Crane Data's June Money Fund Portfolio Holdings, with data as of May 31, 2024, show that Repo holdings and Treasuries both jumped while CD and CP fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $105.6 billion to $6.347 trillion in May, after decreasing $61.4 billion in April, $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 continues to bounce back and remained as the largest portfolio segment after reclaiming the top spot the month prior, increasing $26.8 billion, after a steep slide three months prior. Treasuries rose by $51.0 billion, staying at the No. 2 spot among portfolio segments. The U.S. Treasury continues to be the single largest Issuer to MMFs. `In May, U.S. Treasury holdings rose to $2.446 trillion, while the Fed RRP's fell $93.5 billion to $414.5 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. (Note: For those attending our Money Fund Symposium this week (June 12-14), welcome to Pittsburgh! Attendees and Crane Data subscribers may access the conference binder and materials via our "Money Fund Symposium 2024 Download Center.")

Among taxable money funds, Repurchase Agreements (repo) increased $26.8 billion (1.1%) to $2.481 trillion, or 39.1% of holdings, in May, after increasing $94.9 billion in April, $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 rose $51.0 billion (2.1%) to $2.446 trillion, or 38.5% of holdings, after decreasing $144.9 billion in April, $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 $19.9 billion, or 2.8%, to $741.0 billion, or 11.7% of holdings. Agencies increased $3.8 billion in April, 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 $5.668 trillion, representing a massive 89.3% of all taxable holdings.

Money fund holdings of CP and CDs decreased in May, while Time Deposits rose. Commercial Paper (CP) decreased $2.8 billion (-1.0%) to $270.5 billion, or 4.3% of holdings. CP holdings decreased $30.7 billion in April, $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 $15.8 billion (-7.4%) to $199.4 billion, or 3.1% of taxable assets. CDs decreased $2.2 billion in April, $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 $26.2 billion (15.4%) to $196.7 billion, or 3.1% of holdings, after increasing $17.7 billion in April, 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 $12.4 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 $1.377 trillion, or 21.7% of taxable money funds' $6.347 trillion total. Among Prime money funds, CDs represent 14.5% (down from 15.8% a month ago), while Commercial Paper accounted for 19.6% (down from 20.1% in April). The CP totals are comprised of: Financial Company CP, which makes up 13.0% of total holdings, Asset-Backed CP, which accounts for 5.1%, and Non-Financial Company CP, which makes up 1.5%. Prime funds also hold 3.5% in US Govt Agency Debt, 16.7% in US Treasury Debt, 16.6% in US Treasury Repo, 0.3% in Other Instruments, 12.5% in Non-Negotiable Time Deposits, 6.2% in Other Repo, 8.2% in US Government Agency Repo and 0.7% in VRDNs.

Government money fund portfolios totaled $3.215 trillion (50.7% of all MMF assets), up from $3.180 trillion in April, while Treasury money fund assets totaled another $1.754 trillion (27.6%), up from $1.698 trillion the prior month. Government money fund portfolios were made up of 21.6% US Govt Agency Debt, 18.6% US Government Agency Repo, 29.4% US Treasury Debt, 30.2% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 72.5% US Treasury Debt and 27.3% in US Treasury Repo. Government and Treasury funds combined now total $4.969 trillion, or 78.3% of all taxable money fund assets.

European-affiliated holdings (including repo) increased by $11.6 billion in May to $790.5 billion; their share of holdings rose to 12.5% from last month's 12.4%. Eurozone-affiliated holdings decreased to $494.5 billion from last month's $499.5 billion; they account for 7.8% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $297.5 billion (4.7% of the total) from last month's $299.7 billion. Americas related holdings rose to $5.249 trillion from last month's $5.157 trillion, and now represent 82.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $11.1 billion, or 0.7%, to $1.680 trillion, or 26.5% of assets); US Government Agency Repurchase Agreements (up $10.8 billion, or 1.5%, to $711.8 billion, or 11.2% of total holdings), and Other Repurchase Agreements (up $4.9 billion, or 5.8%, from last month to $89.6 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.1 billion to $179.1 billion, or 2.8% of assets), Asset Backed Commercial Paper (down $0.7 billion to $70.5 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $3.2 billion to $20.9 billion, or 0.3%).

The 20 largest Issuers to taxable money market funds as of April 30, 2024, include: the US Treasury ($2.446T, 38.5%), Federal Home Loan Bank ($601.8B, 9.5%), Fixed Income Clearing Corp ($527.6B, 8.3%), the Federal Reserve Bank of New York ($414.5B, or 6.5%), JP Morgan ($202.2B, 3.2%), RBC ($164.2B, 2.6%), Citi ($160.4B, 2.5%), BNP Paribas ($139.1B, 2.2%), Federal Farm Credit Bank ($128.0B, 2.0%), Bank of America ($124.0B, 2.0%), Barclays PLC ($120.9B, 1.9%), Goldman Sachs ($110.4B, 1.7%), Wells Fargo ($78.7B, 1.2%), Credit Agricole ($72.8B, 1.1%), Mitsubishi UFJ Financial Group Inc ($63.9B, 1.0%), Sumitomo Mitsui Banking Corp ($60.9B, 1.0%), Bank of Montreal ($57.3B, 0.9%), Canadian Imperial Bank of Commerce ($54.9B, 0.9%), Societe Generale ($53.9B, 0.8%) and Mizuho Corporate Bank Ltd ($53.8B, 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 ($527.6B, 21.3%), the Federal Reserve Bank of New York ($414.5B, 16.7%), JP Morgan ($193.4B, 7.8%), Citi ($148.6B, 6.0%), RBC ($134.4B, 5.4%), BNP Paribas ($127.4B, 5.1%), Goldman Sachs ($109.7B, 4.4%), Bank of America ($100.9B, 4.1%), Barclays ($100.1B, 4.0%) and Wells Fargo ($68.9B, 2.8%). The largest users of the $414.5 billion in Fed RRP include: Goldman Sachs FS Govt ($149.2B), Vanguard Federal Money Mkt Fund ($125.9B), Fidelity Govt Money Market ($161.0B), JPMorgan US Govt MM ($114.8B), Federated Hermes Govt Oblig ($105.5B), Schwab Value Adv MF ($101.2B), Fidelity Govt Cash Reserves ($97.3B), Morgan Stanley Inst Liq Govt ($95.7B), Fidelity Inv MM: Govt Port ($93.9B) and Allspring Govt MM ($65.3B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($32.7B, 5.4%), RBC ($29.8B, 4.9%), Toronto-Dominion Bank ($25.5B, 4.2%), DNB ASA ($24.6B, 4.1%), Credit Agricole ($24.6B, 4.1%), Bank of America ($23.0B, 3.8%), Canadian Imperial Bank of Commerce ($22.2B, 3.7%), Bank of Montreal ($21.3B, 3.5%), Skandinaviska Enskilda Banken AB ($20.9B, 3.5%) and Barclays PLC ($20.8B, 3.4%).

The 10 largest CD issuers include: Bank of America ($15.1B, 7.6%), Sumitomo Mitsui Banking Corp ($13.5B, 6.8%), Credit Agricole ($13.2B, 6.6%), Mitsubishi UFJ Financial Group Inc ($12.3B, 6.2%), Toronto-Dominion Bank ($11.2B, 5.6%), Sumitomo Mitsui Trust Bank ($9.9B, 5.0%), Wells Fargo ($9.8B, 4.9%), Mizuho Corporate Bank Ltd ($9.0B, 4.5%), Mitsubishi UFJ Trust and Banking Corporation ($8.5B, 4.3%) and Canadian Imperial Bank of Commerce ($8.3B, 4.1%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($17.5B, 7.1%), Toronto-Dominion Bank ($14.2B, 5.8%), Bank of Montreal ($12.4B, 5.1%), BPCE SA ($12.3B, 5.0%), Barclays PLC ($11.3B, 4.6%), JP Morgan ($8.8B, 3.6%), BSN Holdings Ltd ($8.6B, 3.5%), Bank of Nova Scotia ($8.3B, 3.4%), UBS AG ($6.9B, 2.8%) and Citi ($6.9B, 2.8%).

The largest increases among Issuers include: US Treasury (up $51.0B to $2.446T), JP Morgan (up $30.5B to $202.2B), RBC (up $25.6B to $164.2B), Citi (up $17.1B to $160.4B), Fixed Income Clearing Corp (up $15.2B to $527.6B), Federal Home Loan Bank (up $11.5B to $601.8B), Bank of Montreal (up $10.3B to $57.3B), Wells Fargo (up $9.8B to $78.7B), BSN Holdings Ltd (up $7.0B to $8.6B) and Canadian Imperial Bank of Commerce (up $6.1B to $54.9B).

The largest decreases among Issuers of money market securities (including Repo) in May were shown by: the Federal Reserve Bank of New York (down $93.5B to $414.5B), Nomura (down $3.9B to $24.7B), Federated (down $3.3B to $14.3B), Sumitomo Mitsui Banking Corp (down $3.2B to $60.9B), Rabobank (down $2.2B to $10.7B), Landesbank Baden-Wurttemberg (down $1.8B to $10.7B), Societe Generale (down $1.8B to $53.9B), BNP Paribas (down $1.3B to $139.1B), Sumitomo Mitsui Trust Bank (down $1.0B to $23.1B) and Australia & New Zealand Banking Group Ltd (down $0.8B to $21.1B).

The United States remained the largest segment of country-affiliations; it represents 76.9% of holdings, or $4.882 trillion. Canada (5.8%, $367.3B) was in second place, while France (5.0%, $314.9B) was No. 3. Japan (4.2%, $266.8B) occupied fourth place. The United Kingdom (3.2%, $203.3B) remained in fifth place. Netherlands (1.0%, $62.2B) was in sixth place, followed by Sweden (0.9%, $58.3B), Germany (0.9%, $54.8B), Australia (0.6%, $37.7B), and Norway (0.4%, $25.1B). (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 May 31, 2024, Taxable money funds held 47.7% (down from 48.2%) of their assets in securities maturing Overnight, and another 12.2% maturing in 2-7 days (up from 11.4%). Thus, 59.9% in total matures in 1-7 days. Another 9.5% matures in 8-30 days, while 12.1% matures in 31-60 days. Note that over three-quarters, or 81.6% 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 5.8% of taxable securities, while 8.1% matures in 91-180 days, and just 4.6% matures beyond 181 days. (Visit our Content center to download, or contact us <i:mailto:info@cranedata.com>`_to request our latest `Portfolio Holdings reports.)

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