Crane Data's October Money Fund Portfolio Holdings, with data as of Sept. 30, 2024, show that Repo and Treasuries jumped sharply while Other (mostly Time Deposits) holdings dropped last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $233.8 billion to $6.727 trillion in September, after increasing $57.2 billion in August and $90.4 billion in July, but decreasing by $0.4 billion in June. Holdings increased $105.6 billion in May but decreased $61.4 billion in April. Repo, now the largest segment, increased $151.7 billion in September after decreasing $40.2 billion in August and $21.5 billion in July (but increasing $99.3 billion in June). Treasuries increased by $92.0 billion, but moved down to the No. 2 spot for largest portfolio segment. 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. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
Among taxable money funds, Repurchase Agreements (repo) increased $151.7 billion (6.0%) to $2.670 trillion, or 39.7% of holdings, in September, after decreasing $40.2 billion in August and $21.5 billion in July. But they increased $99.3 billion in June and $26.8 billion in May. Treasury securities increased $92.0 billion (3.6%) to $2.631 trillion, or 39.1% of holdings, after increasing $85.8 billion in August and $24.3 billion in July. T-bills decreased $17.3 billion in June but increased $51.0 billion in May. Government Agency Debt was up $20.9 billion, or 2.8%, to $779.1 billion, or 11.6% of holdings. Agencies increased $11.2 billion in August and $22.9 billion in July, but decreased $16.9 billion in June. Repo, Treasuries and Agency holdings now total $6.080 trillion, representing a massive 90.4% of all taxable holdings.
Money fund holdings of Other (Time Deposits) and CD decreased in September while CP rose. Commercial Paper (CP) increased $0.3 billion (0.1%) to $281.5 billion, or 4.2% of holdings. CP holdings increased $4.5 billion in August and $8.2 billion in July, but decreased $2.0 billion in June. Certificates of Deposit (CDs) decreased $1.7 billion (-0.9%) to $185.1 billion, or 2.8% of taxable assets. CDs decreased $13.9 billion in August, increased $6.9 billion in July, and decreased $5.6 billion in June. Other holdings, primarily Time Deposits, decreased $29.4 billion (-14.9%) to $168.2 billion, or 2.5% of holdings, after increasing $9.3 billion in August and $49.0 billion in July. VRDNs increased to $13.0 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 decreased to $1.137 trillion, or 16.9% of taxable money funds' $6.727 trillion total. Among Prime money funds, CDs represent 16.3% (down from 16.4% a month ago), while Commercial Paper accounted for 24.8% (up from 24.6% in August). The CP totals are comprised of: Financial Company CP, which makes up 16.6% of total holdings, Asset-Backed CP, which accounts for 6.9%, and Non-Financial Company CP, which makes up 1.3%. Prime funds also hold 0.4% in US Govt Agency Debt, 1.6% in US Treasury Debt, 24.5% in US Treasury Repo, 1.0% in Other Instruments, 11.6% in Non-Negotiable Time Deposits, 7.6% in Other Repo, 11.0% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $3.679 trillion (54.7% of all MMF assets), up from $3.553 trillion in August, while Treasury money fund assets totaled another $1.912 trillion (28.4%), up from $1.799 trillion the prior month. Government money fund portfolios were made up of 21.1% US Govt Agency Debt, 16.8% US Government Agency Repo, 32.4% US Treasury Debt, 29.3% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 74.3% US Treasury Debt and 25.5% in US Treasury Repo. Government and Treasury funds combined now total $5.590 trillion, or 83.1% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $59.5 billion in September to $698.3 billion; their share of holdings fell to 10.4% from last month's 11.7%. Eurozone-affiliated holdings decreased to $480.4 billion from last month's $494.0 billion; they account for 7.1% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $298.8 billion (4.4% of the total) from last month's $320.6 billion. Americas related holdings rose to $5.724 trillion from last month's $5.406 trillion, and now represent 85.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $129.0 billion, or 7.5%, to $1.843 trillion, or 27.4% of assets); US Government Agency Repurchase Agreements (up $24.7 billion, or 11.0%, to $741.1 billion, or 11.0% of total holdings), and Other Repurchase Agreements (down $1.9 billion, or -2.2%, from last month to $85.9 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.7 billion to $189.1 billion, or 2.8% of assets), Asset Backed Commercial Paper (up $3.7 billion at $77.9 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $0.7 billion to $14.6 billion, or 0.2%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2024, include: the US Treasury ($2.631T, 39.1%), Fixed Income Clearing Corp ($789.6B, 11.7%), Federal Home Loan Bank ($599.9B, 8.9%), the Federal Reserve Bank of New York ($428.7B, or 6.4%), JP Morgan ($201.4B, 3.0%), RBC ($153.3B, 2.3%), Citi ($152.0B, 2.3%), BNP Paribas ($150.7B, 2.2%), Federal Farm Credit Bank ($141.0B, 2.1%), Goldman Sachs ($129.0B, 1.9%), Bank of America ($104.9B, 1.6%), Mitsubishi UFJ Financial Group Inc ($81.5B, 1.2%), Barclays PLC ($76.3B, 1.1%), Wells Fargo ($72.8B, 1.1%), Sumitomo Mitsui Banking Corp ($62.7B, 0.9%), Toronto-Dominion Bank ($56.3B, 0.8%), Canadian Imperial Bank of Commerce ($55.1B, 0.8%), Bank of Montreal ($51.5B, 0.8%), Credit Agricole ($48.8B, 0.7%) and Societe Generale ($41.7B, 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: Fixed Income Clearing Corp ($767.2B, 28.7%), the Federal Reserve Bank of New York ($428.7B, 16.1%), JP Morgan ($192.9B, 7.2%), Citi ($139.3B, 5.2%), BNP Paribas ($137.9B, 5.2%), Goldman Sachs ($128.5B, 4.8%), RBC ($121.4B, 4.5%), Bank of America ($86.0B, 3.2%), Wells Fargo ($69.9B, 2.6%) and Barclays PLC ($66.7B, 2.5%).
The largest users of the $428.7 billion in Fed RRP include: Vanguard Federal Money Mkt Fund ($65.4B), Fidelity Cash Central Fund ($45.6B), Fidelity Inv MM: MM Port ($30.5B), Fidelity Money Market ($26.9B), Vanguard Market Liquidity Fund ($24.7B), Fidelity Sec Lending Cash Central Fund ($24.0B), Vanguard Cash Reserves Federal MM ($21.9B), Dreyfus Govt Cash Mgmt ($18.5B), Fidelity Inv MM: Treas Port ($15.6B) and Fidelity Inv MM: Govt Port ($13.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($31.8B, 5.5%), Toronto-Dominion Bank ($31.8B, 5.5%), Mitsubishi UFJ Financial Group Inc ($30.9B, 5.4%), Fixed Income Clearing Corp ($22.4B, 3.9%), ING Bank ($21.8B, 3.8%), Skandinaviska Enskilda Banken AB ($21.5B, 3.8%), Mizuho Corporate Bank Ltd ($21.1B, 3.7%), Canadian Imperial Bank of Commerce ($21.0B, 3.7%), Australia & New Zealand Banking Group Ltd ($20.2B, 3.5%) and DNB ASA ($20.0B, 3.5%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($24.5B, 13.2%), Sumitomo Mitsui Trust Bank ($13.6B, 7.4%), Bank of America ($12.7B, 6.9%), Toronto-Dominion Bank ($11.1B, 6.0%), Credit Agricole ($9.5B, 5.1%), Sumitomo Mitsui Banking Corp ($9.4B, 5.1%), Canadian Imperial Bank of Commerce ($8.0B, 4.3%), Mitsubishi UFJ Trust and Banking Corporation ($7.6B, 4.1%), Mizuho Corporate Bank Ltd ($7.0B, 3.8%) and Bank of Nova Scotia ($6.7B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($19.4B, 7.5%), RBC ($18.7B, 7.2%), Bank of Montreal ($14.2B, 5.4%), Australia & New Zealand Banking Group Ltd ($8.9B, 3.4%), Citi ($8.8B, 3.4%), ING Bank ($8.6B, 3.3%), Barclays PLC ($8.5B, 3.3%), JP Morgan ($8.5B, 3.3%), BSN Holdings Ltd ($8.4B, 3.2%) and BPCE SA ($8.3B, 3.2%).
The largest increases among Issuers include: Fixed Income Clearing Corp (up $155.6B to $789.6B), US Treasury (up $92.0B to $2.631T), the Federal Reserve Bank of New York (up $38.9B to $428.7B), Goldman Sachs (up $18.6B to $129.0B), Federal Home Loan Mortgage Corp (up $11.1B to $18.5B), RBC (up $8.8B to $153.3B), Rabobank (up $6.2B to $12.9B), Federal Farm Credit Bank (up $5.5B to $141.0B), Federal National Mortgage Association (up $5.2B to $15.5B) and Nomura (up $4.4B to $29.1B).
The largest decreases among Issuers of money market securities (including Repo) in September were shown by: Barclays PLC (down $23.1B to $76.3B), Credit Agricole (down $19.5B to $48.8B), JP Morgan (down $19.3B to $201.4B), Mizuho Corporate Bank Ltd (down $16.7B to $34.5B), Citi (down $8.0B to $152.0B), Societe Generale (down $7.0B to $41.7B), Canadian Imperial Bank of Commerce (down $4.4B to $55.1B), ING Bank (down $4.1B to $34.5B), HSBC (down $3.9B to $29.5B) and Svenska Handelsbanken (down $2.8B to $7.1B).
The United States remained the largest segment of country-affiliations; it represents 79.8% of holdings, or $5.365 trillion. Canada (5.3%, $358.9B) was in second place, while France (4.3%, $286.0B) was No. 3. Japan (4.1%, $272.3B) occupied fourth place. The United Kingdom (2.2%, $149.6B) remained in fifth place. Netherlands (1.0%, $65.4B) was in sixth place, followed by Australia (0.8%, $53.4B), Germany (0.7%, $46.5B), Sweden (0.5%, $35.2B), and Spain (0.4%, $27.6B). (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 Sept. 30, 2024, Taxable money funds held 51.1% (up from 49.7%) of their assets in securities maturing Overnight, and another 10.3% maturing in 2-7 days (up from 10.1%). Thus, 61.4% in total matures in 1-7 days. Another 11.5% matures in 8-30 days, while 9.6% matures in 31-60 days. Note that over three-quarters, or 82.5% 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 4.9% of taxable securities, while 10.2% matures in 91-180 days, and just 2.5% matures beyond 181 days.
