Crane Data's March Money Fund Portfolio Holdings, with data as of Feb. 28, 2023, show that Repo holdings jumped to near record levels after dropping last month. Treasury continued a 12-month slide, and Government agencies also fell. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $34.5 billion to $5.123 trillion in February, after increasing $49.7 billion in January and $72.6 billion in December. They decreased $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 two 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" nine months ago, saw Fed RRP issuance held by MMFs jump $106.0 billion to $2.080 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 $98.2 billion (3.5%) to $2.927 trillion, or 57.1% of holdings, in February, after decreasing $111.2 billion in January and increasing $253.2 billion in December. Repo decreased $24.4 billion in November and $6.0 billion in October. But it increased $74.4 billion in September. Treasury securities fell $41.2 billion (-3.9%) to $1.010 trillion, or 19.7% of holdings, after decreasing $17.8 billion in January and $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 down $27.0 billion, or -4.4%, to $587.1 billion, or 11.5% of holdings. Agencies increased $51.8 billion in January, 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 $4.524 trillion, representing a massive 88.3% of all taxable holdings.
Money fund holdings of CP and CDs decreased in February. Commercial Paper (CP) decreased $7.3 billion (-2.6%) to $274.7 billion, or 5.4% of holdings. CP holdings increased $36.3 billion in January, decreased $16.9 billion in December, increased $7.7 billion in November and $19.3 billion in October. Certificates of Deposit (CDs) decreased $4.5 billion (-2.6%) to $169.1 billion, or 3.3% of taxable assets. CDs increased $24.1 billion in January, decreased $4.3 billion in December, increased $4.4 billion in November and $15.5 billion in October. Other holdings, primarily Time Deposits, increased $15.6 billion (12.0%) to $145.9 billion, or 2.8% of holdings, after increasing $66.5 billion in January, decreasing $57.0 billion in December and $1.0 billion in November. Other holdings increased $16.0 billion in October. VRDNs rose to $10.2 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 $1.148 trillion, or 22.4% of taxable money funds' $5.123 trillion total. Among Prime money funds, CDs represent 14.7% (down from 15.6% a month ago), while Commercial Paper accounted for 24.0% (down from 25.4% in January). The CP totals are comprised of: Financial Company CP, which makes up 16.0% of total holdings, Asset-Backed CP, which accounts for 4.2%, and Non-Financial Company CP, which makes up 3.8%. Prime funds also hold 5.0% in US Govt Agency Debt, 3.3% in US Treasury Debt, 30.4% in US Treasury Repo, 0.4% in Other Instruments, 10.6% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 5.3% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $2.685 trillion (52.4% of all MMF assets), down from $2.694 trillion in January, while Treasury money fund assets totaled another $1.291 trillion (25.2%), up from $1.284 trillion the prior month. Government money fund portfolios were made up of 19.7% US Govt Agency Debt, 13.6% US Government Agency Repo, 11.6% US Treasury Debt, 54.8% in US Treasury Repo, 0.1% in Other Instruments. Treasury money funds were comprised of 51.2% US Treasury Debt and 48.8% in US Treasury Repo. Government and Treasury funds combined now total $3.976 trillion, or 77.6% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $27.7 billion in February to $477.7 billion; their share of holdings dropped to 9.3% from last month's 9.9%. Eurozone-affiliated holdings decreased to $333.1 billion from last month's $333.3 billion; they account for 6.5% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $213.8 billion (4.2% of the total) from last month's $211.1 billion. Americas related holdings rose to $4.424 trillion from last month's $4.367 trillion, and now represent 86.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $95.7 billion, or 4.1%, to $2.451 trillion, or 47.8% of assets); US Government Agency Repurchase Agreements (up $2.9 billion, or 0.7%, to $426.5 billion, or 8.3% of total holdings), and Other Repurchase Agreements (down $0.4 billion, or -0.9%, from last month to $49.3 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $11.9 billion to $183.6 billion, or 3.6% of assets), Asset Backed Commercial Paper (up $0.9 billion to $47.8 billion, or 0.9%), and Non-Financial Company Commercial Paper (up $3.8 billion to $43.3 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2023, include: the Federal Reserve Bank of New York ($2.080T, 40.6%), US Treasury ($1.010T, 19.7%), Federal Home Loan Bank ($480.0B, 9.4%), Fixed Income Clearing Corp ($177.0B, 3.5%), Federal Farm Credit Bank ($97.6B, 1.9%), RBC ($91.1B, 1.8%), JP Morgan ($78.0B, 1.5%), BNP Paribas ($65.5B, 1.3%), Citi ($58.4B, 1.1%), Goldman Sachs ($58.0B, 1.1%), Bank of America ($50.6B, 1.0%), Mitsubishi UFJ Financial Group Inc ($49.2B, 1.0%), Barclays ($45.2B, 0.9%), Sumitomo Mitsui Banking Corp ($41.2B, 0.8%), Credit Agricole ($41.2B, 0.8%), Mizuho Corporate Bank Ltd ($39.0B, 0.8%), Societe Generale ($34.3B, 0.7%), Toronto-Dominion Bank ($34.1B, 0.7%), Bank of Nova Scotia ($31.1B, 0.6%) and Bank of Montreal ($28.7B, 0.6%).
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 ($2.080T, 71.1%), Fixed Income Clearing Corp ($177.0B, 6.0%), JP Morgan ($69.4B, 2.4%), RBC ($69.0B, 2.4%), Goldman Sachs ($57.4B, 2.0%), BNP Paribas ($54.2B, 1.9%), Citi ($45.9B, 1.6%), Bank of America ($43.0B, 1.5%), Sumitomo Mitsui Banking Corp ($30.5B, 1.0%) and Barclays PLC ($27.2B, 0.9%). The largest users of the $2.080 trillion in Fed RRP include: Goldman Sachs FS Govt ($138.4B), Fidelity Govt Money Market ($136.1B), Fidelity Govt Cash Reserves ($119.3B), Vanguard Federal Money Mkt Fund ($118.3B), Fidelity Inv MM: Govt Port ($91.4B), Dreyfus Govt Cash Mgmt ($84.0B), JPMorgan US Govt MM ($84.0B), BlackRock Lq T-Fund ($60.4B), BlackRock Lq FedFund ($58.0B) and Vanguard Cash Reserves Federal MM ($54.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mizuho Corporate Bank Ltd ($30.6B, 5.9%), Toronto-Dominion Bank ($23.3B, 4.5%), Credit Agricole ($22.5B, 4.4%), Mitsubishi UFJ Financial Group Inc ($22.3B, 4.3%), RBC ($22.1B, 4.3%), Skandinaviska Enskilda Banken AB ($20.6B, 4.0%), Bank of Nova Scotia ($19.6B, 3.8%), Barclays PLC ($18.0B, 3.5%), Sumitomo Mitsui Trust Bank ($16.6B, 3.2%) and ING Bank ($16.0B, 3.1%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($14.1B, 8.3%), Sumitomo Mitsui Trust Bank ($10.8B, 6.4%), Credit Agricole ($10.6B, 6.3%), Toronto-Dominion Bank ($10.4B, 6.2%), Mizuho Corporate Bank Ltd ($9.7B, 5.7%), Sumitomo Mitsui Banking Corp ($8.8B, 5.2%), Landesbank Baden-Wurttemberg ($7.2B, 4.3%), Svenska Handelsbanken ($6.4B, 3.8%), Bank of Nova Scotia ($6.3B, 3.7%) and Barclays PLC ($6.2B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($13.3B, 5.5%), RBC ($12.5B, 5.2%), Toronto-Dominion Bank ($10.4B, 4.3%), National Australia Bank Ltd ($8.9B, 3.7%), Bank of Montreal ($8.7B, 3.6%), JP Morgan ($8.6B, 3.6%), Societe Generale ($8.3B, 3.4%), Mitsubishi UFJ Financial Group Inc ($8.2B, 3.4%), Barclays PLC ($7.5B, 3.1%) and Svenska Handelsbanken ($6.7B, 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $106.0B to $2.080T), Goldman Sachs (up $21.1B to $58.0B), Bank of Nova Scotia (up $6.6B to $31.1B), Mizuho Corporate Bank Ltd (up $6.1B to $39.0B), Bank of America (up $5.7B to $50.6B), Societe Generale (up $4.8B to $34.3B), Wells Fargo (up $4.1B to $19.3B), DBS Bank Ltd (up $3.4B to $7.0B), Mitsubishi UFJ Financial Group Inc (up $3.1B to $49.2B) and Standard Chartered Bank (up $2.7B to $12.7B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: US Treasury (down $41.2B to $1.010T), Barclays PLC (down $28.1B to $45.2B), Federal Home Loan Bank (down $26.9B to $480.0B), JP Morgan (down $13.6B to $78.0B), Nomura (down $10.1B to $15.4B), Citi (down $5.9B to $58.4B), Fixed Income Clearing Corp (down $2.8B to $177.0B), Landesbank Baden-Wurttemberg (down $2.4B to $12.9B), HSBC (down $2.3B to $7.7B) and Erste Group Bank AG (down $2.3B to $7.8B).
The United States remained the largest segment of country-affiliations; it represents 82.0% of holdings, or $4.203 trillion. Canada (4.3%, $220.6B) was in second place, while Japan (3.7%, $187.8B) was No. 3. France (3.5%, $177.4B) occupied fourth place. The United Kingdom (1.5%, $77.2B) remained in fifth place. Netherlands (1.1%, $55.2B) was in sixth place, followed by Sweden (1.0%, $51.9B) Germany (0.9%, $46.8B), Australia (0.8%, $39.6B), and Singapore (0.3%, $13.4B). (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 Feb. 28, 2023, Taxable money funds held 72.6% (down from 73.0%) of their assets in securities maturing Overnight, and another 7.2% maturing in 2-7 days (up from 6.5%). Thus, 79.8% in total matures in 1-7 days. Another 7.1% matures in 8-30 days, while 5.7% matures in 31-60 days. Note that over three-quarters, or 92.5% 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 3.8% of taxable securities, while 2.5% matures in 91-180 days, and just 1.2% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
