For last two months we have seen huge spike in Reverse Repo Market where in the size of reverse repo is touching trillion dollars and more daily. The charts attached below gives a eagle eye view of what is happening with this liquidity:
The excess liquidity which Central Banks have created is now being parked with Fed for the need of pristine collateral. Banks are not in a position to absorb their clients’ deposits.
Some of you have posted your query regarding the participants of Reverse Repo Market. So we are disclosing you the name of those counterparties along with some Money Manager AUM and Charts of some Banks. The most interesting name in this is Credit Agricole and one Japanese Bank, Mizuho Bank. So here are the parties:
| Reverse Repo Counterparties |
| BANKS |
| Ally Bank Bank of America, N.A. Bank of Montreal (Chicago Branch) Barclays Bank PLC – New York Branch Citibank, N.A. Credit Agricole Corporate and Investment Bank Goldman Sachs Bank USA HSBC Bank USA, N.A. JPMorgan Chase Bank, N.A. Mizuho Bank, Ltd. Morgan Stanley Bank, N.A. Natixis New York Branch Royal Bank of Canada, Sumitomo Mitsui Banking Corporation, NY branch The Northern Trust Company, Wells Fargo Bank, NA |
| GOVERNMENT-SPONSORED ENTERPRISES |
| CoBank, ACB Federal Agricultural Mortgage Corporation (Farmer Mac) Federal Home Loan Bank of Atlanta Federal Home Loan Bank of Boston Federal Home Loan Bank of Chicago Federal Home Loan Bank of Cincinnati Federal Home Loan Bank of Dallas Federal Home Loan Bank of Des Moines Federal Home Loan Bank of Indianapolis Federal Home Loan Bank of New York Federal Home Loan Bank of Pittsburgh Federal Home Loan Bank of San Francisco Federal Home Loan Bank of Topeka Federal Home Loan Mortgage Corporation (Freddie Mac) Federal National Mortgage Association (Fannie Mae) |
| INVESTMENT MANAGER | MONEY MARKET FUNDS |
| Alliance Bernstein L.P. (A.U.M of $697 Billion) | AB Fixed-Income Shares, Inc. – AB Government Money Market Portfolio |
| BlackRock Advisors, LLC | BlackRock Liquidity Funds: FedFund BlackRock Liquidity Funds: T-Fund BlackRock Liquidity Funds: TempCash BlackRock Liquidity Funds: TempFund |
| BlackRock Fund Advisors | Money Market Master Portfolio Treasury Money Market Master Portfolio |
| BNY Mellon Investment Adviser, Inc. (AUM of $328 Billion) | Dreyfus Cash Management Dreyfus Government Cash Management Dreyfus Institutional Preferred Government Money Market Fund Dreyfus Treasury and Agency Liquidity Money Market Fund Dreyfus Treasury Obligations Cash Management |
| Capital Research and Management Company (AUM of $2.67 Trillion) | American Funds U.S. Government Money Market Fund Capital Group Central Fund Series, Capital Group Central Cash Fund |
| Charles Schwab Investment Management, Inc. (AUM of $7.57 Trillion) | Schwab Government Money Fund, Schwab Treasury Obligations Money Fund Schwab Value Advantage Money Fund Schwab Variable Share Price Money Fund |
| Columbia Management Investment Advisers, LLC (AUM of $359.4 Billion) | Columbia Short-Term Cash Fund, a series of Columbia Funds Series Trust II |
| Deutsche Investment Management Americas, Inc. | Government Cash Management Portfolio |
| Dimensional Fund Advisors LP (AUM of $637 Billion) | The DFA Short Term Investment Fund of The DFA Investment Trust Company |
| Federated Investment Management Company | Edward Jones Money Market Fund Federated Hermes Capital Reserves Fund Federated Hermes Government Obligations Fund Federated Hermes Government Obligations Tax-Managed Fund Federated Hermes Government Reserves Fund Federated Hermes Institutional Prime Obligations Fund Federated Hermes Institutional Prime Value Obligations Fund Federated Hermes Municipal Obligations Fund Federated Hermes Prime Cash Obligations Fund Federated Hermes Tax-Free Obligations Fund Federated Hermes Treasury Obligations Fund Federated Hermes Trust for U.S. Treasury Obligations Federated Hermes U.S. Treasury Cash Reserves |
| Fidelity Management & Research Company LLC | Fidelity Colchester Street Trust: Government Portfolio Fidelity Colchester Street Trust: Money Market Portfolio Fidelity Colchester Street Trust: Treasury Portfolio Fidelity Hereford Street Trust: Fidelity Government Money Market Fund Fidelity Hereford Street Trust: Fidelity Money Market Fund Fidelity Newbury Street Trust: Fidelity Treasury Money Market Fund Fidelity Phillips Street Trust: Fidelity Government Cash Reserves Fidelity Revere Street Trust: Fidelity Cash Central Fund Fidelity Revere Street Trust: Fidelity Securities Lending Cash Central Fund Fidelity Salem Street Trust: Fidelity Series Government Money Market Fund Variable Insurance Products Fund V: VIP Government Money Market Portfolio |
| Franklin Advisers, Inc. | The Money Market Portfolio |
| Goldman Sachs Asset Management | Goldman Sachs Financial Square Government Fund Goldman Sachs Financial Square Money Market Fund Goldman Sachs Financial Square Prime Obligations Fund Goldman Sachs Financial Square Treasury Obligations Fund Goldman Sachs Financial Square Treasury Solutions Fund |
| HSBC Global Asset Management (USA), Inc. | HSBC U.S. Government Money Market Fund |
| Invesco Advisers, Inc.(AUM of $702 Billion) | STIT Government and Agency Portfolio STIT Treasury Portfolio |
| J. P. Morgan Investment Management Inc. | JPMorgan Liquid Assets Money Market Fund JPMorgan Prime Money Market Fund JPMorgan Tax Free Money Market Fund JPMorgan U.S. Government Money Market Fund JPMorgan U.S. Treasury Plus Money Market Fund |
| Legg Mason Partners Fund Advisor, LLC (AUM of $730 Billion) | Western Asset/Government Portfolio Western Asset/Liquid Reserves Portfolio Western Asset/U.S. Treasury Reserves Portfolio |
| Morgan Stanley Investment Management, Inc. | Morgan Stanley Institutional Liquidity Funds Government Portfolio Morgan Stanley Institutional Liquidity Funds Government Securities Portfolio Morgan Stanley Institutional Liquidity Funds Prime Portfolio Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio |
| Northern Trust Investments, Inc. (AUM of $1.5 Trillion) | NTAM Treasury Assets Fund Northern Funds – U.S. Government Money Market Fund Northern Funds – U.S. Government Select Money Market Fund Northern Institutional Funds – Government Portfolio Northern Institutional Funds – Government Select Portfolio Northern Institutional Funds – Treasury Portfolio |
| RBC Global Asset Management (U.S.) Inc. (AUM of $667 Billion) | RBC Funds Trust, U.S. Government Money Market Fund |
| SSA Funds Management, Inc. (AUM of $3.9 Trillion) | Institutional Liquid Reserve Portfolio Institutional US Gov. Money Market Fund, a series of the State Street Master Funds State Street Navigator Securities Lending Government Money Market Portfolio State Street Treasury Plus Money Market Portfolio |
| T. Rowe Price Associates, Inc. (AUM of $187.7 Billion) | T. Rowe Price Government Money Fund, Inc. T. Rowe Price Government Reserve Fund T. Rowe Price Treasury Reserve Fund T. Rowe Price U.S. Treasury Money Fund |
| UBS Asset Management (Americas) Inc. | Government Master Fund Limited Purpose Cash Investment Fund Prime Master Fund Treasury Master Fund |
| U.S. Bancorp Asset Management, Inc. | First American Government Obligations Fund First American Treasury Obligations Fund |
| The Vanguard Group, Inc. | Vanguard Admiral Funds – Vanguard Treasury Money Market Fund Vanguard CMT Funds – Vanguard Market Liquidity Fund Vanguard Money Market Reserves – Vanguard Cash Reserves Federal Money Market Fund Vanguard Money Market Reserves – Vanguard Federal Money Market Fund |
| Wells Fargo Funds Management (AUM of $234 Billion) | Wells Fargo Government Money Market Fund Wells Fargo Heritage Money Market Fund Wells Fargo Money Market Fund Wells Fargo Treasury Plus Money Market Fund |
| Wilmington Funds Management Corp. | Wilmington U.S. Government Money Market Fund |
Note: In simple terms if anyone wants to determine the holding i.e. AUM then just type name of Fund along with 13 F filing and you will get latest AUM.
At the end we will leave it to our viewers to analyse things more, as increasing reverse repo is not a normal thing for economy.
Source: https://www.newyorkfed.org/markets/rrp_counterparties
- By Nishant Maheshwari, Vishal Vora
Disclaimer: This is for information purpose only
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