Crane Data's August Money Fund Portfolio Holdings, with data as of July 31, 2023, show that Treasury holdings surged in July while Repo and Agencies plunged. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $78.3 billion to a record $5.812 trillion, after increasing $46.1 billion in June, $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 nearly $100 billion. Treasuries jumped by over $180 billion but remained in the No. 2 spot. The Federal Reserve Bank of New York's RRP issuance held by MMFs fell $152.0 billion to $1.748 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 $99.4 billion (-3.1%) to $3.102 trillion, or 53.4% of holdings, in July, after decreasing $146.4 billion in June. Repo increased $111.8 billion in May, $33.1 billion in April and $276.3 billion in March. Treasury securities rose $185.5 billion (14.9%) to $1.422 trillion, or 24.5% of holdings, after increasing $355.7 billion in June, but decreasing $116.9 billion in May and $32.3 billion in April. Government Agency Debt was down $66.5 billion, or -9.1%, to $667.4 billion, or 11.5% of holdings. Agencies decreased $119.3 billion in June, increased $58.8 billion in May, $18.5 billion in April and $188.8 billion in March. Repo, Treasuries and Agency holdings now total $5.192 trillion, representing a massive 89.3% of all taxable holdings.
Money fund holdings of CP and CDs both increased in July. Commercial Paper (CP) increased $22.0 billion (8.7%) to $275.4 billion, or 4.7% of holdings. CP holdings decreased $2.3 billion in June, but increased $6.5 billion in May and $7.4 billion in April. Certificates of Deposit (CDs) increased $7.2 billion (4.0%) to $188.1 billion, or 3.2% of taxable assets. CDs increased $7.9 billion in June, $2.1 billion in May and $18.8 billion in April. Other holdings, primarily Time Deposits, increased $29.3 billion (24.9%) to $146.9 billion, or 2.5% of holdings, after decreasing $49.8 billion in June, but increasing $30.4 billion in May and $35.0 billion in April. VRDNs rose to $10.0 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 $1.214 trillion, or 20.9% of taxable money funds' $5.812 trillion total. Among Prime money funds, CDs represent 15.5% (up from 15.3% a month ago), while Commercial Paper accounted for 22.7% (up from 21.5% in June). The CP totals are comprised of: Financial Company CP, which makes up 14.7% of total holdings, Asset-Backed CP, which accounts for 4.9%, and Non-Financial Company CP, which makes up 3.1%. Prime funds also hold 5.2% in US Govt Agency Debt, 5.2% in US Treasury Debt, 26.6% in US Treasury Repo, 0.7% in Other Instruments, 9.7% in Non-Negotiable Time Deposits, 5.4% in Other Repo, 6.9% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $3.059 trillion (52.6% of all MMF assets), up from $3.041 trillion in June, while Treasury money fund assets totaled another $1.539 trillion (26.5%), up from $1.508 trillion the prior month. Government money fund portfolios were made up of 19.8% US Govt Agency Debt, 17.0% US Government Agency Repo, 16.5% US Treasury Debt, 46.6% in US Treasury Repo, 0.1% in Other Instruments. Treasury money funds were comprised of 55.6% US Treasury Debt and 44.4% in US Treasury Repo. Government and Treasury funds combined now total $4.598 trillion, or 79.1% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $92.0 billion in July to $652.0 billion; their share of holdings rose to 11.2% from last month's 9.8%. Eurozone-affiliated holdings increased to $442.1 billion from last month's $375.5 billion; they account for 7.6% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $238.6 billion (4.1% of the total) from last month's $224.8 billion. Americas related holdings fell to $4.911 trillion from last month's $4.943 trillion, and now represent 84.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $168.6 billion, or -6.5%, to $2.432 trillion, or 41.8% of assets); US Government Agency Repurchase Agreements (up $65.1 billion, or 12.1%, to $604.2 billion, or 10.4% of total holdings), and Other Repurchase Agreements (up $4.1 billion, or 6.6%, from last month to $66.2 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $15.6 billion to $178.7 billion, or 3.1% of assets), Asset Backed Commercial Paper (up $6.3 billion to $59.0 billion, or 1.0%), and Non-Financial Company Commercial Paper (up $0.1 billion to $37.7 billion, or 0.6%).
The 20 largest Issuers to taxable money market funds as of July 31, 2023, include: the Federal Reserve Bank of New York ($1.748 trillion, or 30.1%), the US Treasury ($1.422T, 24.5%), Federal Home Loan Bank ($544.8B, 9.4%), Fixed Income Clearing Corp ($322.9B, 5.6%), RBC ($128.0B, 2.2%), Federal Farm Credit Bank ($103.0B, 1.8%), JP Morgan ($100.9B, 1.7%), BNP Paribas ($98.8B, 1.7%), Citi ($93.8B, 1.6%), Barclays PLC ($93.0B, 1.6%), Bank of America ($80.9B, 1.4%), Goldman Sachs ($77.8B, 1.3%), Societe Generale ($55.7B, 1.0%), Credit Agricole ($54.6B, 0.9%), Mitsubishi UFJ Financial Group Inc ($51.4B, 0.9%), Sumitomo Mitsui Banking Corp ($46.5B, 0.8%), Wells Fargo ($46.0B, 0.8%), ING Bank ($40.8B, 0.7%), Toronto-Dominion Bank ($38.1B, 0.7%) and Mizuho Corporate Bank Ltd ($37.4B, 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 ($1.748T, 56.4%), Fixed Income Clearing Corp ($322.9B, 10.4%), RBC ($106.6B, 3.4%), JP Morgan ($91.9B, 3.0%), Citi ($83.0B, 2.7%), BNP Paribas ($82.2B, 2.6%), Goldman Sachs ($77.5B, 2.5%), Barclays PLC ($76.2B, 2.5%), Bank of America ($63.5B, 2.0%), and Societe Generale ($44.1B, 1.4%). The largest users of the $1.748 trillion in Fed RRP include: Goldman Sachs FS Govt ($109.8B), Fidelity Govt Money Market ($108.4B), Vanguard Federal Money Mkt Fund ($100.6B), JPMorgan US Govt MM ($99.2B), Fidelity Govt Cash Reserves ($85.0B), Fidelity Inv MM: Govt Port ($79.5B), Fidelity Inv MM: MM Port ($54.1B), Morgan Stanley Inst Liq Govt ($50.0B), Northern Instit Treasury MMkt ($49.9B) and Schwab Treasury Oblig MF ($48.9B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($26.2B, 4.8%), Mizuho Corporate Bank Ltd ($23.8B, 4.4%), RBC ($21.4B, 3.9%), Toronto-Dominion Bank ($20.5B, 3.8%), Mitsubishi UFJ Financial Group Inc ($18.5B, 3.4%), Bank of Montreal ($18.4B, 3.4%), Bank of America ($17.4B, 3.2%), Bank of Nova Scotia ($17.4B, 3.2%), ING Bank ($17.1B, 3.1%) and Barclays PLC ($16.8B, 3.1%).
The 10 largest CD issuers include: Credit Agricole ($13.2B, 7.0%), Toronto-Dominion Bank ($12.3B, 6.5%), Sumitomo Mitsui Banking Corp ($12.2B, 6.5%), Mizuho Corporate Bank Ltd ($11.7B, 6.2%), Mitsubishi UFJ Financial Group Inc ($11.1B, 5.9%), Mitsubishi UFJ Trust and Banking Corporation ($10.0B, 5.3%), Sumitomo Mitsui Trust Bank ($9.7B, 5.2%), Bank of America ($9.1B, 4.8%), Canadian Imperial Bank of Commerce ($9.0B, 4.8%) and Bank of Nova Scotia ($6.4B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Montreal ($13.1B, 5.4%), Societe Generale ($11.6B, 4.8%), RBC ($11.5B, 4.8%), Bank of Nova Scotia ($10.9B, 4.5%), Barclays PLC ($10.9B, 4.5%), JP Morgan ($9.0B, 3.7%), Toronto-Dominion Bank ($7.9B, 3.2%), BNP Paribas ($7.8B, 3.2%), BPCE SA ($7.7B, 3.2%) and UBS AG ($7.6B, 3.1%).
The largest increases among Issuers include: US Treasury (up $186.8B to $1.422T), Credit Agricole (up $21.4B to $54.6B), Barclays PLC (up $20.1B to $93.0B), BNP Paribas (up $13.8B to $98.8B), Citi (up $9.6B to $93.8B), Erste Group Bank AG (up $7.9B to $8.7B), Societe Generale (up $7.1B to $55.7B), Mizuho Corporate Bank Ltd (up $5.2B to $37.4B), BayernLB (up $4.7B to $8.1B) and Swedbank AB (up $4.4B to $10.5B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Federal Reserve Bank of New York (down $152.0B to $1.748T), Federal Home Loan Bank (down $60.6B to $544.8B), Sumitomo Mitsui Banking Corp (down $5.1B to $46.5B), Federal Home Loan Mortgage Corp (down $3.5B to $11.3B), JP Morgan (down $2.4B to $100.9B), Fixed Income Clearing Corp (down $2.4B to $322.9B), Goldman Sachs (down $2.3B to $77.8B), Toronto-Dominion Bank (down $2.2B to $38.1B), Canadian Imperial Bank of Commerce (down $1.3B to $35.5B) and Bank of America (down $1.2B to $80.9B).
The United States remained the largest segment of country-affiliations; it represents 79.7% of holdings, or $4.633 trillion. Canada (4.8%, $278.1B) was in second place, while France (4.5%, $262.8B) was No. 3. Japan (3.7%, $215.5B) occupied fourth place. The United Kingdom (2.5%, $142.9B) remained in fifth place. Netherlands (1.3%, $72.9B) was in sixth place, followed by Germany (0.9%, $54.4B), Sweden (0.8%, $49.1B), Australia (0.5%, $30.5B), and Spain (0.3%, $17.5B). (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 July 31, 2023, Taxable money funds held 65.4% (down from 68.1%) of their assets in securities maturing Overnight, and another 7.4% maturing in 2-7 days (down from 7.8%). Thus, 72.8% in total matures in 1-7 days. Another 7.6% matures in 8-30 days, while 7.4% matures in 31-60 days. Note that over three-quarters, or 87.8% 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 3.9% of taxable securities, while 5.2% matures in 91-180 days, and just 3.1% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
