Crane Data's June Money Fund Portfolio Holdings, with data as of May 31, 2022, show that Treasuries plunged again last month while Repo (especially Fed repo) jumped once more. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $58.4 billion to $4.826 trillion in May, after decreasing $55.2 billion in April and decreasing $40.9 billion in March. Assets increased $2.9 billion in February but decreased $108.3 billion in January. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York surpassed the U.S. Treasury as the largest "Issuer" to money market funds for the first time ever. 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. (Note: Last call for our Money Fund Symposium conference, June 20-22 in Minneapolis, Minn!)
Among taxable money funds, Repurchase Agreements (repo) increased $52.5 billion (2.2%) to $2.402 trillion, or 49.8% of holdings, in May, after decreasing $9.9 billion in April, but increasing $100.9 billion in March. Treasury securities fell $145.4 billion (-8.7%) to $1.526 trillion, or 31.6% of holdings, after decreasing $78.6 billion in April, $79.2 billion in March and $17.0 billion in February. Government Agency Debt was up $35.1 billion, or 9.1%, to $420.9 billion, or 8.7% of holdings, after decreasing $1.0 billion in April and $4.3 billion in March. Repo, Treasuries and Agency holdings totaled $4.349 trillion, representing a massive 90.1% of all taxable holdings.
Money fund holdings of CP and CDs rose in May, while Other (mainly Time Deposits) inched lower. Commercial Paper (CP) increased $5.8 billion (2.6%) to $229.9 billion, or 4.8% of holdings, after decreasing $0.1 billion in April and $7.2 billion in March. Certificates of Deposit (CDs) increased $3.4 billion (2.9%) to $119.5 billion, or 2.5% of taxable assets, after increasing $7.3 billion in April but decreasing $5.7 billion in March. Other holdings, primarily Time Deposits, decreased $4.7 billion (-4.0%) to $112.4 billion, or 2.3% of holdings, after increasing $28.2 billion in April and decreasing $47.4 billion in March. VRDNs fell to $14.7 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Friday around noon.)
Prime money fund assets tracked by Crane Data jumped to $836 billion, or 17.3% of taxable money funds' $4.826 trillion total. Among Prime money funds, CDs represent 14.3% (up from 14.2% a month ago), while Commercial Paper accounted for 27.5% (up from 27.4% in April). The CP totals are comprised of: Financial Company CP, which makes up 18.6% of total holdings, Asset-Backed CP, which accounts for 3.5%, and Non-Financial Company CP, which makes up 5.4%. Prime funds also hold 5.4% in US Govt Agency Debt, 7.6% in US Treasury Debt, 23.3% in US Treasury Repo, 0.3% in Other Instruments, 10.9% in Non-Negotiable Time Deposits, 5.6% in Other Repo, 2.3% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $2.790 trillion (57.8% of all MMF assets), down from $2.808 trillion in April, while Treasury money fund assets totaled another $1.199 trillion (24.8%), down from $1.257 trillion the prior month. Government money fund portfolios were made up of 13.5% US Govt Agency Debt, 10.0% US Government Agency Repo, 24.2% US Treasury Debt, 52.0% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 65.6% US Treasury Debt and 34.2% in US Treasury Repo. Government and Treasury funds combined now total $3.989 trillion, or 82.7% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $34.7 billion in May to $456.8 billion; their share of holdings dropped to 9.5% from last month's 10.1%. Eurozone-affiliated holdings decreased to $314.3 billion from last month's $330.8 billion; they account for 6.5% of overall taxable money fund holdings. Asia & Pacific related holdings inched lower to $192.2 billion (4.0% of the total) from last month's $195.3 billion. Americas related holdings fell to $4.172 trillion from last month's $4.193 trillion, and now represent 86.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $37.6 billion, or 1.9%, to $2.055 trillion, or 42.6% of assets); US Government Agency Repurchase Agreements (up $14.1 billion, or 5.0%, to $296.9 billion, or 6.2% of total holdings), and Other Repurchase Agreements (up $0.8 billion, or 1.6%, from last month to $49.9 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $4.9 billion to $155.7 billion, or 3.2% of assets), Asset Backed Commercial Paper (down $0.9 billion to $29.2 billion, or 0.6%), and Non-Financial Company Commercial Paper (up $1.7 billion to $45.1 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of May 31, 2022, include: the Federal Reserve Bank of New York ($1.744T, 36.1%), the US Treasury ($1.526 trillion, or 31.6%), Federal Home Loan Bank ($283.2B, 5.9%), Federal Farm Credit Bank ($104.0B, 2.2%), BNP Paribas ($95.1B, 2.0%), Fixed Income Clearing Corp ($86.8B, 1.8%), RBC ($70.7B, 1.5%), Sumitomo Mitsui Banking Co ($52.8B, 1.1%), JP Morgan ($48.6B, 1.0%), Mitsubishi UFJ Financial Group Inc ($39.7B, 0.8%), Barclays ($37.3B, 0.8%), Citi ($35.8B, 0.7%), Bank of America ($34.0B, 0.7%), Credit Agricole ($32.2B, 0.7%), Toronto-Dominion Bank ($27.3B, 0.6%), Goldman Sachs ($25.1B, 0.5%), Societe Generale ($24.6B, 0.5%), Bank of Montreal ($24.4B, 0.5%), Canadian Imperial Bank of Commerce ($23.9B, 0.5%) and Mizuho Corporate Bank Ltd ($23.3B, 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 ($1.744T, 72.6%), Fixed Income Clearing Corp ($86.8B, 3.6%), BNP Paribas ($85.6B, 3.6%), RBC ($57.0B, 2.4%), JP Morgan ($42.4B, 1.8%), Sumitomo Mitsui Banking Corp ($41.7B, 1.7%), Citi ($31.8B, 1.3%), Bank of America ($30.7B, 1.3%), Mitsubishi UFJ Financial Group Inc ($27.3B, 1.1%) and Goldman Sachs ($21.5B, 0.9%). The largest users of the $1.744 trillion in Fed RRP include: Fidelity Govt Money Market ($126.3B), JPMorgan US Govt MM ($125.5B), Fidelity Govt Cash Reserves ($114.7B), Vanguard Federal Money Mkt Fund ($114.6B), Goldman Sachs FS Govt ($105.3B), Morgan Stanley Inst Liq Govt ($91.7B), BlackRock Lq FedFund ($74.1B), Dreyfus Govt Cash Mgmt ($59.5B), Fidelity Inv MM: Govt Port ($56.8B) and Federated Hermes Govt ObI ($56.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($17.9B, 4.6%), Barclays PLC ($16.8B, 4.3%), Toronto-Dominion Bank ($16.2B, 4.1%), Mizuho Corporate Bank Ltd ($15.3B, 3.9%), Skandinaviska Enskilda Banken AB ($14.2B, 3.6%), RBC ($13.7B, 3.5%), Rabobank ($13.3B, 3.4%), Bank of Nova Scotia ($13.1B, 3.3%), Bank of Montreal ($12.9B, 3.3%) and Svenska Handelsbanken ($12.9B, 3.3%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($9.0B, 7.5%), Sumitomo Mitsui Banking Corp ($9.0B, 7.5%), Canadian Imperial Bank of Commerce ($8.1B, 6.7%), Landesbank Baden-Wurttemberg ($7.7B, 6.4%), Credit Agricole ($7.6B, 6.3%), Toronto-Dominion Bank ($7.0B, 5.8%), Sumitomo Mitsui Trust Bank ($6.8B, 5.7%), Bank of Nova Scotia ($6.7B, 5.6%), Barclays PLC ($6.2B, 5.2%) and Bank of Montreal ($4.5B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($10.5B, 5.5%), Toronto-Dominion Bank ($8.5B, 4.5%), Bank of Montreal ($7.8B, 4.1%), BNP Paribas ($7.1B, 3.7%), National Australia Bank Ltd ($6.9B, 3.7%), Bank of Nova Scotia ($6.3B, 3.3%), JP Morgan ($6.2B, 3.3%), Australia & New Zealand Banking Group Ltd ($5.7B, 3.0%), UBS AG ($5.6B, 2.9%) and Caisse d'Amortissement de la Dette Sociale ($5.4B, 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $81.5B to $1.744T), Federal Home Loan Bank (up $52.6B to $283.2B), Fixed Income Clearing Corp (up $20.4B to $86.8B), JP Morgan (up $4.9B to $48.6B), Mizuho Corporate Bank Ltd (up $2.4B to $23.3B), Rabobank (up $2.2B to $13.3B), BayernLB (up $1.0B to $8.2B), ING Bank (up $1.0B to $19.1B), Deutsche Bank AG (up $0.9B to $7.7B) and Banco Santander (up $0.7B to $9.8B).
The largest decreases among Issuers of money market securities (including Repo) in May were shown by: the US Treasury (down $145.4B to $1.526), Federal National Mortgage Association (down $13.1B to $12.7B), Societe Generale (down $11.7B to $24.6B), RBC (down $10.6B to $70.7B), BNP Paribas (down $7.0B to $95.1B), Barclays PLC (down $6.7B to $37.3B), Federal Home Loan Mortgage Corp (down $4.1B to $18.4B), Credit Agricole (down $3.1B to $32.2B), Norinchukin Bank (down $2.8B to $10.2B) and Goldman Sachs (down $2.7B to $25.1B).
The United States remained the largest segment of country-affiliations; it represents 82.8% of holdings, or $3.993 trillion. France (3.7%, $180.1B) was in second place, while Canada (3.7%, $178.7B) was No. 3. Japan (3.6%, $173.2B) occupied fourth place. The United Kingdom (1.6%, $76.2B) remained in fifth place. Netherlands (1.0%, $49.4B) was in sixth place, followed by Sweden (0.9%, $41.6B) Germany (0.8%, $40.6B), Australia (0.7%, $34.3B) and Switzerland (0.4%, $16.7B). (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 May 31, 2022, Taxable money funds held 62.4% (up from 58.5%) of their assets in securities maturing Overnight, and another 6.8% maturing in 2-7 days (down from 10.3%). Thus, 69.2% in total matures in 1-7 days. Another 8.1% matures in 8-30 days, while 6.2% matures in 31-60 days. Note that over three-quarters, or 83.5% 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 4.6% of taxable securities, while 9.0% matures in 91-180 days, and just 2.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
