Crane Data's October Money Fund Portfolio Holdings, with data as of Sept. 30, 2022, show Repo (led by Fed repo) increasing yet again while Treasuries continued a deep 8-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $15.2 billion to $4.934 trillion in September, after decreasing $20.8 billion in August and increasing $116.1 billion in July. Holdings decreased $2.6 billion in June, $58.4 billion in May and $55.2 billion in April. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York, which surpassed the U.S. Treasury as the largest "Issuer" four months ago, saw RRP issuance to MMFs jump $147.6 billion to $2.208 trillion after its first decline in 6 months last month. 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.
Among taxable money funds, Repurchase Agreements (repo) increased $74.4 billion (2.8%) to $2.717 trillion, or 55.1% of holdings, in September, after increasing $23.1 billion in August, $88.7 billion in July, $128.6 billion in June and $52.5 billion in May. Treasury securities fell $84.8 billion (-6.3%) to $1.253 trillion, or 25.4% of holdings, after decreasing $82.6 billion in August, $33.2 billion in July, $72.5 billion in June and $145.4 billion in May. Government Agency Debt was up $35.9 billion, or 8.1%, to $478.0 billion, or 9.7% of holdings, after increasing $11.3 billion in August and $24.5 billion in July. Agencies decreased $14.6 billion in June, but increased $35.1 billion in May. Repo, Treasuries and Agency holdings now total $4.448 trillion, representing a massive 90.2% of all taxable holdings.
Money fund holdings of CP and CDs fell in September. Commercial Paper (CP) decreased $7.8 billion (-3.2%) to $235.6 billion, or 4.8% of holdings, after increasing $15.4 billion in August and $15.3 billion in July. CP decreased $17.3 billion in June but increased $5.8 billion in May. Certificates of Deposit (CDs) decreased $1.6 billion (-1.2%) to $133.8 billion, or 2.7% of taxable assets, after increasing $13.4 billion in August and $3.6 billion in July. CDs decreased $1.0 billion in June but increased $3.4 billion in May. Other holdings, primarily Time Deposits, decreased $1.1 billion (-1.1%) to $105.8 billion, or 2.1% of holdings, after decreasing $1.8 billion in August and increasing $17.3 billion in July. Other decreased $21.1 billion in June and $4.7 billion in May. VRDNs rose to $10.4 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately today/Thursday around noon.)
Prime money fund assets tracked by Crane Data jumped to $954 billion, or 19.3% of taxable money funds' $4.934 trillion total. Among Prime money funds, CDs represent 14.0% (down from 14.4% a month ago), while Commercial Paper accounted for 24.6% (down from 26.0% in August). The CP totals are comprised of: Financial Company CP, which makes up 16.5% of total holdings, Asset-Backed CP, which accounts for 3.8%, and Non-Financial Company CP, which makes up 4.3%. Prime funds also hold 6.2% in US Govt Agency Debt, 4.1% in US Treasury Debt, 32.7% in US Treasury Repo, 0.3% in Other Instruments, 8.1% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 2.7% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $2.740 trillion (55.5% of all MMF assets), down from $2.769 trillion in August, while Treasury money fund assets totaled another $1.239 trillion (25.1%), up from 1.210 trillion the prior month. Government money fund portfolios were made up of 15.3% US Govt Agency Debt, 8.4% US Government Agency Repo, 17.2% US Treasury Debt, 58.5% in US Treasury Repo, 0.3% in Other Instruments. Treasury money funds were comprised of 60.0% US Treasury Debt and 38.8% in US Treasury Repo. Government and Treasury funds combined now total $3.979 trillion, or 80.6% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $80.6 billion in September to $347.4 billion; their share of holdings dropped to 7.0% from last month's 8.7%. Eurozone-affiliated holdings decreased to $242.1 billion from last month's $293.3 billion; they account for 4.9% of overall taxable money fund holdings. Asia & Pacific related holdings dropped to $175.9 billion (3.6% of the total) from last month's $191.3 billion. Americas related holdings rose to $4.405 trillion from last month's $4.294 trillion, and now represent 89.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $78.0 billion, or 3.4%, to $2.395 trillion, or 48.5% of assets); US Government Agency Repurchase Agreements (down $15.5 billion, or -5.7%, to $256.0 billion, or 5.2% of total holdings), and Other Repurchase Agreements (up $11.9 billion, or 22.2%, from last month to $65.7 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.7 billion to $157.9 billion, or 3.2% of assets), Asset Backed Commercial Paper (up $1.1 billion to $36.4 billion, or 0.7%), and Non-Financial Company Commercial Paper (down $6.2 billion to $41.4 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2022, include: the Federal Reserve Bank of New York ($2.208T, 44.8%), the US Treasury ($1.253T, 25.4%), Federal Home Loan Bank ($372.6B, 7.6%), Federal Farm Credit Bank ($96.4B, 2.0%), RBC ($63.4B, 1.3%), Fixed Income Clearing Corp ($63.4B, 1.3%), BNP Paribas ($54.2B, 1.1%), JP Morgan ($51.6B, 1.0%), Sumitomo Mitsui Banking Corp ($43.5B, 0.9%), Citi ($41.4B, 0.8%), Mitsubishi UFJ Financial Group Inc <b:>`_ ($36.5B, 0.7%), Bank of America ($30.4B, 0.6%), Toronto-Dominion Bank ($29.6B, 0.6%), Canadian Imperial Bank of Commerce ($25.7B, 0.5%), Barclays ($23.9B, 0.5%), Mizuho Corporate Bank Ltd ($23.7B, 0.5%), Bank of Montreal ($23.0B, 0.5%), ING Bank ($22.9B, 0.5%), Goldman Sachs ($22.8B, 0.5%) and Nomura ($21.2B, 0.4%).
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: Federal Reserve Bank of New York ($2.208T, 81.3%), Fixed Income Clearing Corp ($63.4B, 2.3%), BNP Paribas ($47.0B, 1.7%), JP Morgan ($44.9B, 1.7%), RBC ($41.2B, 1.5%), Sumitomo Mitsui Banking Corp ($28.8B, 1.1%), Bank of America ($27.3B, 1.0%), Citi ($24.6B, 0.9%), Nomura ($21.2B, 0.8%) and Goldman Sachs ($21.1B, 0.8%). The largest users of the $2.208 trillion in Fed RRP include: Goldman Sachs FS Govt ($135.0B), Fidelity Govt Money Market ($132.4B), JPMorgan US Govt MM ($130.3B), Vanguard Federal Money Mkt Fund ($126.6B), Fidelity Govt Cash Reserves ($118.6B), Morgan Stanley Inst Liq Govt ($85.7B), BlackRock Lq FedFund ($81.5B), Federated Hermes Govt Obl ($79.5B), State Street Inst US Govt ($71.7B) and American Funds Central Cash ($71.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($22.2B, 5.4%), Mitsubishi UFJ Financial Group Inc ( $19.2B, 4.7%), Toronto-Dominion Bank ($18.2B, 4.5%), Mizuho Corporate Bank Ltd ($18.0B, 4.4%), Skandinaviska Enskilda Banken AB ($17.0B, 4.2%), Citi ($16.8B, 4.1%), Sumitomo Mitsui Banking Corp ($14.7B, 3.6%), Barclays ($14.7B, 3.6%), ING Bank ($13.4B, 3.3%) and Bank of Nova Scotia ($12.3B, 3.0%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($13.9B, 10.4%), Sumitomo Mitsui Banking Corp ($12.5B, 9.3%), Citi ($12.3B, 9.2%), Toronto-Dominion Bank ($8.4B, 6.3%), Canadian Imperial Bank of Commerce ($7.9B, 5.9%), Mizuho Corporate Bank Ltd ($7.5B, 5.6%), Bank of Nova Scotia ($7.0B, 5.2%), Sumitomo Mitsui Trust Bank ($6.5B, 4.8%), Credit Agricole ($5.7B, 4.3%) and Barclays ($4.6B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.7B, 6.8%), Toronto-Dominion Bank ($9.1B, 4.6%), National Australia Bank Ltd ($8.3B, 4.1%), Bank of Montreal ($6.6B, 3.3%), JP Morgan ($6.6B, 3.3%), BNP Paribas ($6.5B, 3.3%), BayernLB ($6.2B, 3.1%), Australia & New Zealand Banking Group Ltd ($6.1B, 3.1%), Barclays ($5.9B, 3.0%) and Svenska Handelsbanken ($5.8B, 2.9%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $147.6B to $2.208T), Federal Home Loan Bank (up $37.3B to $372.6B), Fixed Income Clearing Corp (up $10.7B to $63.4B), ING Bank (up $5.8B to $22.9B), Citi (up $4.1B to $41.4B), Canadian Imperial Bank of Commerce (up $3.5B to $25.7B), JP Morgan (up $2.5B to $51.6B), Landesbank Hessen-Thueringen Girozentrale (up $1.4B to $5.0B), National Australia Bank Ltd (up $1.3B to $9.7B) and Federal Farm Credit Bank (up $1.1B to $96.4B).
The largest decreases among Issuers of money market securities (including Repo) in September were shown by: the US Treasury (down $85.7B to $1.253T), BNP Paribas (down $27.1B to $54.2B), Barclays (down $16.7B to $23.9B), RBC (down $12.7B to $63.4B), Credit Agricole (down $12.3B to $21.0B), Societe Generale (down $8.5B to $14.2B), Natixis (down $2.8B to $11.9B), Mitsubishi UFJ Financial Group Inc (down $2.7B to $36.5B), Bank of America (down $2.5B to $30.4B) and Sumitomo Mitsui Banking Corp (down $2.1B to $43.5B).
The United States remained the largest segment of country-affiliations; it represents 85.7% of holdings, or $4.230 trillion. Canada (3.6%, $175.6B) was in second place, while Japan (3.2%, $158.5B) was No. 3. France (2.3%, $113.9B) occupied fourth place. The United Kingdom (1.1%, $52.2B) remained in fifth place. Netherlands (1.0%, $47.3B) was in sixth place, followed by Sweden (0.8%, $38.2B) Germany (0.7%, $33.9B), Australia (0.6%, $31.5B) and Spain (0.3%, $14.4B). (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 Sept. 30, 2022, Taxable money funds held 69.5% (up from 66.6%) of their assets in securities maturing Overnight, and another 6.4% maturing in 2-7 days (up from 6.2%). Thus, 75.9% in total matures in 1-7 days. Another 5.9% matures in 8-30 days, while 8.4% matures in 31-60 days. Note that over three-quarters, or 90.3% 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 4.6% of taxable securities, while 3.8% matures in 91-180 days, and just 1.4% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
