Crane Data's January Money Fund Portfolio Holdings, with data as of Dec. 31, 2021, show Repo skyrocketing in December and Treasuries inching higher, while every other holding category declined. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) rose by $114.1 billion to $5.086 trillion in December, after rising by $46.4 billion in November and $72.4 billion in October. Assets decreased $26.0 billion in Sept., increased $47.4 billion in August and decreased $89.1 billion in July. They 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 $1.732 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 $228.0 billion (10.1%) to $2.482 trillion, or 48.8% of holdings, in December, after increasing $113.6 billion in November, declining $107.9 billion in October and rising $299.8 billion in Sept. Treasury securities increased $19.9 billion (1.1%) to $1.806 trillion, or 35.5% of holdings, after decreasing $52.6 billion in November, increasing $158.2 billion in October, and falling $262.4 billion in Sept. Government Agency Debt was down $26.7 billion, or -6.3%, to $396.4 billion, or 7.8% of holdings, after decreasing $10.1 billion in November, $27.3 billion in October and $31.3 billion in Sept. Repo, Treasuries and Agency holdings totaled $4.685 trillion, representing a massive 92.1% of all taxable holdings.
Money fund holdings of CP, CDs and Other (mainly Time Deposits) were all down sharply in December. Commercial Paper (CP) decreased $29.9 billion (-12.1%) to $216.8 billion, or 4.3% of holdings, after decreasing $3.0 billion in November, but increasing $8.2 billion in Oct. and $3.1 billion in Sept. Other holdings, primarily Time Deposits, declined by $58.4 billion (-50.3%) to $57.8 billion, or 1.1% of holdings, after declining $4.7 billion in Nov. $32.7 billion in Oct., $32.7 billion in Sept., and $4.7 billion in August. Certificates of Deposit (CDs) decreased by $21.9 billion (-16.8%) to $108.7 billion, or 2.1% of taxable assets, after increasing $3.0 billion in Nov. and $7.4 billion in Oct., but falling $3.8 billion in Sept. VRDNs increased to $17.4 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 $796 billion, or 15.7% of taxable money funds' $5.086 trillion total. Among Prime money funds, CDs represent 13.6% (down from 16.3% a month ago), while Commercial Paper accounted for 27.3% (down from 30.8% in Nov.). The CP totals are comprised of: Financial Company CP, which makes up 19.4% of total holdings, Asset-Backed CP, which accounts for 4.4%, and Non-Financial Company CP, which makes up 3.5%. Prime funds also hold 3.3% in US Govt Agency Debt, 11.4% in US Treasury Debt, 26.9% in US Treasury Repo, 0.3% in Other Instruments, 4.4% in Non-Negotiable Time Deposits, 6.6% in Other Repo, 2.7% in US Government Agency Repo and 1.0% in VRDNs.
Government money fund portfolios totaled $2.960 trillion (58.2% of all MMF assets), up from $2.872 trillion in Nov., while Treasury money fund assets totaled another $1.330 trillion (26.2%), up from $1.299 trillion the prior month. Government money fund portfolios were made up of 12.5% US Govt Agency Debt, 9.8% US Government Agency Repo, 28.2% US Treasury Debt, 49.2% in US Treasury Repo, 0.2% in Other Instruments. Treasury money funds were comprised of 66.2% US Treasury Debt and 33.7% in US Treasury Repo. Government and Treasury funds combined now total $4.290 trillion, or 84.3% of all taxable money fund assets.
European-affiliated holdings (including repo) dropped by $189.7 billion in Dec. to $345.7 billion; their share of holdings plunged to 6.8% from last month's 10.8%. Eurozone-affiliated holdings decreased to $242.1 billion from last month's $388.7 billion; they account for 4.8% of overall taxable money fund holdings. Asia & Pacific related holdings inched lower to $214.7 billion (4.2% of the total) from last month's $215.0 billion. Americas related holdings jumped to $4.522 trillion from last month's $4.217 trillion, and now represent 88.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $280.2 billion, or 15.2%, to $2.119 trillion, or 41.7% of assets); US Government Agency Repurchase Agreements (down $49.6 billion, or -13.8%, to $310.4 billion, or 6.1% of total holdings), and Other Repurchase Agreements (down $2.6 billion, or -4.7%, from last month to $52.7 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $18.7 billion to $154.5 billion, or 3.0% of assets), Asset Backed Commercial Paper (up $0.7 billion to $34.8 billion, or 0.7%), and Non-Financial Company Commercial Paper (down $11.9 billion to $27.5 billion, or 0.5%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2021, include: the US Treasury ($1.806 trillion, or 35.5%), Federal Reserve Bank of New York ($1.732T, 34.1%), Federal Home Loan Bank ($216.0B, 4.2%), RBC ($121.6B, 2.4%), Federal Farm Credit Bank ($97.6B, 1.9%), Fixed Income Clearing Corp ($96.4B, 1.9%), BNP Paribas ($77.5B, 1.5%), Sumitomo Mitsui Banking Co ($58.6B, 1.2%), Bank of Montreal ($49.6B, 1.0%), Federal National Mortgage Association ($48.4B, 1.0%), JP Morgan ($47.9B, 0.9%), Mitsubishi UFJ Financial Group Inc ($41.8B, 0.8%), Canadian Imperial Bank of Commerce ($39.2B, 0.8%), Citi ($34.9B, 0.7%), Bank of America ($34.8B, 0.7%), Toronto-Dominion Bank ($32.6B, 0.6%), Federal Home Loan Mortgage Corp ($31.1B, 0.6%), Bank of Nova Scotia ($26.2B, 0.5%), Nomura ($24.7B, 0.5%) and Barclays ($24.4B, 0.5%).
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 ($1.732T, 69.8%), RBC ($101.5B, 4.1%), Fixed Income Clearing Corp ($96.4B, 3.9%), BNP Paribas ($70.1B, 2.8%), Sumitomo Mitsui Banking Corp ($43.8B, 1.8%), JP Morgan ($42.3B, 1.7%), Mitsubishi UFJ Financial Group Inc ($33.1B, 1.3%), Bank of America ($31.5B, 1.3%), Citi ($30.4B, 1.2%) and Bank of Montreal ($28.6B, 1.2%). The largest users of the $1.378 trillion in Fed RRP included: JPMorgan US Govt MM ($112.0B), Goldman Sachs FS Govt ($109.6B), BlackRock Lq FedFund ($103.5B), Fidelity Govt Money Market ($103.3B), Fidelity Govt Cash Reserves ($93.1B), Morgan Stanley Inst Liq Govt ($91.2B), BlackRock Lq T-Fund ($83.0B), Vanguard Federal Money Mkt Fund ($79.4B), Federated Hermes Govt ObI ($65.3B) and Dreyfus Govt Cash Mgmt ($60.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Montreal ($21.0B, 6.3%), RBC ($20.1B, 6.0%), Toronto-Dominion Bank ($18.7B, 5.6%), Bank of Nova Scotia ($17.4B, 5.2%), Mizuho Corporate Bank Ltd ($16.1B, 4.8%), Sumitomo Mitsui Banking Corp ($14.7B, 4.4%), Canadian Imperial Bank of Commerce ($14.2B, 4.2%), Sumitomo Mitsui Trust Bank ($11.4B, 3.4%), Australia & New Zealand Banking Group Ltd ($11.2B, 3.3%), National Australia Bank Ltd ($9.5B, 2.8%).
The 10 largest CD issuers include: Bank of Montreal ($11.8B, 10.9%), Sumitomo Mitsui Banking Corp ($11.1B, 10.2%), Canadian Imperial Bank of Commerce ($8.3B, 7.6%), Toronto-Dominion Bank ($7.3B, 6.7%), Mitsubishi UFJ Financial Group Inc ($5.4B, 5.0%), Sumitomo Mitsui Trust Bank ($5.3B, 4.9%), Mizuho Corporate Bank Ltd ($5.1B, 4.7%), Svenska Handelsbanken ($4.7B, 4.4%), Bank of Nova Scotia ($4.7B, 4.3%) and Barclays PLC ($4.0B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($14.0B, 7.4%), Toronto-Dominion Bank ($10.4B, 5.5%), Bank of Nova Scotia ($9.7B, 5.1%), UBS AG ($8.8B, 4.7%), National Australia Bank Ltd ($7.3B, 3.8%), Bank of Montreal ($7.3B, 3.8%), Societe Generale ($6.7B, 3.6%), BNP Paribas ($6.5B, 3.4%), Skandinaviska Enskilda Banken AB ($6.4B, 3.4%) and Sumitomo Mitsui Trust Bank ($6.0B, 3.1%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $353.8B to $1.732T), US Treasury (up $19.9B to $1.806T), Bank of Montreal (up $8.7B to $49.6B), Federal Farm Credit Bank (up $6.1B to $97.6B), Nomura (up $3.8B to $24.7B), Bank of Nova Scotia (up $3.8B to $26.2B), RBC (up $2.4B to $121.6B), UBS AG (up $1.9B to $9.7B), Sumitomo Mitsui Banking Corp (up $1.5B to $58.6B) and National Bank of Canada (up $1.2B to $6.2B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Fixed Income Clearing Corp (down $40.7B to $96.4B), Credit Agricole (down $33.7B to $21.6B), BNP Paribas (down $30.0B to $77.5B), Federal Home Loan Bank (down $21.5B to $216.0B), Societe Generale (down $19.0B to $18.9B), Barclays PLC (down $14.5B to $24.4B), ABN Amro Bank (down $8.6B to $8.1B), Bank of America (down $7.8B to $34.8B), Banco Santander (down $7.1B to $4.5B) and Federal Home Loan Mortgage Corp (down $6.6B to $31.1B).
The United States remained the largest segment of country-affiliations; it represents 83.4% of holdings, or $4.240 trillion. Canada (5.6%, $282.3B) was in second place, while Japan (3.9%, $199.5B) was No. 3. France (2.9%, $148.0B) occupied fourth place. The United Kingdom (1.2%, $62.6B) remained in fifth place. Australia (0.7%, $35.6B) was in sixth place, followed by The Netherlands (0.6%, $28.7B), Germany (0.5%, $24.7B), Switzerland (0.4%, $18.6B) and Sweden (0.4%, $17.9B). (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 Dec. 31, 2021, Taxable money funds held 55.6% (up from 53.1%) of their assets in securities maturing Overnight, and another 7.7% maturing in 2-7 days (down from 9.9%). Thus, 63.4% in total matures in 1-7 days. Another 6.1% matures in 8-30 days, while 9.0% matures in 31-60 days. Note that over three-quarters, or 78.5% 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 7.6% of taxable securities, while 9.8% matures in 91-180 days, and just 4.1% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
