Crane Data's December Money Fund Portfolio Holdings, with data as of Nov. 30, 2022, show that Agency holdings jumped while Treasuries continued their deep 9-month slide (and Repo fell). Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $24.6 billion to $4.967 trillion in November, after increasing $57.7 in October, $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" six months ago, saw RRP issuance to MMFs drop $127.1 billion to $1.999 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 $23.7 billion (-0.9%) to $2.687 trillion, or 54.3% of holdings, in November, after decreasing $6.0 billion in October, 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 $65.7 billion (-5.4%) to $1.146 trillion, or 24.3% of holdings, after decreasing $41.8 billion in October, $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 $53.6 billion, or 10.1%, to $586.7 billion, or 10.7% of holdings, after increasing $55.0 billion in October, $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 $4.419 trillion, representing a massive 89.3% of all taxable holdings.
Money fund holdings of CP and CDs jumped in November. Commercial Paper (CP) increased $7.7 billion (3.0%) to $262.7 billion, or 5.1% of holdings, after increasing $19.3 billion in October, decreasing $7.8 billion in September, but increasing $15.4 billion in August and $15.3 billion in July. Certificates of Deposit (CDs) increased $4.4 billion (3.0%) to $153.8 billion, or 3.0% of taxable assets, after increasing $15.5 billion in October, decreasing $1.6 billion in September, but increasing $13.4 billion in August and $3.6 billion in July. Other holdings, primarily Time Deposits, decreased $1.0 billion (-0.8%) to $120.8 billion, or 2.4% of holdings, after increasing $16.0 billion in November, 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 $1.019 trillion, or 20.5% of taxable money funds' $4.967 trillion total. Among Prime money funds, CDs represent 15.1% (up from 14.9% a month ago), while Commercial Paper accounted for 25.8% (up from 25.6% in October). The CP totals are comprised of: Financial Company CP, which makes up 17.5% of total holdings, Asset-Backed CP, which accounts for 3.9%, and Non-Financial Company CP, which makes up 4.4%. Prime funds also hold 7.5% in US Govt Agency Debt, 3.6% in US Treasury Debt, 27.4% in US Treasury Repo, 0.4% in Other Instruments, 9.6% in Non-Negotiable Time Deposits, 4.4% in Other Repo, 3.9% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $2.713 trillion (54.6% of all MMF assets), down from $2.726 trillion in October, while Treasury money fund assets totaled another $1.234 trillion (24.8%), down from $1.266 trillion the prior month. Government money fund portfolios were made up of 18.8% US Govt Agency Debt, 11.1% US Government Agency Repo, 15.6% US Treasury Debt, 54.3% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 55.6% US Treasury Debt and 44.3% in US Treasury Repo. Government and Treasury funds combined now total $3.947 trillion, or 79.5% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $22.2 billion in November to $429.8 billion; their share of holdings jumped to 8.7% from last month's 8.2%. Eurozone-affiliated holdings decreased to $266.7 billion from last month's $273.6 billion; they account for 5.4% of overall taxable money fund holdings. Asia & Pacific related holdings jumped to $215.4 billion (4.3% of the total) from last month's $200.2 billion. Americas related holdings fell to $4.317 trillion from last month's $4.379 trillion, and now represent 86.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $82.3 billion, or -3.5%, to $2.298 trillion, or 46.3% of assets); US Government Agency Repurchase Agreements (up $58.4 billion, or 20.5%, to $343.5 billion, or 6.9% of total holdings), and Other Repurchase Agreements (down $0.5 billion, or -1.2%, from last month to $45.3 billion, or 0.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.4 billion to $178.0 billion, or 3.6% of assets), Asset Backed Commercial Paper (up $0.3 billion to $40.1 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $3.0 billion to $44.6 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2022, include: the Federal Reserve Bank of New York ($1.999T, 40.2%), US Treasury ($1,146.3, 23.1%), Federal Home Loan Bank ($479.1, 9.6%), Fixed Income Clearing Corp ($125.0B, 2.5%), Federal Farm Credit Bank ($98.2B, 2.0%), RBC ($87.5B, 1.8%), JP Morgan ($69.1B, 1.4%), Barclays PLC ($62.1B, 1.2%), BNP Paribas ($55.3B, 1.1%), Citi ($48.9B, 1.0%), Sumitomo Mitsui Banking Corp ($46.1B, 0.9%), Mitsubishi UFJ Financial Group Inc ($42.3B, 0.9%), `Mizuho Corporate Bank Ltd ($36.6B, 0.7%), Bank of America ($33.1B, 0.7%), Toronto-Dominion Bank ($30.9B, 0.6%), Nomura ($29.3B, 0.6%), Canadian Imperial Bank of Commerce ($28.3B, 0.6%), Credit Agricole ($27.8B, 0.6%), ING Bank ($25.5B, 0.5%) and Bank of Montreal ($24.4B, 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 ($1.999T, 74.4%), Fixed Income Clearing Corp ($125.0B, 4.7%), JP Morgan ($62.6B, 2.3%), RBC ($59.9B, 2.2%), BNP Paribas ($47.1B, 1.8%), Barclays PLC ($42.2B, 1.6%), Citi ($32.2B, 1.2%), Sumitomo Mitsui Banking Corp ($30.7B, 1.1%), Nomura ($29.3B, 1.1%) and Bank of America ($27.6B, 1.0%). The largest users of the $1.999 trillion in Fed RRP include: Goldman Sachs FS Govt ($146.5B), Vanguard Federal Money Mkt Fund ($120.9B), JPMorgan US Govt MM ($111.9B), Fidelity Govt Money Market ($111.5B), Fidelity Govt Cash Reserves ($101.3B), Morgan Stanley Inst Liq Govt ($78.1B), Fidelity Inv MM: Govt Port ($65.5B), Federated Hermes Govt ObI ($60.0B), American Funds Central Cash ($54.8B) and BlackRock Lq FedFund ($53.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($29.1B, 6.2%), RBC ($27.6B, 5.9%), Skandinaviska Enskilda Banken AB ($21.7B, 4.6%), Barclays PLC ($19.8B, 4.2%), Toronto-Dominion Bank ($19.6B, 4.2%), Mitsubishi UFJ Financial Group Inc ($18.8B, 4.0%), Citi ($16.7B, 3.6%), Credit Agricole ($15.6B, 3.3%), Australia & New Zealand Banking Group Ltd ($15.6B, 3.3%) and Sumitomo Mitsui Banking Corp ($15.4B, 3.3%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($13.8B, 9.0%), Mitsubishi UFJ Financial Group Inc ($13.4B, 8.7%), Mizuho Corporate Bank Ltd ($11.2B, 7.3%), Citi ($10.9B, 7.1%), Toronto-Dominion Bank ($9.7B, 6.3%), Canadian Imperial Bank of Commerce ($8.3B, 5.4%), Sumitomo Mitsui Trust Bank ($8.2B, 5.3%), Credit Agricole ($7.6B, 4.9%), Bank of Nova Scotia ($6.9B, 4.5%) and RBC ($6.3B, 4.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($16.5B, 7.4%), Barclays PLC ($9.9B, 4.4%), Toronto-Dominion Bank ($9.6B, 4.3%), Australia & New Zealand Banking Group Ltd ($8.9B, 4.0%), Bank of Nova Scotia ($8.1B, 3.6%), Bank of Montreal ($7.8B, 3.5%), National Australia Bank Ltd ($7.2B, 3.2%), UBS AG ($7.1B, 3.2%), JP Morgan ($6.5B, 2.9%) and BNP Paribas ($6.4B, 2.9%).
The largest increases among Issuers include: Federal Home Loan Bank (up $53.2B to $479.1B), Fixed Income Clearing Corp (up $50.5B to $125.0B), RBC (up $20.2B to $87.5B), Barclays PLC (up $19.2B to $62.1B), JP Morgan (up $17.0B to $69.1B), Nomura (up $6.1B to $29.3B), Citi (up $5.4B to $48.9), Mitsubishi UFJ Financial Group Inc (up $4.5B to $42.3B), Canadian Imperial Bank of Commerce (up $3.4B to $28.3B) and DNB ASA (up $3.1B to $6.1B).
The largest decreases among Issuers of money market securities (including Repo) in November were shown by: the Federal Reserve Bank of New York (down $127.1B to $1.999T), US Treasury (down $77.2B to $1.146T), Credit Agricole (down $5.6B to $27.8B), BNP Paribas (down $2.8B to $55.3B), Natixis (down $2.0B to $13.6B), ABN Amro Bank (down $1.5B to $11.4B), Banco Santander (down $1.0B to $10.8B), Bank of Nova Scotia (down $0.9B to $22.2B), Rabobank (down $0.9B to $6.4B) and Sumitomo Mitsui Banking Corp (down $0.8B to $46.1B).
The United States remained the largest segment of country-affiliations; it represents 82.7% of holdings, or $4.108 trillion. Canada (4.2%, $208.3B) was in second place, while Japan (3.9%, $192.2B) was No. 3. France (2.6%, $126.6B) occupied fourth place. The United Kingdom (1.9%, $94.4B) remained in fifth place. Netherlands (1.1%, $54.2B) was in sixth place, followed by Sweden (1.0%, $49.7B) Australia (0.8%, $38.4B), Germany (0.7%, $35.6B), and Switzerland (0.3%, $12.2B). (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 Nov. 30, 2022, Taxable money funds held 70.7% (down from 72.1%) of their assets in securities maturing Overnight, and another 6.4% maturing in 2-7 days (up from 5.1%). Thus, 77.1% in total matures in 1-7 days. Another 7.5% matures in 8-30 days, while 6.3% matures in 31-60 days. Note that over three-quarters, or 90.8% 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 4.5% of taxable securities, while 3.8% matures in 91-180 days, and just 0.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
