Crane Data's December Money Fund Portfolio Holdings, with data as of Nov. 30, 2021, show Repo jumping in November after a pause last month and Treasuries falling after an increase in October. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) rose by $46.4 billion to $4.971 trillion in November, after rising by $72.4 billion in October, decreasing $26.0 billion in Sept., and increasing $47.4 billion in August. Assets decreased $89.1 billion in July, but increased by $1.5 billion in June, $30.2 billion in May and $29.1 billion in April. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. MMF holdings of Fed repo rose to $1.378 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.
Among taxable money funds, Repurchase Agreements (repo) jumped $113.6 billion (5.3%) to $2.253 trillion, or 45.3% of holdings, in November, after declining $107.9 billion in October and rising $299.8 billion in Sept., $169.6 billion in August and $62.9 billion in July. Treasury securities dropped $52.6 billion (-2.9%) to $1.787 trillion, or 35.9% of holdings, after increasing $158.2 billion in October, but falling $262.4 billion in Sept., $113.8 billion in August and $200.6 billion in July. Government Agency Debt was down $10.1 billion, or -2.3%, to $423.6 billion, or 8.5% of holdings, after decreasing $27.3 billion in October, $31.3 billion in Sept. and $8.1 billion in August. Repo, Treasuries and Agency holdings totaled $4.464 trillion, representing a massive 89.8% of all taxable holdings.
Money funds' holdings of CP, CDs and Other (mainly Time Deposits) were relatively flat in November. Commercial Paper (CP) decreased $3.0 billion (-1.2%) to $246.7 billion, or 5.0% of holdings, after increasing $8.2 billion in Oct., $3.1 billion in Sept., and $3.2 billion in August. Other holdings, primarily Time Deposits, declined by $4.7 billion (-3.9%) to $116.2 billion, or 2.3% of holdings, after declining $32.7 billion in Oct., $32.7 billion in Sept., and $4.7 billion in August. Certificates of Deposit (CDs) rose by $3.0 billion (2.4%) to $130.6 billion, or 2.6% of taxable assets, after increasing $7.4 billion in Oct., falling $3.8 billion in Sept., and rising $1.9 billion in August. VRDNs increased to $14.3 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 Friday.)
Prime money fund assets tracked by Crane Data fell to $800 billion, or 16.1% of taxable money funds' $4.971 trillion total. Among Prime money funds, CDs represent 16.3% (up from 15.1% a month ago), while Commercial Paper accounted for 30.8% (up from 29.6% in Oct.). The CP totals are comprised of: Financial Company CP, which makes up 21.6% of total holdings, Asset-Backed CP, which accounts for 4.3%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 3.6% in US Govt Agency Debt, 8.0% in US Treasury Debt, 17.2% in US Treasury Repo, 1.0% in Other Instruments, 11.3% in Non-Negotiable Time Deposits, 6.9% in Other Repo, 2.1% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $2.872 trillion (57.8% of all MMF assets), up from $2.846 trillion in Oct., while Treasury money fund assets totaled another $1.299 trillion (26.1%), up from $1.236 trillion the prior month. Government money fund portfolios were made up of 13.7% US Govt Agency Debt, 11.9% US Government Agency Repo, 29.4% US Treasury Debt, 44.7% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 67.6% US Treasury Debt and 32.2% in US Treasury Repo. Government and Treasury funds combined now total $4.171 trillion, or 83.9% of all taxable money fund assets.
European-affiliated holdings (including repo) dropped by $6.5 billion in Nov. to $535.4 billion; their share of holdings declined to 10.8% from last month's 11.0%. Eurozone-affiliated holdings decreased to $388.7 billion from last month's $403.5 billion; they account for 7.8% of overall taxable money fund holdings. Asia & Pacific related holdings decreased to $215.0 billion (4.3% of the total) from last month's $219.8 billion. Americas related holdings rose to $4.217 trillion from last month's $4.159 trillion, and now represent 84.8% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $71.7 billion, or 4.1%, to $1.839 trillion, or 37.0% of assets); US Government Agency Repurchase Agreements (up $37.2 billion, or 11.6%, to $359.4 billion, or 7.2% of total holdings), and Other Repurchase Agreements (up $4.7 billion, or 9.3%, from last month to $55.2 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.7 billion to $173.2 billion, or 3.5% of assets), Asset Backed Commercial Paper (down $1.2 billion to $34.0 billion, or 0.7%), and Non-Financial Company Commercial Paper (down $1.1 billion to $39.4 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2021, include: the US Treasury ($1.787 trillion, or 35.9%), Federal Reserve Bank of New York ($1.378T, 27.7%), Federal Home Loan Bank ($237.4B, 4.8%), Fixed Income Clearing Corp ($137.1B, 2.8%), RBC ($119.0B, 2.4%), BNP Paribas ($107.4B, 2.2%), Federal Farm Credit Bank ($91.5B, 1.8%), Sumitomo Mitsui Banking Co ($57.0B, 1.1%), Credit Agricole ($55.1B, 1.1%), Federal National Mortgage Association ($53.4B, 1.1%), JP Morgan ($48.3B, 1.0%), Bank of America ($42.4B, 0.9%), Mitsubishi UFJ Financial Group Inc ($41.6B, 0.8%), Bank of Montreal ($41.0B, 0.8%), Barclays ($39.0B, 0.8%), Canadian Imperial Bank of Commerce ($38.4B, 0.8%), Societe Generale ($37.9B, 0.8%), Federal Home Loan Mortgage Corp ($37.7B, 0.8%), Citi ($37.6B, 0.8%) and Toronto-Dominion Bank ($31.9B, 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 ($1.378T, 61.2%), Fixed Income Clearing Corp ($137.1B, or 6.1%), BNP Paribas ($97.6B, or 4.3%), RBC ($96.2B, or 4.3%), Sumitomo Mitsui Banking Corp ($43.8B, or 1.9%), JP Morgan ($42.8B, or 1.9%), Bank of America ($38.6B, or 1.7%), Credit Agricole ($33.4B, or 1.5%), Citi ($33.2B, or 1.5%) and Mitsubishi UFJ Financial Group Inc ($32.9B, or 1.5%). The largest users of the $1.378 trillion in Fed RRP included: JPMorgan US Govt MM ($183.1B), Goldman Sachs FS Govt ($140.1B), Fidelity Govt Money Market ($135.5B), Fidelity Govt Cash Reserves ($118.5B), BlackRock Lq FedFund ($113.2B), Morgan Stanley Inst Liq Govt ($112.0B), Vanguard Federal Money Mkt Fund ($99.9B), Allspring Govt MM ($90.8B), BlackRock Lq T-Fund ($89.8B) and Dreyfus Govt Cash Mgmt ($85.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($22.8B or 5.4%), Credit Agricole ($21.8B or 5.2%), Toronto-Dominion Bank ($18.6B or 4.4%), Bank of Montreal ($18.2B or 4.3%), Mizuho Corporate Bank Ltd ($16.7B or 4.0%), Canadian Imperial Bank of Commerce ($16.1B or 3.8%), Barclays PLC ($15.4B or 3.7%), Sumitomo Mitsui Trust Bank ($13.3B or 3.2%), Sumitomo Mitsui Banking Corp ($13.2B or 3.2%) and DNB ASA ($12.9B or 3.1%).
The 10 largest CD issuers include: Bank of Montreal ($12.7B or 9.7%), Sumitomo Mitsui Banking Corp ($9.9B or 7.6%), Canadian Imperial Bank of Commerce ($9.0B or 6.9%), Toronto-Dominion Bank ($7.6B or 5.8%), Sumitomo Mitsui Trust Bank ($6.5B or 5.0%), Landesbank Baden-Wurttemberg ($6.5B or 5.0%), Mizuho Corporate Bank Ltd ($6.2B or 4.7%), Mitsubishi UFJ Financial Group Inc ($6.0B or 4.6%), Credit Agricole ($5.4B or 4.1%) and Bank of Nova Scotia ($4.5B or 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($14.1B or 6.8%), Toronto-Dominion Bank ($10.2B or 4.9%), BNP Paribas ($8.6B or 4.1%), Bank of Nova Scotia ($7.9B or 3.8%), UBS AG ($6.9B or 3.3%), National Australia Bank Ltd ($6.9B or 3.3%), Sumitomo Mitsui Trust Bank ($6.8B or 3.3%), Societe Generale ($6.3B or 3.0%), Skandinaviska Enskilda Banken AB ($6.2B or 3.0%) and Barclays PLC ($6.2B or 3.0%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $67.2B to $137.1B), Federal Reserve Bank of New York (up $37.8B to $1.378T), RBC (up $10.5B to $119.0B), Canadian Imperial Bank of Commerce (up $7.6B to $38.4B), Bank of Nova Scotia (up $7.1B to $22.4B), Barclays PLC (up $5.9B to $39.0B), Federal Farm Credit Bank (up $4.1B to $91.5B), Banco Santander (up $3.7B to $11.6B), Bank of Montreal (up $3.2B to $41.0B) and Credit Agricole (up $2.8B to $55.1B).
The largest decreases among Issuers of money market securities (including Repo) in November were shown by: US Treasury (down $52.6B to $1.787T), Federal Home Loan Bank (down $15.1B to $237.4B), JP Morgan (down $8.6B to $48.3B), Deutsche Bank AG (down $6.2B to $9.0B), Bank of America (down $5.8B to $42.4B), BNP Paribas (down $4.2B to $107.4B), Societe Generale (down $3.5B to $37.9B), Mizuho Corporate Bank Ltd (down $2.9B to $24.1B), ING Bank (down $2.5B to $17.3B) and Landesbank Baden-Wurttemberg (down $2.2B to $7.2B).
The United States remained the largest segment of country-affiliations; it represents 79.5% of holdings, or $3.951 trillion. Canada (5.4%, $265.9B) was in second place, while France (4.9%, $242.7B) was No. 3. Japan (3.9%, $195.7B) occupied fourth place. The United Kingdom (1.6%, $80.8B) remained in fifth place. The Netherlands (1.0%, $49.5B) was in sixth place, followed by Germany (0.9%, $45.1B), Australia (0.7%, $33.2B), Sweden (0.7%, $32.5B) 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 Nov. 30, 2021, Taxable money funds held 53.1% (up from 51.4%) of their assets in securities maturing Overnight, and another 9.9% maturing in 2-7 days (up from 9.3%). Thus, 63.0% in total matures in 1-7 days. Another 7.3% matures in 8-30 days, while 7.1% matures in 31-60 days. Note that over three-quarters, or 77.4% 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 7.4% of taxable securities, while 10.5% matures in 91-180 days, and just 4.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
