Crane Data's February Money Fund Portfolio Holdings, with data as of Jan. 31, 2023, show that Repo holdings dropped after reaching a record $2.94 trillion last month, while everything else increased except Treasuries (which continued an 11-month slide). Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $49.7 billion to $5.089 trillion in January, after increasing $72.6 billion in December and decreasing $24.6 billion in November. MMFs increased $57.7 billion in October and $15.2 billion in September. Repo remained the largest portfolio segment after hitting record levels a month ago, 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" eight months ago, saw RRP issuance held by MMFs drop $345.3 billion to $1.974 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 $111.2 billion (-3.8%) to $2.828 trillion, or 55.6% of holdings, in January, after increasing $253.2 billion in December. Repo decreased $24.4 billion in November and $6.0 billion in October, but increased $74.4 billion in September. Treasury securities fell $17.8 billion (-1.7%) to $1.051 trillion, or 20.7% of holdings, after decreasing $77.5 billion in December. Treasury holdings fell $65.0 billion in November, $41.8 billion in October and $84.8 billion in September. Government Agency Debt was up $51.8 billion, or 9.2%, to $614.0 billion, or 12.1% of holdings. Agencies decreased $24.5 billion in December, but increased $53.6 billion in November, $55.0 billion in October and $35.9 billion in September. Repo, Treasuries and Agency holdings now total $4.494 trillion, representing a massive 88.3% of all taxable holdings.
Money fund holdings of CP and CDs increased in January. Commercial Paper (CP) increased $36.3 billion (14.8%) to $282.0 billion, or 5.5% of holdings. CP holdings decreased $16.9 billion in December, increased $7.7 billion in November and $19.3 billion in October, and decreased $7.8 billion in September. Certificates of Deposit (CDs) increased $24.1 billion (16.2%) to $173.6 billion, or 3.4% of taxable assets. CDs fell $4.3 billion in December, increased $4.4 billion in November and $15.5 billion in October, and decreased $1.6 billion in September. Other holdings, primarily Time Deposits, increased $66.5 billion (104.3%) to $130.3 billion, or 2.6% of holdings, after decreasing $57.0 billion in December and $1.0 billion in November. Other holdings increased $16.0 billion in October, but decreased $1.1 billion in September. VRDNs fell to $9.4 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Friday around noon.)
Prime money fund assets tracked by Crane Data jumped to $1.111 trillion, or 21.8% of taxable money funds' $5.089 trillion total. Among Prime money funds, CDs represent 15.6% (up from 14.5% a month ago), while Commercial Paper accounted for 25.4% (up from 24.0% in December). The CP totals are comprised of: Financial Company CP, which makes up 17.6% of total holdings, Asset-Backed CP, which accounts for 4.2%, and Non-Financial Company CP, which makes up 3.6%. Prime funds also hold 5.7% in US Govt Agency Debt, 3.5% in US Treasury Debt, 28.4% in US Treasury Repo, 0.3% in Other Instruments, 9.7% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 4.8% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $2.694 trillion (52.9% of all MMF assets), down from $2.722 trillion in December, while Treasury money fund assets totaled another $1.284 trillion (25.2%), down from $1.288 trillion the prior month. Government money fund portfolios were made up of 20.4% US Govt Agency Debt, 13.4% US Government Agency Repo, 12.3% US Treasury Debt, 53.7% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 53.1% US Treasury Debt and 46.2% in US Treasury Repo. Government and Treasury funds combined now total $3.978 trillion, or 78.2% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $181.0 billion in January to $505.4 billion; their share of holdings jumped to 9.9% from last month's 6.4%. Eurozone-affiliated holdings increased to $333.3 billion from last month's $211.4 billion; they account for 6.6% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $211.1 billion (4.2% of the total) from last month's $189.3 billion. Americas related holdings fell to $4.367 trillion from last month's $4.523 trillion, and now represent 85.8% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $210.7 billion, or -8.2%, to $2.355 trillion, or 46.3% of assets); US Government Agency Repurchase Agreements (up $99.3 billion, or 30.6%, to $423.6 billion, or 8.3% of total holdings), and Other Repurchase Agreements (up $0.2 billion, or 0.4%, from last month to $49.8 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $25.0 billion to $195.5 billion, or 3.8% of assets), Asset Backed Commercial Paper (up $4.2 billion to $47.0 billion, or 0.9%), and Non-Financial Company Commercial Paper (up $7.1 billion to $39.6 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2023, include: the Federal Reserve Bank of New York ($1.974T, 38.8%), US Treasury ($1.051T, 20.7%), Federal Home Loan Bank ($506.9B, 10.0%), Fixed Income Clearing Corp ($179.9B, 3.5%), Federal Farm Credit Bank ($97.8B, 1.9%), JP Morgan ($91.7B, 1.8%), RBC ($89.6B, 1.8%), Barclays ($73.3B, 1.4%), Citi ($64.3B, 1.3%), BNP Paribas ($62.9B, 1.2%), Mitsubishi UFJ Financial Group Inc ($46.2B, 0.9%), Bank of America ($44.9B, 0.9%), Credit Agricole ($41.9B, 0.8%), Sumitomo Mitsui Banking Corp ($40.0B, 0.8%), Goldman Sachs ($37.0B, 0.7%), Toronto-Dominion Bank ($35.7B, 0.7%), Mizuho Corporate Bank Ltd ($32.9B, 0.6%), Bank of Montreal ($30.9B, 0.6%), Societe Generale ($29.6B, 0.6%) and ING Bank ($26.7B, 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 ($1.974T, 69.8%), Fixed Income Clearing Corp ($179.9B, 6.4%), JP Morgan ($84.4B, 3.0%), RBC ($65.4B, 2.3%), Barclays PLC ($51.6B, 1.8%), BNP Paribas ($49.9B, 1.8%), Citi ($49.3B, 1.7%), Bank of America ($37.4B, 1.3%), Goldman Sachs ($36.5B, 1.3%) and Sumitomo Mitsui Banking Corp ($26.0B, 0.9%). The largest users of the $1.974 trillion in Fed RRP include: Fidelity Govt Money Market ($139.4B), Goldman Sachs FS Govt ($135.9B), Fidelity Govt Cash Reserves ($125.3B), Vanguard Federal Money Mkt Fund ($118.9B), JPMorgan US Govt MM ($88.0B), Dreyfus Govt Cash Mgmt ($87.4B), Fidelity Inv MM: Govt Port ($80.6B), Northern Instit Treasury MMkt ($55.4B), Vanguard Cash Reserves Federal MM ($49.2B) and Federated Hermes Govt ObI ($48.8B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($24.9B, 4.8%), Toronto-Dominion Bank ($24.5B, 4.7%), RBC ($24.2B, 4.7%), Mizuho Corporate Bank Ltd ($23.7B, 4.6%), Barclays PLC ($21.7B, 4.2%), Skandinaviska Enskilda Banken AB ($21.2B, 4.1%), Mitsubishi UFJ Financial Group Inc ($20.7B, 4.0%), Bank of Nova Scotia ($18.3B, 3.5%), Sumitomo Mitsui Trust Bank ($15.7B, 3.0%) and Australia & New Zealand Banking Group Ltd ($15.4B, 3.0%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($12.9B, 7.4%), Sumitomo Mitsui Banking Corp ($11.6B, 6.7%), Credit Agricole ($11.0B, 6.4%), Toronto-Dominion Bank ($10.9B, 6.3%), Sumitomo Mitsui Trust Bank ($9.0B, 5.2%), Mizuho Corporate Bank Ltd ($8.9B, 5.1%), Citi ($8.6B, 5.0%), Landesbank Baden-Wurttemberg ($8.4B, 4.8%), Canadian Imperial Bank of Commerce ($7.2B, 4.1%) and Barclays PLC ($7.0B, 4.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($14.4B, 5.8%), Bank of Nova Scotia ($11.8B, 4.7%), Barclays PLC ($10.2B, 4.1%), Toronto-Dominion Bank ($10.1B, 4.0%), Bank of Montreal ($9.0B, 3.6%), BNP Paribas ($8.9B, 3.6%), National Australia Bank Ltd ($8.8B, 3.5%), Mitsubishi UFJ Financial Group Inc ($7.7B, 3.1%), Australia & New Zealand Banking Group Ltd ($7.5B, 3.0%) and Mizuho Corporate Bank Ltd ($7.3B, 2.9%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $70.4B to $179.9B), Federal Home Loan Bank (up $52.9B to $506.9B), Barclays PLC (up $35.0B to $73.3B), JP Morgan (up $28.5B to $91.7B), Citi (up $23.7B to $64.3B), Credit Agricole (up $21.0B to $41.9B), Goldman Sachs (up $19.3B to $37.0B), BNP Paribas (up $15.8B to $62.9B), ING Bank (up $14.4B to $26.7B) and Bank of America (up $12.2B to $44.9B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Federal Reserve Bank of New York (down $345.3B to $1.974T), US Treasury (down $17.8B to $1.051T), RBC (down $9.1B to $89.6B), Nomura (down $4.8B to $25.5B), Canadian Imperial Bank of Commerce (down $4.2B to $23.5B), UBS AG (down $0.9B to $6.4B), Lloyds Banking Group (down $0.6B to $8.0B), Federal Farm Credit Bank (down $0.3B to $97.8B), HSBC (down $0.2B to $10.0B) and Australia & New Zealand Banking Group Ltd (down $0.2B to $17.9B).
The United States remained the largest segment of country-affiliations; it represents 81.5% of holdings, or $4.148 trillion. Canada (4.3%, $219.1B) was in second place, while Japan (3.7%, $186.8B) was No. 3. France (3.4%, $171.2B) occupied fourth place. The United Kingdom (2.1%, $105.4B) remained in fifth place. Netherlands (1.2%, $59.8B) was in sixth place, followed by Sweden (1.0%, $50.5B) Germany (0.9%, $46.6B), Australia (0.8%, $39.3B), and Spain (0.3%, $12.8B). (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 Jan. 31, 2023, Taxable money funds held 73.0% (up from 8.5%) of their assets in securities maturing Overnight, and another 6.5% maturing in 2-7 days (down from 71.4%). Thus, 79.5% in total matures in 1-7 days. Another 6.8% matures in 8-30 days, while 6.3% matures in 31-60 days. Note that over three-quarters, or 92.6% 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 3.3% of taxable securities, while 3.4% matures in 91-180 days, and just 0.8% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
