Crane Data's May Money Fund Portfolio Holdings, with data as of April 30, 2023, show that Time Deposits (Other), Repo, CDs and Agencies all showed big increases while Treasury holdings plunged in April. Money market fund assets, Repo and Agencies all jumped to record levels again. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $81.2 billion to a record $5.595 trillion, after increasing $390.5 billion in March, $34.5 billion in February and $49.7 billion in January. Repo remained the largest portfolio segment by far, while Treasuries remained in the No. 2 spot. The Federal Reserve Bank of New York saw its Fed RRP issuance held by MMFs fall $14.9 billion to $2.196 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) increased $19.6 billion (0.6%) to $3.223 trillion, or 57.6% of holdings, in April, after increasing $276.3 billion in March and $98.2 billion in February. Repo decreased $111.2 billion in January. Treasury securities fell $18.8 billion (-1.8%) to $1.012 trillion, or 18.1% of holdings, after increasing $20.7 billion in March but decreasing $41.2 billion in February and $17.8 billion in January. Government Agency Debt was up $18.4 billion, or 2.4%, to $794.3 billion, or 14.2% of holdings. Agencies increased $188.8 billion in March, decreased $27.0 billion in February and increased $51.8 billion in January. Repo, Treasuries and Agency holdings now total $5.029 trillion, representing a massive 89.9% of all taxable holdings.
Money fund holdings of CP and CDs increased in April. Commercial Paper (CP) increased $7.4 billion (3.1%) to $249.1 billion, or 4.5% of holdings. CP holdings decreased $33.0 billion in March and $7.3 billion in February, but increased $36.3 billion in January. Certificates of Deposit (CDs) increased $18.8 billion (12.4%) to $170.8 billion, or 3.1% of taxable assets. CDs decreased $17.1 billion in March and $4.5 billion in February, but increased $24.1 billion in January. Other holdings, primarily Time Deposits, increased $35.0 billion (34.3%) to $137.0 billion, or 2.4% of holdings, after decreasing $43.9 billion in March, but increasing $15.6 billion in February and $66.5 billion in January. VRDNs rose to $9.7 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 rose to $1.159 trillion, or 20.7% of taxable money funds' $5.595 trillion total. Among Prime money funds, CDs represent 14.7% (up from 13.5% a month ago), while Commercial Paper accounted for 21.4% (down from 21.5% in March). The CP totals are comprised of: Financial Company CP, which makes up 14.1% of total holdings, Asset-Backed CP, which accounts for 3.7%, and Non-Financial Company CP, which makes up 3.6%. Prime funds also hold 6.7% in US Govt Agency Debt, 1.7% in US Treasury Debt, 32.6% in US Treasury Repo, 0.6% in Other Instruments, 9.5% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 6.0% in US Government Agency Repo and 0.6% in VRDNs.
Government money fund portfolios totaled $2.914 trillion (52.1% of all MMF assets), up from $2.890 trillion in March, while Treasury money fund assets totaled another $1.522 trillion (27.2%), up from $1.502 trillion the prior month. Government money fund portfolios were made up of 24.6% US Govt Agency Debt, 18.9% US Government Agency Repo, 7.1% US Treasury Debt, 49.3% in US Treasury Repo, 0.0% in Other Instruments. Treasury money funds were comprised of 51.6% US Treasury Debt and 48.4% in US Treasury Repo. Government and Treasury funds combined now total $4.436 trillion, or 79.3% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $95.8 billion in April to $524.1 billion; their share of holdings jumped to 9.4% from last month's 7.8%. Eurozone-affiliated holdings increased to $359.1 billion from last month's $301.5 billion; they account for 6.4% of overall taxable money fund holdings. Asia & Pacific related holdings rose to $213.1 billion (3.8% of the total) from last month's $193.4 billion. Americas related holdings fell to $4.850 trillion from last month's $4.883 trillion, and now represent 86.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $136.9 billion, or -5.1%, to $2.551 trillion, or 45.6% of assets); US Government Agency Repurchase Agreements (up $154.6 billion, or 33.2%, to $619.8 billion, or 11.1% of total holdings), and Other Repurchase Agreements (up $2.0 billion, or 4.0%, from last month to $51.9 billion, or 0.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.0 billion to $163.7 billion, or 2.9% of assets), Asset Backed Commercial Paper (down $0.3 billion to $43.4 billion, or 0.8%), and Non-Financial Company Commercial Paper (up $2.8 billion to $42.0 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of April 30, 2023, include: the Federal Reserve Bank of New York ($2.196T, 39.3%), US Treasury ($1.012T, 18.1%), Federal Home Loan Bank ($682.4B, 12.2%), Fixed Income Clearing Corp ($227.5B, 4.1%), Federal Farm Credit Bank ($100.5B, 1.8%), RBC ($90.4B, 1.6%), JP Morgan ($80.0B, 1.4%), Bank of America ($75.0B, 1.3%), Citi ($74.7B, 1.3%), BNP Paribas ($74.4B, 1.3%), Barclays PLC ($67.6B, 1.2%), Goldman Sachs ($51.6B, 0.9%), Sumitomo Mitsui Banking Corp ($49.4B, 0.9%), Mitsubishi UFJ Financial Group Inc ($47.3B, 0.8%), Credit Agricole ($45.7B, 0.8%), Societe Generale ($39.6B, 0.7%), Wells Fargo ($39.3B, 0.7%), ING Bank ($38.1B, 0.7%), Toronto-Dominion Bank ($35.0B, 0.6%), and Mizuho Corporate Bank Ltd ($32.1B, 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 ($2.196T, 68.2%), Fixed Income Clearing Corp ($227.5B, 7.1%), JP Morgan ($72.9B, 2.3%), RBC ($69.7B, 2.2%), Citi ($66.8B, 2.1%), BNP Paribas ($62.9B, 2.0%), Bank of America ($62.1B, 1.9%), Barclays PLC ($52.2B, 1.6%), Goldman Sachs ($50.8B, 1.6%) and Sumitomo Mitsui Banking Corp ($38.2B, 1.2%). The largest users of the $2.196 trillion in Fed RRP include: Goldman Sachs FS Govt ($143.3B), Vanguard Federal Money Mkt Fund ($130.1B), Fidelity Govt Money Market ($119.7B), JPMorgan US Govt MM ($104.5B), Fidelity Govt Cash Reserves ($97.7B), Fidelity Inv MM: Govt Port ($91.3B), Morgan Stanley Inst Liq Govt ($74.9B), Vanguard Cash Reserves Federal MM ($63.7B), BlackRock Lq FedFund ($62.4B) and American Funds Central Cash ($60.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($23.4B, 4.8%), Toronto-Dominion Bank ($23.2B, 4.8%), Mizuho Corporate Bank Ltd ($22.7B, 4.7%), RBC ($20.8B, 4.3%), Bank of Nova Scotia ($19.5B, 4.0%), Mitsubishi UFJ Financial Group Inc ($18.1B, 3.7%), Sumitomo Mitsui Trust Bank ($17.0B, 3.5%), ING Bank ($16.8B, 3.5%), Barclays PLC ($15.5B, 3.2%) and Skandinaviska Enskilda Banken AB ($15.0B, 3.1%).
The 10 largest CD issuers include: Credit Agricole ($12.2B, 7.1%), Toronto-Dominion Bank ($12.1B, 7.1%), Sumitomo Mitsui Trust Bank ($11.9B, 7.0%), Mitsubishi UFJ Financial Group Inc ($11.8B, 6.9%), Mizuho Corporate Bank Ltd ($11.5B, 6.7%), Sumitomo Mitsui Banking Corp ($10.0B, 5.9%), Canadian Imperial Bank of Commerce ($7.3B, 4.3%), Svenska Handelsbanken ($6.4B, 3.8%), BNP Paribas ($5.5B, 3.2%) and Bank of Nova Scotia ($5.4B, 3.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($12.4B, 5.9%), Bank of Montreal ($10.4B, 4.9%), RBC ($10.4B, 4.9%), Toronto-Dominion Bank ($10.1B, 4.8%), Barclays PLC ($9.9B, 4.7%), Societe Generale ($8.0B, 3.8%), BPCE SA ($7.3B, 3.4%), JP Morgan ($7.0B, 3.3%), Mitsubishi UFJ Financial Group Inc ($6.2B, 2.9%) and Svenska Handelsbanken ($6.1B, 2.9%).
The largest increases among Issuers include: Barclays PLC (up $24.2B to $67.6B), Credit Agricole (up $21.0B to $45.7B), Federal Home Loan Bank (up $15.3B to $682.4B), Erste Group Bank AG (up $8.5B to $8.7B), Societe Generale (up $8.5B to $39.6B), Natixis (up $7.6B to $20.2B), Citi (up $7.5B to $74.7B), Wells Fargo (up $7.1B to $39.3B), Skandinaviska Enskilda Banken AB (up $6.1B to $15.0B) and Mizuho Corporate Bank Ltd (up $6.0B to $32.1B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: US Treasury (down $18.8B to $1.012T), Bank of Montreal (down $17.3B to $30.1B), Federal Reserve Bank of New York (down $14.9B to $2.196T), Goldman Sachs (down $6.1B to $51.6B), JP Morgan (down $5.7B to $80.0B), Australia & New Zealand Banking Group Ltd (down $4.8B to $15.8B), Fixed Income Clearing Corp (down $4.2B to $227.5B), Bank of America (down $4.0B to $75.0B), RBC (down $3.4B to $90.4B) and Bank of Nova Scotia (down $2.1B to $26.8B).
The United States remained the largest segment of country-affiliations; it represents 82.7% of holdings, or $4.627 trillion. Canada (4.0%, $222.2B) was in second place, while France (3.7%, $205.7B) was No. 3. Japan (3.4%, $188.5B) occupied fourth place. The United Kingdom (1.9%, $103.3B) remained in fifth place. Netherlands (1.2%, $66.5B) was in sixth place, followed by Germany (0.8%, $43.8B), Sweden (0.8%, $43.3B) Australia (0.5%, $29.9B), and Spain (0.2%, $11.8B). (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 April 30, 2023, Taxable money funds held 72.4% (down from 73.0%) of their assets in securities maturing Overnight, and another 8.6% maturing in 2-7 days (up from 6.6%). Thus, 81.0% in total matures in 1-7 days. Another 9.2% matures in 8-30 days, while 3.9% matures in 31-60 days. Note that over three-quarters, or 94.0% 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 1.5% of taxable securities, while 2.3% matures in 91-180 days, and just 2.2% matures beyond 181 days. (Visit our Content center to download, or contact us to request our latest Portfolio Holdings reports.)
