Crane Data's April Money Fund Portfolio Holdings, with data as of March 31, 2024, show that Repo holdings rose while Treasuries and Time Deposits fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $63.1 billion to $6.302 trillion in March, after increasing $66.9 in February, $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 bounced back, increasing $13.4 billion, after a steep slide the month prior, but it remained in the No. 2 spot among portfolio segments. Treasuries decreased by $19.6 billion, but they continued to be the largest portfolio segment. The U.S. Treasury continues to be the single largest Issuer to MMFs. `In March, U.S. Treasury holdings fell to $2.540 trillion vs. the Fed RRP's $536.8 billion (which rose $72.2 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 $13.4 billion (0.6%) to $2.359 trillion, or 37.4% of holdings, in March, after decreasing $137.6 billion in February, $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 fell $19.6 billion (-0.8%) to $2.540 trillion, or 40.3% of holdings, after increasing $206.2 billion in February, $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 $14.2 billion, or -1.9%, to $717.2 billion, or 11.4% of holdings. Agencies decreased $6.7 billion in February, 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 $5.616 trillion, representing a massive 89.1% of all taxable holdings.
Money fund holdings of CP, CDs and Time Deposits all decreased in March. Commercial Paper (CP) decreased $3.9 billion (-1.3%) to $304.0 billion, or 4.8% of holdings. CP holdings decreased $2.1 billion in February, 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) decreased $18.7 billion (-7.9%) to $217.4 billion, or 3.4% of taxable assets. CDs increased $0.8 billion in February, $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, decreased $20.3 billion (-11.7%) to $152.9 billion, or 2.4% of holdings, after increasing $5.7 billion in February, $63.4 billion in January, decreasing $52.1 billion in December and $3.1 billion in November. VRDNs rose to $12.1 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)
Prime money fund assets tracked by Crane Data rose to $1.389 trillion, or 22.0% of taxable money funds' $6.302 trillion total. Among Prime money funds, CDs represent 15.7% (down from 17.1% a month ago), while Commercial Paper accounted for 21.8% (down from 22.2% in February). The CP totals are comprised of: Financial Company CP, which makes up 14.1% of total holdings, Asset-Backed CP, which accounts for 5.5%, and Non-Financial Company CP, which makes up 2.2%. Prime funds also hold 3.4% in US Govt Agency Debt, 17.0% in US Treasury Debt, 15.9% in US Treasury Repo, 0.3% in Other Instruments, 9.1% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 8.8% in US Government Agency Repo and 0.7% in VRDNs.
Government money fund portfolios totaled $3.190 trillion (50.6% of all MMF assets), down from $3.266 trillion in February, while Treasury money fund assets totaled another $1.724 trillion (27.4%), up from $1.716 trillion the prior month. Government money fund portfolios were made up of 21.0% US Govt Agency Debt, 17.8% US Government Agency Repo, 32.8% US Treasury Debt, 28.3% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 72.9% US Treasury Debt and 27.1% in US Treasury Repo. Government and Treasury funds combined now total $4.914 trillion, or 78.0% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $113.0 billion in March to $677.0 billion; their share of holdings fell to 10.7% from last month's 12.5%. Eurozone-affiliated holdings decreased to $453.7 billion from last month's $498.3 billion; they account for 7.2% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $281.0 billion (4.5% of the total) from last month's $304.5 billion. Americas related holdings rose to $5.336 trillion from last month's $5.263 trillion, and now represent 84.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $38.8 billion, or 2.5%, to $1.589 trillion, or 25.2% of assets); US Government Agency Repurchase Agreements (down $31.3 billion, or -4.4%, to $689.1 billion, or 10.9% of total holdings), and Other Repurchase Agreements (up $6.0 billion, or 8.0%, from last month to $80.8 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.4 billion to $196.4 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $0.5 billion to $76.8 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $3.0 billion to $30.8 billion, or 0.5%).
The 20 largest Issuers to taxable money market funds as of March 31, 2024, include: the US Treasury ($2.540T, 40.3%), Federal Home Loan Bank ($578.6B, 9.2%), the Federal Reserve Bank of New York ($536.8B, or 8.5%), Fixed Income Clearing Corp ($491.9B, 7.8%), RBC ($204.7B, 3.2%), JP Morgan ($149.1B, 2.4%), BNP Paribas ($139.8B, 2.2%), Federal Farm Credit Bank ($124.2B, 2.0%), Goldman Sachs ($114.6B, 1.8%), Citi ($114.2B, 1.8%), Bank of America ($113.8B, 1.8%), Barclays PLC ($80.5B, 1.3%), Mitsubishi UFJ Financial Group Inc ($68.2B, 1.1%), Wells Fargo ($65.9B, 1.0%), Sumitomo Mitsui Banking Corp ($64.3B, 1.0%), Canadian Imperial Bank of Commerce ($53.3B, 0.8%), Bank of Montreal ($48.7B, 0.8%), Credit Agricole ($47.8B, 0.8%), Toronto-Dominion Bank ($47.3B, 0.7%) and Societe Generale ($43.0B, 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: the Federal Reserve Bank of New York ($536.8B, 22.8%), Fixed Income Clearing Corp ($491.9B, 20.9%), RBC ($166.9B, 7.1%), JP Morgan ($137.8B, 5.8%), BNP Paribas ($125.2B, 5.3%), Goldman Sachs ($113.8B, 4.8%), Citi ($103.0B, 4.4%), Bank of America ($90.2B, 3.8%), Barclays ($57.7B, 2.4%) and Wells Fargo ($55.3B, 2.3%). The largest users of the $536.8 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($81.8B), Fidelity Govt Money Market ($36.7B), Fidelity Cash Central Fund ($32.2B), Vanguard Cash Reserves Federal MM ($29.0B), Goldman Sachs FS Govt ($25.3B), Northern Instit Treasury MMkt ($22.4B), Fidelity Sec Lending Cash Central Fund ($20.7B), Fidelity Inv MM: Govt Port ($18.8B), Federated Hermes Govt Oblig ($18.5B), and Schwab Treasury Oblig MF ($16.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($37.8B, 6.3%), Mizuho Corporate Bank Ltd ($26.5B, 4.4%), Toronto-Dominion Bank ($24.3B, 4.0%), Bank of America ($23.5B, 3.9%), Mitsubishi UFJ Financial Group Inc ($23.0B, 3.8%), Barclays PLC ($22.8B, 3.8%), Bank of Montreal ($22.5B, 3.7%), Credit Agricole ($19.5B, 3.2%), Canadian Imperial Bank of Commerce ($19.5B, 3.2%) and Bank of Nova Scotia ($18.5B, 3.1%).
The 10 largest CD issuers include: Bank of America ($15.7B, 7.2%), Mitsubishi UFJ Financial Group Inc ($13.3B, 6.1%), Mizuho Corporate Bank Ltd ($11.7B, 5.4%), Sumitomo Mitsui Banking Corp ($11.6B, 5.4%), Credit Agricole ($11.2B, 5.2%), Toronto-Dominion Bank ($11.0B, 5.1%), Sumitomo Mitsui Trust Bank ($10.9B, 5.0%), Wells Fargo ($10.5B, 4.9%), Mitsubishi UFJ Trust and Banking Corporation ($10.5B, 4.8%) and Canadian Imperial Bank of Commerce ($8.6B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($17.7B, 6.5%), Bank of Montreal ($13.3B, 4.9%), Toronto-Dominion Bank ($12.5B, 4.6%), Barclays PLC ($11.6B, 4.3%), JP Morgan ($11.3B, 4.1%), Mitsubishi UFJ Financial Group Inc ($9.6B, 3.5%), National Bank of Canada ($9.4B, 3.5%) and Bank of Nova Scotia ($9.2B, 3.4%), DNB ASA ($8.5B, 3.1%) and BPCE SA ($8.1B, 3.0%).
The largest increases among Issuers include: the Federal Reserve Bank of New York (up $72.2B to $536.8B), RBC (up $13.1B to $204.7B), Goldman Sachs (up $10.4B to $114.6B), Fixed Income Clearing Corp (up $9.4B to $491.9B), BNP Paribas (up $9.1B to $139.8B), Bank of Montreal (up $8.9B to $48.7B), Canadian Imperial Bank of Commerce (up $6.8B to $53.3B), Federal Farm Credit Bank (up $3.2B to $124.2B), National Bank of Canada (up $3.0B to $12.6B) and Sumitomo Mitsui Banking Corp (up $2.8B to $64.3B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Barclays PLC (down $45.9B to $80.5B), Citi (down $28.9B to $114.2B), Federal Home Loan Bank (down $24.6B to $578.6B), US Treasury (down $19.6B to $2.540T), Credit Agricole (down $19.1B to $47.8B), Australia & New Zealand Banking Group Ltd (down $14.3B to $17.2B), Mizuho Corporate Bank Ltd (down $8.6B to $43.0B), Sumitomo Mitsui Trust Bank (down $6.9B to $20.7B), JP Morgan (down $6.3B to $149.1B) and Deutsche Bank AG (down $4.6B to $17.4B).
The United States remained the largest segment of country-affiliations; it represents 78.3% of holdings, or $4.935 trillion. Canada (6.4%, $400.8B) was in second place, while France (4.4%, $273.9B) was No. 3. Japan (4.2%, $261.4B) occupied fourth place. The United Kingdom (2.5%, $154.9B) remained in fifth place. Netherlands (1.2%, $74.1B) was in sixth place, followed by Germany (0.8%, $47.8B), Sweden (0.7%, $40.9B), Australia (0.5%, $34.2B), and Spain (0.3%, $20.2B). (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 March 31, 2024, Taxable money funds held 44.6% (up from 44.5%) of their assets in securities maturing Overnight, and another 12.4% maturing in 2-7 days (up from 12.0%). Thus, 57.0% in total matures in 1-7 days. Another 12.7% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that over three-quarters, or 81.0% 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 5.6% of taxable securities, while 8.8% matures in 91-180 days, and just 4.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
