Crane Data's May Money Fund Portfolio Holdings, with data as of April 30, 2022, show that Treasuries plunged again last month while Other (mostly Time Deposits) jumped. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $55.2 billion to $4.884 trillion in April, after decreasing $40.9 billion in March, increasing $2.9 billion in February and 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. (Though overall Repo fell, MMF holdings of Fed repo inched higher to $1.662 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: For those planning on attending our upcoming Money Fund Symposium conference, which is June 20-22 in Minneapolis, Minn, make your hotel reservations soon!)
Among taxable money funds, Repurchase Agreements (repo) decreased $9.9 billion (-0.4%) to $2.350 trillion, or 48.1% of holdings, in April, after increasing $100.9 billion in March and $10.7 billion in February. Repo decreased $234.4 billion in January, but increased $228.0 billion in December and $113.6 billion in November. Treasury securities fell $78.6 billion (-4.5%) to $1.672 trillion, or 34.2% of holdings, after decreasing $79.2 billion in March and $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 $1.0 billion, or -0.3%, to $385.8 billion, or 7.9% of holdings, after decreasing $4.3 billion in March, increasing $1.5 billion in February and decreasing $6.9 billion in January. Repo, Treasuries and Agency holdings totaled $4.407 trillion, representing a massive 90.2% of all taxable holdings.
Money fund holdings of Other (mainly Time Deposits) and CDs jumped in April, while CP holdings inched lower. Commercial Paper (CP) decreased $0.1 billion (-0.1%) to $224.2 billion, or 4.6% of holdings, after decreasing $7.2 billion in March but increasing $2.9 billion in February and $11.8 billion in January. Certificates of Deposit (CDs) increased $7.3 billion (6.7%) to $116.1 billion, or 2.4% of taxable assets, after decreasing $5.7 billion in March and $6.9 billion in February (but increasing $12.6 billion in January). Other holdings, primarily Time Deposits, increased $28.2 billion (31.7%) to $117.1 billion, or 2.4% of holdings, after decreasing $47.4 billion in March but increasing $9.5 billion in February and $69.0 billion in January. VRDNs fell to $19.8 billion, or 0.4% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday afternoon.)
Prime money fund assets tracked by Crane Data fell to $819 billion, or 16.8% of taxable money funds' $4.884 trillion total. Among Prime money funds, CDs represent 14.2% (up from 13.0% a month ago), while Commercial Paper accounted for 27.4% (up from 26.9% in March). The CP totals are comprised of: Financial Company CP, which makes up 18.4% of total holdings, Asset-Backed CP, which accounts for 3.7%, and Non-Financial Company CP, which makes up 5.3%. Prime funds also hold 4.8% in US Govt Agency Debt, 10.0% in US Treasury Debt, 20.4% in US Treasury Repo, 2.0% in Other Instruments, 11.7% in Non-Negotiable Time Deposits, 6.0% in Other Repo, 2.0% in US Government Agency Repo and 1.1% in VRDNs.
Government money fund portfolios totaled $2.808 trillion (57.5% of all MMF assets), down from $2.871 trillion in March, while Treasury money fund assets totaled another $1.257 trillion (25.7%), up from $1.234 trillion the prior month. Government money fund portfolios were made up of 12.3% US Govt Agency Debt, 9.5% US Government Agency Repo, 26.0% US Treasury Debt, 51.7% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 68.3% US Treasury Debt and 31.6% in US Treasury Repo. Government and Treasury funds combined now total $4.065 trillion, or 83.2% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $52.9 billion in April to $491.5 billion; their share of holdings rose to 10.1% from last month's 8.9%. Eurozone-affiliated holdings increased to $330.8 billion from last month's $317.1 billion; they account for 6.8% of overall taxable money fund holdings. Asia & Pacific related holdings inched higher to $195.3 billion (4.0% of the total) from last month's $192.5 billion. Americas related holdings fell to $4.193 trillion from last month's $4.304 trillion, and now represent 85.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $25.4 billion, or 1.3%, to $2.018 trillion, or 41.3% of assets); US Government Agency Repurchase Agreements (down $36.0 billion, or -11.3%, to $282.7 billion, or 5.8% of total holdings), and Other Repurchase Agreements (up $0.7 billion, or 1.4%, from last month to $49.1 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.9 billion to $150.8 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $1.1 billion to $30.0 billion, or 0.6%), and Non-Financial Company Commercial Paper (up $2.9 billion to $43.3 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of April 30, 2022, include: the US Treasury ($1,671.6 trillion, or 34.2%), Federal Reserve Bank of New York ($1.662T, 34.0%), Federal Home Loan Bank ($230.6B, 4.7%), Federal Farm Credit Bank ($104.3B, 2.1%), BNP Paribas ($102.2B, 2.1%), RBC ($81.4B, 1.7%), Fixed Income Clearing Corp ($66.4B, 1.4%), Sumitomo Mitsui Banking Co ($53.4B, 1.1%), Barclays ($44.0B, 0.9%), JP Morgan ($43.7B, 0.9%), Mitsubishi UFJ Financial Group Inc ($40.5B, 0.8%), Societe Generale ($36.3B, 0.7%), Citi ($35.9B, 0.7%), Credit Agricole ($35.3B, 0.7%), Bank of America ($34.9B, 0.7%), Goldman Sachs ($27.9B, 0.6%), Toronto-Dominion Bank ($26.9B, 0.6%), Federal National Mortgage Association ($25.8B, 0.5%), Canadian Imperial Bank of Commerce ($24.9B, 0.5%) and Bank of Montreal ($24.7B, 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 ($1.662T, 70.7%), BNP Paribas ($92.0B, 3.9%), Fixed Income Clearing Corp ($66.4B, 2.8%), RBC ($66.2B, 2.8%), Sumitomo Mitsui Banking Corp ($42.8B, 1.8%), JP Morgan ($39.6B, 1.7%), Bank of America ($33.1B, 1.4%), Citi ($32.6B, 1.4%), Societe Generale ($30.3B, 1.3%) and Mitsubishi UFJ Financial Group Inc ($28.2B, 1.2%). The largest users of the $1.651 trillion in Fed RRP include: Fidelity Govt Money Market ($125.6B), JPMorgan US Govt MM ($127.8B), Vanguard Federal Money Mkt Fund ($116.4B), Goldman Sachs FS Govt ($111.7B), Fidelity Govt Cash Reserves ($111.1B), Morgan Stanley Inst Liq Govt ( $77.7B), BlackRock Lq FedFund ($73.6B), Dreyfus Govt Cash Mgmt ($58.8B), Federated Hermes Govt ObI ($57.0B) and Fidelity Inv MM: Govt Port ($53.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($18.2B, 4.7%), Barclays PLC ($17.1B, 4.4%), Toronto-Dominion Bank ($15.5B, 4.0%), RBC ($15.2B, 3.9%), Skandinaviska Enskilda Banken AB ($15.0B, 3.8%), Bank of Montreal ($13.2B, 3.4%), Bank of Nova Scotia ($13.2B, 3.4%), Mizuho Corporate Bank Ltd ($13.0B, 3.3%), Svenska Handelsbanken ($12.4B, 3.2%) and Mitsubishi UFJ Financial Group Inc ($12.3B, 3.2%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($9.1B, 7.8%), Sumitomo Mitsui Banking Corp ($8.3B, 7.2%), Canadian Imperial Bank of Commerce ($7.9B, 6.8%), Landesbank Baden-Wurttemberg ($7.5B, 6.5%), Sumitomo Mitsui Trust Bank ($6.7B, 5.8%), Bank of Nova Scotia ($6.5B, 5.6%), Toronto-Dominion Bank ($6.4B, 5.5%), Barclays PLC ($6.3B, 5.4%), Svenska Handelsbanken ($5.3B, 4.5%) and Bank of Montreal ($5.2B, 4.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($10.8B, 5.8%), BNP Paribas ($7.9B, 4.2%), Toronto-Dominion Bank ($7.6B, 4.1%), Bank of Montreal ($7.4B, 4.0%), UBS AG ($7.2B, 3.9%), National Australia Bank Ltd ($6.7B, 3.6%), Bank of Nova Scotia ($6.7B, 3.6%), Societe Generale ($6.0B, 3.3%), Bayern LB ($5.8B, 3.1%) and Credit Agricole ($5.1B, 2.8%).
The largest increases among Issuers include: Barclays PLC (up $16.9B to $44.0B), Credit Agricole (up $12.5B to $35.3B), Federal Reserve Bank of New York (up $11.7B to $1.662T), Federal Home Loan Bank (up $10.5B to $230.6B), Swedbank AB (up $6.4B to $7.7B), Goldman Sachs (up $6.1B to $27.9B), Svenska Handelsbanken (up $5.4B to $12.4B), Skandinaviska Enskilda Banken AB (up $5.1B to $15.0B), Nordea Bank (up $4.4B to $10.8B) and JP Morgan (up $2.8B to $43.7B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: the US Treasury (down $78.6B to $1.672), Fixed Income Clearing Corp (down $28.7B to $66.4B), Federal National Mortgage Association (down $9.9B to $25.8B), RBC (down $9.8B to $81.4B), Bank of America (down $4.9B to $34.9B), Toronto-Dominion Bank (down $3.9B to $26.9B), Bank of Montreal (down $2.6B to $24.7B), Canadian Imperial Bank of Commerce (down $2.5B to $24.9B), Federal Home Loan Mortgage Corp (down $2.5B to $22.5B) and Mitsubishi UFJ Financial Group Inc (down $2.0B to $40.5B).
The United States remained the largest segment of country-affiliations; it represents 82.0% of holdings, or $4.005 trillion. France (4.1%, $201.4B) was in second place, while Canada (3.9%, $188.2B) was No. 3. Japan (3.6%, $177.3B) occupied fourth place. The United Kingdom (1.8%, $86.2B) remained in fifth place. Netherlands (1.0%, $46.9B) was in sixth place, followed by Sweden (1.0%, $46.5B) Germany (0.8%, $39.8B), Australia (0.7%, $33.4B) and Switzerland (0.4%, $19.2B). (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 April 30, 2022, Taxable money funds held 58.5% (up from 58.0%) of their assets in securities maturing Overnight, and another 10.3% maturing in 2-7 days (up from 7.9%). Thus, 68.8% in total matures in 1-7 days. Another 6.8% matures in 8-30 days, while 8.7% matures in 31-60 days. Note that over three-quarters, or 84.4% 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 5.2% of taxable securities, while 7.9% matures in 91-180 days, and just 2.6% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
