Crane Data's July Money Fund Portfolio Holdings, with data as of June 30, 2024, show that Repo holdings jumped while, Other, Treasuries and Agencies fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $0.4 billion to $6.346.1 trillion in June, after increasing $105.6 Billion in May and decreasing $61.4 billion in April. Assets decreased $63.1 billion in March, 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, and $106.7 billion in August. Repo continues to bounce back and remained as the largest portfolio segment after reclaiming the top spot two months prior, increasing $99.3 billion in June, following a steep slide four months prior. Treasuries decreased by $17.3 billion, staying at the No. 2 spot among portfolio segments. The U.S. Treasury continues to be the single largest Issuer to MMFs. `In June, U.S. Treasury holdings decreased to $2.428 trillion, while the Fed RRP's increased by $200.4 billion to $614.9 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: We still haven't published our monthly Form N-MFP summaries and data set due to changes in the SEC's file formats. Watch for this data to be posted in coming days once we've fixed our programs to adjust for the myriad changes which went into effect this month.)
Among taxable money funds, Repurchase Agreements (repo) increased $99.3 billion (4.0%) to $2.580 trillion, or 40.7% of holdings, in June, after increasing $26.8 billion in May, $94.9 billion in April, $13.4 billion in March, decreasing $137.6 billion in February, and decreasing $163.2 billion in January. Treasury securities decreased $17.3 billion (0.7%) to $2.428 trillion, or 38.3% of holdings, after increasing $51.0 billion in May and decreasing $144.9 billion in April. Treasuries decreased $19.6 billion in March, increased $206.2 billion in February, $104.7 billion in January and $69.6 billion in December. Government Agency Debt was down $16.9 billion, or -2.3%, to $724.1 billion, or 11.4% of holdings. Agencies increased $19.9 billion in May, $3.8 billion in April, decreased $14.2 billion in March and $6.7 billion in February. They increased $43.9 billion in January. Repo, Treasuries and Agency holdings now total $5.733 trillion, representing a massive 90.3% of all taxable holdings.
Money fund holdings of CP and CDs decreased in June as well as Time Deposits. Commercial Paper (CP) decreased $2.0 billion (-0.7%) to $268.5 billion, or 4.2% of holdings. CP holdings decreased $2.8 billion in May, $30.7 billion in April, $3.9 billion in March and $2.1 billion in February, and increased $18.6 billion in January. Certificates of Deposit (CDs) decreased $5.6 billion (-2.8%) to $193.8 billion, or 3.1% of taxable assets. CDs decreased $15.8 billion in May, $2.2 billion in April, $18.7 billion in March, increased $0.8 billion in February and $19.5 billion in January. Other holdings, primarily Time Deposits, decreased $57.5 billion (-29.2%) to $139.3 billion, or 2.2% of holdings, after increasing $26.2 billion in May, $17.7 billion in April, decreasing $20.3 billion in March, increasing $5.7 billion in February and $63.4 billion in January. VRDNs decreased to $11.9 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Thursday around noon.)
Prime money fund assets tracked by Crane Data decreased to $1.166 trillion, or 18.4% of taxable money funds' $6.346 trillion total. Among Prime money funds, CDs represent 16.6% (up from 14.5% a month ago), while Commercial Paper accounted for 23.0% (up from 19.6% in May). The CP totals are comprised of: Financial Company CP, which makes up 15.2% of total holdings, Asset-Backed CP, which accounts for 6.2%, and Non-Financial Company CP, which makes up 1.6%. Prime funds also hold 0.5% in US Govt Agency Debt, 6.9% in US Treasury Debt, 22.5% in US Treasury Repo, 0.4% in Other Instruments, 9.9% in Non-Negotiable Time Deposits, 7.7% in Other Repo, 10.2% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $3.426 trillion (54.0% of all MMF assets), up from $3.215 trillion in May, while Treasury money fund assets totaled another $1.754 trillion (27.6%), unchanged from $1.754 trillion the prior month. Government money fund portfolios were made up of 21.0% US Govt Agency Debt, 17.0% US Government Agency Repo, 30.9% US Treasury Debt, 31.0% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 73.6% US Treasury Debt and 26.2% in US Treasury Repo. Government and Treasury funds combined now total $5.180 trillion, or 81.6% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by 134.2 billion in June to $656.3 billion; their share of holdings lowered to 10.3% from last month's 12.5%. Eurozone-affiliated holdings decreased to $438.2 billion from last month's $494.5 billion; they account for 6.9% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $293.1 billion (4.6% of the total) from last month's $297.5 billion. Americas related holdings rose to $5.391 trillion from last month's $5.249 trillion, and now represent 85.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $106.9 billion, or 6.4%, to $1.786 trillion, or 28.2% of assets); US Government Agency Repurchase Agreements (down $11.7 billion, or -1.7%, to $700.0 billion, or 11.0% of total holdings), and Other Repurchase Agreements (up $4.2 billion, or 4.6%, from last month to $93.8 billion, or 1.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.2 billion to $177.8 billion, or 2.8% of assets), Asset Backed Commercial Paper (up $1.7 billion to $72.2 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $2.5 billion to $18.5 billion, or 0.3%).
The 20 largest Issuers to taxable money market funds as of June 30, 2024, include: the US Treasury ($2.428T, 38.3%), Federal Reserve Bank of New York ($614.9B, 9.7%), Federal Home Loan Bank ($567.2B, 8.9%), the Fixed Income Clearing Corp ($535.8B, or 8.4%), JP Morgan ($210.0B, 3.3%), RBC ($172.3B, 2.7%), Federal Farm Credit Bank ($146.8B, 2.3%), BNP Paribas ($137.7B, 2.2%), Citi ($135.4B, 2.1%), Bank of America ($115.0B, 1.8%), Goldman Sachs ($100.9B, 1.6%), Barclays PLC ($81.2B, 1.3%), Wells Fargo ($80.4B, 1.3%), Sumitomo Mitsui Banking Corp ($70.7B, 1.1%), Mitsubishi UFJ Financial Group Inc ($64.5B, 1.0%), Canadian Imperial Bank of Commerce ($54.8B, 0.9%), Toronto-Dominion Bank ($52.7B, 0.8%), Bank of Montreal ($49.8B, 0.8%), Credit Agricole ($47.3B, 0.7%) and Mizuho Corporate Bank Ltd ($43.8B, 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 ($614.9B, 23.8%), Fixed Income Clearing Corp ($535.8B, 20.8%), JP Morgan ($202.3B, 7.8%), RBC ($141.1B, 5.5%), Citi ($125.0B, 4.8%), BNP Paribas ($124.7B, 4.8%), Goldman Sachs ($100.6B, 3.9%), Bank of America ($91.4B, 3.5%), Wells Fargo ($74.7B, 2,9%) and Barclays ($68.6B, 2.7%). The largest users of the $614.9 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($74.2B), Goldman Sachs FS Govt ($50.5B), Fidelity Cash Central Fund ($41.3B), Fidelity Govt Money Market ($40.2B), JPMorgan US Govt MM ($31.0B), Vanguard Market Liquidity Fund ($28.3B), Vanguard Cash Reserves Federal MM ($24.9B), Schwab Value Adv MF ($21.6B), Fidelity Inv MM: Govt Port ($21.4B) and Fidelity Govt Cash Reserves ($20.7B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($31.2B, 5.8%), Toronto-Dominion Bank ($28.9B, 5.4%), Bank of America ($23.7B, 4.4%), Skandinaviska Enskilda Banken AB ($22.4B, 4.2%), Canadian Imperial Bank of Commerce ($21.6B, 4.0%), Mizuho Corporate Bank Ltd ($21.4B, 4.0%), Bank of Montreal ($21.1B, 3.9%), Sumitomo Mitsui Trust Bank ($19.1B, 3.6%), Mitsubishi UFJ Financial Group Inc ($18.7B, 3.5%) and Australia & New Zealand Banking Group Ltd ($17.0B, 3.2%).
The 10 largest CD issuers include: Bank of America ($15.9B, 8.2%), Sumitomo Mitsui Banking Corp ($14.5B, 7.5%), Mitsubishi UFJ Financial Group Inc ($12.3B, 6.4%), Sumitomo Mitsui Trust Bank ($12.0B, 6.2%), Toronto-Dominion Bank ($11.8B, 6.1%), Credit Agricole ($10.7B, 5.5%), Mizuho Corporate Bank Ltd ($9.2B, 4.7%), Bank of Montreal ($7.9B, 4.1%), Canadian Imperial Bank of Commerce ($7.6B, 3.9%) and Mitsubishi UFJ Trust and Banking Corporation ($7.3B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($17.3B, 7.1%), Toronto-Dominion Bank ($16.1B, 6.6%), Bank of Montreal ($12.7B, 5.2%), BPCE SA ($11.6B, 4.8%), Barclays PLC ($10.1B, 4.1%), Bank of Nova Scotia ($9.0B, 3.7%), Australia & New Zealand Banking Group Ltd ($8.2B, 3.4%), Canadian Imperial Bank of Commerce ($7.8B, 3.2%), JP Morgan ($7.7B, 3.2%) and BSN Holdings Ltd ($7.6B, 3.1%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $200.4B to $614.9B), Federal Farm Credit Bank (up $18.8B to $146.8B), Sumitomo Mitsui Banking Corp (up $9.8B to $70.7B), Fixed Income Clearing Corp (up $8.2B to $535.8B), RBC (up $8.1B to $172.3B), JP Morgan (up $7.8B to $210.0B), Banco Santander (up $4.1B to $22.6B), Australia & New Zealand Banking Group Ltd (up $4.0B to $25.1B), Sumitomo Mitsui Trust Bank (up $3.3B to $26.4B) and Wells Fargo (up $1.7B to $80.4B).
The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Barclays PLC (down $39.7B to $81.2B), Federal Home Loan Bank (down $34.6B to $567.2B), Credit Agricole (down $25.5B to $47.3B), Citi (down $24.9B to $135.4B), US Treasury (down $17.3B to $2.428T), DNB ASA (down $14.1B to $10.5B), Societe Generale (down $13.3B to $40.6B), Deutsche Bank AG (down $12.5B to $15.9B), Mizuho Corporate Bank Ltd (down $10.0B to $43.8B) and Goldman Sachs (down $9.5B to $100.9B).
The United States remained the largest segment of country-affiliations; it represents 79.2% of holdings, or $5.023 trillion. Canada (5.8%, $368.5B) was in second place, while France (4.3%, $272.5B) was No. 3. Japan (4.2%, $264.3B) occupied fourth place. The United Kingdom (2.5%, $156.3B) remained in fifth place. Netherlands (0.9%, $55.0B) was in sixth place, followed by Australia (0.7%, $43.2B), Sweden (0.7%, $41.8B), Germany (0.6%, $37.8B), and Spain (0.4%, $25.3B). (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 June 30, 2024, Taxable money funds held 48.6% (up from 47.7%) of their assets in securities maturing Overnight, and another 12.2% maturing in 2-7 days (unchanged from 12.2%). Thus, 60.8% in total matures in 1-7 days. Another 11.9% matures in 8-30 days, while 9.8% matures in 31-60 days. Note that over three-quarters, or 82.5% 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 5.0% of taxable securities, while 8.5% matures in 91-180 days, and just 4.0% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
