8B or 5.9%), RBC ($11.0B or 5.5%), Toronto-Dominion Bank ($10.4B or 5.2%), DNB ASA ($7.3B or 3.7%), Barclays PLC ($6.8B or 3.4%), Societe Generale ($6.5B or 3.3%), Mizuho Corporate Bank Ltd ($6.1B or 3.1%), Sumitomo Mitsui Trust Bank ($6.0B or 3.0%), UBS AG ($5.9B or 3.0%) and JP Morgan ($5.4B or 2.7%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $35.7B to $889.5B), Credit Agricole (up $26.5B to $55.9B), Barclays PLC (up $9.4B to $55.6B), Deutsche Bank AG (up $9.2B to $24.8B), BNP Paribas (up $7.3B to $115.1B), Mizuho Corporate Bank Ltd (up $6.8B to $27.4B), Landesbank Hessen-Thueringen Girozentrale (up $6.3B to $7.5B), Nordea Bank (up $6.2B to $11.4B), KBC Group NV (up $6.1B to $8.5B) and RBC (up $5.6B to $95.9B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the US Treasury (down $200.6B to $2,071.0B), Federal Home Loan Bank (down $7.2B to $286.3B), JP Morgan (down $7.1B to $72.6B), Fixed Income Clearing Corp (down $5.3B to $77.0B), Sumitomo Mitsui Banking Corp (down $4.7B to $55.8B), Bank of Nova Scotia (down $2.7B to $13.7B), Lloyds Banking Group (down $2.6B to $9.1B), Canadian Imperial Bank of Commerce (down $2.6B to $33.7B), Federal National Mortgage Association (down $2.2B to $79.6B) and ABN Amro Bank (down $1.6B to $18.2B).

The United States remained the largest segment of country-affiliations; it represents 78.7% of holdings, or $3.826 trillion. France (5.1%, $248.9B) was number two, and Canada (4.5%, $219.3B) was third. Japan (4.4%, $213.1B) occupied fourth place. The United Kingdom (2.1%, $103.5B) remained in fifth place. Germany (1.3%, $62.2B) was in sixth place, followed by The Netherlands (1.1%, $53.8B), Sweden (0.8%, $37.2B), Australia (0.6%, $27.4B) and Switzerland (0.4%, $18.1B). (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 July 31, 2021, Taxable money funds held 44.5% (up from 43.9%) of their assets in securities maturing Overnight, and another 10.9% maturing in 2-7 days (up from 8.9%). Thus, 55.4% in total matures in 1-7 days. Another 10.5% matures in 8-30 days, while 11.2% matures in 31-60 days. Note that over three-quarters, or 77.1% 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 8.2% of taxable securities, while 11.9% matures in 91-180 days, and just 2.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Email This Article




Use a comma or a semicolon to separate

captcha image