Crane Data's September Money Fund Portfolio Holdings, with data as of August 31, 2024, show that Other (mostly Time Deposits), 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 $57.2 billion to $6.494 trillion in August, after increasing $90.4 billion in July, decreasing by $0.4 billion in June, increasing $105.6 billion in May but decreasing $61.4 billion in April. Treasuries increased by $85.8 billion, moving them into the No. 1 spot for largest portfolio segment. Repo, now the second largest segment, decreased $40.2 billion in August after decreasing $21.5 billion in July but increasing $99.3 billion in June. 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 have a few seats left for our European Money Fund Symposium next week, Sept. 19-20, in London! We look forward to seeing you next week in England!)
Among taxable money funds, Treasury securities increased $85.8 billion (3.5%) to $2.539 trillion, or 39.1% of holdings, after increasing $24.3 billion in July, decreasing $17.3 billion in June and increasing $51.0 billion in May. Repurchase Agreements (repo) decreased $40.2 billion (-1.6%) to $2.519 trillion, or 38.8% of holdings, in August, after decreasing $21.5 billion in July, but increasing $99.3 billion in June and $26.8 billion in May. Government Agency Debt was up $11.2 billion, or 1.5%, to $758.2 billion, or 11.7% of holdings. Agencies increased $22.9 billion in July, decreased $16.9 billion in June, and increased $19.9 billion in May. Repo, Treasuries and Agency holdings now total $5.815 trillion, representing a massive 89.6% of all taxable holdings.
Money fund holdings of Other (Time Deposits) and CP increased in August while CD fell. Commercial Paper (CP) increased $4.5 billion (1.6%) to $281.2 billion, or 4.3% of holdings. CP holdings increased $8.2 billion in July, but decreased $2.0 billion in June and $2.8 billion in May. Certificates of Deposit (CDs) decreased $13.9 billion (-6.9%) to $186.8 billion, or 2.9% of taxable assets. CDs increased $6.9 billion in July, but decreased $5.6 billion in June and $15.8 billion in May. Other holdings, primarily Time Deposits, increased $9.3 billion (5.0%) to $197.6 billion, or 3.0% of holdings, after increasing $49.0 billion in July, decreasing $57.5 billion in June and increasing $26.2 billion in May. VRDNs increased to $12.9 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 $1.141 trillion, or 17.6% of taxable money funds' $6.494 trillion total. Among Prime money funds, CDs represent 16.4% (down from 17.1% a month ago), while Commercial Paper accounted for 24.6% (up from 23.6% in July). The CP totals are comprised of: Financial Company CP, which makes up 16.8% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 1.3%. Prime funds also hold 0.4% in US Govt Agency Debt, 3.6% in US Treasury Debt, 20.2% in US Treasury Repo, 0.8% in Other Instruments, 14.6% in Non-Negotiable Time Deposits, 7.7% in Other Repo, 10.4% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $3.553 trillion (54.7% of all MMF assets), up from $3.503 trillion in July, while Treasury money fund assets totaled another $1.799 trillion (27.7%), up from $1.762 trillion the prior month. Government money fund portfolios were made up of 21.2% US Govt Agency Debt, 16.8% US Government Agency Repo, 32.6% US Treasury Debt, 28.8% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 74.4% US Treasury Debt and 25.5% in US Treasury Repo. Government and Treasury funds combined now total $5.353 trillion, or 82.4% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $40.2 billion in August to $757.7 billion; their share of holdings fell to 11.7% from last month's 12.4%. Eurozone-affiliated holdings decreased to $494.0 billion from last month's $510.9 billion; they account for 7.6% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $320.6 billion (4.9% of the total) from last month's $336.1 billion. Americas related holdings rose to $5.406 trillion from last month's $5.293 trillion, and now represent 83.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $33.1 billion, or -1.9%, to $1.714 trillion, or 26.4% of assets); US Government Agency Repurchase Agreements (down $1.0 billion, or -0.1%, to $716.5 billion, or 11.0% of total holdings), and Other Repurchase Agreements (down $6.2 billion, or -6.6%, from last month to $87.9 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.8 billion to $191.8 billion, or 3.0% of assets), Asset Backed Commercial Paper (unchanged at $74.2 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $1.3 billion to $15.3 billion, or 0.2%).
The 20 largest Issuers to taxable money market funds as of August 31, 2024, include: the US Treasury ($2.539T, 39.1%), Fixed Income Clearing Corp ($634.0B, 9.8%), Federal Home Loan Bank ($601.4B, 9.3%), the Federal Reserve Bank of New York ($389.8B, or 6.0%), JP Morgan ($220.7B, 3.4%), Citi ($160.0B, 2.5%), BNP Paribas ($147.8B, 2.3%), RBC ($144.4B, 2.2%), Federal Farm Credit Bank ($135.5B, 2.1%), Goldman Sachs ($110.4B, 1.7%), Bank of America ($104.2B, 1.6%), Barclays PLC ($99.4B, 1.5%), Mitsubishi UFJ Financial Group Inc ($82.4B, 1.3%), Wells Fargo ($70.4B, 1.1%), Credit Agricole ($68.3B, 1.1%), Sumitomo Mitsui Banking Corp ($59.5B, 0.9%), Canadian Imperial Bank of Commerce ($59.5B, 0.9%), Toronto-Dominion Bank ($55.7B, 0.9%), Mizuho Corporate Bank Ltd ($51.3B, 0.8%) and Bank of Montreal ($50.8B, 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 ($618.0B, 24.5%), the Federal Reserve Bank of New York ($389.8B, 15.5%), JP Morgan ($212.8B, 8.5%), Citi ($149.7B, 5.9%), BNP Paribas ($136.9B, 5.4%), RBC ($117.7B, 4.7%), Goldman Sachs ($110.2B, 4.4%), Bank of America ($86.3B, 3.4%), Barclays PLC ($81.6B, 3.2%) and Wells Fargo ($66.6B, 2.6%).
The largest users of the $389.8 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($69.4B), Fidelity Cash Central Fund ($39.9B), Goldman Sachs FS Govt ($24.7B), Vanguard Market Liquidity Fund ($21.7B), Vanguard Cash Reserves Federal MM ($21.6B), Fidelity Sec Lending Cash Central Fund ($21.0B), Fidelity Inv MM: MM Port ($12.6B), Fidelity Inv MM: Govt Port ($11.7B), Dreyfus Govt Cash Mgmt ($11.5B) and Fidelity Money Market ($11.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($31.4B, 5.2%), Mitsubishi UFJ Financial Group Inc ($30.8B, 5.1%), Toronto-Dominion Bank ($29.4B, 4.9%), RBC ($26.7B, 4.5%), ING Bank ($24.0B, 4.0%), Credit Agricole ($22.5B, 3.8%), Skandinaviska Enskilda Banken AB ($22.4B, 3.7%), Canadian Imperial Bank of Commerce ($22.4B, 3.7%), DNB ASA ($21.1B, 3.5%) and Bank of Montreal ($20.8B, 3.5%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($24.8B, 13.3%), Sumitomo Mitsui Trust Bank ($12.7B, 6.8%), Bank of America ($11.7B, 6.3%), Toronto-Dominion Bank ($11.5B, 6.2%), Credit Agricole ($11.3B, 6.1%), Sumitomo Mitsui Banking Corp ($10.8B, 5.8%), Canadian Imperial Bank of Commerce ($8.1B, 4.3%), Mizuho Corporate Bank Ltd ($6.6B, 3.5%), Bank of Montreal ($6.1B, 3.3%) and Mitsubishi UFJ Trust and Banking Corporation ($5.5B, 3.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($17.8B, 6.9%), RBC ($17.4B, 6.7%), Bank of Montreal ($13.3B, 5.1%), Barclays PLC ($11.4B, 4.4%), BSN Holdings Ltd ($10.6B, 4.1%), Canadian Imperial Bank of Commerce ($10.1B, 3.9%), BPCE SA ($9.8B, 3.8%), ING Bank ($8.3B, 3.2%), JP Morgan ($7.9B, 3.0%), and Bank of Nova Scotia ($7.8B, 3.0%).
The largest increases among Issuers include: US Treasury (up $85.8B to $2.539T), JP Morgan (up $19.6B to $220.7B), the Federal Reserve Bank of New York (up $9.1B to $389.8B), Canadian Imperial Bank of Commerce (up $5.4B to $59.5B), Federal National Mortgage Association (up $4.5B to $10.3B), Nordea Bank (up $4.3B to $9.0B), National Bank of Canada (up $3.8B to $10.9B), Lloyds Banking Group (up $3.6B to $9.7B), RBC (up $3.6B to $144.4B) and BNP Paribas (up $3.5B to $147.8B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Barclays PLC (down $26.8B to $99.4B), Bank of America (down $21.0B to $104.2B), Fixed Income Clearing Corp (down $12.3B to $634.0B), Societe Generale (down $8.0B to $48.7B), Mizuho Corporate Bank Ltd (down $6.1B to $51.3B), Sumitomo Mitsui Banking Corp (down $5.9B to $59.5B), Svenska Handelsbanken (down $5.7B to $9.9B), Natixis (down $4.2B to $24.6B), Mitsubishi UFJ Trust and Banking Corporation (down $4.2B to $9.5B) and Credit Agricole (down $4.1B to $68.3B).
The United States remained the largest segment of country-affiliations; it represents 77.9% of holdings, or $5.056 trillion. Canada (5.4%, $350.3B) was in second place, while France (4.8%, $310.5B) was No. 3. Japan (4.3%, $280.3B) occupied fourth place. The United Kingdom (2.8%, $184.0B) remained in fifth place. Netherlands (1.0%, $62.5B) was in sixth place, followed by Australia (0.7%, $46.0B), Germany (0.7%, $45.0B), Sweden (0.6%, $41.2B), and Spain (0.4%, $26.1B). (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 Aug. 31, 2024, Taxable money funds held 49.7% (down from 50.3%) of their assets in securities maturing Overnight, and another 10.1% maturing in 2-7 days (unchanged). Thus, 59.8% in total matures in 1-7 days. Another 9.7% matures in 8-30 days, while 12.3% matures in 31-60 days. Note that over three-quarters, or 81.8% 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 6.8% of taxable securities, while 8.8% matures in 91-180 days, and just 2.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
