Crane Data's October Money Fund Portfolio Holdings, with data as of Sept. 30, 2023, show that Treasury holdings surged in September while Repo and Time Deposits fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $56.1 billion to a record $5.975 trillion, after increasing $106.7 billion in August, $78.3 billion in July and $46.1 billion in June. Repo fell again, dropping $84 billion, but it remains the largest portfolio segment. Treasuries jumped by over $160 billion, ranking in the No. 2 spot. The U.S. Treasury surpassed the Federal Reserve Bank of New York as the largest Issuer to MMFs the month prior, in September that trend continued as the U.S. Treasury jumped to $1.751 trillion vs. the Fed RRP's $1.478 trillion (down $82.1 billion). 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) decreased $84.0 billion (-2.8%) to $2.921 trillion, or 48.9% of holdings, in September, after decreasing $96.8 billion in August, $99.4 billion in July and $146.4 billion in June. Repo increased $111.8 billion in May and $33.1 billion in April. Treasury securities rose $164.9 billion (10.4%) to $1.751 trillion, or 29.3% of holdings, after increasing $163.3 billion in August, $185.5 billion in July and $355.7 billion in June. They decreased $116.9 billion in May and $32.3 billion in April. Government Agency Debt was down $8.3 billion, or -1.2%, to $675.5 billion, or 11.3% of holdings. Agencies increased $16.4 billion in August, but decreased $66.5 billion in July and $119.3 billion in June. They increased $58.8 billion in May and $18.5 billion in April. Repo, Treasuries and Agency holdings now total $5.347 trillion, representing a massive 89.5% of all taxable holdings.
Money fund holdings of CP and CDs both increased in September, but Time Deposits dropped. Commercial Paper (CP) increased $3.0 billion (1.1%) to $283.2 billion, or 4.7% of holdings. CP holdings increased $4.8 billion in August, $22.0 billion in July, decreased $2.3 billion in June and increased $6.5 billion in May. Certificates of Deposit (CDs) increased $0.5 billion (0.2%) to $203.0 billion, or 3.4% of taxable assets. CDs increased $14.4 billion in August, $7.2 billion in July, $7.9 billion in June and $2.1 billion in May. Other holdings, primarily Time Deposits, decreased $20.4 billion (-13.5%) to $130.8 billion, or 2.2% of holdings, after increasing $4.3 billion in August and $29.3 billion in July. TDs decreased $49.8 billion in June and increased $30.4 billion in May. VRDNs rose to $10.6 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Thursday around noon.)
Prime money fund assets tracked by Crane Data rose to $1.244 trillion, or 20.8% of taxable money funds' $5.975 trillion total. Among Prime money funds, CDs represent 16.3% (unchanged from a month ago), while Commercial Paper accounted for 22.7% (unchanged from 22.7% in August). The CP totals are comprised of: Financial Company CP, which makes up 15.0% of total holdings, Asset-Backed CP, which accounts for 4.7%, and Non-Financial Company CP, which makes up 3.0%. Prime funds also hold 4.4% in US Govt Agency Debt, 8.1% in US Treasury Debt, 24.6% in US Treasury Repo, 0.6% in Other Instruments, 8.0% in Non-Negotiable Time Deposits, 5.5% in Other Repo, 7.4% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.126 trillion (52.3% of all MMF assets), up from $3.124 trillion in August, while Treasury money fund assets totaled another $1.605 trillion (26.9%), up from $1.557 trillion the prior month. Government money fund portfolios were made up of 19.8% US Govt Agency Debt, 17.6% US Government Agency Repo, 22.6% US Treasury Debt, 39.7% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 58.7% US Treasury Debt and 41.3% in US Treasury Repo. Government and Treasury funds combined now total $4.731 trillion, or 79.1% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $89.4 billion in September to $590.9 billion; their share of holdings fell to 9.9% from last month's 11.5%. Eurozone-affiliated holdings decreased to $417.0 billion from last month's $456.6 billion; they account for 7.0% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $261.6 billion (4.4% of the total) from last month's $253.5 billion. Americas related holdings rose to $5.113 trillion from last month's $4.975 trillion, and now represent 85.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $106.6 billion, or -4.6%, to $2.212 trillion, or 37.0% of assets); US Government Agency Repurchase Agreements (up $19.7 billion, or 3.2%, to $641.3 billion, or 10.7% of total holdings), and Other Repurchase Agreements (up $2.9 billion, or 4.5%, from last month to $68.0 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.5 billion to $186.8 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $1.0 billion to $58.7 billion, or 1.0%), and Non-Financial Company Commercial Paper (down $1.5 billion to $37.7 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of September 30, 2023, include: the US Treasury ($1.751T, 29.3%), the Federal Reserve Bank of New York ($1.478 trillion, or 24.7%), Federal Home Loan Bank ($548.4B, 9.2%), Fixed Income Clearing Corp ($367.1B, 6.1%), RBC ($149.4B, 2.5%), Federal Farm Credit Bank ($108.2B, 1.8%), JP Morgan ($101.8B, 1.7%), BNP Paribas ($99.9B, 1.7%), Bank of America ($97.9B, 1.6%), Goldman Sachs ($93.0B, 1.6%), Citi ($91.3B, 1.5%), Barclays PLC ($62.4B, 1.0%), Wells Fargo ($58.0B, 1.0%), Mitsubishi UFJ Financial Group Inc ($55.7B, 0.9%), Sumitomo Mitsui Banking Corp ($53.1B, 0.9%), Societe Generale ($50.2B, 0.8%), Toronto-Dominion Bank ($41.7B, 0.7%), Mizuho Corporate Bank Ltd ($41.1B, 0.7%), Credit Agricole ($38.6B, 0.6%) and Canadian Imperial Bank of Commerce ($37.9B, 0.6%).
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 ($1.478T, 50.6%), Fixed Income Clearing Corp ($367.1B, 12.6%), RBC ($128.6B, 4.4%), Goldman Sachs ($92.4B, 3.2%), JP Morgan ($91.2B, 3.1%), BNP Paribas ($85.4B, 2.9%), Citi ($77.3B, 2.6%), Bank of America ($72.3B, 2.5%), Wells Fargo ($47.9B, 1.6%) and Barclays PLC ($46.1B, 1.6%). The largest users of the $1.478 trillion in Fed RRP include: Goldman Sachs FS Govt ($101.3B), JPMorgan US Govt MM ($89.7B), Vanguard Federal Money Mkt Fund ($88.2B), Fidelity Govt Money Market ($51.6B), BlackRock Lq T-Fund ($60.5B), Schwab Treasury Oblig MF ($48.7B), BlackRock Lq FedFund ($47.5B), Morgan Stanley Inst Liq Govt ($47.5B), Northern Instit Treasury MMkt ($46.6B) and Fidelity Inv MM: Govt Port ($45.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($26.7B, 4.8%), Bank of America ($25.6B, 4.6%), Toronto-Dominion Bank ($21.3B, 3.8%), RBC ($20.8B, 3.8%), Bank of Montreal ($20.6B, 3.7%), Mitsubishi UFJ Financial Group Inc ($19.3B, 3.5%), Sumitomo Mitsui Trust Bank ($17.2B, 3.1%), Skandinaviska Enskilda Banken AB ($16.4B, 3.0%), Barclays PLC ($16.3B, 2.9%) and Bank of Nova Scotia ($16.1B, 2.9%).
The 10 largest CD issuers include: Bank of America ($16.5B, 8.1%), Mitsubishi UFJ Trust and Banking Corporation ($15.0B, 7.4%), Sumitomo Mitsui Banking Corp ($12.3B, 6.1%), Toronto-Dominion Bank ($12.1B, 6.0%), Mitsubishi UFJ Financial Group Inc ($11.4B, 5.6%), Canadian Imperial Bank of Commerce ($10.7B, 5.3%), Wells Fargo ($10.1B, 5.0%), Mizuho Corporate Bank Ltd ($9.9B, 4.9%), Sumitomo Mitsui Trust Bank ($9.7B, 4.8%), and Citi ($7.1B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($16.0B, 6.3%), RBC ($12.2B, 4.8%), JP Morgan ($10.6B, 4.2%), Bank of Nova Scotia ($10.3B, 4.1%), Societe Generale ($9.7B, 3.8%), BPCE SA ($9.5B, 3.7%), UBS AG ($8.8B, 3.5%), Barclays PLC ($8.7B, 3.5%), BayernLB ($8.0B, 3.2%) and Toronto-Dominion Bank ($7.9B, 3.1%),
The largest increases among Issuers include: US Treasury (up $164.9B to $1.751T), Goldman Sachs (up $19.3B to $93.0B), RBC (up $14.0B to $149.4B), Bank of America (up $11.0B to $97.9B), JP Morgan (up $10.0B to $101.8B), Fixed Income Clearing Corp (up $8.8B to $367.1B), Sumitomo Mitsui Banking Corp (up $5.5B to $53.1B), HSBC (up $4.4B to $17.5B), Toronto-Dominion Bank (up $4.4B to $41.7B) and Federal Farm Credit Bank (up $4.3B to $108.2B).
The largest decreases among Issuers of money market securities (including Repo) in September were shown by: Federal Reserve Bank of New York (down $82.1B to $1.478T), Barclays PLC (down $40.0B to $62.4B), Credit Agricole (down $19.8B to $38.6B), Citi (down $13.7B to $91.3B), Federal Home Loan Bank (down $12.6B to $548.4B), BNP Paribas (down $10.6B to $99.9B), Svenska Handelsbanken (down $7.5B to $10.5B), Deutsche Bank AG (down $5.9B to $20.2B), Societe Generale (down $4.5B to $50.2B) and ING Bank (down $4.4B to $36.0B).
The United States remained the largest segment of country-affiliations; it represents 80.4% of holdings, or $4.801 trillion. Canada (5.2%, $312.1B) was in second place, while Japan (4.1%, $245.9B) was No. 3. France (4.0%, $241.6B) occupied fourth place. The United Kingdom (1.9%, $112.2B) remained in fifth place. Netherlands (1.1%, $67.8B) was in sixth place, followed by Germany (0.9%, $55.8B), Sweden (0.7%, $44.0B), Australia (0.5%, $31.7B), and Spain (0.3%, $18.3B). (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 Sept. 30, 2023, Taxable money funds held 58.1% (down from 61.7%) of their assets in securities maturing Overnight, and another 9.9% maturing in 2-7 days (up from 9.2%). Thus, 68.0% in total matures in 1-7 days. Another 8.8% matures in 8-30 days, while 10.5% matures in 31-60 days. Note that over three-quarters, or 87.2% 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 4.5% of taxable securities, while 5.2% matures in 91-180 days, and just 3.1% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
