Crane Data's September Money Fund Portfolio Holdings, with data as of August 31, 2021, show yet another jump in Repo and plunge in Treasury holdings. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $47.4 billion to $4.879 trillion in July, after falling $89.1 billion in July, but rising $1.5 billion in June, $30.2 billion in May and $29.1 billion in April. Treasury securities remained the largest portfolio segment (barely), but Repo is now almost tied for the No. 1 spot. MMF holdings of Fed repo rose to over $1.0 trillion. Agencies were the third largest segment, CP remained fourth, ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: We're still a go for next week's Money Fund Symposium in Philadelphia, Sept. 21-23! Registrations are still being taken if you're vaccinated and not afraid of meeting in person. We look forward to seeing many of you next week!)

Among taxable money funds, Treasury securities plummeted $113.8 billion (-5.5%) to $1.943 trillion, or 39.8% of holdings, after falling $200.6 billion in July, $134.5 billion in June and $135.0 billion in May. Repurchase Agreements (repo) jumped $169.6 billion (9.8%) to $1.908 billion, or 39.1% of holdings, after rising $62.9 billion in July, $251.0 billion in June and $200.9 billion in May. Government Agency Debt was flat again (down $8.1 billion, or -1.5%) to $532.4 billion, or 10.9% of holdings, after rising $3.8 billion in July, but decreasing $26.7 billion in June and $22.7 billion in May. Repo, Treasuries and Agency holdings totaled $4.384 trillion, representing a massive 89.9% of all taxable holdings.

Money funds' holdings of CP, CDs and Other (mainly Time Deposits) were flat in August as Prime MMFs decreased TDs slightly, but increased CDs and CP a bit. Commercial Paper (CP) increased $3.2 billion (1.4%) to $238.4 billion, or 4.9% of holdings, after increasing $8.2 billion in July but decreasing $36.1 billion in June and $5.0 billion in May. Other holdings, primarily Time Deposits, declined by $4.7 billion (-3.8%) to $120.0 billion, or 2.5% of holdings (dipping below CDs), after jumping $39.9 billion in July, dropping $35.9 billion in June and dipping $5.4 billion in May. Certificates of Deposit (CDs) rose by $1.9 billion (1.5%) to $124.1 billion, or 2.5% of taxable assets, after dropping $1.5 billion in July, $14.9 billion in June and $3.7 billion in May. VRDNs decreased to $12.6 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 Monday.)

Prime money fund assets tracked by Crane Data fell to $851 billion, or 17.4% of taxable money funds' $4.879 trillion total. Among Prime money funds, CDs represent 14.6% (up from 14.2% a month ago), while Commercial Paper accounted for 27.7% (up from 27.4% 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 4.1%, and Non-Financial Company CP, which makes up 4.3%. Prime funds also hold 2.6% in US Govt Agency Debt, 11.5% in US Treasury Debt, 20.6% in US Treasury Repo, 2.6% in Other Instruments, 10.4% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 2.6% in US Government Agency Repo and 0.7% in VRDNs.

Government money fund portfolios totaled $2.805 trillion (57.5% of all MMF assets), up from $2.742 trillion in July, while Treasury money fund assets totaled another $1.222 trillion (25.0%), down from $1.259 trillion the prior month. Government money fund portfolios were made up of 18.1% US Govt Agency Debt, 12.0% US Government Agency Repo, 34.2% US Treasury Debt, 35.2% in US Treasury Repo, 0.3% in Other Instruments. Treasury money funds were comprised of 72.5% US Treasury Debt and 27.5% in US Treasury Repo. Government and Treasury funds combined now total $4.027 trillion, or 82.5% of all taxable money fund assets.

European-affiliated holdings (including repo) decreased by $2.5 billion in August to $580.9 billion; their share of holdings fell to 11.9% from last month's 12.0%. Eurozone-affiliated holdings increased to $413.0 billion from last month's $409.6 billion; they account for 8.5% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $223.9 billion (4.6% of the total) from last month's $226.3 billion. Americas related holdings decreased to $4.070 trillion from last month’s $4.045 trillion, and now represent 83.4% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $195.0 billion, or 15.0%, to $1.499 trillion, or 30.7% of assets); US Government Agency Repurchase Agreements (down $21.5 billion, or -5.6%, to $359.1 billion, or 7.4% of total holdings), and Other Repurchase Agreements (down $4.0 billion, or -7.4%, from last month to $49.6 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.1 billion to $166.4 billion, or 3.4% of assets), Asset Backed Commercial Paper (up $1.6 billion to $35.0 billion, or 0.7%), and Non-Financial Company Commercial Paper (up $0.6 billion to $37.0 billion, or 0.8%).

The 20 largest Issuers to taxable money market funds as of August 31, 2021, include: the US Treasury ($1.943 trillion, or 39.8%), Federal Reserve Bank of New York (1.047T, 21.5%), Federal Home Loan Bank ($268.0B, 5.5%), BNP Paribas ($107.2B, 2.2%), Fixed Income Clearing Corp ($104.3B, 2.1%), RBC ($95.3B, 2.0%), Federal Farm Credit Bank ($90.0B, 1.8%), Federal National Mortgage Association ($79.5B, 1.6%), JP Morgan ($66.2B, 1.4%), Sumitomo Mitsui Banking Co ($60.0B, 1.2%), Credit Agricole ($53.2B, 1.1%), Barclays PLC ($53.2B, 1.1%), Federal Home Loan Mortgage Corp ($51.4B, 1.1%), Bank of America ($45.8B, 0.9%), Mitsubishi UFJ Financial Group Inc ($44.5B, 0.9%), Societe Generale ($41.8B, 0.9%), Citi ($41.1B, 0.8%), Bank of Montreal ($34.7B, 0.7%), Canadian Imperial Bank of Commerce ($33.7B, 0.7%) and Toronto-Dominion Bank ($33.3B, 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 ($1.006T, 52.8%), Fixed Income Clearing Corp ($104.3B, or 5.5%), BNP Paribas ($92.7B, or 4.9%), RBC ($76.1B, or 4.0%), JP Morgan ($61.0B, or 3.2%), Sumitomo Mitsui Banking Corp ($46.2B, or 2.4%), Bank of America ($42.9B, or 2.2%), Barclays ($39.0B, or 2.0%), Mitsubishi UFJ Financial Group Inc ($36.3B, or 1.9%) and Credit Agricole ($35.5B, or 1.9%). The largest users of the $1.006 trillion in Fed RRP included: Morgan Stanley Inst Liq Govt ($65.9B), JPMorgan US Govt MM ($60.0B), Fidelity Govt Money Market ($50.7B), Fidelity Govt Cash Reserves ($50.5B), Fidelity Cash Central Fund ($50.4B), Federated Hermes Govt ObI ($49.7B), BlackRock Lq FedFund ($48.5B), Fidelity Inv MM: Govt Port ($43.9B), Dreyfus Govt Cash Mgmt ($40.1B) and BlackRock Lq T-Fund ($36.0).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($19.3B or 4.7%), Mizuho Corporate Bank Ltd ($17.9B or 4.3%), Credit Agricole ($17.8B or 4.3%), Toronto-Dominion Bank ($17.4B or 4.2%), Bank of Montreal ($15.8B or 3.8%), BNP Paribas ($14.5B or 3.5%), Canadian Imperial Bank of Commerce ($14.3B or 3.5%), Barclays PLC ($14.2B or 3.4%), DNB ASA ($13.9B or 3.4%) and Sumitomo Mitsui Banking Corp ($13.7B or 3.3%).

The 10 largest CD issuers include: Bank of Montreal ($12.5B or 10.1%), Sumitomo Mitsui Banking Corp ($9.7B or 7.8%), Canadian Imperial Bank of Commerce ($8.5B or 6.8%), Sumitomo Mitsui Trust Bank ($6.6B or 5.3%), Toronto-Dominion Bank ($5.5B or 4.4%), Mizuho Corporate Bank Ltd ($5.5B or 4.4%), Rabobank ($5.4B or 4.4%), Landesbank Baden-Wurttemberg ($4.9B or 3.9%), Natixis ($4.6B or 3.7%) and Mitsubishi UFJ Financial Group Inc ($4.5B or 3.7%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($12.8B or 6.3%), Toronto-Dominion Bank ($11.9B or 5.9%), BNP Paribas ($9.6B or 4.7%), Barclays PLC ($7.1B or 3.5%), DNB ASA ($6.2B or 3.1%), Societe Generale ($6.0B or 3.0%), National Australia Bank Ltd ($5.7B or 2.8%), Sumitomo Mitsui Trust Bank ($5.3B or 2.6%), JP Morgan ($5.1B or 2.5%) and Rabobank ($5.0B or 2.5%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $163.8B to $1,046.6B), Fixed Income Clearing Corp (up $27.2B to $104.3B), Societe Generale (up $5.4B to $41.8B), Banco Santander (up $4.6B to $12.0B), Sumitomo Mitsui Banking Corp (up $4.2B to $60.0B), Goldman Sachs (up $3.9B to $25.8B), Landesbank Baden-Wurttemberg (up $3.0B to $9.6B), Bank of Montreal (up $2.6B to $34.7B), DNB ASA (up $2.1B to $15.1B) and Swedbank AB (up $2.0B to $8.5B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: the US Treasury (down $113.8B to $1,943.4), Federal Home Loan Bank (down $18.3B to $268.0B), BNP Paribas (down $7.1B to $107.2B), Citi (down $6.5B to $41.1B), JP Morgan (down $4.7B to $66.2B), Bank of America (down $2.6B to $45.8B), Credit Agricole (down $2.2B to $53.2B), Nordea Bank (down $2.1B to $9.3B), Barclays PLC (down $2.0B to $53.2) and Sumitomo Mitsui Trust Bank (down $1.7B to $15.7B).

The United States remained the largest segment of country-affiliations; it represents 78.8% of holdings, or $3.846 trillion. France (5.0%, $245.5B) was number two, and Canada (4.6%, $223.2B) was third. Japan (4.3%, $211.9B) occupied fourth place. The United Kingdom (2.0%, $97.7B) remained in fifth place. Germany (1.3%, $62.4B) was in sixth place, followed by The Netherlands (1.1%, $54.0B), Sweden (0.8%, $37.0B), Australia (0.6%, $28.4B) and Switzerland (0.3%, $16.7B). (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 August 31, 2021, Taxable money funds held 48.4% (up from 44.5%) of their assets in securities maturing Overnight, and another 8.7% maturing in 2-7 days (down from 10.9%). Thus, 57.1% in total matures in 1-7 days. Another 11.1% matures in 8-30 days, while 8.5% matures in 31-60 days. Note that over three-quarters, or 76.7% 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 7.1% of taxable securities, while 13.1% matures in 91-180 days, and just 3.1% 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