Crane Data's November Money Fund Portfolio Holdings, with data as of Oct. 31, 2023, show that Treasury holdings surged in October while Repo fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $57.9 billion to $5.917 trillion, after increasing $56.1 in September, $106.7 billion in August, $78.3 billion in July and $46.1 billion in June. Repo fell again, dropping $329.2 billion, but it remains the largest portfolio segment. Treasuries jumped by over $175 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 two months prior, in October that trend continued as the U.S. Treasury jumped to $1.929 trillion vs. the Fed RRP's $1.077 trillion (down $400.8 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 $329.2 billion (-11.3%) to $2.592 trillion, or 43.8% of holdings, in October, after decreasing $84.0 billion in September, $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 $178.1 billion (10.2%) to $1.929 trillion, or 32.6% of holdings, after increasing $164.9 billion in September, $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 up $36.1 billion, or 5.4%, to $711.6 billion, or 12.0% of holdings. Agencies decreased $8.3 billion in September, 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 $5.232 trillion, representing a massive 88.4% of all taxable holdings.
Money fund holdings of CP, CDs and Time Deposits all increased in October. Commercial Paper (CP) increased $17.6 billion (6.2%) to $300.8 billion, or 5.1% of holdings. CP holdings increased $3.0 billion in September, $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 $11.2 billion (5.5%) to $214.2 billion, or 3.6% of taxable assets. CDs increased $0.5 billion in September, $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, increased $28.4 billion (21.7%) to $159.2 billion, or 2.7% of holdings, after decreasing $20.4 billion in September, 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 fell to $10.5 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 $1.264 trillion, or 21.4% of taxable money funds' $5.917 trillion total. Among Prime money funds, CDs represent 16.9% (up from 16.3% a month ago), while Commercial Paper accounted for 23.8% (up from 22.7% in September). The CP totals are comprised of: Financial Company CP, which makes up 15.4% of total holdings, Asset-Backed CP, which accounts for 4.7%, and Non-Financial Company CP, which makes up 3.7%. Prime funds also hold 4.6% in US Govt Agency Debt, 8.0% in US Treasury Debt, 21.4% in US Treasury Repo, 0.4% in Other Instruments, 10.4% in Non-Negotiable Time Deposits, 5.4% in Other Repo, 6.9% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.065 trillion (51.8% of all MMF assets), down from $3.126 trillion in September, while Treasury money fund assets totaled another $1.587 trillion (26.8%), down from $1.605 trillion the prior month. Government money fund portfolios were made up of 21.3% US Govt Agency Debt, 18.1% US Government Agency Repo, 26.1% US Treasury Debt, 34.4% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 64.8% US Treasury Debt and 35.2% in US Treasury Repo. Government and Treasury funds combined now total $4.652 trillion, or 78.6% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $101.8 billion in October to $692.7 billion; their share of holdings rose to 11.7% from last month's 9.9%. Eurozone-affiliated holdings increased to $468.5 billion from last month's $417.0 billion; they account for 7.9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $270.3 billion (4.6% of the total) from last month's $261.6 billion. Americas related holdings fell to $4.946 trillion from last month's $5.113 trillion, and now represent 83.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $329.5 billion, or -14.9%, to $1.882 trillion, or 31.8% of assets); US Government Agency Repurchase Agreements (down $0.1 billion, or 0.0%, to $641.2 billion, or 10.8% of total holdings), and Other Repurchase Agreements (up $0.3 billion, or 0.4%, from last month to $68.3 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $7.5 billion to $194.3 billion, or 3.3% of assets), Asset Backed Commercial Paper (up $1.2 billion to $60.0 billion, or 1.0%), and Non-Financial Company Commercial Paper (up $8.9 billion to $46.5 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of October 31, 2023, include: the US Treasury ($1.929T, 32.6%), the Federal Reserve Bank of New York ($1.077 trillion, or 18.2%), Federal Home Loan Bank ($585.4B, 9.9%), Fixed Income Clearing Corp ($368.4B, 6.2%), RBC ($138.3B, 2.3%), Citi ($113.9B, 1.9%), Bank of America ($112.2B, 1.9%), JP Morgan ($110.7B, 1.9%), Federal Farm Credit Bank ($107.0B, 1.8%), BNP Paribas ($101.3B, 1.7%), Barclays PLC ($86.3B, 1.5%), Credit Agricole ($65.6B, 1.1%), Goldman Sachs ($63.2B, 1.1%), Wells Fargo ($59.0B, 1.0%), Mitsubishi UFJ Financial Group Inc ($58.9B, 1.0%), Sumitomo Mitsui Banking Corp ($50.3B, 0.9%), Mizuho Corporate Bank Ltd ($46.7B, 0.8%), Bank of Montreal ($45.2B, 0.8%), ING Bank ($42.6B, 0.7%), and Societe Generale ($41.7B, 0.7%).
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 ($1.077T, 41.6%), Fixed Income Clearing Corp ($368.4B, 14.2%), RBC ($114.8B, 4.4%), JP Morgan ($100.8B, 3.9%), Citi ($97.9B, 3.8%), Bank of America ($88.8B, 3.4%), BNP Paribas ($88.0B, 3.4%), Barclays PLC ($68.1B, 2.6%), Goldman Sachs ($62.1B, 2.4%) and Wells Fargo ($48.5B, 1.9%). The largest users of the $1.077 trillion in Fed RRP include: Vanguard Federal Money Mkt Fund ($76.8B), JPMorgan US Govt MM ($74.5B), Fidelity Govt Money Market ($56.0B), Schwab Treasury Oblig MF ($45.4B), Fidelity Govt Cash Reserves ($39.8B), Fidelity Inv MM: MM Port ($38.7B), Fidelity Cash Central Fund ($37.0B), Fidelity Inv MM: Govt Port ($36.3B), Northern Instit Treasury MMkt ($34.0B) and Fidelity Money Market ($33.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($32.8B, 5.5%), RBC ($23.5B, 3.9%), Bank of America ($23.5B, 3.9%), Credit Agricole ($23.4B, 3.9%), Bank of Montreal ($21.4B, 3.6%), Toronto-Dominion Bank ($20.4B, 3.4%), Mitsubishi UFJ Financial Group Inc ($19.2B, 3.2%), Australia & New Zealand Banking Group Ltd ($18.4B, 3.1%), Barclays PLC ($18.2B, 3.1%) and Skandinaviska Enskilda Banken AB ($17.7B, 3.0%).
The 10 largest CD issuers include: Bank of America ($16.5B, 7.7%), Sumitomo Mitsui Banking Corp ($14.7B, 6.9%), Toronto-Dominion Bank ($14.3B, 6.7%), Mitsubishi UFJ Trust and Banking Corporation ($14.2B, 6.6%), Credit Agricole ($12.9B, 6.0%), Mizuho Corporate Bank Ltd ($11.5B, 5.4%), Mitsubishi UFJ Financial Group Inc ($11.5B, 5.4%), Wells Fargo ($10.5B, 4.9%), Sumitomo Mitsui Trust Bank ($9.7B, 4.5%), and Citi ($9.1B, 4.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of America ($16.5B, 7.7%), Sumitomo Mitsui Banking Corp ($14.7B, 6.9%), Toronto-Dominion Bank ($14.3B, 6.7%), Mitsubishi UFJ Trust and Banking Corporation ($14.2B, 6.6%), Credit Agricole ($12.9B, 6.0%), Mizuho Corporate Bank Ltd ($11.5B, 5.4%), Mitsubishi UFJ Financial Group Inc ($11.5B, 5.4%), Wells Fargo ($10.5B, 4.9%), Sumitomo Mitsui Trust Bank ($9.7B, 4.5%) and Citi ($9.1B, 4.2%).
The largest increases among Issuers include: US Treasury (up $178.5B to $1.929T), Federal Home Loan Bank (up $37.0B to $585.4B), Credit Agricole (up $27.0B to $65.6B), Barclays PLC (up $23.9B to $86.3B), Citi (up $22.6B to $113.9B), Bank of America (up $14.3B to $112.2B), Deutsche Bank AG (up $9.1B to $29.3B), JP Morgan (up $8.9B to $110.7B), Erste Group Bank AG (up $8.3B to $9.2B) and Bank of Montreal (up $7.8B to $45.2B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of New York (down $400.8B to $1.077T), Goldman Sachs (down $29.8B to $63.2B), RBC (down $11.1B to $138.3B), Societe Generale (down $8.5B to $41.7B), Sumitomo Mitsui Trust Bank (down $3.3B to $20.7B), Sumitomo Mitsui Banking Corp (down $2.8B to $50.3B), First Abu Dhabi Bank (down $1.5B to $7.6B), Nomura (down $1.5B to $33.0B), Credit Mutuel (down $1.5B to $10.0B) and Federal Farm Credit Bank (down $1.2B to $107.0B).
The United States remained the largest segment of country-affiliations; it represents 78.4% of holdings, or $4.638 trillion. Canada (5.2%, $307.9B) was in second place, while France (4.5%, $265.2B) was No. 3. Japan (4.2%, $247.1B) occupied fourth place. The United Kingdom (2.6%, $152.3B) remained in fifth place. Netherlands (1.2%, $72.6B) was in sixth place, followed by Germany (1.1%, $66.3B), Sweden (0.9%, $50.5B), Australia (0.7%, $38.5B), and Spain (0.4%, $20.7B). (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.)
As of Oct. 31, 2023, Taxable money funds held 54.4% (down from 58.1%) of their assets in securities maturing Overnight, and another 9.9% maturing in 2-7 days (unchanged). Thus, 64.3% in total matures in 1-7 days. Another 11.2% matures in 8-30 days, while 9.0% 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 4.3% of taxable securities, while 7.7% matures in 91-180 days, and just 3.6% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
