Crane Data's June Money Fund Portfolio Holdings, with data as of May 31, 2023, show that Repo, Agencies and Time Deposits (Other) all showed big increases while Treasury holdings plunged in May. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $92.6 billion to a record $5.688 trillion, after increasing $81.2 billion in April, $390.5 billion in March, $34.5 billion in February and $49.7 billion in January. Repo extended its lead as the largest portfolio segment, jumping by over $100 billion and hitting new record levels, while Treasuries fell by over $100 billion but remained in the No. 2 spot. The Federal Reserve Bank of New York's RRP issuance held by MMFs fell $170.1 billion to $2.036 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. (Note: We look forward to seeing you at our upcoming Money Fund Symposium, June 21-23, 2023 in Atlanta, Ga!)
Among taxable money funds, Repurchase Agreements (repo) increased $111.8 billion (3.5%) to $3.348 trillion, or 58.9% of holdings, in May, after increasing $33.1 billion in April, $276.3 billion in March and $98.2 billion in February. Repo decreased $111.2 billion in January. Treasury securities fell $116.9 billion (-11.7%) to $881.2 billion, or 15.5% of holdings, after decreasing $32.3 billion in April, increasing $20.7 billion in March and decreasing $41.2 billion in February. Government Agency Debt was up $58.8 billion, or 7.4%, to $853.1 billion, or 15.0% of holdings. Agencies increased $18.5 billion in April and $188.8 billion in March, but decreased $27.0 billion in February. Repo, Treasuries and Agency holdings now total $5.082 trillion, representing a massive 89.4% of all taxable holdings.
Money fund holdings of CP and CDs increased in May. Commercial Paper (CP) increased $6.5 billion (2.6%) to $255.7 billion, or 4.5% of holdings. CP holdings increased $7.4 billion in April, but decreased $33.0 billion in March and $7.3 billion in February. Certificates of Deposit (CDs) increased $2.1 billion (1.2%) to $172.9 billion, or 3.0% of taxable assets. CDs increased $18.8 billion in April, but decreased $17.1 billion in March and $4.5 billion in February. Other holdings, primarily Time Deposits, increased $30.4 billion (22.2%) to $167.4 billion, or 2.9% of holdings, after increasing $35.0 billion in April, decreasing $43.9 billion in March, and increasing $15.6 billion in February. VRDNs fell to $9.6 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Monday around noon.)
Prime money fund assets tracked by Crane Data rose to $1.175 trillion, or 20.7% of taxable money funds' $5.688 trillion total. Among Prime money funds, CDs represent 14.7% (unchanged from a month ago), while Commercial Paper accounted for 21.8% (up from 21.4% in March). The CP totals are comprised of: Financial Company CP, which makes up 14.4% of total holdings, Asset-Backed CP, which accounts for 4.0%, and Non-Financial Company CP, which makes up 3.4%. Prime funds also hold 6.8% in US Govt Agency Debt, 1.3% in US Treasury Debt, 30.7% in US Treasury Repo, 0.9% in Other Instruments, 10.6% in Non-Negotiable Time Deposits, 4.7% in Other Repo, 6.6% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.082 trillion (54.2% of all MMF assets), up from $2.914 trillion in April, while Treasury money fund assets totaled another $1.431 trillion (25.2%), down from $1.522 trillion the prior month. Government money fund portfolios were made up of 24.3% US Govt Agency Debt, 14.5% US Government Agency Repo, 7.9% US Treasury Debt, 52.8% in US Treasury Repo, 0.3% in Other Instruments. Treasury money funds were comprised of 43.5% US Treasury Debt and 54.5% in US Treasury Repo. Government and Treasury funds combined now total $4.513 trillion, or 79.3% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $76.5 billion in May to $601.2 billion; their share of holdings jumped to 10.6% from last month's 9.4%. Eurozone-affiliated holdings increased to $405.0 billion from last month's $359.1 billion; they account for 7.1% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $222.1 billion (3.9% of the total) from last month's $213.1 billion. Americas related holdings rose to $4.854 trillion from last month's $4.850 trillion, and now represent 85.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $202.9 billion, or 7.9%, to $2.767 trillion, or 48.7% of assets); US Government Agency Repurchase Agreements (down $94.1 billion, or -15.2%, to $525.7 billion, or 9.2% of total holdings), and Other Repurchase Agreements (up $3.0 billion, or 5.7%, from last month to $54.9 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.9 billion to $169.5 billion, or 3.0% of assets), Asset Backed Commercial Paper (up $3.0 billion to $46.4 billion, or 0.8%), and Non-Financial Company Commercial Paper (down $2.3 billion to $39.7 billion, or 0.7%).
The 20 largest Issuers to taxable money market funds as of May 31, 2023, include: the Federal Reserve Bank of New York ($2.036T, 35.8%), the US Treasury ($881.2B, 15.5%), Federal Home Loan Bank ($728.2B, 12.8%), Fixed Income Clearing Corp ($342.0B, 6.0%), RBC ($111.6B, 2.0%), Federal Farm Credit Bank ($102.8B, 1.8%), Bank of America ($99.3B, 1.7%), JP Morgan ($98.9B, 1.7%), Barclays PLC ($90.3B, 1.6%), BNP Paribas ($90.0B, 1.6%), Citi ($83.9B, 1.5%), Goldman Sachs ($73.9B, 1.3%), Sumitomo Mitsui Banking Corp ($50.4B, 0.9%), Credit Agricole ($49.4B, 0.9%), Societe Generale ($47.8B, 0.8%), Mitsubishi UFJ Financial Group Inc ($47.5B, 0.8%), Toronto-Dominion Bank ($41.4B, 0.7%), Wells Fargo ($40.3B, 0.7%), ING Bank ($39.3B, 0.7%), and Bank of Montreal ($37.3B, 0.7%).
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 ($2.036T, 60.8%), Fixed Income Clearing Corp ($332.0B, 9.9%), JP Morgan ($92.6B, 2.8%), RBC ($90.3B, 2.7%), Bank of America ($82.0B, 2.4%), Citi ($78.0B, 2.3%), Barclays PLC ($75.8B, 2.3%), Goldman Sachs ($73.3B, 2.2%), BNP Paribas ($70.2B, 2.1%) and Sumitomo Mitsui Banking Corp ($39.2B, 1.2%). The largest users of the $2.036 trillion in Fed RRP include: Goldman Sachs FS Govt ($144.1B), JPMorgan US Govt MM ($133.1B), Vanguard Federal Money Mkt Fund ($117.2B), Fidelity Govt Money Market ($106.3B), Fidelity Inv MM: Govt Port ($95.3B), Fidelity Govt Cash Reserves ($89.2B), American Funds Central Cash ($64.7B), BlackRock Lq FedFund ($60.2B), Northern Instit Treasury MMkt ($58.8B) and Morgan Stanley Inst Liq Govt ($56.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($25.6B, 4.9%), Credit Agricole ($24.6B, 4.7%), Mizuho Corporate Bank Ltd ($23.4B, 4.5%), RBC ($21.3B, 4.1%), BNP Paribas ($19.9B, 3.8%), Bank of America ($17.3B, 3.3%), ING Bank ($16.3B, 3.1%), Bank of Nova Scotia ($16.2B, 3.1%), Bank of Montreal ($16.1B, 3.1%) and Skandinaviska Enskilda Banken AB ($15.9B, 3.1%).
The 10 largest CD issuers include: Credit Agricole ($12.5B, 7.2%), Toronto-Dominion Bank ($12.1B, 7.0%), Mizuho Corporate Bank Ltd ($11.7B, 6.8%), Sumitomo Mitsui Banking Corp ($10.0B, 5.8%), Mitsubishi UFJ Financial Group Inc ($9.8B, 5.7%), Sumitomo Mitsui Trust Bank ($8.9B, 5.2%), Canadian Imperial Bank of Commerce ($8.1B, 4.7%), Bank of America ($7.7B, 4.5%), BNP Paribas ($6.8B, 3.9%) and Svenska Handelsbanken ($6.3B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($12.3B, 5.6%), Bank of Nova Scotia ($11.8B, 5.4%), RBC ($10.4B, 4.7%), Barclays PLC ($9.9B, 4.5%), Societe Generale ($9.7B, 4.4%), Toronto-Dominion Bank ($9.1B, 4.1%), BNP Paribas ($8.5B, 3.9%), BPCE SA ($8.1B, 3.7%), JP Morgan ($6.3B, 2.9%) and Svenska Handelsbanken ($6.0B, 2.7%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $114.5B to $342.0B), Federal Home Loan Bank (up $45.6B to $728.2B), Bank of America (up $23.9B to $99.3B), Barclays PLC (up $22.6B to $90.3B), Goldman Sachs (up $22.2B to $73.9B), RBC (up $20.6B to $111.6B), JP Morgan (up $18.6B to $98.9B), BNP Paribas (up $15.4B to $90.0B), Citi (up $9.2B to $83.9B) and Federal Home Loan Mortgage Corp (up $9.1B to $14.7B).
The only decreases among Issuers of money market securities (including Repo) in May were shown by: Federal Reserve Bank of New York (down $170.1B to $2.036T), US Treasury (down $116.9B to $881.2B), Sumitomo Mitsui Trust Bank (down $3.3B to $14.2B), Australia & New Zealand Banking Group Ltd (down $1.6B to $14.2B), DNB ASA (down $0.5B to $8.1B) and Nordea Bank (down $0.2B to $7.3B).
The United States remained the largest segment of country-affiliations; it represents 80.8% of holdings, or $4.593 trillion. Canada (4.6%, $261.4B) was in second place, while France (4.2%, $236.2B) was No. 3. Japan (3.4%, $193.5B) occupied fourth place. The United Kingdom (2.3%, $131.7B) remained in fifth place. Netherlands (1.3%, $71.2B) was in sixth place, followed by Germany (0.9%, $53.7B), Sweden (0.8%, $47.7B) Australia (0.5%, $27.8B), and Spain (0.3%, $14.3B). (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 May 31, 2023, Taxable money funds held 73.5% (up from 72.4%) of their assets in securities maturing Overnight, and another 7.3% maturing in 2-7 days (down from 8.6%). Thus, 80.7% in total matures in 1-7 days. Another 4.3% matures in 8-30 days, while 4.6% matures in 31-60 days. Note that over three-quarters, or 89.7% 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 2.7% of taxable securities, while 5.1% matures in 91-180 days, and just 2.6% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
