Crane Data's September Money Fund Portfolio Holdings, with data as of Aug. 31, 2022, show Repo (led by Fed repo) increasing yet again while Treasuries continued a deep 7-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $20.8 billion to $4.918 trillion in August, after increasing $116.1 billion in July, but decreasing $2.6 billion in June, $58.4 billion in May and $55.2 billion in April. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York, which surpassed the U.S. Treasury as the largest "Issuer" three months ago, saw RRP issuance to MMFs dip slightly to $2.060 trillion, its first decline in 6 months. 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: There's just 2 weeks to go until our European Money Fund Symposium, which is in Paris Sept. 27-28. We look forward to seeing you in France!)

Among taxable money funds, Repurchase Agreements (repo) increased $23.1 billion (0.9%) to $2.642 trillion, or 53.7% of holdings, in August, after increasing $88.7 billion in July, $128.6 billion in June and $52.5 billion in May. Repo decreased $9.9 billion in April but increased $100.9 billion in March. Treasury securities fell $82.6 billion (-5.8%) to $1.338 trillion, or 27.2% of holdings, after decreasing $33.2 billion in July, $72.5 billion in June, $145.4 billion in May, $78.6 billion in April and $79.2 billion in March. Government Agency Debt was up $11.3 billion, or 2.6%, to $442.1 billion, or 9.0% of holdings, after increasing $24.5 billion in July, decreasing $14.6 billion in June, increasing $35.1 billion in May, and decreasing $1.0 billion in April. Repo, Treasuries and Agency holdings now total $4.423 trillion, representing a massive 89.9% of all taxable holdings.

Money fund holdings of CP and CDs rose in August. Commercial Paper (CP) increased $15.4 billion (6.8%) to $243.4 billion, or 4.9% of holdings, after increasing $15.3 billion in July, decreasing $17.3 billion in June, increasing $5.8 billion in May and decreasing $0.1 billion in April. Certificates of Deposit (CDs) increased $13.4 billion (11.0%) to $135.4 billion, or 2.8% of taxable assets, after increasing $3.6 billion in July, decreasing $1.0 billion in June, but increasing $3.4 billion in May and $7.3 billion in April. Other holdings, primarily Time Deposits, decreased $1.8 billion (-1.7%) to $106.9 billion, or 2.2% of holdings, after increasing $17.3 billion in July, decreasing $21.1 billion in June and $4.7 billion in May, but increasing $28.2 billion in April. VRDNs rose to $10.2 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Tuesday around noon.)

Prime money fund assets tracked by Crane Data jumped to $939 billion, or 19.1% of taxable money funds' $4.918 trillion total. Among Prime money funds, CDs represent 14.4% (up from 13.5% a month ago), while Commercial Paper accounted for 26.0% (up from 25.4% in June). The CP totals are comprised of: Financial Company CP, which makes up 17.1% of total holdings, Asset-Backed CP, which accounts for 3.8%, and Non-Financial Company CP, which makes up 5.1%. Prime funds also hold 6.3% in US Govt Agency Debt, 5.2% in US Treasury Debt, 29.2% in US Treasury Repo, 0.3% in Other Instruments, 9.1% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 2.2% in US Government Agency Repo and 0.6% in VRDNs.

Government money fund portfolios totaled $2.769 trillion (56.3% of all MMF assets), down from $2.781 trillion in July, while Treasury money fund assets totaled another $1.210 trillion (24.6%), down from $1.257 trillion the prior month. Government money fund portfolios were made up of 13.8% US Govt Agency Debt, 9.0% US Government Agency Repo, 20.0% US Treasury Debt, 56.8% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 60.8% US Treasury Debt and 38.9% in US Treasury Repo. Government and Treasury funds combined now total $3.979 trillion, or 80.9% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $30.2 billion in August to $428.0 billion; their share of holdings rose to 8.7% from last month's 8.1%. Eurozone-affiliated holdings increased to $293.3 billion from last month's $278.9 billion; they account for 6.0% of overall taxable money fund holdings. Asia & Pacific related holdings jumped higher to $191.3 billion (3.9% of the total) from last month's $176.6 billion. Americas related holdings fell to $4.294 trillion from last month's $4.360 trillion, and now represent 87.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $5.1 billion, or 0.2%, to $2.317 trillion, or 47.1% of assets); US Government Agency Repurchase Agreements (up $18.6 billion, or 7.4%, to $271.5 billion, or 5.5% of total holdings), and Other Repurchase Agreements (down $0.5 billion, or -1.0%, from last month to $53.7 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $7.7 billion to $160.5 billion, or 3.3% of assets), Asset Backed Commercial Paper (up $6.8 billion to $35.3 billion, or 0.7%), and Non-Financial Company Commercial Paper (up $1.0 billion to $47.5 billion, or 1.0%).

The 20 largest Issuers to taxable money market funds as of Aug. 31, 2022, include: the Federal Reserve Bank of New York ($2.060T, 41.9%), the US Treasury ($1.339 trillion, or 27.2%), Federal Home Loan Bank ($335.3B, 6.8%), Federal Farm Credit Bank ($95.3B, 1.9%), BNP Paribas ($81.3B, 1.7%), RBC ($76.1B, 1.5%), Fixed Income Clearing Corp ($52.7B, 1.1%), JP Morgan ($49.2B, 1.0%), Sumitomo Mitsui Banking Co ($45.6B, 0.9%), Barclays ($40.6B, 0.8%), Mitsubishi UFJ Financial Group Inc ($39.2B, 0.8%), Citi ($37.2B, 0.8%), Credit Agricole ($33.3B, 0.7%), Bank of America ($32.9B, 0.7%), Toronto-Dominion Bank ($29.0B, 0.6%), Mizuho Corporate Bank Ltd ($25.7B, 0.5%), Bank of Montreal ($23.6B, 0.5%), Societe Generale ($22.7B, 0.5%), Goldman Sachs ($22.3B, 0.5%) and Canadian Imperial Bank of Commerce ($22.2B, 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 ($2.060T, 78.0%), BNP Paribas ($74.3B, 2.8%), RBC ($56.5B, 2.1%), Fixed Income Clearing Corp ($52.7B, 2.0%), JP Morgan ($42.3B, 1.6%), Sumitomo Mitsui Banking Corp ($31.9B, 1.2%), Bank of America ($29.4B, 1.1%), Citi ($27.0B, 1.0%), Barclays PLC ($25.6B, 1.0%) and Nomura ($20.7B, 0.8%). The largest users of the $2.060 trillion in Fed RRP include: Vanguard Federal Money Mkt Fund ($132.3B), Fidelity Govt Money Market ($124.8B), Fidelity Govt Cash Reserves ($110.8B), Goldman Sachs FS Govt ($109.5B), JPMorgan US Govt MM ($109.2B), Federated Hermes Govt Obl ($84.5B), Morgan Stanley Inst Liq Govt ($82.3B), State Street Inst US Govt ($71.0B), Fidelity Inv MM: Govt Port ($68.7B) and BlackRock Lq FedFund ($66.2B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($20.3B, 5.0%), RBC ($19.6B, 4.8%), Mitsubishi UFJ Financial Group Inc ($19.0B, 4.6%), Mizuho Corporate Bank Ltd ($18.4B, 4.5%), Toronto-Dominion Bank ($17.8B, 4.3%), Skandinaviska Enskilda Banken AB ($16.6B, 4.1%), Barclays PLC ($15.0B, 3.7%), Bank of Nova Scotia ($13.7B, 3.4%), Sumitomo Mitsui Banking Corp ($13.7B, 3.4%) and Svenska Handelsbanken ($12.0B, 2.9%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($14.8B, 10.9%), Sumitomo Mitsui Banking Corp ($11.5B, 8.5%), Credit Agricole ($9.7B, 7.2%), Canadian Imperial Bank of Commerce ($8.4B, 6.2%), Toronto-Dominion Bank ($7.9B, 5.8%), Bank of Nova Scotia ($7.7B, 5.7%), Sumitomo Mitsui Trust Bank ($6.9B, 5.1%), Citi ($6.0B, 4.5%), Mizuho Corporate Bank Ltd ($4.9B, 3.6%) and Barclays PLC ($4.8B, 3.5%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($12.9B, 6.5%), Toronto-Dominion Bank ($9.2B, 4.7%), Bank of Montreal ($7.1B, 3.6%), JP Morgan ($6.9B, 3.5%), National Australia Bank Ltd ($6.8B, 3.5%), BNP Paribas ($6.3B, 3.2%), Barclays PLC ($6.1B, 3.1%), Bank of Nova Scotia ($6.0B, 3.0%), Societe Generale ($5.6B, 2.8%) and BayernLB ($5.3B, 2.7%).

The largest increases among Issuers include: Federal Home Loan Bank (up $24.7B to $335.3B), JP Morgan (up $9.8B to $49.2B), Barclays PLC (up $9.3B to $40.6B), Fixed Income Clearing Corp (up $6.8B to $52.7B), Mitsubishi UFJ Financial Group Inc (up $6.5B to $39.2B), Societe Generale (up $5.9B to $22.7B), RBC (up $5.7B to $76.1B), Nomura (up $4.4B to $20.7B), Goldman Sachs (up $3.2B to $22.3B) and Lloyds Banking Group (up $2.5B to $7.5B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: the US Treasury (down $81.7B to $1.339T), Federal Reserve Bank of New York (down $27.7B to $2.060T), Federal Farm Credit Bank (down $9.6B to $95.3B), Federal Home Loan Mortgage Corp (down $4.1B to $6.4B), Bank of America (down $1.1B to $32.9B), Credit Agricole (down $1.0B to $33.3B), Australia & New Zealand Banking Group Ltd (down $0.9B to $11.7B), Bank of Montreal (down $0.5B to $23.6B), Mizuho Corporate Bank Ltd (down $0.4B to $25.7B) and Nordea Bank (down $0.3B to $6.0B).

The United States remained the largest segment of country-affiliations; it represents 83.5% of holdings, or $4.109 trillion. Canada (3.8%, $185.3B) was in second place, while France (3.4%, $167.6B) was No. 3. Japan (3.4%, $165.2B) occupied fourth place. The United Kingdom (1.5%, $72.1B) remained in fifth place. Netherlands (0.9%, $44.2B) was in sixth place, followed by Sweden (0.9%, $42.2B) Germany (0.7%, $35.9B), Australia (0.6%, $30.8B) and Spain (0.3%, $13.4B). (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 Aug. 31, 2022, Taxable money funds held 66.6% (up from 64.9%) of their assets in securities maturing Overnight, and another 6.2% maturing in 2-7 days (down from 7.0%). Thus, 72.8% in total matures in 1-7 days. Another 8.4% matures in 8-30 days, while 6.4% matures in 31-60 days. Note that over three-quarters, or 87.5% 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 5.2% of taxable securities, while 5.6% matures in 91-180 days, and just 1.8% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

Email This Article

Use a comma or a semicolon to separate

captcha image

Money Market News Archive