Crane Data's April Money Fund Portfolio Holdings, with data as of March 31, 2022, show that Repo jumped while Treasuries and Other (Time Deposits) plummeted last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $40.9 billion to $4.939 trillion in March, after increasing $2.9 billion in February but decreasing $108.3 billion in January. Assets rose $114.1 billion in December, $46.4 billion in November and $72.4 billion in October. But they 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 surged to $1.651 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) increased $100.9 billion (4.5%) to $2.359 trillion, or 47.8% of holdings, in March, after increasing $10.7 billion in February and decreasing $234.4 billion in January. Repo also increased $228.0 billion in December and $113.6 billion in November. Treasury securities fell $79.2 billion (-4.3%) to $1.750 trillion, or 35.4% of holdings, after decreasing $17.0 billion in February. T-bills increased $40.0 billion in January and $19.9 billion in December, but they declined $52.6 billion in November. Government Agency Debt was down $4.3 billion, or -1.1%, to $386.8 billion, or 7.8% of holdings, after increasing $1.5 billion in February, but decreasing $6.9 billion in January and $26.7 billion in December. Repo, Treasuries and Agency holdings totaled $4.496 trillion, representing a massive 91.0% of all taxable holdings.
Money fund holdings of CP, CDs, and Other (mainly Time Deposits) were all down in March. Commercial Paper (CP) decreased $7.2 billion (-3.1%) to $224.3 billion, or 4.5% of holdings, after increasing $2.9 billion in February and $11.8 billion in January. Certificates of Deposit (CDs) decreased $5.7 billion (-4.9%) to $108.8 billion, or 2.2% of taxable assets, after decreasing $6.9 billion in February but increasing $12.6 billion in January. Other holdings, primarily Time Deposits, decreased by $47.4 billion (-34.8%) to $88.9 billion, or 1.8% of holdings, after increasing $9.5 billion in February and $69.0 billion in January. VRDNs climbed to $20.9 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 rose to $834 billion, or 16.9% of taxable money funds' $4.939 trillion total. Among Prime money funds, CDs represent 13.0% (down from 14.5% a month ago), while Commercial Paper accounted for 26.9% (down from 29.3% in Feb.). The CP totals are comprised of: Financial Company CP, which makes up 18.3% of total holdings, Asset-Backed CP, which accounts for 3.7%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 4.8% in US Govt Agency Debt, 11.5% in US Treasury Debt, 23.8% in US Treasury Repo, 0.4% in Other Instruments, 8.1% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 2.4% in US Government Agency Repo and 1.3% in VRDNs.
Government money fund portfolios totaled $2.871 trillion (58.1% of all MMF assets), down from $2.890 trillion in Feb., while Treasury money fund assets totaled another $1.234 trillion (25.0%), down from $1.301 trillion the prior month. Government money fund portfolios were made up of 12.1% US Govt Agency Debt, 10.4% US Government Agency Repo, 28.6% US Treasury Debt, 48.6% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 67.6% US Treasury Debt and 32.4% in US Treasury Repo. Government and Treasury funds combined now total $4.105 trillion, or 83.1% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $97.5 billion in March to $438.6 billion; their share of holdings dropped to 8.9% from last month's 10.8%. Eurozone-affiliated holdings decreased to $317.1 billion from last month's $366.9 billion; they account for 6.4% of overall taxable money fund holdings. Asia & Pacific related holdings inched lower to $192.5 billion (3.9% of the total) from last month's $206.6 billion. Americas related holdings rose to $4.304 trillion from last month's $4.234 trillion, and now represent 87.2% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $89.7 billion, or 4.7%, to $1.992 trillion, or 40.3% of assets); US Government Agency Repurchase Agreements (up $12.0 billion, or 3.9%, to $318.8 billion, or 6.5% of total holdings), and Other Repurchase Agreements (down $0.7 billion, or -1.4%, from last month to $48.4 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $3.5 billion to $152.6 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $0.4 billion to $31.2 billion, or 0.6%), and Non-Financial Company Commercial Paper (down $4.1 billion to $40.5 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of March 31, 2022, include: the US Treasury ($1.750 trillion, or 35.4%), Federal Reserve Bank of New York ($1.651T, 33.4%), Federal Home Loan Bank ($220.1B, 4.5%), Federal Farm Credit Bank ($103.5B, 2.1%), BNP Paribas ($101.3B, 2.1%), Fixed Income Clearing Corp ($95.1B, 1.9%), RBC ($91.2B, 1.8%), Sumitomo Mitsui Banking Co ($53.6B, 1.1%), Mitsubishi UFJ Financial Group Inc ($42.5B, 0.9%), JP Morgan ($40.9B, 0.8%), Bank of America ($39.8B, 0.8%), Federal National Mortgage Association ($35.6B, 0.7%), Societe Generale ($34.5B, 0.7%), Citi ($33.5B, 0.7%), Toronto-Dominion Bank ($30.9B, 0.6%), Canadian Imperial Bank of Commerce ($27.4B, 0.6%), Bank of Montreal ($27.3B, 0.6%), Barclays ($27.1B, 0.5%), Federal Home Loan Mortgage Corp ($25.0B, 0.5%) and Credit Agricole ($22.8B, 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 ($1.651T, 70.0%), Fixed Income Clearing Corp ($95.1B, 4.0%), BNP Paribas ($90.9B, 3.9%), RBC ($74.3B, 3.2%), Sumitomo Mitsui Banking Corp ($42.9B, 1.8%), Bank of America ($37.5B, 1.6%), JP Morgan ($35.8B, 1.5%), Mitsubishi UFJ Financial Group Inc ($31.2B, 1.3%), Citi ($30.7B, 1.3%) and Societe Generale ($29.0B, 1.2%). The largest users of the $1.651 trillion in Fed RRP include: JPMorgan US Govt MM ($127.0B), Fidelity Govt Money Market ($118.9B), Goldman Sachs FS Govt ($114.0B), Fidelity Govt Cash Reserves ($107.1B), Vanguard Federal Money Mkt Fund ($91.8B), BlackRock Lq FedFund ($76.0B), Morgan Stanley Inst Liq Govt ($75.5B), BlackRock Lq T-Fund ($58.1B), Dreyfus Govt Cash Mgmt ($58.0B) and Allspring Govt MM ($56.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Barclays PLC ($18.4B, 5.1%), Toronto-Dominion Bank ($18.0B, 5.0%), RBC ($16.9B, 4.7%), Bank of Montreal ($14.2B, 3.9%), Canadian Imperial Bank of Commerce ($13.8B, 3.8%), Bank of Nova Scotia ($13.4B, 3.7%), Mizuho Corporate Bank Ltd ($13.3B, 3.7%), Rabobank ($12.1B, 3.4%), Australia & New Zealand Banking Group Ltd ($11.9B, 3.3%) and Mitsubishi UFJ Financial Group Inc 9$11.4B, 3.2%).
The 10 largest CD issuers include: Canadian Imperial Bank of Commerce ($8.0B, 7.3%), Sumitomo Mitsui Banking Corp ($8.0B, 7.3%), Mitsubishi UFJ Financial Group Inc ($7.6B, 7.0%), Toronto-Dominion Bank ($7.2B, 6.7%), Bank of Montreal ($6.7B, 6.2%), Barclays PLC ($5.9B, 5.5%), Bank of Nova Scotia ($5.9B, 5.4%), Sumitomo Mitsui Trust Bank ($5.7B, 5.2%), Svenska Handelsbanken ($5.2B, 4.7%) and Landesbank Baden-Wurttemberg ($4.9B, 4.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($11.1B, 5.9%), Toronto-Dominion Bank ($9.4B, 5.0%), BNP Paribas ($7.7B, 4.1%), UBS AG ($7.6B, 4.1%), Bank of Nova Scotia ($7.5B, 4.0%), Bank of Montreal ($7.5B, 4.0%), Barclays PLC ($6.7B, 3.6%), Rabobank ($5.7B, 3.1%), Societe Generale ($5.2B, 2.8%) and JP Morgan ($5.1B, 2.7%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $226.1B to $1.651T), Federal Home Loan Bank (up $4.0B to $220.1B), Lloyds Banking Group (up $3.6B to $8.8B), Mitsubishi UFJ Financial Group Inc (up $2.8B to $42.5B), BNP Paribas (up $2.8B to $101.3B), Standard Chartered Bank (up $2.3B to $12.0B), Australia & New Zealand Banking Group Ltd (up $2.2B to $13.1B), Federal Farm Credit Bank (up $1.9B to $103.5B), Bank of America (up $1.4B to $39.8B) and Sumitomo Mitsui Trust Bank (up $1.4B to $13.5B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: the US Treasury (down $79.1B to $1.750T), Fixed Income Clearing Corp (down $45.3B to $95.1B), Barclays PLC (down $22.8B to $27.1B), Credit Agricole (down $22.5B to $22.8B), Citi (down $11.2B to $33.5B), Societe Generale (down $9.5B to $34.5B), Nordea Bank (down $9.0B to $6.4B), Nomura (down $8.4B to $17.3B), JP Morgan (down $6.4B to $40.9B) and Bank of Montreal (down $6.4B to $27.3B).
The United States remained the largest segment of country-affiliations; it represents 82.9% of holdings, or $4.095 trillion. Canada (4.2%, $209.4B) was in second place, while France (3.8%, $186.7B) was No. 3. Japan (3.6%, $179.9B) occupied fourth place. The United Kingdom (1.4%, $69.6B) remained in fifth place. Netherlands (1.0%, $51.2B) was in sixth place, followed by Germany (0.7%, $36.4B), Australia (0.7%, $32.3B), Sweden (0.5%, $25.3B), and Switzerland (0.4%, $18.7B). (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. 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 March 31, 2022, Taxable money funds held 58.0% (down from 58.7%) of their assets in securities maturing Overnight, and another 7.9% maturing in 2-7 days (up from 5.8%). Thus, 65.9% in total matures in 1-7 days. Another 8.1% matures in 8-30 days, while 8.2% matures in 31-60 days. Note that over three-quarters, or 82.2% 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 6.4% of taxable securities, while 8.3% 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.)
