Crane Data's March Money Fund Portfolio Holdings, with data as of Feb. 29, 2024, show that Repo holdings plummeted while Treasuries and Time Deposits jumped. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $66.9 billion to $6.365 trillion, after increasing $86.6 in January, $51.1 billion in December and $244.0 billion in November. Assets decreased $57.9 billion in October, but increased $56.1 in September, $106.7 billion in August and $78.3 billion in July. Repo continued its steep slide, dropping $137.6 billion, after a brief rebound two months ago, falling to the No. 2 spot among portfolio segments. Treasuries increased by $206.2 billion, becoming the largest portfolio segment over Repo. The U.S. Treasury surpassed the Federal Reserve Bank of New York as the largest Issuer to MMFs six months ago. In February, U.S. Treasury holdings jumped to $2.559 trillion vs. the Fed RRP's $464.6 billion (down $118.0 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 $137.6 billion (-5.5%) to $2.346 trillion, or 36.9% of holdings, in February, after decreasing $163.2 billion in January and 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 $206.2 billion (8.8%) to $2.559 trillion, or 40.2% of holdings, after increasing $104.7 billion in January, $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 down $6.7 billion, or -0.9%, to $731.4 billion, or 11.5% of holdings. Agencies increased $43.9 billion in January, 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 $5.636 trillion, representing a massive 88.5% of all taxable holdings.
Money fund holdings of CDs and Time Deposits increased in February while CP fell. Commercial Paper (CP) decreased $2.1 billion (-0.7%) to $307.9 billion, or 4.8% of holdings. CP holdings increased $18.6 billion in January and decreased $14.8 billion in December. But CP increased $5.5 billion in November, $17.6 billion in October and $3.0 billion in September. Certificates of Deposit (CDs) increased $0.8 billion (0.4%) to $236.1 billion, or 3.7% of taxable assets. CDs increased $19.5 billion in January and decreased $5.4 billion in December. But CDs increased $6.9 billion in November, $11.2 billion in October and $0.5 billion in September. Other holdings, primarily Time Deposits, increased $5.7 billion (3.4%) to $173.1 billion, or 2.7% of holdings, after increasing $63.4 billion in January, decreasing $52.1 billion in December and $3.1 billion in November. VRDNs rose to $11.8 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 $1.383 trillion, or 21.7% of taxable money funds' $6.365 trillion total. Among Prime money funds, CDs represent 17.1% (down from 17.4% a month ago), while Commercial Paper accounted for 22.2% (down from 23.0% in January). The CP totals are comprised of: Financial Company CP, which makes up 14.3% of total holdings, Asset-Backed CP, which accounts for 5.5%, and Non-Financial Company CP, which makes up 2.4%. Prime funds also hold 3.4% in US Govt Agency Debt, 16.1% in US Treasury Debt, 14.9% in US Treasury Repo, 0.3% in Other Instruments, 10.5% in Non-Negotiable Time Deposits, 5.4% in Other Repo, 7.9% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.266 trillion (51.3% of all MMF assets), up from $3.260 trillion in January, while Treasury money fund assets totaled another $1.716 trillion (27.0%), up from $1.689 trillion the prior month. Government money fund portfolios were made up of 21.0% US Govt Agency Debt, 18.7% US Government Agency Repo, 33.1% US Treasury Debt, 27.1% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 73.2% US Treasury Debt and 26.8% in US Treasury Repo. Government and Treasury funds combined now total $4.982 trillion, or 78.3% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $3.2 billion in February to $789.9 billion; their share of holdings fell to 12.5% from last month's 12.6%. Eurozone-affiliated holdings decreased to $498.3 billion from last month's $511.4 billion; they account for 7.9% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $304.5 billion (4.8% of the total) from last month's $305.0 billion. Americas related holdings rose to $5.263 trillion from last month's $5.191 trillion, and now represent 83.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $76.9 billion, or -4.7%, to $1.551 trillion, or 24.4% of assets); US Government Agency Repurchase Agreements (down $60.4 billion, or -7.7%, to $720.4 billion, or 11.3% of total holdings), and Other Repurchase Agreements (down $0.2 billion, or -0.3%, from last month to $74.8 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.8 billion to $197.8 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $1.3 billion to $76.3 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $2.6 billion to $33.9 billion, or 0.5%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2024, include: the US Treasury ($2.559T, 40.2%), Federal Home Loan Bank ($603.1B, 9.5%), Fixed Income Clearing Corp ($482.5B, 7.6%), the Federal Reserve Bank of New York ($464.6B, or 7.3%), RBC ($191.6B, 3.0%), JP Morgan ($155.4B, 2.4%), Citi ($143.1B, 2.2%), BNP Paribas ($130.8B, 2.1%), Barclays PLC ($126.5B, 2.0%), Federal Farm Credit Bank ($121.0B, 1.9%), Bank of America ($112.4B, 1.8%), Goldman Sachs ($104.2B, 1.6%), Mitsubishi UFJ Financial Group Inc ($68.6B, 1.1%), Credit Agricole ($66.9B, 1.1%), Wells Fargo ($63.1B, 1.0%), Sumitomo Mitsui Banking Corp ($61.4B, 1.0%), Mizuho Corporate Bank Ltd ($51.6B, 0.8%), Canadian Imperial Bank of Commerce ($46.5B, 0.7%), Toronto-Dominion Bank ($45.4B, 0.7%) and Societe Generale ($44.6B, 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: Fixed Income Clearing Corp ($482.2B, 20.6%), Federal Reserve Bank of New York ($464.6B, 19.8%), RBC ($161.8B, 6.9%), JP Morgan ($143.4B, 6.1%), Citi ($129.5B, 5.5%), BNP Paribas ($118.9B, 5.1%), Goldman Sachs ($103.8B, 4.4%), Barclays ($101.1B, 4.3%), Bank of America ($92.9B, 4.0%) and Wells Fargo ($52.3B, 2.2%). The largest users of the $464.6 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($54.9B), Fidelity Cash Central Fund ($34.6B), Fidelity Govt Money Market ($26.5B), Fidelity Inv MM: Govt Port ($24.3B), Schwab Treasury Oblig MF ($23.6B), Fidelity Sec Lending Cash Central Fund ($21.2B), Fidelity Inv MM: Treas Port ($19.1B), Federated Hermes Govt Oblig ($18.5B), Vanguard Cash Reserves Federal MM ($17.1B) and Schwab Value Adv MF ($14.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($36.8B, 5.7%), RBC ($29.8B, 4.6%), Credit Agricole ($27.9B, 4.3%), Barclays PLC ($25.4B, 3.9%), Mitsubishi UFJ Financial Group Inc ($25.0B, 3.9%), Australia & New Zealand Banking Group Ltd ($23.8B, 3.7%), Toronto-Dominion Bank ($22.7B, 3.5%), DNB ASA ($21.2B, 3.3%), Sumitomo Mitsui Trust Bank ($20.0B, 3.1%), and Bank of America ($19.5B, 3.0%).
The 10 largest CD issuers include: Mizuho Corporate Bank Ltd ($19.6B, 8.3%), Credit Agricole ($17.2B, 7.3%), Mitsubishi UFJ Financial Group Inc ($14.9B, 6.3%), Bank of America ($14.3B, 6.0%), Sumitomo Mitsui Trust Bank ($12.4B, 5.2%), Toronto-Dominion Bank ($12.1B, 5.1%), Wells Fargo ($10.8B, 4.6%), Sumitomo Mitsui Banking Corp ($10.7B, 4.6%), Mitsubishi UFJ Trust and Banking Corporation ($9.4B, 4.0%) and Bank of Nova Scotia ($9.1B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($18.4B, 6.8%), Barclays PLC ($13.2B, 4.9%), Bank of Montreal ($12.0B, 4.4%), JP Morgan ($11.9B, 4.4%), BPCE SA ($11.8B, 4.4%), Toronto-Dominion Bank ($10.4B, 3.8%), Mitsubishi UFJ Financial Group Inc ($10.2B, 3.8%), DNB ASA ($8.3B, 3.1%), National Bank of Canada ($8.1B, 3.0%) and Australia & New Zealand Banking Group Ltd ($8.1B, 3.0%).
The largest increases among Issuers include: US Treasury (up $201.9B to $2.559T), RBC (up $19.8B to $191.6B), Nordea Bank (up $9.7B to $17.3B), Fixed Income Clearing Corp (up $7.5B to $482.5B), HSBC (up $6.1B to $36.2B), Rabobank (up $4.3B to $13.6B), Toronto-Dominion Bank (up $3.5B to $45.4B), Norinchukin Bank (up $3.2B to $7.8B), Federal Home Loan Bank (up $3.1B to $603.1B) and Citi (up $2.8B to $143.1B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: Federal Reserve Bank of New York (down $118.0B to $464.6B), Deutsche Bank AG (down $11.8B to $22.0B), BNP Paribas (down $7.9B to $130.8B), DNB ASA (down $4.1B to $21.2B), Nomura (down $4.0B to $29.0B), Goldman Sachs (down $3.7B to $104.2B), JP Morgan (down $3.1B to $155.4B), Sumitomo Mitsui Banking Corp (down $2.7B to $61.4B), Mitsubishi UFJ Trust and Banking Corporation (down $2.6B to $13.1B) and Bank of Nova Scotia (down $2.0B to $28.7B).
The United States remained the largest segment of country-affiliations; it represents 76.9% of holdings, or $4.897 trillion. Canada (5.7%, $365.7B) was in second place, while France (4.7%, $297.2B) was No. 3. Japan (4.4%, $277.5B) occupied fourth place. The United Kingdom (3.2%, $202.2B) remained in fifth place. Netherlands (1.2%, $73.3B) was in sixth place, followed by Sweden (0.9%, $58.3B), Germany (0.9%, $56.2B), Australia (0.8%, $49.7B), and Norway (0.3%, $21.6B). (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 Feb. 29, 2024, Taxable money funds held 44.5% (down from 48.9%) of their assets in securities maturing Overnight, and another 12.0% maturing in 2-7 days (up from 8.9%). Thus, 56.5% in total matures in 1-7 days. Another 10.8% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that over three-quarters, or 78.6% 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 7.0% of taxable securities, while 9.1% matures in 91-180 days, and just 5.3% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
