Crane Data's January Money Fund Portfolio Holdings, with data as of Dec. 31, 2023, show that Repo jumped while Agencies and Time Deposits (Other) fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $16.8 billion to $6.144 trillion, after increasing $244.0 billion in November and decreasing $57.9 billion in October. Assets increased $56.1 in September, $106.7 billion in August and $78.3 billion in July. Repo finally saw a rebound after falling for months, jumping $74.8 billion; it remains the largest portfolio segment. Treasuries increased by $1.9 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 four months ago. In December, U.S. Treasury holdings inched up to $2.181 trillion vs. the Fed RRP's $966.9 billion (up $122.6 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) increased $74.8 billion (2.9%) to $2.646 trillion, or 43.1% of holdings, in December, after decreasing $20.3 billion in November, 329.2 billion in October and $84.0 billion in September. Treasury securities rose $1.9 billion (0.1%) to $2.181 trillion, or 35.5% of holdings, after increasing $250.1 billion in November, $178.1 billion in October and $164.9 billion in September. Government Agency Debt was down $21.8 billion, or -3.0%, to $694.2 billion, or 11.3% of holdings. Agencies increased $4.4 billion in November and $36.1 billion in October, but they decreased $8.3 billion in September. Repo, Treasuries and Agency holdings now total $5.521 trillion, representing a massive 89.9% of all taxable holdings.
Money fund holdings of CP, CDs and Time Deposits decreased in December. Commercial Paper (CP) decreased $14.8 billion (-4.8%) to $291.5 billion, or 4.7% of holdings. CP holdings increased $5.5 billion in November, $17.6 billion in October and $3.0 billion in September. Certificates of Deposit (CDs) decreased $5.4 billion (-2.4%) to $215.7 billion, or 3.5% of taxable assets. CDs increased $6.9 billion in November, $11.2 billion in October and $0.5 billion in September. Other holdings, primarily Time Deposits, decreased $52.1 billion (-33.4%) to $104.0 billion, or 1.7% of holdings, after decreasing $3.1 billion in November, increasing $28.4 billion in October and decreasing $20.4 billion in September. VRDNs rose to $11.6 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 fell to $1.294 trillion, or 21.1% of taxable money funds' $6.144 trillion total. Among Prime money funds, CDs represent 16.7% (down from 17.0% a month ago), while Commercial Paper accounted for 22.5% (down from 23.6% in November). The CP totals are comprised of: Financial Company CP, which makes up 14.5% of total holdings, Asset-Backed CP, which accounts for 5.5%, and Non-Financial Company CP, which makes up 2.5%. Prime funds also hold 3.7% in US Govt Agency Debt, 9.7% in US Treasury Debt, 25.2% in US Treasury Repo, 0.2% in Other Instruments, 6.1% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 8.6% in US Government Agency Repo and 0.7% in VRDNs.
Government money fund portfolios totaled $3.219 trillion (52.4% of all MMF assets), up from $3.208 trillion in November, while Treasury money fund assets totaled another $1.631 trillion (26.5%), down from $1.653 trillion the prior month. Government money fund portfolios were made up of 20.1% US Govt Agency Debt, 18.3% US Government Agency Repo, 29.1% US Treasury Debt, 32.4% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 68.6% US Treasury Debt and 31.4% in US Treasury Repo. Government and Treasury funds combined now total $4.850 trillion, or 78.9% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $189.6 billion in December to $547.8 billion; their share of holdings fell to 8.9% from last month's 12.0%. Eurozone-affiliated holdings decreased to $369.5 billion from last month's $479.6 billion; they account for 6.0% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $277.8 billion (4.5% of the total) from last month's $299.3 billion. Americas related holdings rose to $5.315 trillion from last month's $5.116 trillion, and now represent 86.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $109.7 billion, or 6.2%, to $1.880 trillion, or 30.6% of assets); US Government Agency Repurchase Agreements (down $31.7 billion, or -4.3%, to $700.7 billion, or 11.4% of total holdings), and Other Repurchase Agreements (down $3.2 billion, or -4.7%, from last month to $65.8 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $17.1 billion to $187.8 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $8.6 billion to $71.0 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $6.3 billion to $32.7 billion, or 0.5%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2023, include: the US Treasury ($2.181T, 35.5%), the Federal Reserve Bank of New York ($966.9B, or 15.7%), Federal Home Loan Bank ($555.2B, 9.0%), Fixed Income Clearing Corp ($450.0B, 7.3%), RBC ($208.4B, 3.4%), Goldman Sachs ($137.6B, 2.2%), Citi ($123.9B, 2.0%), Federal Farm Credit Bank ($120.0B, 2.0%), JP Morgan ($114.0B, 1.9%), BNP Paribas ($98.6B, 1.6%), Bank of America ($97.5B, 1.6%), Barclays PLC ($66.2B, 1.1%), Mitsubishi UFJ Financial Group Inc ($65.1B, 1.1%), Wells Fargo ($64.4B, 1.0%), Sumitomo Mitsui Banking Corp ($61.5B, 1.0%), Bank of Montreal ($48.0B, 0.8%), Toronto-Dominion Bank ($47.2B, 0.8%), Canadian Imperial Bank of Commerce ($45.3B, 0.7%), Mizuho Corporate Bank Ltd ($41.9B, 0.7%) and Credit Agricole ($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 ($966.9B, 36.5%), Fixed Income Clearing Corp ($450.0B, 17.0%), RBC ($170.1B, 6.4%), Goldman Sachs ($136.9B, 5.2%), Citi ($109.5B, 4.1%), JP Morgan ($103.3B, 3.9%), BNP Paribas ($87.3B, 3.3%), Bank of America ($77.6B, 2.9%), Barclays PLC ($54.3B, 2.1%) and Wells Fargo ($53.7B, 2.0%). The largest users of the $966.9 billion in Fed RRP include: Fidelity Govt Money Market ($69.6B), Vanguard Federal Money Mkt Fund ($64.8B), Goldman Sachs FS Govt ($49.0B), Fidelity Govt Cash Reserves ($48.8B), Fidelity Inv MM: Govt Port ($43.7B), Fidelity Cash Central Fund ($37.4B), Schwab Value Adv MF ($35.2B), Fidelity Inv MM: MM Port ($34.0B), Schwab Treasury Oblig MF ($31.2B) and Fidelity Money Market ($30.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($38.3B, 7.0%), Mizuho Corporate Bank Ltd ($27.9B, 5.1%), Bank of Montreal ($27.8B, 5.1%), Australia & New Zealand Banking Group Ltd ($24.9B, 4.6%), Toronto-Dominion Bank ($24.8B, 4.6%), Mitsubishi UFJ Financial Group Inc ($22.3B, 4.1%), Bank of America ($20.0B, 3.7%), Canadian Imperial Bank of Commerce ($18.8B, 3.5%), Sumitomo Mitsui Trust Bank ($18.6B, 3.4%) and Bank of Nova Scotia ($17.9B, 3.3%).
The 10 largest CD issuers include: Mizuho Corporate Bank Ltd ($15.3B, 7.1%), Sumitomo Mitsui Banking Corp ($14.9B, 6.9%), Mitsubishi UFJ Financial Group Inc ($14.5B, 6.7%), Bank of America ($14.3B, 6.6%), Mitsubishi UFJ Trust and Banking Corporation ($12.5B, 5.8%), Toronto-Dominion Bank ($11.8B, 5.5%), Sumitomo Mitsui Trust Bank ($11.3B, 5.2%), Wells Fargo ($10.6B, 4.9%), Credit Agricole ($9.7B, 4.5%) and Canadian Imperial Bank of Commerce ($9.1B, 4.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($19.3B, 7.5%), RBC ($19.2B, 7.4%), BPCE SA ($13.8B, 5.3%), JP Morgan ($10.7B, 4.1%), National Bank of Canada ($9.5B, 3.7%), Bank of Nova Scotia ($9.4B, 3.6%), UBS AG ($9.0B, 3.5%), Toronto-Dominion Bank ($8.3B, 3.2%), Mitsubishi UFJ Financial Group Inc ($7.8B, 3.0%) and Barclays PLC ($7.6B, 2.9%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $122.6B to $966.9B), Fixed Income Clearing Corp (up $33.9B to $450.0B), Goldman Sachs (up $31.2B to $137.6B), RBC (up $26.4B to $208.4B), Citi (up $10.6B to $123.9B), Toronto-Dominion Bank (up $8.6B to $47.2B), Federal Farm Credit Bank (up $5.8B to $120.0B), Canadian Imperial Bank of Commerce (up $3.3B to $45.3B), Australia & New Zealand Banking Group Ltd (up $2.5B to $31.9B) and Westpac Banking Corp (up $2.4B to $5.7B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Barclays PLC (down $49.4B to $66.2B), Federal Home Loan Bank (down $24.8B to $555.2B), Credit Agricole (down $20.3B to $41.7B), BNP Paribas (down $18.8B to $98.6B), ING Bank (down $17.2B to $20.6B), Bank of America (down $15.0B to $97.5B), Deutsche Bank AG (down $14.2B to $18.4B), Skandinaviska Enskilda Banken AB (down $10.4B to $8.5B), Nomura (down $7.2B to $31.3B) and JP Morgan (down $7.2B to $114.0B).
The United States remained the largest segment of country-affiliations; it represents 80.0% of holdings, or $4.915 trillion. Canada (6.5%, $400.3B) was in second place, while Japan (4.2%, $260.5B) was No. 3. France (3.7%, $225.8B) occupied fourth place. The United Kingdom (2.1%, $129.0B) remained in fifth place. Australia (0.8%, $51.3B) was in sixth place, followed by Netherlands (0.6%, $37.8B), Germany (0.6%, $35.5B), Sweden (0.5%, $28.3B), and Spain (0.3%, $16.9B). (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 Dec. 31, 2023, Taxable money funds held 50.8% (up from 49.3%) of their assets in securities maturing Overnight, and another 9.0% maturing in 2-7 days (down from 10.8%). Thus, 59.8% in total matures in 1-7 days. Another 10.8% matures in 8-30 days, while 10.2% matures in 31-60 days. Note that over three-quarters, or 80.8% 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 5.7% of taxable securities, while 10.0% matures in 91-180 days, and just 3.5% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
