Crane Data's November Money Fund Portfolio Holdings, with data as of Oct. 31, 2022, show Repo (led by Fed repo) decreased and Treasuries continued a deep 9-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $57.7 billion to $4.991 trillion in October, after increasing $15.2 billion in September, 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" five months ago, saw RRP issuance to MMFs drop $82.0 billion to $2.126 trillion. 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) decreased $6.0 billion (-0.2%) to $2.711 trillion, or 54.3% of holdings, in October, after increasing $74.4 billion in September, $23.1 billion in August, $88.7 billion in July and $128.6 billion in June. Treasury securities fell $41.8 billion (-3.3%) to $1.211 trillion, or 24.3% of holdings, after decreasing $84.8 billion in September, $82.6 billion in August, $33.2 billion in July and $72.5 billion in June. Government Agency Debt was up $55.0 billion, or 11.5%, to $533.0 billion, or 10.7% of holdings, after increasing $35.9 billion in September, $11.3 billion in August and $24.5 billion in July. Agencies decreased $14.6 billion in June. Repo, Treasuries and Agency holdings now total $4.455 trillion, representing a massive 89.3% of all taxable holdings.
Money fund holdings of CP and CDs jumped in October. Commercial Paper (CP) increased $19.3 billion (8.2%) to $254.9 billion, or 5.1% of holdings, after decreasing $7.8 billion in September, but increasing $15.4 billion in August and $15.3 billion in July. Certificates of Deposit (CDs) increased $15.5 billion (11.6%) to $149.3 billion, or 3.0% of taxable assets, after decreasing $1.6 billion in September, but increasing $13.4 billion in August and $3.6 billion in July. Other holdings, primarily Time Deposits, increased $16.0 billion (15.1%) to $121.8 billion, or 2.4% of holdings, after decreasing $1.1 billion in September, $1.8 billion in August and increasing $17.3 billion in July. VRDNs fell to $10.1 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 jumped to $999 billion, or 20.0% of taxable money funds' $4.991 trillion total. Among Prime money funds, CDs represent 14.9% (up from 14.0% a month ago), while Commercial Paper accounted for 25.6% (up from 24.6% in September). The CP totals are comprised of: Financial Company CP, which makes up 16.8% of total holdings, Asset-Backed CP, which accounts for 4.0%, and Non-Financial Company CP, which makes up 4.8%. Prime funds also hold 5.9% in US Govt Agency Debt, 3.1% in US Treasury Debt, 30.5% in US Treasury Repo, 0.3% in Other Instruments, 9.8% in Non-Negotiable Time Deposits, 4.6% in Other Repo, 3.0% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $2.726 trillion (54.6% of all MMF assets), down from $2.740 trillion in September, while Treasury money fund assets totaled another $1.266 trillion (25.4%), up from $1.239 trillion the prior month. Government money fund portfolios were made up of 17.4% US Govt Agency Debt, 9.4% US Government Agency Repo, 16.1% US Treasury Debt, 56.9% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 58.6% US Treasury Debt and 41.4% in US Treasury Repo. Government and Treasury funds combined now total $3.992 trillion, or 80.0% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $60.3 billion in October to $407.6 billion; their share of holdings jumped to 8.2% from last month's 7.0%. Eurozone-affiliated holdings increased to $273.6 billion from last month's $242.1 billion; they account for 5.5% of overall taxable money fund holdings. Asia & Pacific related holdings jumped to $200.2 billion (4.0% of the total) from last month's $175.9 billion. Americas related holdings fell to $4.379 trillion from last month's $4.405 trillion, and now represent 87.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $15.3 billion, or -0.6%, to $2.380 trillion, or 47.7% of assets); US Government Agency Repurchase Agreements (up $29.1 billion, or 11.4%, to $285.0 billion, or 5.7% of total holdings), and Other Repurchase Agreements (down $19.8 billion, or -30.2%, from last month to $45.9 billion, or 0.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $9.7 billion to $167.6 billion, or 3.4% of assets), Asset Backed Commercial Paper (up $3.4 billion to $39.8 billion, or 0.8%), and Non-Financial Company Commercial Paper (up $6.2 billion to $47.6 billion, or 1.0%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2022, include: the Federal Reserve Bank of New York ($2.126T, 42.6%), US Treasury ($1.224T, 24.5%), Federal Home Loan Bank ($425.8B, 8.5%), Federal Farm Credit Bank ($96.2B, 1.9%), Fixed Income Clearing Corp ($74.5B, 1.5%), RBC ( $67.3B, 1.3%), BNP Paribas ($58.2B, 1.2%), JP Morgan ($52.1B, 1.0%), Sumitomo Mitsui Banking Corp ($46.8B, 0.9%), Citi ($43.5B, 0.9%), Barclays PLC ($42.9B, 0.9%), Mitsubishi UFJ Financial Group Inc ($37.9B, 0.8%), Mizuho Corporate Bank Ltd ($35.1B, 0.7%), Credit Agricole <b:>`_ ($33.4B, 0.7%), Bank of America ($32.3B, 0.6%), Toronto-Dominion Bank <b:>`_ ($30.0B, 0.6%), Canadian Imperial Bank of Commerce ($24.8B, 0.5%), Bank of Montreal ($24.7B, 0.5%), Nomura ($23.2B, 0.5%) and Bank of Nova Scotia ($23.2B, 0.5%).
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 ($2.126T, 78.8%), Fixed Income Clearing Corp ($74.5B, 2.8%), BNP Paribas ($49.0B, 1.8%), JP Morgan ($46.1B, 1.7%), RBC ($44.0B, 1.6%), Sumitomo Mitsui Banking Corp ($30.8B, 1.1%), Bank of America ($28.1B, 1.0%), Barclays PLC ($27.1B, 1.0%), Citi ($26.6B, 1.0%) and Nomura ($23.2B, 0.9%) <b:>`_. The largest users of the $2.126 trillion in Fed RRP include: Goldman Sachs FS Govt ($143.5B), Fidelity Govt Cash Reserves ($111.5B), Vanguard Federal Money Mkt Fund ($122.3B), Fidelity Govt Money Market ($123.3B), JPMorgan US Govt MM ($125.5B), Fidelity Inv MM: Govt Port ($70.6B), Federated Hermes Govt ObI ($65.5B), BlackRock Lq FedFund ($68.5B), American Funds Central Cash ($71.7B) and Morgan Stanley Inst Liq Govt ($76.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($27.7B, 6.2%), RBC ($23.3B, 5.2%), Toronto-Dominion Bank ($19.2B, 4.3%), Skandinaviska Enskilda Banken AB ($18.9B, 4.2%), Credit Agricole ($18.6B, 4.2%), Mitsubishi UFJ Financial Group Inc ($18.2B, 4.1%), Citi ($16.9B, 3.8%), Sumitomo Mitsui Banking Corp ($16.0B, 3.6%), Barclays PLC ($15.8B, 3.5%) and Bank of Nova Scotia ($15.2B, 3.4%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($14.3B, 9.6%), Mitsubishi UFJ Financial Group Inc ($12.9B, 8.7%), Citi ($11.8B, 7.9%), Mizuho Corporate Bank Ltd ($10.4B, 7.0%), Credit Agricole ($9.2B, 6.2%), Toronto-Dominion Bank ($9.0B, 6.1%), Canadian Imperial Bank of Commerce ($8.9B, 6.0%), Bank of Nova Scotia ($7.4B, 5.0%), Sumitomo Mitsui Trust Bank ($7.1B, 4.8%) and RBC ($5.6B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($15.6B, 7.3%), Toronto-Dominion Bank ($9.7B, 4.6%), Australia & New Zealand Banking Group Ltd ($8.4B, 4.0%), Bank of Montreal ($8.4B, 4.0%), BNP Paribas ($7.8B, 3.7%), Bank of Nova Scotia ($7.8B, 3.7%), National Australia Bank Ltd ($7.3B, 3.5%), Barclays PLC ($7.3B, 3.5%), JP Morgan ($6.0B, 2.8%) and Societe Generale ($5.6B, 2.6%).
The largest increases among Issuers include: Federal Home Loan Bank (up $53.2B to $2.208T), Barclays PLC (up $19.0B to $42.9B), Credit Agricole (up $12.4B to $33.4B), Mizuho Corporate Bank Ltd (up $11.4B to $35.1B), Fixed Income Clearing Corp (up $11.1B to $74.5B), Bank of Nova Scotia (up $6.3B to $23.2B), Australia & New Zealand Banking Group Ltd (up $5.4B to $15.6B), BNP Paribas (up $4.0B to $58.2B), RBC (up $3.9B to $67.3B) and Natixis (up $3.7B to $15.5B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: the Federal Reserve Bank of New York (down $82.0B to $2.126T), the US Treasury (down $29.6B to $1.224T), Goldman Sachs (down $3.7B to $19.1B), Banco Santander (down $2.6B to $11.8B), Sumitomo Mitsui Trust Bank (down $1.0B to $11.6B), Canadian Imperial Bank of Commerce (down $0.8B to $24.8B), National Australia Bank Ltd (down $0.6B to $9.1B), Rabobank (down $0.4B to $7.3B), Federal Farm Credit Bank (down $0.2B to $96.2B), and Nordea Bank (down $0.2B to $5.7B).
The United States remained the largest segment of country-affiliations; it represents 84.0% of holdings, or $4.192 trillion. Canada (3.7%, $186.4B) was in second place, while Japan (3.5%, $175.4B) was No. 3. France (2.8%, $138.0B) occupied fourth place. The United Kingdom (1.5%, $72.8B) remained in fifth place. Netherlands (1.0%, $50.3B) was in sixth place, followed by Sweden (0.9%, $45.3B) Australia (0.7%, $36.4B), Germany (0.7%, $35.3B), and Singapore (0.3%, $12.6B). (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, 2022, Taxable money funds held 72.1% (up from 69.5%) of their assets in securities maturing Overnight, and another 5.1% maturing in 2-7 days (down from 6.4%). Thus, 77.2% in total matures in 1-7 days. Another 8.0% matures in 8-30 days, while 6.7% matures in 31-60 days. Note that over three-quarters, or 91.9% 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 3.7% of taxable securities, while 3.1% matures in 91-180 days, and just 1.3% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
