Crane Data's January Money Fund Portfolio Holdings, with data as of Dec. 31, 2022, show that Repo holdings jumped to a record $2.94 trillion, while everything else declined and Treasuries continued a 10-month slide. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $72.6 billion to $5.039 trillion in December, after decreasing $24.6 billion in November, but increasing $57.7 billion in October and $15.2 billion in September. Repo remained the largest portfolio segment and hit record levels, 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" seven months ago, saw RRP issuance held by MMFs jump $320.2 billion to a record $2.319 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) increased $253.2 billion (9.4%) to $2.940 trillion, or 58.3% of holdings, in December, after decreasing $24.4 billion in November and $6.0 billion in October, but increasing $74.4 billion in September. Treasury securities fell $77.5 billion (-6.8%) to $1.069 trillion, or 21.2% of holdings, after decreasing $65.0 billion in November, $41.8 billion in October and $84.8 billion in September. Government Agency Debt was down $24.5 billion, or -4.2%, to $562.2 billion, or 11.2% of holdings, after increasing $53.6 billion in November, $55.0 billion in October and $35.9 billion in September. Repo, Treasuries and Agency holdings now total $4.571 trillion, representing a massive 90.7% of all taxable holdings.
Money fund holdings of CP and CDs dropped in December. Commercial Paper (CP) decreased $16.9 billion (-6.4%) to $245.8 billion, or 4.9% of holdings, after increasing $7.7 billion in November and $19.3 billion in October, but decreasing $7.8 billion in September. Certificates of Deposit (CDs) decreased $4.3 billion (-2.8%) to $149.5 billion, or 3.0% of taxable assets, after increasing $4.4 billion in November and $15.5 billion in October, but decreasing $1.6 billion in September. Other holdings, primarily Time Deposits, decreased $57.0 billion (-47.2%) to $63.8 billion, or 1.3% of holdings, after decreasing $1.0 billion in November, increasing $16.0 billion in October, and decreasing $1.1 billion in September. VRDNs fell to $9.5 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 $1.029 trillion, or 20.4% of taxable money funds' $5.039 trillion total. Among Prime money funds, CDs represent 14.5% (down from 15.1% a month ago), while Commercial Paper accounted for 24.0% (down from 25.8% in November). The CP totals are comprised of: Financial Company CP, which makes up 16.6% of total holdings, Asset-Backed CP, which accounts for 4.2%, and Non-Financial Company CP, which makes up 3.2%. Prime funds also hold 6.2% in US Govt Agency Debt, 2.7% in US Treasury Debt, 36.7% in US Treasury Repo, 0.4% in Other Instruments, 4.0% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 4.6% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $2.722 trillion (54.0% of all MMF assets), up from $2.713 trillion in November, while Treasury money fund assets totaled another $1.288 trillion (25.6%), up from $1.234 trillion the prior month. Government money fund portfolios were made up of 18.3% US Govt Agency Debt, 10.1% US Government Agency Repo, 12.6% US Treasury Debt, 58.8% in US Treasury Repo, 0.1% in Other Instruments. Treasury money funds were comprised of 54.2% US Treasury Debt and 45.7% in US Treasury Repo. Government and Treasury funds combined now total $4.010 trillion, or 79.6% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $105.4 billion in December to $324.4 billion; their share of holdings dropped to 6.4% from last month's 8.7%. Eurozone-affiliated holdings decreased to $211.4 billion from last month's $266.7 billion; they account for 4.2% of overall taxable money fund holdings. Asia & Pacific related holdings dropped to $189.3 billion (3.8% of the total) from last month's $215.4 billion. Americas related holdings rose to $4.523 trillion from last month's $4.317 trillion, and now represent 89.8% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $268.1 billion, or 11.7%, to $2.566 trillion, or 50.9% of assets); US Government Agency Repurchase Agreements (down $19.2 billion, or -5.6%, to $324.3 billion, or 6.4% of total holdings), and Other Repurchase Agreements (up $4.3 billion, or 9.4%, from last month to $49.6 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $7.5 billion to $170.5 billion, or 3.4% of assets), Asset Backed Commercial Paper (up $2.7 billion to $42.8 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $12.1 billion to $32.5 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2022, include: the Federal Reserve Bank of New York ($2.319T, 46.0%), US Treasury ($1.069T, 21.2%), Federal Home Loan Bank ($454.0B, 9.0%), Fixed Income Clearing Corp ($109.5B, 2.2%), RBC ($98.8B, 2.0%), Federal Farm Credit Bank ($98.1B, 1.9%), JP Morgan ($63.2B, 1.3%), BNP Paribas ($47.1B, 0.9%), Mitsubishi UFJ Financial Group Inc ($41.1B, 0.8%), Citi ($40.6B, 0.8%), Barclays ($38.3B, 0.8%), Sumitomo Mitsui Banking Corp ($38.2B, 0.8%), Toronto-Dominion Bank ($34.8B, 0.7%), Bank of America ($32.7B, 0.6%), Nomura ($30.3B, 0.6%), Bank of Montreal ($28.8B, 0.6%), Canadian Imperial Bank of Commerce ($27.7B, 0.5%), Mizuho Corporate Bank Ltd ($26.9B, 0.5%), Bank of Nova Scotia ($23.9B, 0.5%) and Credit Agricole ($20.9B, 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 ($2.319T, 78.9%), Fixed Income Clearing Corp ($109.5, 3.7%), RBC ($70.4, 2.4%), JP Morgan ($56.1, 1.9%), BNP Paribas ($38.8, 1.3%), Nomura ($30.3, 1.0%), Bank of America ($28.2, 1.0%), Barclays ($25.5, 0.9%), Citi ($23.9, 0.8%) and Sumitomo Mitsui Banking Corp ($22.3, 0.8%). The largest users of the $2.319 trillion in Fed RRP include: Goldman Sachs FS Govt ($142.3B), Fidelity Govt Money Market ($136.2B), Vanguard Federal MM Fund ($128.2B), Fidelity Govt Cash Reserves ($125.7B), JPMorgan US Govt MM ($118.1B), Federated Hermes Govt ObI ($83.3B), Dreyfus Govt Cash Mgmt ($82.0B), Morgan Stanley Inst Liq Govt ($74.8B), Fidelity Inv MM: Govt Port ($69.1B) and BlackRock Lq FedFund ($59.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($28.3B, 7.0%), Toronto-Dominion Bank ($23.6B, 5.8%), Mizuho Corporate Bank Ltd ($20.8B, 5.1%), Mitsubishi UFJ Financial Group Inc ($20.6B, 5.1%), Bank of Nova Scotia ($17.7B, 4.4%), Citi ($16.7B, 4.1%), Sumitomo Mitsui Banking Corp ($15.9B, 3.9%), Australia & New Zealand Banking Group Ltd ($15.4B, 3.8%), Barclays ($12.8B, 3.1%) and Bank of Montreal ($12.7B, 3.1%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($13.7B, 9.2%), Sumitomo Mitsui Banking Corp ($13.3B, 8.9%), Mizuho Corporate Bank Ltd ($11.3B, 7.5%), Citi ($10.5B, 7.0%), Toronto-Dominion Bank ($10.1B, 6.7%), Canadian Imperial Bank of Commerce ($7.7B, 5.1%), Bank of Nova Scotia ($6.9B, 4.6%), Sumitomo Mitsui Trust Bank ($6.9B, 4.6%), Credit Agricole ($6.0B, 4.0%) and RBC ($5.9B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($15.5B, 7.1%), Toronto-Dominion Bank ($12.5B, 5.7%), Bank of Nova Scotia ($10.3B, 4.7%), Bank of Montreal ($8.7B, 4.0%), National Australia Bank ($8.5B, 3.9%), Barclays ($7.8B, 3.6%), Australia & New Zealand Banking Group ($7.6B, 3.5%), JP Morgan ($7.0B, 3.2%), Societe Generale ($6.6B, 3.0%) and UBS AG ($6.4B, 2.9%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $320.2B to $2,319.0 trillion), RBC (up $11.3B to $98.8B), Bank of New York Mellon (up $5.0B to $5.0B), UOB Group (up $4.8B to $4.8B), Westpac Banking Corp (up $4.7B to $4.7B), Federal Home Loan Mortgage Corp (up $4.6B to $4.6B), Bank of Montreal (up $4.4B to $28.8B), Macquarie Bank Limited (up $4.1B to $4.1B), Toronto-Dominion Bank (up $3.9B to $34.8B) and First Republic Bank (up $3.4B to $5.1B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: US Treasury (down $77.5B to $1.069T), Federal Home Loan Bank (down $25.1B to $454.0B), Barclays PLC (down $23.8B to $38.3B), Fixed Income Clearing Corp (down $15.5B to $109.5B), ING Bank (down $13.3B to $12.2B), Skandinaviska Enskilda Banken AB (down $12.7B to $9.0B), Mizuho Corporate Bank Ltd (down $9.7B to $26.9B), Citi (down $8.3B to $40.6B), BNP Paribas (down $8.2B to $47.1B) and Sumitomo Mitsui Banking Corp (down $7.9B to $38.2B).
The United States remained the largest segment of country-affiliations; it represents 85.2% of holdings, or $4.293 trillion. Canada (4.6%, $229.7B) was in second place, while Japan (3.4%, $173.3B) was No. 3. France (2.2%, $109.1B) occupied fourth place. The United Kingdom (1.4%, $69.0B) remained in fifth place. Australia (0.8%, $39.8B) was in sixth place, followed by Sweden (0.6%, $28.8B) Netherlands (0.6%, $27.7B), Germany (0.5%, $23.1B), and Singapore (0.2%, $11.9B). (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 Dec. 31, 2022, Taxable money funds held 8.5% (down from 70.7%) of their assets in securities maturing Overnight, and another 71.4% maturing in 2-7 days (up from 6.4%). Thus, 79.9% in total matures in 1-7 days. Another 5.5% matures in 8-30 days, while 7.6% matures in 31-60 days. Note that over three-quarters, or 93.0% 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 3.4% of taxable securities, while 3.0% matures in 91-180 days, and just 0.7% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
