Crane Data's February Money Fund Portfolio Holdings, with data as of Jan. 31, 2024, show that Repo holdings plummeted while Treasuries, Time Deposits and Agencies jumped. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $86.6 billion to $6.299 trillion, after increasing $51.1 billion in December and $244.0 billion in November, but decreasing $57.9 billion in October. Assets increased $56.1 in September, $106.7 billion in August and $78.3 billion in July. Repo continued its steep slide, dropping $163.2 billion, after a brief rebound the month prior; it remains the largest portfolio segment. Treasuries increased by $104.7 billion, still ranking in the No. 2 spot, but barely. The U.S. Treasury surpassed the Federal Reserve Bank of New York as the largest Issuer to MMFs five months ago. In January, U.S. Treasury holdings jumped to $2.353 trillion vs. the Fed RRP's $582.6 billion (down $384.3 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 $163.2 billion (-6.2%) to $2.483 trillion, or 39.4% of holdings, in January, after increasing $74.8 billion in December. Repo fell $20.3 billion in November, $329.2 billion in October and $84.0 billion in September. Treasury securities rose $104.7 billion (4.7%) to $2.353 trillion, or 37.4% of holdings, after increasing $69.6 billion in December, $250.1 billion in November, $178.1 billion in October and $164.9 billion in September. Government Agency Debt was up $43.9 billion, or 6.3%, to $738.1 billion, or 11.7% of holdings. Agencies decreased $21.8 billion in December, 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 $5.575 trillion, representing a massive 88.5% of all taxable holdings.
Money fund holdings of CP, CDs and Time Deposits increased in January. Commercial Paper (CP) increased $18.6 billion (6.4%) to $310.1 billion, or 4.9% of holdings. CP holdings decreased $14.8 billion in December, but increased $5.5 billion in November, $17.6 billion in October and $3.0 billion in September. Certificates of Deposit (CDs) increased $19.5 billion (9.1%) to $235.3 billion, or 3.7% of taxable assets. CDs decreased $5.4 billion in December, but increased $6.9 billion in November, $11.2 billion in October and $0.5 billion in September. Other holdings, primarily Time Deposits, increased $63.4 billion (61.0%) to $167.5 billion, or 2.7% of holdings, after decreasing $52.1 billion in December and $3.1 billion in November. VRDNs fell to $11.3 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Monday around noon.)
Prime money fund assets tracked by Crane Data rose to $1.350 trillion, or 21.4% of taxable money funds' $6.299 trillion total. Among Prime money funds, CDs represent 17.4% (up from 16.7% a month ago), while Commercial Paper accounted for 23.0% (up from 22.5% in December). The CP totals are comprised of: Financial Company CP, which makes up 14.7% of total holdings, Asset-Backed CP, which accounts for 5.6%, and Non-Financial Company CP, which makes up 2.7%. Prime funds also hold 3.4% in US Govt Agency Debt, 12.8% in US Treasury Debt, 16.7% in US Treasury Repo, 0.3% in Other Instruments, 10.2% in Non-Negotiable Time Deposits, 5.3% in Other Repo, 8.7% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.260 trillion (51.8% of all MMF assets), up from $3.219 trillion in December, while Treasury money fund assets totaled another $1.689 trillion (26.8%), up from $1.631 trillion the prior month. Government money fund portfolios were made up of 21.2% US Govt Agency Debt, 20.4% US Government Agency Repo, 29.5% US Treasury Debt, 28.6% in US Treasury Repo, 0.1% in Other Instruments. Treasury money funds were comprised of 72.2% US Treasury Debt and 27.8% in US Treasury Repo. Government and Treasury funds combined now total $4.949 trillion, or 78.6% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $245.3 billion in January to $793.1 billion; their share of holdings rose to 12.6% from last month's 8.9%. Eurozone-affiliated holdings increased to $511.4 billion from last month's $369.5 billion; they account for 8.1% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $305.0 billion (4.8% of the total) from last month's $277.8 billion. Americas related holdings fell to $5.191 trillion from last month's $5.315 trillion, and now represent 82.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $252.5 billion, or -13.4%, to $1.628 trillion, or 25.8% of assets); US Government Agency Repurchase Agreements (up $80.1 billion, or 11.4%, to $780.8 billion, or 12.4% of total holdings), and Other Repurchase Agreements (up $9.2 billion, or 13.9%, from last month to $75.0 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.8 billion to $198.6 billion, or 3.2% of assets), Asset Backed Commercial Paper (up $4.0 billion to $75.0 billion, or 1.2%), and Non-Financial Company Commercial Paper (up $3.7 billion to $36.5 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2024, include: the US Treasury ($2.357T, 37.4%), Federal Home Loan Bank ($600.0B, 9.5%), the Federal Reserve Bank of New York ($582.6B, or 9.3%), Fixed Income Clearing Corp ($475.0B, 7.5%), RBC ($171.8B, 2.7%), JP Morgan ($158.4B, 2.5%), Citi ($140.3B, 2.2%), BNP Paribas ($138.7B, 2.2%), Barclays PLC ($127.3B, 2.0%), Federal Farm Credit Bank ($119.7B, 1.9%), Bank of America ($113.9B, 1.8%), Goldman Sachs ($107.9B, 1.7%), Mitsubishi UFJ Financial Group Inc ($67.4B, 1.1%), Credit Agricole ($64.5B, 1.0%), Sumitomo Mitsui Banking Corp ($64.2B, 1.0%), Wells Fargo ($62.3B, 1.0%), Mizuho Corporate Bank Ltd ($50.2B, 0.8%), Canadian Imperial Bank of Commerce ($48.5B, 0.8%), Societe Generale ($44.7B, 0.7%) and Toronto-Dominion Bank ($42.0B, 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 ($582.6B, 23.5%), Fixed Income Clearing Corp ($475.0B, 19.1%), JP Morgan ($146.7B, 5.9%), RBC ($141.6B, 5.7%), Citi ($125.9B, 5.1%), BNP Paribas ($125.3B, 5.0%), Goldman Sachs ($107.3B, 4.3%), Barclays PLC ($101.6B, 4.1%), Bank of America ($94.6B, 3.8%) and Wells Fargo ($52.0B, 2.1%). The largest users of the $582.6 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($60.9B), Fidelity Govt Money Market ($49.8B), Fidelity Inv MM: Govt Port ($40.5B), Fidelity Cash Central Fund ($38.9B), Fidelity Govt Cash Reserves ($37.5B), Schwab Treasury Oblig MF ($24.5B), JPMorgan US Govt MM ($24.4B), Fidelity Inv MM: Treas Port ($21.9B), Vanguard Cash Reserves Federal MM ($19.7B) and Northern Instit Treasury MMkt ($19.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($34.9B, 5.5%), RBC ($30.2B, 4.7%), Credit Agricole ($27.2B, 4.3%), Barclays PLC ($25.7B, 4.0%), DNB ASA ($25.4B, 4.0%), Mitsubishi UFJ Financial Group Inc ($23.6B, 3.7%), Australia & New Zealand Banking Group Ltd ($21.2B, 3.3%), Toronto-Dominion Bank ($20.8B, 3.3%), Bank of Montreal ($20.7B, 3.3%), and Canadian Imperial Bank of Commerce ($20.1B, 3.2%).
The 10 largest CD issuers include: Mizuho Corporate Bank Ltd ($17.7B, 7.5%), Credit Agricole ($17.1B, 7.3%), Mitsubishi UFJ Financial Group Inc ($15.1B, 6.4%), Bank of America ($13.6B, 5.8%), Sumitomo Mitsui Banking Corp ($13.2B, 5.6%), Toronto-Dominion Bank ($12.7B, 5.4%), Mitsubishi UFJ Trust and Banking Corporation ($11.7B, 5.0%), Sumitomo Mitsui Trust Bank ($11.3B, 4.8%), Wells Fargo ($10.3B, 4.4%) and Bank of Nova Scotia ($8.9B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($19.5B, 7.3%), Bank of Montreal ($13.2B, 4.9%), BPCE SA ($12.8B, 4.8%), Barclays PLC ($12.5B, 4.7%), JP Morgan ($11.8B, 4.4%), Bank of Nova Scotia ($8.5B, 3.2%), Mitsubishi UFJ Financial Group Inc ($8.5B, 3.2%), DNB ASA ($8.3B, 3.1%), Australia & New Zealand Banking Group Ltd ($7.9B, 3.0%) and Toronto-Dominion Bank ($7.8B, 2.9%).
The largest increases among Issuers include: US Treasury (up $108.9B to $2.357T), Barclays PLC (up $61.1B to $127.3B), Federal Home Loan Bank (up $44.7B to $600.0B), JP Morgan (up $44.4B to $158.4B), BNP Paribas (up $40.1B to $138.7B), Fixed Income Clearing Corp (up $25.0B to $475.0B), Credit Agricole (up $22.7B to $64.5B), Morgan Stanley (up $20.0B to $21.9B), DNB ASA (up $17.7B to $25.4B) and Citi (up $16.4B to $140.3B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Federal Reserve Bank of New York (down $384.3B to $582.6B), RBC (down $36.7B to $171.8B), Goldman Sachs (down $29.8B to $107.9B), Bank of Montreal (down $7.0B to $41.0B), Toronto-Dominion Bank (down $5.2B to $42.0B), National Bank of Canada (down $3.8B to $8.4B), Australia & New Zealand Banking Group Ltd (down $2.7B to $29.2B), Wells Fargo (down $2.1B to $62.3B), Bank of Nova Scotia (down $2.0B to $30.7B) and UBS AG (down $1.6B to $9.3B).
The United States remained the largest segment of country-affiliations; it represents 76.9% of holdings, or $4.843 trillion. Canada (5.5%, $347.8B) was in second place, while France (4.9%, $306.1B) was No. 3. Japan (4.4%, $278.6B) occupied fourth place. The United Kingdom (3.1%, $197.6B) remained in fifth place. Germany (1.1%, $68.0B) was in sixth place, followed by Netherlands (1.0%, $65.7B), Australia (0.8%, $48.6B), Sweden (0.8%, $48.3B), and Spain (0.3%, $20.8B). (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 Jan. 31, 2024, Taxable money funds held 48.9% (down from 50.8%) of their assets in securities maturing Overnight, and another 8.9% maturing in 2-7 days (down from 9.0%). Thus, 57.8% in total matures in 1-7 days. Another 12.2% matures in 8-30 days, while 9.6% matures in 31-60 days. Note that over three-quarters, or 79.5% 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 6.5% of taxable securities, while 9.6% matures in 91-180 days, and just 4.4% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
