Crane Data's December Money Fund Portfolio Holdings, with data as of Nov. 30, 2023, show that Treasury holdings surged again in November while Repo fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $244.0 billion to $6.161 trillion, after decreasing $57.9 billion in October. Assets increased $56.1 in September, $106.7 billion in August and $78.3 billion in July. Repo fell again, dropping $20.3 billion, but it remains the largest portfolio segment. Treasuries jumped by over $250 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 three months ago. In November, U.S. Treasury holdings jumped to $2.179 trillion vs. the Fed RRP's $844.3 trillion (down $232.5 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. (Note: Register ASAP for our Money Fund University, Dec. 18-19 in Jersey City, New Jersey, at the Westin Jersey City Newport. Clients and friends are also welcome to crash Crane Data's Holiday Cocktail Party at MFU on 12/18 from 5-7:30pm!)

Among taxable money funds, Repurchase Agreements (repo) decreased $20.3 billion (-0.8%) to $2.572 trillion, or 41.7% of holdings, in November, after decreasing $329.2 billion in October, $84.0 billion in September and $96.8 billion in August. Treasury securities rose $250.1 billion (13.0%) to $2.179 trillion, or 35.4% of holdings, after increasing $178.1 billion in October, $164.9 billion in September and $163.3 billion in August. Government Agency Debt was up $4.4 billion, or 0.6%, to $716.0 billion, or 11.6% of holdings. Agencies increased $36.1 billion in October, decreased $8.3 billion in September and increased $16.4 billion in August. Repo, Treasuries and Agency holdings now total $5.466 trillion, representing a massive 88.7% of all taxable holdings.

Money fund holdings of CP and CDs increased in November while Time Deposits fell. Commercial Paper (CP) increased $5.5 billion (1.8%) to $306.3 billion, or 5.0% of holdings. CP holdings increased $17.6 billion in October, $3.0 billion in September and $4.8 billion in August. Certificates of Deposit (CDs) increased $6.9 billion (3.2%) to $221.1 billion, or 3.6% of taxable assets. CDs increased $11.2 billion in October, $0.5 billion in September and $14.4 billion in August. Other holdings, primarily Time Deposits, decreased $3.1 billion (-2.0%) to $156.1 billion, or 2.5% of holdings, after increasing $28.4 billion in October, decreasing $20.4 billion in September and increasing $4.3 billion in August. VRDNs rose to $11.0 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 rose to $1.300 trillion, or 21.1% of taxable money funds' $6.161 trillion total. Among Prime money funds, CDs represent 17.0% (up from 16.9% a month ago), while Commercial Paper accounted for 23.6% (down from 23.8% in October). The CP totals are comprised of: Financial Company CP, which makes up 15.8% of total holdings, Asset-Backed CP, which accounts for 4.8%, and Non-Financial Company CP, which makes up 3.0%. Prime funds also hold 4.6% in US Govt Agency Debt, 8.9% in US Treasury Debt, 20.0% in US Treasury Repo, 0.3% in Other Instruments, 10.0% in Non-Negotiable Time Deposits, 5.3% in Other Repo, 8.1% in US Government Agency Repo and 0.6% in VRDNs.

Government money fund portfolios totaled $3.208 trillion (52.1% of all MMF assets), up from $3.065 trillion in October, while Treasury money fund assets totaled another $1.653 trillion (26.8%), up from $1.587 trillion the prior month. Government money fund portfolios were made up of 20.4% US Govt Agency Debt, 19.5% US Government Agency Repo, 28.7% US Treasury Debt, 31.2% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 69.1% US Treasury Debt and 30.8% in US Treasury Repo. Government and Treasury funds combined now total $4.861 trillion, or 78.9% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $44.7 billion in November to $737.4 billion; their share of holdings rose to 12.0% from last month's 11.7%. Eurozone-affiliated holdings increased to $479.6 billion from last month's $468.5 billion; they account for 7.8% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $299.3 billion (4.9% of the total) from last month's $270.3 billion. Americas related holdings rose to $5.116 trillion from last month's $4.946 trillion, and now represent 83.0% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $112.3 billion, or -6.0%, to $1.770 trillion, or 28.7% of assets); US Government Agency Repurchase Agreements (up $91.2 billion, or 14.2%, to $732.4 billion, or 11.9% of total holdings), and Other Repurchase Agreements (up $0.8 billion, or 1.1%, from last month to $69.1 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.6 billion to $204.9 billion, or 3.3% of assets), Asset Backed Commercial Paper (up $2.4 billion to $62.4 billion, or 1.0%), and Non-Financial Company Commercial Paper (down $7.5 billion to $39.0 billion, or 0.6%).

The 20 largest Issuers to taxable money market funds as of Nov. 30, 2023, include: the US Treasury ($2.179T, 35.4%), the Federal Reserve Bank of New York ($844.3B, or 13.7%), Federal Home Loan Bank ($580.0B, 9.4%), Fixed Income Clearing Corp ($416.1B, 6.8%), RBC ($182.0B, 3.0%), JP Morgan ($121.2B, 2.0%), BNP Paribas ($117.4B, 1.9%), Barclays PLC ($115.6B, 1.9%), Federal Farm Credit Bank ($114.1B, 1.9%), Citi ($113.3B, 1.8%), Bank of America ($112.5B, 1.8%), Goldman Sachs ($106.4B, 1.7%), Wells Fargo ($64.5B, 1.0%), Mitsubishi UFJ Financial Group Inc ($64.3B, 1.0%), Credit Agricole ($62.0B, 1.0%), Sumitomo Mitsui Banking Corp ($59.6B, 1.0%), Mizuho Corporate Bank Ltd ($48.2B, 0.8%), Bank of Montreal ($45.9B, 0.7%), Canadian Imperial Bank of Commerce ($42.0B, 0.7%), and Toronto-Dominion Bank ($38.6B, 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 ($844.3B, 32.8%), Fixed Income Clearing Corp ($416.1B, 16.2%), RBC ($152.0B, 5.9%), JP Morgan ($110.3B, 4.3%), Goldman Sachs ($105.4B, 4.1%), BNP Paribas ($104.9B, 4.1%), Citi ($97.5B, 3.8%), Barclays PLC ($97.0B, 3.8%), Bank of America ($90.3B, 3.5%) and Wells Fargo ($53.4B, 2.1%). The largest users of the $844.3 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($71.3B), JPMorgan US Govt MM ($48.4B), Fidelity Govt Money Market ($41.0B), Fidelity Cash Central Fund ($38.8B), Schwab Treasury Oblig MF ($36.9B), Goldman Sachs FS Govt ($31.6B), Schwab Value Adv MF ($30.1B), Fidelity Govt Cash Reserves ($29.0B), Fidelity Inv MM: Govt Port ($29.0B) and Fidelity Inv MM: MM Port ($28.2B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($31.8B, 5.2%), RBC ($30.0B, 4.9%), Bank of Montreal ($23.6B, 3.9%), Credit Agricole ($23.5B, 3.9%), Bank of America ($22.3B, 3.7%), Australia & New Zealand Banking Group Ltd ($22.0B, 3.6%), Mitsubishi UFJ Financial Group Inc ($20.4B, 3.3%), Skandinaviska Enskilda Banken AB ($18.9B, 3.1%), Sumitomo Mitsui Trust Bank ($18.8B, 3.1%) and Barclays PLC ($18.5B, 3.0%).

The 10 largest CD issuers include: Bank of America ($17.5B, 7.9%), Sumitomo Mitsui Banking Corp ($15.7B, 7.1%), Mitsubishi UFJ Trust and Banking Corporation ($14.5B, 6.6%), Mizuho Corporate Bank Ltd ($13.0B, 5.9%), Credit Agricole ($12.6B, 5.7%), Mitsubishi UFJ Financial Group Inc ($12.5B, 5.7%), Toronto-Dominion Bank ($11.9B, 5.4%), Sumitomo Mitsui Trust Bank ($11.7B, 5.3%), Wells Fargo ($11.1B, 5.0%), and Citi ($9.5B, 4.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($19.7B, 7.4%), Bank of Montreal ($16.8B, 6.3%), BPCE SA ($12.3B, 4.6%), Barclays PLC ($11.7B, 4.4%), JP Morgan ($10.9B, 4.1%), UBS AG ($10.3B, 3.9%), National Bank of Canada ($9.4B, 3.5%), Bank of Nova Scotia ($8.8B, 3.3%), Mitsubishi UFJ Financial Group Inc ($7.9B, 2.9%) and Skandinaviska Enskilda Banken AB ($7.5B, 2.8%).

The largest increases among Issuers include: US Treasury (up $249.7B to $2.179T), Fixed Income Clearing Corp (up $47.8B to $416.1B), RBC (up $43.7B to $182.0B), Goldman Sachs (up $43.2B to $106.4B), Barclays PLC (up $29.3B to $115.6B), BNP Paribas (up $16.1B to $117.4B), JP Morgan (up $10.4B to $121.2B), Sumitomo Mitsui Banking Corp (up $9.3B to $59.6B), Federal Farm Credit Bank (up $7.1B to $114.1B) and Nomura (up $5.6B to $38.6B).

The largest decreases among Issuers of money market securities (including Repo) in November were shown by: Federal Reserve Bank of New York (down $232.5B to $844.3B), Federal Home Loan Bank (down $5.3B to $580.0B), ING Bank (down $4.8B to $37.8B), Credit Agricole (down $3.6B to $62.0B), Societe Generale (down $3.5B to $38.2B), Toronto-Dominion Bank (down $2.4B to $38.6B), Swedbank AB (down $1.7B to $9.6B), ABN Amro Bank (down $1.2B to $14.2B), Banco Santander (down $0.8B to $19.7B) and Citi (down $0.7B to $113.3B).

The United States remained the largest segment of country-affiliations; it represents 77.2% of holdings, or $4.757 trillion. Canada (5.8%, $358.1B) was in second place, while France (4.5%, $277.4B) was No. 3. Japan (4.4%, $272.9B) occupied fourth place. The United Kingdom (3.0%, $185.6B) remained in fifth place. Netherlands (1.1%, $68.7B) was in sixth place, followed by Germany (1.1%, $65.5B), Sweden (0.8%, $50.2B), Australia (0.7%, $45.7B), and Spain (0.3%, $19.7B). (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 Nov. 30, 2023, Taxable money funds held 49.3% (down from 54.4%) of their assets in securities maturing Overnight, and another 10.8% maturing in 2-7 days (up from 9.9%). Thus, 60.1% in total matures in 1-7 days. Another 10.1% matures in 8-30 days, while 9.4% matures in 31-60 days. Note that over three-quarters, or 79.7% 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 6.9% of taxable securities, while 9.7% matures in 91-180 days, and just 3.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)

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