Crane Data's November Money Fund Portfolio Holdings, with data as of Oct. 31, 2024, show that Treasuries jumped sharply while Repo holdings dropped last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $82.8 billion to $6.810 trillion in October, after increasing $233.8 billion in September, $57.2 billion in August and $90.4 billion in July. Taxable holdings decreasing by $0.4 billion in June, increased $105.6 billion in May, but decreased $61.4 billion in April. Treasuries, now the largest segment, increased $236.2 billion in October after increasing $92.0 billion in September, but decreasing $40.2 billion in August and $21.5 billion in July. Repo decreased by $242.8 billion, moving it down to the No. 2 spot for largest portfolio segment. 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. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.) (Note: Register soon for our "basic training" event, Money Fund University, which takes place Dec. 19-20 in Providence, R.I.)
Among taxable money funds, Repurchase Agreements (repo) decreased $242.8 billion (-9.1%) to $2.427 trillion, or 35.6% of holdings, in October, after increasing $151.7 billion in September, but decreasing $40.2 billion in August and $21.5 billion in July. They increased $99.3 billion in June. Treasury securities increased $236.2 billion (9.0%) to $2.867 trillion, or 42.1% of holdings, after increasing $92.0 billion in September, $85.8 billion in August and $24.3 billion in July. T-bills decreased $17.3 billion in June. Government Agency Debt was up $70.3 billion, or 9.0%, to $849.3 billion, or 12.5% of holdings. Agencies increased $20.9 billion in September, $11.2 billion in August and $22.9 billion in July. Repo, Treasuries and Agency holdings now total $6.143 trillion, representing a massive 90.2% of all taxable holdings.
Money fund holdings of Other (Time Deposits), CD and CP all rose in October. Commercial Paper (CP) increased $12.2 billion (4.3%) to $293.8 billion, or 4.3% of holdings. CP holdings increased $0.3 billion in September, $4.5 billion in August and $8.2 billion in July. Certificates of Deposit (CDs) increased $2.1 billion (1.2%) to $187.2 billion, or 2.7% of taxable assets. CDs decreased $1.7 billion in September and $13.9 billion in August, but increased $6.9 billion in July. Other holdings, primarily Time Deposits, increased $3.9 billion (2.3%) to $172.0 billion, or 2.5% of holdings, after decreasing $29.4 billion in September, increasing $9.3 billion in August and $49.0 billion in July. VRDNs increased to $13.9 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)
Prime money fund assets tracked by Crane Data increased to $1.165 trillion, or 17.1% of taxable money funds' $6.810 trillion total. Among Prime money funds, CDs represent 16.1% (down from 16.3% a month ago), while Commercial Paper accounted for 25.3% (up from 24.8% in September). The CP totals are comprised of: Financial Company CP, which makes up 17.2% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 1.4%. Prime funds also hold 0.5% in US Govt Agency Debt, 5.8% in US Treasury Debt, 18.4% in US Treasury Repo, 0.9% in Other Instruments, 11.7% in Non-Negotiable Time Deposits, 7.8% in Other Repo, 12.4% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $3.755 trillion (55.1% of all MMF assets), up from $3.679 trillion in September, while Treasury money fund assets totaled another $1.891 trillion (27.8%), down from $1.912 trillion the prior month. Government money fund portfolios were made up of 22.5% US Govt Agency Debt, 15.7% US Government Agency Repo, 36.5% US Treasury Debt, 24.7% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 75.7% US Treasury Debt and 24.2% in US Treasury Repo. Government and Treasury funds combined now total $5.645 trillion, or 82.9% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $76.1 billion in October to $774.4 billion; their share of holdings rose to 11.4% from last month's 10.4%. Eurozone-affiliated holdings increased to $520.7 billion from last month's $480.4 billion; they account for 7.7% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $315.7 billion (4.6% of the total) from last month's $298.8 billion. Americas related holdings fell to $5.714 trillion from last month's $5.724 trillion, and now represent 83.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $245.3 billion, or -13.3%, to $1.598 trillion, or 23.5% of assets); US Government Agency Repurchase Agreements (down $8.1 billion, or -1.1%, to $733.0 billion, or 10.8% of total holdings), and Other Repurchase Agreements (up $10.6 billion, or 12.3%, from last month to $96.5 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $11.1 billion to $200.2 billion, or 2.9% of assets), Asset Backed Commercial Paper (down $0.4 billion at $77.5 billion, or 1.1%), and Non-Financial Company Commercial Paper (up $1.5 billion to $16.1 billion, or 0.2%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2024, include: the US Treasury ($2.867T, 42.1%), Fixed Income Clearing Corp ($776.9B, 11.4%), Federal Home Loan Bank ($639.6B, 9.4%), JP Morgan ($176.2B, 2.6%), the Federal Reserve Bank of New York ($173.6B, or 2.5%), Citi ($161.0B, 2.4%), BNP Paribas ($156.3B, 2.3%), RBC ($148.9B, 2.2%), Federal Farm Credit Bank ($147.1B, 2.2%), Goldman Sachs ($116.2B, 1.7%), Barclays PLC ($106.3B, 1.6%), Bank of America ($103.7B, 1.5%), Mitsubishi UFJ Financial Group Inc ($79.3B, 1.2%), Wells Fargo ($71.1B, 1.0%), Credit Agricole ($67.9B, 1.0%), Sumitomo Mitsui Banking Corp ($63.3B, 0.9%), Toronto-Dominion Bank ($60.2B, 0.9%), Societe Generale ($51.1B, 0.7%), Canadian Imperial Bank of Commerce ($50.8B, 0.7%) and Mizuho Corporate Bank Ltd ($44.3B, 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: Fixed Income Clearing Corp ($754.5B, 31.1%), the Federal Reserve Bank of New York ($173.6B, 7.2%), JP Morgan ($167.6B, 6.9%), Citi ($149.5B, 6.2%), BNP Paribas ($145.7B, 6.0%), RBC ($116.0B, 4.8%), Goldman Sachs ($115.6B, 4.8%), Barclays PLC ($95.3B, 3.9%), Bank of America ($83.4B, 3.4%) and Wells Fargo ($68.4B, 2.8%).
The largest users of the $173.6 billion in Fed RRP include: Fidelity Cash Central Fund ($35.7B), Fidelity Sec Lending Cash Central Fund ($16.5B), Vanguard Federal Money Mkt Fund ($13.3B), Dreyfus Govt Cash Mgmt ($13.0B), Dreyfus Treas Obligations Cash Mgmt ($8.0B), Goldman Sachs FS Treas Sol ($7.8B), Vanguard Market Liquidity Fund ($6.4B), American Funds Central Cash ($6.1B), Dreyfus Inst Pref Govt MMF ($6.0B) and Columbia Short-Term Cash Fund ($5.9B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($33.2B, 5.6%), RBC ($32.9B, 5.6%), Mizuho Corporate Bank Ltd ($29.8B, 5.0%), Mitsubishi UFJ Financial Group Inc ($29.7B, 5.0%), Australia & New Zealand Banking Group Ltd ($25.4B, 4.3%), DNB ASA ($24.5B, 4.1%), ING Bank ($22.8B, 3.9%), Fixed Income Clearing Corp ($22.4B, 3.8%), Skandinaviska Enskilda Banken AB ($22.1B, 3.7%) and Bank of America ($20.3B, 3.4%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($22.8B, 12.2%), Sumitomo Mitsui Trust Bank ($15.9B, 8.5%), Bank of America ($13.4B, 7.2%), Mizuho Corporate Bank Ltd ($12.3B, 6.6%), Toronto-Dominion Bank ($11.6B, 6.2%), Credit Agricole ($10.6B, 5.7%), Sumitomo Mitsui Banking Corp ($10.0B, 5.4%), Canadian Imperial Bank of Commerce ($8.0B, 4.3%), Bank of Nova Scotia ($6.4B, 3.4%) and Mitsubishi UFJ Trust and Banking Corporation ($5.8B, 3.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($22.4B, 8.2%), Toronto-Dominion Bank ($21.5B, 7.9%), Bank of Montreal ($14.2B, 5.2%), Barclays PLC ($10.4B, 3.8%), Australia & New Zealand Banking Group Ltd ($10.4B, 3.8%), DNB ASA ($9.4B, 3.4%), Citi ($8.8B, 3.2%), JP Morgan ($8.6B, 3.2%), ING Bank ($8.6B, 3.1%) and Bank of Nova Scotia ($8.4B, 3.1%).
The largest increases among Issuers include: US Treasury (up $236.2B to $2.867T), Federal Home Loan Bank (up $39.7B to $639.6B), Barclays PLC (up $30.0B to $106.3B), Federal Home Loan Mortgage Corp (up $19.8B to $38.3B), Credit Agricole (up $19.1B to $67.9B), Erste Group Bank AG (up $10.2B to $11.2B), Mizuho Corporate Bank Ltd (up $9.8B to $44.3B), Societe Generale (up $9.4B to $51.1B), Citi (up $9.0B to $161.0B) and Australia & New Zealand Banking Group Ltd (up $6.5B to $36.1B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of New York (down $255.0B to $173.6B), JP Morgan (down $25.2B to $176.2B), Goldman Sachs (down $12.9B to $116.2B), Fixed Income Clearing Corp (down $12.7B to $776.9B), Bank of Montreal (down $7.8B to $43.7B), RBC (down $4.4B to $148.9B), National Bank of Canada (down $4.3B to $7.6B), Canadian Imperial Bank of Commerce (down $4.2B to $50.8B), Nomura (down $3.1B to $26.0B) and Mitsubishi UFJ Trust and Banking Corporation (down $2.8B to $9.5B).
The United States remained the largest segment of country-affiliations; it represents 78.8% of holdings, or $5.369 trillion. Canada (5.1%, $345.4B) was in second place, while France (4.7%, $322.5B) was No. 3. Japan (4.1%, $278.4B) occupied fourth place. The United Kingdom (2.6%, $175.7B) remained in fifth place. Australia (0.9%, $60.2B) was in sixth place, followed by Netherlands (0.8%, $56.6B), Germany (0.7%, $44.8B), Sweden (0.6%, $40.5B), and Spain (0.4%, $30.2B). (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 Oct. 31, 2024, Taxable money funds held 44.7% (down from 51.1%) of their assets in securities maturing Overnight, and another 11.5% maturing in 2-7 days (up from 10.3%). Thus, 56.2% in total matures in 1-7 days. Another 10.1% matures in 8-30 days, while 10.8% matures in 31-60 days. Note that over three-quarters, or 77.0% 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 8.0% of taxable securities, while 11.7% matures in 91-180 days, and just 3.3% matures beyond 181 days.
