Crane Data's May Money Fund Portfolio Holdings, with data as of April 30, 2024, show that Repo holdings jumped while Treasuries plunged and CP fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $61.4 billion to $6.241 trillion in April, after decreasing $63.1 billion in March. Assets increased $66.9 in February, $86.6 in January, $51.1 billion in December and $244.0 billion in November. They 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 to bounce back and reclaimed its spot as the largest portfolio segment, increasing $94.9 billion, after a steep slide two months prior. Treasuries plummeted by $144.9 billion, falling to the No. 2 spot among portfolio segments. The U.S. Treasury continues to be the single largest Issuer to MMFs. `In April, U.S. Treasury holdings fell to $2.395 trillion, while FICC Repo jumped $20.4 billion to $512.3 billion, surpassing the Fed RRP's $508.0 billion total (which fell $28.8 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 $94.9 billion (4.0%) to $2.454 trillion, or 39.3% of holdings, in April, after increasing $13.4 billion in March, decreasing $137.6 billion in February, decreasing $163.2 billion in January and increasing $74.8 billion in December. Treasury securities fell $144.9 billion (-5.7%) to $2.395 trillion, or 38.4% of holdings, after decreasing $19.6 billion in March. Treasuries increased $206.2 billion in February, $104.7 billion in January and $69.6 billion in December. Government Agency Debt was up $3.8 billion, or 0.5%, to $721.0 billion, or 11.6% of holdings. Agencies decreased $14.2 billion in March and $6.7 billion in February. They increased $43.9 billion in January, but decreased $21.8 billion in December. Repo, Treasuries and Agency holdings now total $5.570 trillion, representing a massive 89.2% of all taxable holdings.
Money fund holdings of CP and CDs decreased in April, while Time Deposits rose. Commercial Paper (CP) decreased $30.7 billion (-10.1%) to $273.3 billion, or 4.4% of holdings. CP holdings decreased $3.9 billion in March and $2.1 billion in February, increased $18.6 billion in January and decreased $14.8 billion in December. Certificates of Deposit (CDs) decreased $2.2 billion (-1.0%) to $215.2 billion, or 3.4% of taxable assets. CDs decreased $18.7 billion in March, increased $0.8 billion in February and $19.5 billion in January, and decreased $5.4 billion in December. Other holdings, primarily Time Deposits, increased $17.7 billion (11.6%) to $170.5 billion, or 2.7% of holdings, after decreasing $20.3 billion in March, increasing $5.7 billion in February and $63.4 billion in January, and decreasing $52.1 billion in December. VRDNs rose to $12.2 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Friday around noon.)
Prime money fund assets tracked by Crane Data fell to $1.363 trillion, or 21.8% of taxable money funds' $6.241 trillion total. Among Prime money funds, CDs represent 15.8% (up from 15.7% a month ago), while Commercial Paper accounted for 20.1% (down from 21.8% in March). The CP totals are comprised of: Financial Company CP, which makes up 13.1% of total holdings, Asset-Backed CP, which accounts for 5.2%, and Non-Financial Company CP, which makes up 1.8%. Prime funds also hold 3.6% in US Govt Agency Debt, 16.4% in US Treasury Debt, 17.4% in US Treasury Repo, 0.3% in Other Instruments, 10.5% in Non-Negotiable Time Deposits, 6.2% in Other Repo, 7.5% in US Government Agency Repo and 0.7% in VRDNs.
Government money fund portfolios totaled $3.180 trillion (51.0% of all MMF assets), down from $3.190 trillion in March, while Treasury money fund assets totaled another $1.698 trillion (27.2%), down from $1.724 trillion the prior month. Government money fund portfolios were made up of 21.1% US Govt Agency Debt, 18.8% US Government Agency Repo, 29.8% US Treasury Debt, 30.1% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 72.1% US Treasury Debt and 27.9% in US Treasury Repo. Government and Treasury funds combined now total $4.878 trillion, or 78.2% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $101.9 billion in April to $778.9 billion; their share of holdings rose to 12.4% from last month's 10.7%. Eurozone-affiliated holdings increased to $499.5 billion from last month's $453.7 billion; they account for 7.9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $299.7 billion (4.8% of the total) from last month's $281.0 billion. Americas related holdings fell to $5.157 trillion from last month's $5.336 trillion, and now represent 81.8% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $79.0 billion, or 5.0%, to $1.668 trillion, or 26.7% of assets); US Government Agency Repurchase Agreements (up $11.9 billion, or 1.7%, to $701.0 billion, or 11.2% of total holdings), and Other Repurchase Agreements (up $3.9 billion, or 4.9%, from last month to $84.7 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $18.4 billion to $178.0 billion, or 2.9% of assets), Asset Backed Commercial Paper (down $5.6 billion to $71.2 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $6.7 billion to $24.1 billion, or 0.4%).
The 20 largest Issuers to taxable money market funds as of April 30, 2024, include: the US Treasury ($2.395T, 38.4%), Federal Home Loan Bank ($590.3B, 9.5%), Fixed Income Clearing Corp ($512.3B, 8.2%), the Federal Reserve Bank of New York ($508.0B, or 8.1%), JP Morgan ($171.7B, 2.8%), Citi ($143.3B, 2.3%), BNP Paribas ($140.4B, 2.2%), RBC ($138.6B, 2.2%), Federal Farm Credit Bank ($124.7B, 2.0%), Bank of America ($123.9B, 2.0%), Barclays PLC ($119.7B, 1.9%), Goldman Sachs ($109.3B, 1.8%), Credit Agricole ($70.3B, 1.1%), Wells Fargo ($68.9B, 1.1%), Sumitomo Mitsui Banking Corp ($64.1B, 1.0%), Mitsubishi UFJ Financial Group Inc ($63.9B, 1.0%), Societe Generale ($55.7B, 0.9%), Mizuho Corporate Bank Ltd ($52.5B, 0.8%), Toronto-Dominion Bank ($51.6B, 0.8%) and Canadian Imperial Bank of Commerce ($48.8B, 0.8%).
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 ($512.3B, 20.9%), the Federal Reserve Bank of New York ($508.0B, 20.7%), JP Morgan ($162.2B, 6.6%), Citi ($131.2B, 5.3%), BNP Paribas ($127.7B, 5.2%), RBC ($111.4B, 4.5%), Goldman Sachs ($108.7B, 4.4%), Bank of America ($99.6B, 4.1%), Barclays ($98.7B, 4.0%) and Wells Fargo ($58.5B, 2.4%). The largest users of the $508.0 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($95.6B), Vanguard Cash Reserves Federal MM ($34.0B), Fidelity Cash Central Fund ($32.6B), Goldman Sachs FS Govt ($32.0B), Fidelity Govt Money Market ($26.7B), Northern Instit Treasury MMkt ($24.4B), Schwab Value Adv MF ($21.7B), Federated Hermes Govt Oblig ($20.0B), Fidelity Sec Lending Cash Central Fund ($18.2B) and Fidelity Inv MM: Treas Port ($16.7B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($32.0B, 5.4%), RBC ($27.3B, 4.6%), Toronto-Dominion Bank ($26.0B, 4.4%), Bank of America ($24.3B, 4.1%), Credit Agricole ($23.2B, 3.9%), DNB ASA ($22.3B, 3.7%), Barclays PLC ($21.0B, 3.5%), Bank of Montreal ($19.9B, 3.3%), Mitsubishi UFJ Financial Group Inc ($18.7B, 3.1%) and Canadian Imperial Bank of Commerce ($18.0B, 3.0%).
The 10 largest CD issuers include: Bank of America ($16.4B, 7.6%), Sumitomo Mitsui Banking Corp ($14.8B, 6.9%), Credit Agricole ($13.7B, 6.3%), Mizuho Corporate Bank Ltd ($13.4B, 6.2%), Toronto-Dominion Bank ($12.3B, 5.7%), Sumitomo Mitsui Trust Bank ($10.5B, 4.9%), Mitsubishi UFJ Financial Group Inc ($10.5B, 4.9%), Wells Fargo ($10.4B, 4.8%), Canadian Imperial Bank of Commerce ($9.2B, 4.3%) and Mitsubishi UFJ Trust and Banking Corporation ($8.7B, 4.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($16.8B, 6.8%), Toronto-Dominion Bank ($13.6B, 5.5%), Bank of Montreal ($11.9B, 4.8%), Barclays PLC ($11.4B, 4.6%), JP Morgan ($9.5B, 3.9%), BPCE SA ($9.4B, 3.8%), Mitsubishi UFJ Financial Group Inc ($8.1B, 3.3%), Bank of Nova Scotia ($7.7B, 3.1%), Landesbank Baden-Wurttemberg ($7.6B, 3.1%) and BSN Holdings Ltd ($7.0B, 2.9%).
The largest increases among Issuers include: Barclays PLC (up $39.2B to $119.7B), Citi (up $29.1B to $143.3B), JP Morgan (up $22.7B to $171.7B), Credit Agricole (up $22.5B to $70.3B), Fixed Income Clearing Corp (up $20.4B to $512.3B), Societe Generale (up $12.6B to $55.7B), Federal Home Loan Bank (up $11.8B to $590.3B), Bank of America (up $10.1B to $123.9B), Mizuho Corporate Bank Ltd (up $9.5B to $52.5B) and Erste Group Bank AG (up $8.5B to $9.0B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: US Treasury (down $144.9B to $2.395T), RBC (down $66.1B to $138.6B), the Federal Reserve Bank of New York (down $28.8B to $508.0B), Goldman Sachs (down $5.3B to $109.3B), National Bank of Canada (down $4.8B to $7.8B), Bank of Nova Scotia (down $4.7B to $26.4B), Canadian Imperial Bank of Commerce (down $4.5B to $48.8B), Mitsubishi UFJ Financial Group Inc (down $4.2B to $63.9B), Rabobank (down $2.5B to $12.9B) and HSBC (down $2.3B to $33.4B).
The United States remained the largest segment of country-affiliations; it represents 77.5% of holdings, or $4.835 trillion. Canada (5.2%, $322.4B) was in second place, while France (5.1%, $315.9B) was No. 3. Japan (4.4%, $272.3B) occupied fourth place. The United Kingdom (3.2%, $196.5B) remained in fifth place. Netherlands (1.1%, $65.6B) was in sixth place, followed by Germany (0.9%, $57.0B), Sweden (0.8%, $51.0B), Australia (0.6%, $38.7B), and Norway (0.4%, $22.3B). (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 April 30, 2024, Taxable money funds held 48.2% (up from 44.6%) of their assets in securities maturing Overnight, and another 11.4% maturing in 2-7 days (down from 12.4%). Thus, 59.6% in total matures in 1-7 days. Another 12.1% matures in 8-30 days, while 9.7% matures in 31-60 days. Note that over three-quarters, or 81.3% 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 5.4% of taxable securities, while 8.3% matures in 91-180 days, and just 5.0% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
