Crane Data's April Money Fund Portfolio Holdings, with data as of March 31, 2023, show that Repo holdings and Government agencies (primarily Federal Home Loan Bank) jumped to record levels in the latest month. Treasury holdings also rebounded in March after a 12-month slide, as money market fund assets surged to record levels. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $390.5 billion to a record $5.514 trillion, after increasing $34.5 billion in February, $49.7 billion in January and $72.6 billion in December. Repo remained the largest portfolio segment by far, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York saw its Fed RRP issuance held by MMFs jump $131.4 billion to $2.211 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 $276.3 billion (9.4%) to $3.203 trillion, or 58.1% of holdings, in March, after increasing $98.2 billion in February, decreasing $111.2 billion in January and increasing $253.2 billion in December. Treasury securities rose $20.7 billion (2.1%) to $1.031 trillion, or 18.7% of holdings, after decreasing $41.2 billion in February, $17.8 billion in January and $77.5 billion in December. Government Agency Debt was up $188.8 billion, or 32.2%, to $775.8 billion, or 14.1% of holdings. Agencies decreased $27.0 billion in February, increased $51.8 billion in January and decreased $24.5 billion in December. Repo, Treasuries and Agency holdings now total $5.009 trillion, representing a massive 90.8% of all taxable holdings.
Money fund holdings of CP and CDs decreased in March. Commercial Paper (CP) decreased $33.0 billion (-12.0%) to $241.7 billion, or 4.4% of holdings. CP holdings decreased $7.3 billion in February, increased $36.3 billion in January and decreased $16.9 billion in December. Certificates of Deposit (CDs) decreased $17.1 billion (-10.1%) to $152.0 billion, or 2.8% of taxable assets. CDs decreased $4.5 billion in February, increased $24.1 billion in January, decreased $4.3 billion in December, and increased $4.4 billion in November. Other holdings, primarily Time Deposits, decreased $43.9 billion (-30.1%) to $102.0 billion, or 1.8% of holdings, after increasing $15.6 billion in February and $66.5 billion in January. VRDNs fell to $8.9 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 fell to $1.122 trillion, or 20.3% of taxable money funds' $5.514 trillion total. Among Prime money funds, CDs represent 13.5% (down from 14.7% a month ago), while Commercial Paper accounted for 21.5% (down from 24.0% in February). The CP totals are comprised of: Financial Company CP, which makes up 14.1% of total holdings, Asset-Backed CP, which accounts for 3.9%, and Non-Financial Company CP, which makes up 3.5%. Prime funds also hold 4.9% in US Govt Agency Debt, 2.3% in US Treasury Debt, 37.9% in US Treasury Repo, 0.6% in Other Instruments, 6.8% in Non-Negotiable Time Deposits, 4.4% in Other Repo, 6.1% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $2.890 trillion (52.4% of all MMF assets), up from $2.685 trillion in February, while Treasury money fund assets totaled another $1.502 trillion (27.2%), up from $1.291 trillion the prior month. Government money fund portfolios were made up of 25.0% US Govt Agency Debt, 13.7% US Government Agency Repo, 8.0% US Treasury Debt, 53.1% in US Treasury Repo, 0.1% in Other Instruments. Treasury money funds were comprised of 51.5% US Treasury Debt and 48.5% in US Treasury Repo. Government and Treasury funds combined now total $4.392 trillion, or 79.7% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $49.5 billion in March to $428.2 billion; their share of holdings dropped to 7.8% from last month's 9.3%. Eurozone-affiliated holdings decreased to $301.5 billion from last month's $333.1 billion; they account for 5.5% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $193.4 billion (3.5% of the total) from last month's $213.8 billion. Americas related holdings rose to $4.883 trillion from last month's $4.424 trillion, and now represent 88.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $237.0 billion, or 9.7%, to $2.688 trillion, or 48.7% of assets); US Government Agency Repurchase Agreements (up $38.8 billion, or 9.1%, to $465.3 billion, or 8.4% of total holdings), and Other Repurchase Agreements (up $0.6 billion, or 1.2%, from last month to $49.9 billion, or 0.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $24.9 billion to $158.7 billion, or 2.9% of assets), Asset Backed Commercial Paper (down $4.0 billion to $43.8 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $4.1 billion to $39.2 billion, or 0.7%).
The 20 largest Issuers to taxable money market funds as of March 31, 2023, include: the Federal Reserve Bank of New York ($2.211T, 40.1%), US Treasury ($1.031T, 18.7%), Federal Home Loan Bank ($667.2B, 12.1%), Fixed Income Clearing Corp ($231.7B, 4.2%), Federal Farm Credit Bank ($99.1B, 1.8%), RBC ($93.8B, 1.7%), JP Morgan ($85.7B, 1.6%), Bank of America ($79.1B, 1.4%), BNP Paribas ($69.5B, 1.3%), Citi ($67.2B, 1.2%), Goldman Sachs ($57.7B, 1.0%), Sumitomo Mitsui Banking Corp ($48.8B, 0.9%), Mitsubishi UFJ Financial Group Inc ($48.6B, 0.9%), Bank of Montreal ($47.4B, 0.9%), Barclays ($43.4B, 0.8%), ING Bank ($37.6B, 0.7%), Toronto-Dominion Bank ($33.5B, 0.6%), Wells Fargo ($32.3B, 0.6%), Societe Generale ($31.1B, 0.6%) and Bank of Nova Scotia ($28.8B, 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 ($2.211T, 69.0%), Fixed Income Clearing Corp ($231.7B, 7.2%), JP Morgan ($77.9B, 2.4%), RBC ($72.3B, 2.3%), Bank of America ($66.4B, 2.1%), BNP Paribas ($58.7B, 1.8%), Goldman Sachs ($56.7B, 1.8%), Citi ($56.3B, 1.8%), Sumitomo Mitsui Banking Corp ($38.4B, 1.2%) and Bank of Montreal ($32.7B, 1.0%). The largest users of the $2.211 trillion in Fed RRP include: Goldman Sachs FS Govt ($137.9B), Fidelity Govt Money Market ($122.6B), Vanguard Federal Money Mkt Fund ($121.9B), JPMorgan US Govt MM ($109.2B), Fidelity Govt Cash Reserves ($102.1B), Fidelity Inv MM: Govt Port ($101.8B), BlackRock Lq FedFund ($71.1B), BlackRock Lq T-Fund ($64.0B), Morgan Stanley Inst Liq Govt ($60.5B) and Dreyfus Govt Cash Mgmt ($58.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($22.8B, 5.2%), RBC ($21.5B, 4.9%), Mitsubishi UFJ Financial Group Inc ($20.8B, 4.8%), Mizuho Corporate Bank Ltd ($19.0B, 4.4%), Australia & New Zealand Banking Group Ltd ($18.1B, 4.2%), Bank of Nova Scotia ($17.8B, 4.1%), Barclays PLC ($15.4B, 3.5%), Bank of Montreal ($14.7B, 3.4%), ING Bank ($14.5B, 3.3%) and Sumitomo Mitsui Trust Bank ($14.2B, 3.3%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($12.7B, 8.3%), Toronto-Dominion Bank ($11.7B, 7.7%), Sumitomo Mitsui Trust Bank ($10.0B, 6.6%), Sumitomo Mitsui Banking Corp ($9.4B, 6.2%), Mizuho Corporate Bank Ltd ($9.2B, 6.1%), Credit Agricole ($6.8B, 4.5%), Svenska Handelsbanken ($6.5B, 4.3%), Canadian Imperial Bank of Commerce ($6.0B, 3.9%), Citi ($5.7B, 3.7%) and Bank of Nova Scotia ($5.3B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($12.6B, 6.0%), RBC ($11.9B, 5.7%), Bank of Montreal ($10.8B, 5.1%), Toronto-Dominion Bank ($10.2B, 4.9%), Barclays PLC ($9.5B, 4.5%), JP Morgan ($7.8B, 3.7%), Societe Generale ($7.5B, 3.6%), Mitsubishi UFJ Financial Group Inc ($6.7B, 3.2%), National Australia Bank Ltd ($6.7B, 3.2%) and Svenska Handelsbanken ($6.6B, 3.1%).
The largest increases among Issuers include: Federal Home Loan Bank (up $187.2B to $667.2B), Federal Reserve Bank of New York (up $131.4B to $2.211T), Fixed Income Clearing Corp (up $54.7B to $231.7B), Bank of America (up $28.5B to $79.1B), US Treasury (up $20.7B to $1.031T), Bank of Montreal (up $18.7B to $47.4B), Wells Fargo (up $12.9B to $32.3B), ING Bank (up $12.0B to $37.6B), Citi (up $8.8B to $67.2B) and JP Morgan (up $7.7B to $85.7B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Credit Agricole (down $16.5B to $24.7B), Mizuho Corporate Bank Ltd (down $12.9B to $26.1B), Skandinaviska Enskilda Banken AB (down $11.8B to $8.8B), Landesbank Baden-Wurttemberg (down $7.8B to $5.1B), Natixis (down $7.6B to $12.6B), Societe Generale (down $3.2B to $31.1B), Swedbank AB (down $2.8B to $6.0B), Sumitomo Mitsui Trust Bank (down $2.6B to $14.7B), National Australia Bank Ltd (down $2.4B to $8.3B) and Bank of Nova Scotia (down $2.2B to $28.8B).
The United States remained the largest segment of country-affiliations; it represents 84.3% of holdings, or $4.645 trillion. Canada (4.3%, $237.9B) was in second place, while Japan (3.2%, $178.8B) was No. 3. France (2.8%, $153.6B) occupied fourth place. The United Kingdom (1.4%, $76.3B) remained in fifth place. Netherlands (1.3%, $69.2B) was in sixth place, followed by Australia (0.7%, $37.7B), Sweden (0.7%, $36.1B) Germany (0.5%, $28.7B), and Spain (0.2%, $11.7B). (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 March 31, 2023, Taxable money funds held 73.0% (up from 72.6%) of their assets in securities maturing Overnight, and another 6.6% maturing in 2-7 days (down from 7.2%). Thus, 79.6% in total matures in 1-7 days. Another 6.2% matures in 8-30 days, while 8.3% matures in 31-60 days. Note that over three-quarters, or 94.1% 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 2.6% of taxable securities, while 1.8% matures in 91-180 days, and just 1.5% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
