Crane Data's August Money Fund Portfolio Holdings, with data as of July 31, 2024, show that Other, Treasuries and Agencies jumped while, Repo holdings dropped last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $90.4 billion to $6.437 trillion in July, after decreasing by $0.4 billion in June, increasing $105.6 billion in May and decreasing $61.4 billion in April. Repo decreased $21.5 billion in July after increasing $99.3 billion in June. It remains the largest portfolio segment. Treasuries increased by $24.3 billion, staying at the No. 2 spot. (The U.S. Treasury continues to be the single largest Issuer to MMFs. `In July, U.S. Treasury holdings increased to $2.453 trillion, while NY Fed Repo decreased by $234.3 billion to $380.6 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: Register soon for our European Money Fund Symposium, which is Sept. 19-20, 2024 in London, England. Our discounted hotel rate expires on Wednesday!)
Among taxable money funds, Repurchase Agreements (repo) decreased $21.5 billion (-0.8%) to $2.559 trillion, or 39.8% of holdings, in July, after increasing $99.3 billion in June, $26.8 billion in May, and $94.9 billion in April. Treasury securities increased $24.3 billion (1.0%) to $2.453 trillion, or 38.1% of holdings, after decreasing $17.3 billion in June, increasing $51.0 billion in May and decreasing $144.9 billion in April. Government Agency Debt was up $22.9 billion, or 3.2%, to $747.0 billion, or 11.6% of holdings. Agencies decreased $16.9 billion in June, increased $19.9 billion in May and $3.8 billion in April, but decreased $14.2 billion in March and $6.7 billion in February. Repo, Treasuries and Agency holdings now total $5.758 trillion, representing a massive 89.5% of all taxable holdings.
Money fund holdings of Other (Time Deposits), CP and CDs increased in July. Commercial Paper (CP) increased $8.2 billion (3.1%) to $276.7 billion, or 4.3% of holdings. CP holdings decreased $2.0 billion in June, $2.8 billion in May and $30.7 billion in April. Certificates of Deposit (CDs) increased $6.9 billion (3.6%) to $200.7 billion, or 3.1% of taxable assets. CDs decreased $5.6 billion in June, $15.8 billion in May and $2.2 billion in April. Other holdings, primarily Time Deposits, increased $49.0 billion (35.2%) to $188.2 billion, or 2.9% of holdings, after decreasing $57.5 billion in June and increasing $26.2 billion. VRDNs increased 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 Monday around noon.)
Prime money fund assets tracked by Crane Data increased to $1.171 trillion, or 18.2% of taxable money funds' $6.437 trillion total. Among Prime money funds, CDs represent 17.1% (up from 16.6% a month ago), while Commercial Paper accounted for 23.6% (up from 23.0% in June). The CP totals are comprised of: Financial Company CP, which makes up 15.9% of total holdings, Asset-Backed CP, which accounts for 6.3%, and Non-Financial Company CP, which makes up 1.4%. Prime funds also hold 0.4% in US Govt Agency Debt, 4.5% in US Treasury Debt, 20.9% in US Treasury Repo, 0.8% in Other Instruments, 13.5% in Non-Negotiable Time Deposits, 7.6% in Other Repo, 10.3% in US Government Agency Repo and 0.8% in VRDNs.
Government money fund portfolios totaled $3.503 trillion (54.4% of all MMF assets), up from $3.426 trillion in June, while Treasury money fund assets totaled another $1.762 trillion (27.4%), up from $1.754 trillion the prior month. Government money fund portfolios were made up of 21.2% US Govt Agency Debt, 17.0% US Government Agency Repo, 31.7% US Treasury Debt, 29.6% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 73.2% US Treasury Debt and 26.5% in US Treasury Repo. Government and Treasury funds combined now total $5.265 trillion, or 81.8% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $140.9 billion in July to $798.0 billion; their share of holdings rose to 12.4% from last month's 10.4%. Eurozone-affiliated holdings increased to $510.9 billion from last month's $438.2 billion; they account for 7.9% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $336.1 billion (5.2% of the total) from last month's $293.1 billion. Americas related holdings fell to $5.293 trillion from last month's $5.391 trillion, and now represent 82.2% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $39.2 billion, or -2.2%, to $1.747 trillion, or 27.1% of assets); US Government Agency Repurchase Agreements (up $17.5 billion, or 2.5%, to $717.5 billion, or 11.1% of total holdings), and Other Repurchase Agreements (up $0.3 billion, or 0.3%, from last month to $94.0 billion, or 1.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $8.2 billion to $186.0 billion, or 2.9% of assets), Asset Backed Commercial Paper (up $2.0 billion to $74.2 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $1.9 billion to $16.6 billion, or 0.3%).
The 20 largest Issuers to taxable money market funds as of July 31, 2024, include: the US Treasury ($2.453T, 38.1%), Fixed Income Clearing Corp ($646.3B, 10.0%), Federal Home Loan Bank ($598.6B, 9.3%), the Federal Reserve Bank of New York ($380.6B, or 5.9%), JP Morgan ($201.1B, 3.1%), Citi ($162.4B, 2.5%), BNP Paribas ($144.2B, 2.2%), RBC ($140.8B, 2.2%), Federal Farm Credit Bank ($133.2B, 2.1%), Barclays PLC ($126.2B, 2.0%), Bank of America ($125.1B, 1.9%), Goldman Sachs ($110.2B, 1.7%), Mitsubishi UFJ Financial Group Inc ($83.3B, 1.3%), Credit Agricole ($72.4B, 1.1%), Wells Fargo ($67.9B, 1.1%), Sumitomo Mitsui Banking Corp ($65.5B, 1.0%), Mizuho Corporate Bank Ltd ($57.4B, 0.9%), Societe Generale ($56.7B, 0.9%), Toronto-Dominion Bank ($54.1B, 0.8%) and Canadian Imperial Bank of Commerce ($54.1B, 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 ($630.3B, 24.6%), the Federal Reserve Bank of New York ($380.6B, 14.9%), JP Morgan ($192.7B, 7.5%), Citi ($150.6B, 5.9%), BNP Paribas ($133.2B, 5.2%), RBC ($111.8B, 4.4%), Barclays PLC ($111.7B, 4.4%), Goldman Sachs ($110.0B, 4.3%), Bank of America ($104.7B, 4,1%) and Wells Fargo ($63.1B, 2.5%). The largest users of the $380.6 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($71.8B), Fidelity Cash Central Fund ($46.5B), Vanguard Cash Reserves Federal MM ($22.7B), Fidelity Govt Money Market ($20.2B), Fidelity Sec Lending Cash Central Fund ($20.0B), Fidelity Inv MM: MM Port ($17.6B), Fidelity Inv MM: Treas Port ($15.9B), Fidelity Money Market ($15.4B), American Funds Central Cash ($14.5B) and Vanguard Market Liquidity Fund ($13.6B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc ($33.4B, 5.6%), RBC ($29.1B, 4.8%), Mizuho Corporate Bank Ltd ($28.9B, 4.8%), Toronto-Dominion Bank ($28.4B, 4.7%), Credit Agricole ($23.2B, 3.9%), Skandinaviska Enskilda Banken AB ($22.5B, 3.7%), Sumitomo Mitsui Trust Bank ($21.6B, 3.6%), Canadian Imperial Bank of Commerce ($20.8B, 3.5%), Bank of America ($20.4B, 3.4%) and ING Bank ($19.8B, 3.3%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($23.9B, 11.9%), Credit Agricole ($13.9B, 6.9%), Bank of America ($13.5B, 6.7%), Sumitomo Mitsui Banking Corp ($12.8B, 6.4%), Sumitomo Mitsui Trust Bank ($12.2B, 6.1%), Toronto-Dominion Bank ($10.6B, 5.3%), Canadian Imperial Bank of Commerce ($8.4B, 4.2%), Mitsubishi UFJ Trust and Banking Corporation ($8.2B, 4.1%), Mizuho Corporate Bank Ltd ($7.2B, 3.6%) and Bank of Montreal ($6.7B, 3.3%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($17.7B, 7.0%), RBC ($16.8B, 6.6%), Barclays PLC ($12.4B, 4.9%), Bank of Montreal ($11.0B, 4.3%), BPCE SA ($10.4B, 4.1%), BSN Holdings Ltd ($9.4B, 3.7%), Sumitomo Mitsui Trust Bank ($9.3B, 3.7%), Bank of Nova Scotia ($8.6B, 3.4%), Canadian Imperial Bank of Commerce ($8.5B, 3.3%) and JP Morgan ($8.4B, 3.3%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $110.5B to $646.3B), Barclays PLC (up $45.0B to $126.2B), Citi (up $26.9B to $162.4B), Credit Agricole (up $25.1B to $72.4B), US Treasury (up $24.3B to $2.453T), Mitsubishi UFJ Financial Group Inc (up $18.8B to $83.3B), Societe Generale (up $16.2B to $56.7B), Federal Home Loan Bank (up $15.5B to $598.6B), Mizuho Corporate Bank Ltd (up $13.6B to $57.4B) and Bank of America (up $10.1B to $125.1B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the Federal Reserve Bank of New York (down $234.3B to $380.6B), RBC (down $31.4B to $140.8B), Wells Fargo (down $12.5B to $67.9B), JP Morgan (down $8.9B to $201.1B), Sumitomo Mitsui Banking Corp (down $5.2B to $65.5B), Bank of Nova Scotia (down $2.4B to $27.9B), BPCE SA (down $1.2B to $10.4B), HSBC (down $0.8B to $32.7B), Canadian Imperial Bank of Commerce (down $0.7B to $54.1B) and Norinchukin Bank (down $0.7B to $7.3B).
The United States remained the largest segment of country-affiliations; it represents 77.0% of holdings, or $4.956 trillion. Canada (5.2%, $336.3B) was in second place, while France (5.0%, $322.4B) was No. 3. Japan (4.7%, $300.5B) occupied fourth place. The United Kingdom (3.2%, $204.4B) remained in fifth place. Netherlands (1.0%, $61.3B) was in sixth place, followed by Australia (0.8%, $49.1B), Germany (0.8%, $48.8B), Sweden (0.8%, $48.0B), and Spain (0.4%, $26.4B). (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 July 31, 2024, Taxable money funds held 50.3% (up from 48.6%) of their assets in securities maturing Overnight, and another 10.1% maturing in 2-7 days (down from 12.2%). Thus, 60.4% in total matures in 1-7 days. Another 11.2% matures in 8-30 days, while 9.0% matures in 31-60 days. Note that over three-quarters, or 80.6% 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 5.9% of taxable securities, while 9.6% matures in 91-180 days, and just 3.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
