Crane Data's February Money Fund Portfolio Holdings, with data as of Jan. 31, 2022, show Repo plummeting in January while Other (Time Deposits) and Treasuries jumped higher. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $108.3 billion to $4.977 trillion in January, after rising by $114.1 billion in December, $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. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. (MMF holdings of Fed repo fell sharply to $1.470 trillion.) 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, Repurchase Agreements (repo) dropped $234.4 billion (-9.4%) to $2.248 trillion, or 45.2% of holdings, in January, after increasing $228.0 billion in December, and $113.6 billion in November. Treasury securities increased $40.0 billion (2.2%) to $1.846 trillion, or 37.1% of holdings, after increasing $19.9 billion in December and decreasing $52.6 billion in November. Government Agency Debt was down $6.9 billion, or -1.7%, to $389.5 billion, or 7.8% of holdings, after decreasing $26.7 billion in December and $10.1 billion in November. Repo, Treasuries and Agency holdings totaled $4.484 trillion, representing a massive 90.1% of all taxable holdings.
Money fund holdings of CP, CDs and Other (mainly Time Deposits) were all up in January. Commercial Paper (CP) increased $11.8 billion (5.4%) to $228.6 billion, or 4.6% of holdings, after decreasing $29.9 billion in December and $3.0 billion in November. Other holdings, primarily Time Deposits, increased by $69.0 billion (119.4%) to $126.8 billion, or 2.5% of holdings, after declining $58.4 billion in Dec. and $4.7 billion in Nov. Certificates of Deposit (CDs) increased by $12.6 billion (11.6%) to $121.3 billion, or 2.4% of taxable assets, after decreasing $21.9 billion in December and increasing $3.0 billion in Nov. VRDNs declined to $17.0 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Thursday.)
Prime money fund assets tracked by Crane Data jumped to $807 billion, or 16.2% of taxable money funds' $4.977 trillion total. Among Prime money funds, CDs represent 15.0% (up from 13.6% a month ago), while Commercial Paper accounted for 28.3% (up from 27.3% in Dec.). The CP totals are comprised of: Financial Company CP, which makes up 20.2% of total holdings, Asset-Backed CP, which accounts for 4.2%, and Non-Financial Company CP, which makes up 3.9%. Prime funds also hold 3.3% in US Govt Agency Debt, 13.9% in US Treasury Debt, 14.0% in US Treasury Repo, 0.3% in Other Instruments, 13.1% in Non-Negotiable Time Deposits, 6.4% in Other Repo, 2.3% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $2.889 trillion (58.0% of all MMF assets), down from $2.960 trillion in Dec., while Treasury money fund assets totaled another $1.282 trillion (25.8%), down from $1.330 trillion the prior month. Government money fund portfolios were made up of 12.5% US Govt Agency Debt, 10.6% US Government Agency Repo, 29.8% US Treasury Debt, 46.7% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 68.0% US Treasury Debt and 31.9% in US Treasury Repo. Government and Treasury funds combined now total $4.171 trillion, or 83.8% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $148.6 billion in Jan. to $494.3 billion; their share of holdings jumped to 9.9% from last month's 6.8%. Eurozone-affiliated holdings increased to $341.7 billion from last month's $242.1 billion; they account for 6.9% of overall taxable money fund holdings. Asia & Pacific related holdings inched higher to $217.0 billion (4.4% of the total) from last month's $214.7 billion. Americas related holdings dropped to $4.260 trillion from last month's $4.522 trillion, and now represent 85.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $247.6 billion, or -11.7%, to $1.872 trillion, or 37.6% of assets); US Government Agency Repurchase Agreements (up $13.9 billion, or 4.5%, to $324.3 billion, or 6.5% of total holdings), and Other Repurchase Agreements (down $0.7 billion, or -1.3%, from last month to $52.0 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $8.1 billion to $162.7 billion, or 3.3% of assets), Asset Backed Commercial Paper (down $0.7 billion to $34.0 billion, or 0.7%), and Non-Financial Company Commercial Paper (up $4.4 billion to $31.9 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2022, include: the US Treasury ($1.846 trillion, or 37.1%), Federal Reserve Bank of New York ($1.470T, 29.5%), Federal Home Loan Bank ($217.0B, 4.4%), Fixed Income Clearing Corp ($101.1B, 2.0%), Federal Farm Credit Bank ($99.5B, 2.0%), BNP Paribas ($93.6B, 1.9%), RBC ($92.8B, 1.9%), Sumitomo Mitsui Banking Co ($58.2B, 1.2%), JP Morgan ($46.6B, 0.9%), Credit Agricole ($45.1B, 0.9%), Citi ($43.1B, 0.9%), Barclays ($41.2B, 0.8%), Federal National Mortgage Association ($40.8B, 0.8%), Bank of America ($40.7B, 0.8%), Mitsubishi UFJ Financial Group Inc ($40.2B, 0.8%), Bank of Montreal ($38.4B, 0.8%), Societe Generale ($36.1B, 0.7%), Toronto-Dominion Bank ($32.1B, 0.6%), Federal Home Loan Mortgage Corp ($29.2B, 0.6%) and Canadian Imperial Bank of Commerce ($28.6B, 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 ($1.470T, 65.4%), Fixed Income Clearing Corp ($101.1B, 4.5%), BNP Paribas ($82.7B, 3.7%), RBC ($75.3B, 3.3%), Sumitomo Mitsui Banking Corp ($43.6B, 1.9%), JP Morgan ($41.2B, 1.8%), Citi ($38.7B, 1.7%), Bank of America ($37.1B, 1.6%), Mitsubishi UFJ Financial Group Inc ($31.5B, 1.4%) and Societe Generale ($27.7B, 1.2%). The largest users of the $1.470 trillion in Fed RRP included: Goldman Sachs FS Govt ($112.0B), JPMorgan US Govt MM ($111.6B), Fidelity Govt Money Market ($106.1B), Fidelity Govt Cash Reserves ($95.0B), BlackRock Lq FedFund ($80.0B), Morgan Stanley Inst Liq Govt ($77.4B), BlackRock Lq T-Fund ($66.3B), Vanguard Federal Money Mkt Fund ($60.2B), Dreyfus Govt Cash Mgmt ($54.5B) and Federated Hermes Govt Obl ($54.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($22.4B, 5.4%), Barclays PLC ($18.8B, 4.6%), Toronto-Dominion Bank ($18.2B, 4.4%), RBC ($17.6B, 4.2%), Bank of Montreal ($16.1B, 3.9%), Sumitomo Mitsui Banking Corp ($14.6B, 3.5%), Mizuho Corporate Bank Ltd ($14.3B, 3.4%), Bank of Nova Scotia ($14.0B, 3.4%), Skandinaviska Enskilda Banken AB ($13.9B, 3.4%) and Canadian Imperial Bank of Commerce ($12.2B, 2.9%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($11.0B, 9.0%), Bank of Montreal ($10.2B, 8.4%), Toronto-Dominion Bank ($7.6B, 6.3%), Canadian Imperial Bank of Commerce ($7.6B, 6.2%), Landesbank Baden-Wurttemberg ($6.8B, 5.6%), Credit Agricole ($6.4B, 5.2%), Mitsubishi UFJ Financial Group Inc ($5.8B, 4.8%), Sumitomo Mitsui Trust Bank ($5.2B, 4.3%), Barclays PLC ($5.2B, 4.2%) and Bank of Nova Scotia ($5.1B, 4.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($12.0B, 6.2%), Toronto-Dominion Bank ($9.6B, 5.0%), Bank of Nova Scotia ($8.9B, 4.6%), BNP Paribas ($8.8B, 4.5%), UBS AG ($8.2B, 4.2%), Societe Generale ($8.1B, 4.2%), Barclays PLC ($7.2B, 3.7%), Skandinaviska Enskilda Banken AB ($6.6B, 3.4%), National Australia Bank Ltd ($6.1B, 3.1%) and Bank of Montreal ($5.9B, 3.0%).
The largest increases among Issuers include: the US Treasury (up $40.0B to $1.846T), Credit Agricole (up $23.5B to $45.1B), Societe Generale (up $17.2B to $36.1B), Barclays PLC (up $16.7B to $41.2B), BNP Paribas (up $16.1B to $93.6B), DNB ASA (up $9.8B to $12.4B), Swedbank AB (up $9.7B to $11.1B), Citi (up $8.3B to $43.1B), Skandinaviska Enskilda Banken AB (up $6.6B to $13.9B) and Nordea Bank (up $6.2B to $9.4B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Federal Reserve Bank of New York (down $262.0B to $1.470T), RBC (down $28.8B to $92.8B), Bank of Montreal (down $11.2B to $38.4B), Canadian Imperial Bank of Commerce (down $10.5B to $28.6B), Federal National Mortgage Association (down $7.6B to $40.8B), Bank of Nova Scotia (down $4.9B to $21.3B), Australia & New Zealand Banking Group Ltd (down $2.4B to $10.3B), Federal Home Loan Mortgage Corp (down $1.9B to $29.2B), National Australia Bank Ltd (down $1.9B to $9.2B) and Mizuho Corporate Bank Ltd (down $1.8B to $21.8B).
The United States remained the largest segment of country-affiliations; it represents 81.1% of holdings, or $4.037 trillion. Canada (4.5%, $222.8B) was in second place, while France (4.2%, $210.2B) was No. 3. Japan (3.9%, $195.3B) occupied fourth place. The United Kingdom (1.6%, $79.0B) remained in fifth place. Netherlands (0.9%, $44.1B) was in sixth place, followed by Sweden (0.9%, $43.2B), Germany (0.9%, $42.3B), Australia (0.6%, $30.8B) and Switzerland (0.4%, $17.3B). (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 Jan. 31, 2022, Taxable money funds held 56.7% (up from 55.6%) of their assets in securities maturing Overnight, and another 6.0% maturing in 2-7 days (down from 7.7%). Thus, 62.7% in total matures in 1-7 days. Another 9.1% matures in 8-30 days, while 9.8% matures in 31-60 days. Note that over three-quarters, or 81.6% 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 5.8% of taxable securities, while 9.0% matures in 91-180 days, and just 3.5% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
