Crane Data's December Money Fund Portfolio Holdings, with data as of Nov. 30, 2024, show that Treasuries jumped sharply last month while Repo holdings declined. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $190.8 billion to $7.001 trillion in November, after increasing $82.8 billion in October, $233.8 billion in September, $57.2 billion in August and $90.4 billion in July. Taxable holdings decreased by $0.4 billion in June, increased $105.6 billion in May, and decreased $61.4 billion in April. Treasuries, the largest segment, increased $244.6 billion in November after increasing $236.2 billion in October and $92.0 billion in September. They decreased $40.2 billion in August and $21.5 billion in July. Repo, the second largest portfolio composition segment, decreased by $82.6 billion. 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.) (Note: We're still accepting registrations for our "basic training" event, Money Fund University, which takes place next week, Dec. 19-20, in Providence, R.I.)
Among taxable money funds, Repurchase Agreements (repo) decreased $82.6 billion (-3.4%) to $2.345 trillion, or 33.5% of holdings, in November, after decreasing $242.8 billion in October and increasing $151.7 billion in September. Repo decreased $40.2 billion in August and $21.5 billion in July. Treasury securities increased $244.6 billion (8.5%) to $3.111 trillion, or 44.4% of holdings, after increasing $236.2 billion in October, $92.0 billion in September, $85.8 billion in August and $24.3 billion in July. Government Agency Debt was down $2.4 billion, or -0.3%, to $846.9 billion, or 12.1% of holdings. Agencies increased $70.3 billion in October, $20.9 billion in September, $11.2 billion in August and $22.9 billion in July. Repo, Treasuries and Agency holdings now total $6.303 trillion, representing a massive 90.0% of all taxable holdings.
Money fund holdings of Other (Time Deposits), CD and CP all rose in November. Commercial Paper (CP) increased $2.6 billion (0.9%) to $296.3 billion, or 4.2% of holdings. CP holdings increased $12.2 billion in October, $0.3 billion in September and $4.5 billion in August. Certificates of Deposit (CDs) increased $0.5 billion (0.3%) to $187.7 billion, or 2.7% of taxable assets. CDs increased $2.1 billion in October, but decreased $1.7 billion in September and $13.9 billion in August. Other holdings, primarily Time Deposits, increased $27.6 billion (16.1%) to $199.7 billion, or 2.9% of holdings, after increasing $3.9 billion in October, decreasing $29.4 billion in September and increasing $9.3 billion in August. VRDNs increased to $14.4 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will post our Tax Exempt MMF holdings separately Wednesday around noon.)
Prime money fund assets tracked by Crane Data increased to $1.171 trillion, or 16.7% of taxable money funds' $7.001 trillion total. Among Prime money funds, CDs represent 16.0% (down from 16.1% a month ago), while Commercial Paper accounted for 25.3% (unchanged from October). The CP totals are comprised of: Financial Company CP, which makes up 17.2% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 1.6%. Prime funds also hold 0.4% in US Govt Agency Debt, 4.9% in US Treasury Debt, 16.6% in US Treasury Repo, 0.9% in Other Instruments, 14.2% in Non-Negotiable Time Deposits, 8.9% in Other Repo, 11.4% in US Government Agency Repo and 0.9% in VRDNs.
Government money fund portfolios totaled $3.862 trillion (55.2% of all MMF assets), up from $3.755 trillion in October, while Treasury money fund assets totaled another $1.969 trillion (28.1%), up from $1.891 trillion the prior month. Government money fund portfolios were made up of 21.8% US Govt Agency Debt, 16.1% US Government Agency Repo, 39.6% US Treasury Debt, 22.0% in US Treasury Repo, 0.4% in Other Instruments. Treasury money funds were comprised of 77.5% US Treasury Debt and 22.4% in US Treasury Repo. Government and Treasury funds combined now total $5.830 trillion, or 83.3% of all taxable money fund assets.
European-affiliated holdings (including repo) decreased by $24.6 billion in November to $749.8 billion; their share of holdings fell to 10.7% from last month's 11.4%. Eurozone-affiliated holdings decreased to $507.4 billion from last month's $520.7 billion; they account for 7.3% of overall taxable money fund holdings. Asia & Pacific related holdings fell to $313.9 billion (4.5% of the total) from last month's $315.7 billion. Americas related holdings rose to $5.930 trillion from last month's $5.714 trillion, and now represent 84.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $111.5 billion, or -7.0%, to $1.486 trillion, or 21.2% of assets); US Government Agency Repurchase Agreements (up $20.8 billion, or 2.8%, to $753.9 billion, or 10.8% of total holdings), and Other Repurchase Agreements (up $8.1 billion, or 8.4%, from last month to $104.7 billion, or 1.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.4 billion to $201.5 billion, or 2.9% of assets), Asset Backed Commercial Paper (down $1.0 billion at $76.5 billion, or 1.1%), and Non-Financial Company Commercial Paper (up $2.2 billion to $18.3 billion, or 0.3%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2024, include: the US Treasury ($3.111T, 44.4%), Fixed Income Clearing Corp ($752.7B, 10.8%), Federal Home Loan Bank ($648.3B, 9.3%), RBC ($166.0B, 2.4%), JP Morgan ($165.6B, 2.4%), Citi ($157.6B, 2.3%), Federal Farm Credit Bank ($150.4B, 2.1%), BNP Paribas ($150.3B, 2.1%), the Federal Reserve Bank of New York ($142.6B, or 2.0%), Goldman Sachs ($107.2B, 1.5%), Bank of America ($101.2B, 1.4%), Barclays PLC ($96.2B, 1.4%), Mitsubishi UFJ Financial Group Inc ($77.2B, 1.1%), Credit Agricole ($70.3B, 1.0%), Wells Fargo ($67.7B, 1.0%), Canadian Imperial Bank of Commerce ($62.7B, 0.9%), Sumitomo Mitsui Banking Corp ($58.9B, 0.8%), Toronto-Dominion Bank ($58.3B, 0.8%), Bank of Montreal ($49.7B, 0.7%), and Mizuho Corporate Bank Ltd ($46.8B, 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: Fixed Income Clearing Corp ($733.3B, 31.3%), JP Morgan ($157.1B, 6.7%), Citi ($145.6B, 6.2%), the Federal Reserve Bank of New York ($142.6B, 6.1%), BNP Paribas ($137.6B, 5.9%), RBC ($130.8B, 5.6%), Goldman Sachs ($106.7B, 4.6%), Barclays PLC ($86.4B, 3.7%), Bank of America ($80.1B, 3.4%) and Wells Fargo ($66.5B, 2.8%).
The largest users of the $142.6 billion in Fed RRP include: Vanguard Market Liquidity Fund ($22.8B), Vanguard Federal Money Mkt Fund ($20.7B), Fidelity Cash Central Fund ($10.4B), Schwab Treasury Oblig MF ($7.7B), Goldman Sachs FS Treas Sol ($7.1B), State Street Inst US Govt ($7.0B), Northern Instit Treasury MMkt ($6.9B), Columbia Short-Term Cash Fund ($6.4B), DWS Govt MM ($6.1B) and Dreyfus Govt Cash Mgmt ($5.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($37.1B, 6.0%), RBC ($35.1B, 5.7%), Mizuho Corporate Bank Ltd ($32.1B, 5.2%), Mitsubishi UFJ Financial Group Inc ($28.5B, 4.6%), DNB ASA ($25.9B, 4.2%), Australia & New Zealand Banking Group Ltd ($24.8B, 4.0%), Skandinaviska Enskilda Banken AB ($23.3B, 3.8%), ING Bank ($23.0B, 3.7%), Canadian Imperial Bank of Commerce ($22.6B, 3.7%), and Bank of America ($21.1B, 3.4%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($21.1B, 11.3%), Sumitomo Mitsui Trust Bank ($17.1B, 9.1%), Mizuho Corporate Bank Ltd ($14.3B, 7.6%), Bank of America ($12.6B, 6.7%), Toronto-Dominion Bank ($11.6B, 6.2%), Sumitomo Mitsui Banking Corp ($11.6B, 6.2%), Credit Agricole ($10.2B, 5.4%), Canadian Imperial Bank of Commerce ($8.4B, 4.5%), Mitsubishi UFJ Trust and Banking Corporation ($8.0B, 4.3%) and Bank of Nova Scotia ($6.4B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($21.8B, 7.9%), Toronto-Dominion Bank ($20.8B, 7.5%), Bank of Montreal ($15.2B, 5.5%), Australia & New Zealand Banking Group Ltd ($10.7B, 3.9%), Citi ($9.4B, 3.4%), Barclays PLC ($9.2B, 3.3%), BPCE SA ($9.1B, 3.3%), DNB ASA ($9.0B, 3.3%), Canadian Imperial Bank of Commerce ($8.7B, 3.2%) and Bank of Nova Scotia ($8.6B, 3.1%).
The largest increases among Issuers include: US Treasury (up $244.6B to $3.111T), RBC (up $17.1B to $166.0B), Canadian Imperial Bank of Commerce (up $11.8B to $62.7B), Federal Home Loan Bank (up $8.7B to $648.3B), Bank of Montreal (up $6.0B to $49.7B), Federal National Mortgage Association (up $5.4B to $25.5B), Northcross Capital Management (up $4.2B to $7.1B), Svenska Handelsbanken (up $3.8B to $13.2B), Federal Farm Credit Bank (up $3.3B to $150.4B) and National Bank of Canada (up $2.6B to $10.1B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of New York (down $31.1B to $142.6B), Fixed Income Clearing Corp (down $24.2B to $752.7B), JP Morgan (down $10.6B to $165.6B), Barclays PLC (down $10.1B to $96.2B), Goldman Sachs (down $8.9B to $107.2B), BNP Paribas (down $6.0B to $150.3B), Sumitomo Mitsui Banking Corp (down $4.5B to $58.9B), Societe Generale (down $4.4B to $46.7B), Banco Santander (down $4.1B to $20.2B) and Deutsche Bank AG (down $3.9B to $21.1B).
The United States remained the largest segment of country-affiliations; it represents 79.3% of holdings, or $5.552 trillion. Canada (5.4%, $378.5B) was in second place, while France (4.5%, $312.6B) was No. 3. Japan (4.0%, $279.4B) occupied fourth place. The United Kingdom (2.3%, $162.6B) remained in fifth place. Australia (0.8%, $58.8B) was in sixth place, followed by Netherlands (0.8%, $57.3B), Germany (0.7%, $47.4B), Sweden (0.6%, $44.7B), and Norway (0.4%, $25.9B). (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 Nov. 30, 2024, Taxable money funds held 42.8% (down from 44.7%) of their assets in securities maturing Overnight, and another 12.3% maturing in 2-7 days (up from 11.5%). Thus, 55.1% in total matures in 1-7 days. Another 10.2% matures in 8-30 days, while 13.9% matures in 31-60 days. Note that over three-quarters, or 79.2% 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 7.5% of taxable securities, while 10.7% matures in 91-180 days, and just 2.7% matures beyond 181 days.
