Crane Data's July Money Fund Portfolio Holdings, with data as of June 30, 2023, show that Treasury holdings jumped in June while Repo, Agencies and Time Deposits (Other) all declined. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $46.1 billion to a record $5.734 trillion, after increasing $92.6 billion in May, $81.2 billion in April and $390.5 billion in March. Repo dropped but continues to lead as the largest portfolio segment, falling by over $100 billion. Treasuries jumped by over $300 billion but remained in the No. 2 spot. The Federal Reserve Bank of New York's RRP issuance held by MMFs fell $135.8 billion to $1.900 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: The SEC also passed its latest "Money Market Fund Reforms yesterday. See our "Link of the Day" for the release, and see the full final rule here. See also The Wall Street Journal's coverage, "U.S. Takes Third Shot at Shoring Up Money-Market Funds." Watch for more coverage in coming days as we publish excerpts and wade through the full 424 pages!)
Among taxable money funds, Repurchase Agreements (repo) decreased $146.4 billion (-4.4%) to $3.201 trillion, or 55.8% of holdings, in June, after increasing $111.8 billion in May, $33.1 billion in April and $276.3 billion in March. Treasury securities rose $355.7 billion (40.4%) to $1.237 trillion, or 21.6% of holdings, after decreasing $116.9 billion in May and $32.3 billion in April (but increasing $20.7 billion in March). Government Agency Debt was down $119.3 billion, or -14.0%, to $733.8 billion, or 12.8% of holdings. Agencies increased $58.8 billion in May, $18.5 billion in April and $188.8 billion in March. Repo, Treasuries and Agency holdings now total $5.172 trillion, representing a massive 90.2% of all taxable holdings.
Money fund holdings of CP decreased, but CDs increased in June. Commercial Paper (CP) decreased $2.3 billion (-0.9%) to $253.4 billion, or 4.4% of holdings. CP holdings increased $6.5 billion in May and $7.4 billion in April, but decreased $33.0 billion in March. Certificates of Deposit (CDs) increased $7.9 billion (4.6%) to $180.8 billion, or 3.2% of taxable assets. CDs increased $2.1 billion in May and $18.8 billion in April, but decreased $17.1 billion in March. Other holdings, primarily Time Deposits, decreased $49.8 billion (-29.8%) to $117.6 billion, or 2.1% of holdings, after increasing $30.4 billion in May and $35.0 billion in April (but decreasing $43.9 billion in March). VRDNs rose to $9.9 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 rose to $1.186 trillion, or 20.7% of taxable money funds' $5.734 trillion total. Among Prime money funds, CDs represent 15.3% (up from 14.7% a month ago), while Commercial Paper accounted for 21.5% (down from 21.8% in May). The CP totals are comprised of: Financial Company CP, which makes up 13.8% of total holdings, Asset-Backed CP, which accounts for 4.5%, and Non-Financial Company CP, which makes up 3.2%. Prime funds also hold 6.1% in US Govt Agency Debt, 3.5% in US Treasury Debt, 31.1% in US Treasury Repo, 0.7% in Other Instruments, 7.5% in Non-Negotiable Time Deposits, 5.2% in Other Repo, 7.1% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.041 trillion (53.0% of all MMF assets), down from $3.082 trillion in May, while Treasury money fund assets totaled another $1.508 trillion (26.3%), up from $1.431 trillion the prior month. Government money fund portfolios were made up of 21.7% US Govt Agency Debt, 14.9% US Government Agency Repo, 13.2% US Treasury Debt, 49.9% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 52.7% US Treasury Debt and 47.3% in US Treasury Repo. Government and Treasury funds combined now total $4.548 trillion, or 79.3% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $41.3 billion in June to $559.9 billion; their share of holdings fell to 9.8% from last month's 10.6%. Eurozone-affiliated holdings decreased to $375.5 billion from last month's $405.0 billion; they account for 6.6% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $224.8 billion (3.9% of the total) from last month's $222.1 billion. Americas related holdings rose to $4.943 trillion from last month's $4.854 trillion, and now represent 86.2% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $167.1 billion, or -6.0%, to $2.600 trillion, or 45.3% of assets); US Government Agency Repurchase Agreements (up $13.4 billion, or 2.6%, to $539.2 billion, or 9.4% of total holdings), and Other Repurchase Agreements (up $7.2 billion, or 13.2%, from last month to $62.1 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $6.5 billion to $163.0 billion, or 2.8% of assets), Asset Backed Commercial Paper (up $6.3 billion to $52.8 billion, or 0.9%), and Non-Financial Company Commercial Paper (down $2.1 billion to $37.7 billion, or 0.7%).
The 20 largest Issuers to taxable money market funds as of June 30, 2023, include: the Federal Reserve Bank of New York ($1.900 trillion, or 33.1%), the US Treasury ($1.236T, 21.5%), Federal Home Loan Bank ($605.4B, 10.6%), Fixed Income Clearing Corp ($325.3B, 5.7%), RBC ($125.1B, 2.2%), JP Morgan ($103.3B, 1.8%), Federal Farm Credit Bank ($103.1B, 1.8%), BNP Paribas ($85.0B, 1.5%), Citi ($84.2B, 1.5%), Bank of America ($82.1B, 1.4%), Goldman Sachs ($80.1B, 1.4%), Barclays PLC ($72.9B, 1.3%), Sumitomo Mitsui Banking Corp ($51.7B, 0.9%), Mitsubishi UFJ Financial Group Inc ($50.4B, 0.9%), Societe Generale ($48.7B, 0.8%), Wells Fargo ($42.2B, 0.7%), ING Bank ($41.3B, 0.7%), Toronto-Dominion Bank ($40.3B, 0.7%), Canadian Imperial Bank of Commerce ($36.9B, 0.6%) and Bank of Montreal ($35.7B, 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 ($1.900T, 59.3%), Fixed Income Clearing Corp ($325.3B, 10.2%), RBC ($102.8B, 3.2%), JP Morgan ($95.0B, 3.0%), Goldman Sachs ($79.7B, 2.5%), Citi ($74.6B, 2.3%), BNP Paribas ($70.5B, 2.2%), Bank of America ($64.4B, 2.0%), Barclays PLC ($56.2B, 1.8%), and Sumitomo Mitsui Banking Corp ($40.3B, 1.3%). The largest users of the $2.036 trillion in Fed RRP include: Goldman Sachs FS Govt ($124.2B), Vanguard Federal Money Mkt Fund ($123.8B), JPMorgan US Govt MM ($112.3B), Fidelity Govt Money Market ($111.1B), Fidelity Inv MM: Govt Port ($88.8B), Fidelity Govt Cash Reserves ($88.1B), Morgan Stanley Inst Liq Govt ($62.0B), Northern Instit Treasury MMkt ($60.4B), Vanguard Cash Reserves Federal MM ($53.4B) and BlackRock Lq FedFund ($51.8B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($24.7B, 5.1%), RBC ($22.3B, 4.6%), Mizuho Corporate Bank Ltd ($19.5B, 4.0%), Bank of America ($17.6B, 3.7%), Bank of Nova Scotia ($17.6B, 3.7%), Bank of Montreal ($17.6B, 3.6%), Mitsubishi UFJ Financial Group Inc ($16.8B, 3.5%), Barclays PLC ($16.7B, 3.5%), ING Bank ($16.5B, 3.4%) and Skandinaviska Enskilda Banken AB ($15.5B, 3.2%).
The 10 largest CD issuers include: Toronto-Dominion Bank ($12.5B, 6.9%), Mizuho Corporate Bank Ltd ($12.0B, 6.6%), Mitsubishi UFJ Financial Group Inc ($10.9B, 6.0%), Sumitomo Mitsui Trust Bank ($10.5B, 5.8%), Sumitomo Mitsui Banking Corp ($10.2B, 5.6%), Canadian Imperial Bank of Commerce ($9.3B, 5.1%), Bank of America ($8.5B, 4.7%), Mitsubishi UFJ Trust and Banking Corporation ($8.3B, 4.6%), Credit Agricole ($8.2B, 4.5%) and Barclays PLC ($7.0B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($12.7B, 5.8%), Bank of Nova Scotia ($12.3B, 5.6%), Societe Generale ($10.3B, 4.7%), RBC ($10.2B, 4.6%), Barclays PLC ($9.2B, 4.2%), Toronto-Dominion Bank ($8.8B, 4.0%), JP Morgan ($8.3B, 3.8%), BPCE SA ($7.6B, 3.4%), UBS AG ($6.7B, 3.0%) and BNP Paribas ($6.6B, 3.0%).
The largest increases among Issuers include: US Treasury (up $354.3B to $1.236T), RBC (up $13.5B to $125.1B), Sumitomo Mitsui Trust Bank (up $6.5B to $20.7B), Goldman Sachs (up $6.3B to $80.1B), Canadian Imperial Bank of Commerce (up $5.2B to $36.9B), JP Morgan (up $4.3B to $103.3B), Standard Chartered Bank (up $3.9B to $19.1B), Mitsubishi UFJ Trust and Banking Corporation (up $3.6B to $12.4B), Mitsubishi UFJ Financial Group Inc (up $2.9B to $50.4B) and HSBC (up $2.6B to $12.3B).
The only decreases among Issuers of money market securities (including Repo) in June were shown by: Federal Reserve Bank of New York (down $135.8B to $1.900T), Federal Home Loan Bank (down $122.7B to $605.4B), Barclays PLC (down $17.3B to $72.9B), Bank of America (down $17.2B to $82.1B), Fixed Income Clearing Corp (down $16.7B to $325.3B), Credit Agricole (down $16.2B to $33.3B), BNP Paribas (down $5.0B to $85.0B), Natixis (down $3.0B to $22.0B), Landesbank Baden-Wurttemberg (down $2.9B to $7.6B) and Swedbank AB (down $2.9B to $6.1B).
The United States remained the largest segment of country-affiliations; it represents 81.4% of holdings, or $4.664 trillion. Canada (4.9%, $278.8B) was in second place, while France (3.7%, $213.3B) was No. 3. Japan (3.7%, $209.1B) occupied fourth place. The United Kingdom (2.1%, $121.5B) remained in fifth place. Netherlands (1.2%, $70.4B) was in sixth place, followed by Sweden (0.8%, $43.6B), Germany (0.7%, $42.2B), Australia (0.5%, $31.0B), and Spain (0.3%, $16.3B). (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 June 30, 2023, Taxable money funds held 68.1% (down from 73.5%) of their assets in securities maturing Overnight, and another 7.8% maturing in 2-7 days (up from 7.3%). Thus, 75.8% in total matures in 1-7 days. Another 6.4% matures in 8-30 days, while 6.3% matures in 31-60 days. Note that over three-quarters, or 88.6% 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 3.8% of taxable securities, while 4.6% matures in 91-180 days, and just 2.9% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
