Crane Data's March Money Fund Portfolio Holdings, with data as of Feb. 28, 2022, show Repo holdings rebounding slightly while Treasuries moved lower. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $2.9 billion to $4.980 trillion in February, after decreasing $108.3 billion in January, but rising $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 were roughly flat at $1.424 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. (Note: We hope to see you late this month at our `Bond Fund Symposium conference in Newport Beach, Calif., March 28-29!)
Among taxable money funds, Repurchase Agreements (repo) increased $10.7 billion (0.5%) to $2.259 trillion, or 45.3% of holdings, in February, after decreasing $234.4 billion in January, but increasing $228.0 billion in December and $113.6 billion in November. Treasury securities decreased $17.0 billion (-0.9%) to $1.829 trillion, or 36.7% of holdings, after increasing $40.0 billion in January and $19.9 billion in December, but decreasing $52.6 billion in November. Government Agency Debt was up $1.5 billion, or 0.4%, to $391.0 billion, or 7.9% of holdings, after decreasing $6.9 billion in January, $26.7 billion in December and $10.1 billion in November. Repo, Treasuries and Agency holdings totaled $4.479 trillion, representing a massive 89.9% of all taxable holdings.
Money fund holdings of CP and Other (mainly Time Deposits) were up in February, while CDs saw a decline. Commercial Paper (CP) increased $2.9 billion (1.3%) to $231.5 billion, or 4.6% of holdings, after increasing $11.8 billion in January but decreasing $29.9 billion in December and $3.0 billion in November. Other holdings, primarily Time Deposits, increased by $9.5 billion (7.5%) to $136.3 billion, or 2.7% of holdings, after increasing $69.0 billion in January but declining $58.4 billion in Dec. and $4.7 billion in Nov. Certificates of Deposit (CDs) decreased by $6.9 billion (-5.7%) to $114.4 billion, or 2.3% of taxable assets, after increasing $12.6 billion in January, decreasing $21.9 billion in December and increasing $3.0 billion in Nov. VRDNs climbed to $19.1 billion, or 0.4% 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 dropped to $790 billion, or 15.9% of taxable money funds' $4.980 trillion total. Among Prime money funds, CDs represent 14.5% (down from 15.0% a month ago), while Commercial Paper accounted for 29.3% (up from 28.3% in Jan.). The CP totals are comprised of: Financial Company CP, which makes up 19.8% of total holdings, Asset-Backed CP, which accounts for 3.9%, and Non-Financial Company CP, which makes up 5.6%. Prime funds also hold 2.9% in US Govt Agency Debt, 13.9% in US Treasury Debt, 13.1% in US Treasury Repo, 0.4% in Other Instruments, 14.5% in Non-Negotiable Time Deposits, 6.2% in Other Repo, 1.8% in US Government Agency Repo and 1.1% in VRDNs.
Government money fund portfolios totaled $2.890 trillion (58.0% of all MMF assets), up from $2.889 trillion in Jan., while Treasury money fund assets totaled another $1.301 trillion (26.1%), up from $1.282 trillion the prior month. Government money fund portfolios were made up of 12.7% US Govt Agency Debt, 10.1% US Government Agency Repo, 28.4% US Treasury Debt, 48.3% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 69.0% US Treasury Debt and 30.9% in US Treasury Repo. Government and Treasury funds combined now total $4.191 trillion, or 84.2% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $41.8 billion in Feb. to $536.1 billion; their share of holdings jumped to 10.8% from last month's 9.9%. Eurozone-affiliated holdings increased to $366.9 billion from last month's $341.7 billion; they account for 7.4% of overall taxable money fund holdings. Asia & Pacific related holdings inched lower to $206.6 billion (4.2% of the total) from last month's $217.0 billion. Americas related holdings dropped to $4.234 trillion from last month's $4.260 trillion, and now represent 85.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $31.1 billion, or 1.7%, to $1.903 trillion, or 38.2% of assets); US Government Agency Repurchase Agreements (down $17.5 billion, or -5.4%, to $306.8 billion, or 6.2% of total holdings), and Other Repurchase Agreements (down $2.9 billion, or -5.5%, from last month to $49.1 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $6.5 billion to $156.2 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $3.3 billion to $30.7 billion, or 0.6%), and Non-Financial Company Commercial Paper (up $12.7 billion to $44.6 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2022, include: the US Treasury ($1.829 trillion, or 36.7%), Federal Reserve Bank of New York ($1.424T, 28.6%), Federal Home Loan Bank ($216.1B, 4.3%), Fixed Income Clearing Corp ($140.4B, 2.8%), Federal Farm Credit Bank ($101.6B, 2.0%), BNP Paribas ($98.6B, 2.0%), RBC ($92.4B, 1.9%), Sumitomo Mitsui Banking Co ($52.9B, 1.1%), Barclays ($49.9B, 1.0%), JP Morgan ($47.2B, 0.9%), Credit Agricole ($45.3B, 0.9%), Citi ($44.7B, 0.9%), Societe Generale ($44.0B, 0.9%), Federal National Mortgage Association ($41.4B, 0.8%), Mitsubishi UFJ Financial Group Inc ($39.7B, 0.8%), Bank of America ($38.4B, 0.8%), Bank of Montreal ($33.6B, 0.7%), Toronto-Dominion Bank ($30.4B, 0.6%), Federal Home Loan Mortgage Corp ($29.3B, 0.6%) and Canadian Imperial Bank of Commerce ($28.2B, 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 ($1.424T, 63.1%), Fixed Income Clearing Corp ($140.4B, 6.2%), BNP Paribas ($89.8B, 4.0%), RBC ($75.1B, 3.3%), JP Morgan ($42.0B, 1.9%), Citi ($41.3B, 1.8%), Sumitomo Mitsui Banking Corp ($40.8, 1.8%), Societe Generale ($36.1B, 1.6%), Bank of America ($35.8B, 1.6%) and Barclays ($3.7B, 1.4%). The largest users of the $1.424 trillion in Fed RRP included: Goldman Sachs FS Govt ($116.1B), JPMorgan US Govt MM ($123.5B), Fidelity Govt Money Market ($105.0B), Fidelity Govt Cash Reserves ($94.3B), Vanguard Federal Money Mkt Fund ($83.3B), Morgan Stanley Inst Liq Govt ($79.3B), BlackRock Lq FedFund ($78.5B), BlackRock Lq T-Fund ($58.5B), Fidelity Inv MM: Govt Port ($54.4B) and Dreyfus Govt Cash Mgmt ($52.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($20.5B, 5.0%), Barclays ($18.2B, 4.5%), Toronto-Dominion Bank ($17.5B, 4.3%), RBC ($17.3B, 4.3%), Nordea Bank ($15.5B, 3.8%), Mizuho Corporate Bank Ltd ($14.9B, 3.7%), Bank of Montreal ($14.5B, 3.6%), Canadian Imperial Bank of Commerce ($13.0B, 3.2%), Skandinaviska Enskilda Banken AB ($12.5B, 3.1%) and Bank of Nova Scotia ($12.4B, 3.1%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($9.6B, 8.4%), Bank of Montreal ($8.2B, 7.1%), Toronto-Dominion Bank ($7.5B, 6.5%), Canadian Imperial Bank of Commerce ($7.4B, 6.4%), Landesbank Baden-Wurttemberg ($6.3B, 5.5%), Mitsubishi UFJ Financial Group Inc ($6.3B, 5.5%), Barclays ($5.5B, 4.8%), Sumitomo Mitsui Trust Bank ($5.1B, 4.5%), Bank of Nova Scotia ($4.8B, 4.2%) and Credit Agricole ($4.6B, 4.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($10.2B, 5.4%), Toronto-Dominion Bank ($8.4B, 4.5%), UBS AG ($8.0B, 4.2%), Bank of Nova Scotia ($7.6B, 4.1%), BNP Paribas ($7.6B, 4.0%), Societe Generale ($7.6B, 4.0%), Barclays ($6.2B, 3.3%), Bank of Montreal ($6.0B, 3.2%), National Australia Bank Ltd ($5.8B, 3.1%) and Skandinaviska Enskilda Banken AB ($5.6B, 3.0%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $39.3B to $140.4B), Barclays (up $8.8B to $49.9B), Societe Generale (up $8.0B to $44.0B), Nordea Bank (up $6.1B to $15.5B), BNP Paribas (up $5.0B to $98.6B), Rabobank (up $3.0B to $11.7B), Svenska Handelsbanken (up $2.8B to $11.7B), ING Bank (up $2.5B to $19.7B), Federal Farm Credit Bank (up $2.0B to $101.6B) and Citi (up $1.5B to $44.7B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: the Federal Reserve Bank of New York (down $45.6B to $1.424T), the US Treasury (down $17.0B to $1.829T), Sumitomo Mitsui Banking Corp (down $5.3B to $52.9B), Bank of Montreal (down $4.8B to $33.6B), Swedbank AB (down $3.9B to $7.1B), Bank of America (down $2.3B to $38.4B), Bank of Nova Scotia (down $1.9B to $19.4B), Natixis (down $1.8B to $17.0B), Toronto-Dominion Bank (down $1.7B to $30.4B) and Skandinaviska Enskilda Banken AB (down $1.4B to $12.5B).
The United States remained the largest segment of country-affiliations; it represents 80.6% of holdings, or $4.015 trillion. France (4.5%, $224.7B) was in second place, while Canada (4.4%, $218.5B) was No. 3. Japan (3.8%, $187.1B) occupied fourth place. The United Kingdom (1.8%, $91.2B) remained in fifth place. Netherlands (1.0%, $50.4B) was in sixth place, followed by Sweden (1.0%, $47.2B), Germany (0.9%, $45.8B), Australia (0.6%, $30.6B) and Switzerland (0.4%, $17.8B). (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. Note too: U.S. money funds have never been allowed to invest in Russian debt or holdings, so there is no doubt no direct exposure there.)
As of Feb. 28, 2022, Taxable money funds held 58.7% (up from 56.7%) of their assets in securities maturing Overnight, and another 5.8% maturing in 2-7 days (down from 6.0%). Thus, 64.5% in total matures in 1-7 days. Another 10.6% matures in 8-30 days, while 7.8% matures in 31-60 days. Note that over three-quarters, or 82.8% 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 6.3% of taxable securities, while 7.6% matures in 91-180 days, and just 3.2% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
