Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of October 24) includes Holdings information from 74 money funds (up 12 from a week ago), or $4.836 trillion (up from $3.924 trillion) of the $7.764 trillion in total money fund assets (or 62.3%) tracked by Crane Data. (Note: Our Weekly MFPH are e-mail only and aren't available on the website. See our latest Monthly Money Fund Portfolio Holdings here and our October 10 News, "Oct. Money Fund Portfolio Holdings: T-Bills Jump Again, Repo Rebounds.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Treasuries totaling $2.139 trillion (up from $1.943 trillion a week ago), or 48.8%; Repurchase Agreements (Repo) totaling $1.492 trillion (up from $1.346 trillion a week ago), or 34.0%, and Government Agency securities totaling $390.4 billion (up from $344.8 billion a week ago), or 8.9%. Commercial Paper (CP) totaled $168.9 billion (up from $132.4 billion a week ago), or 3.9%. Certificates of Deposit (CDs) totaled $89.6 billion (up from $74.1 billion a week ago), or 2.0%. The Other category accounted for $52.3 billion or 1.2%, while VRDNs accounted for $53.6 billion or 1.2%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $2.139 trillion, Fixed Income Clearing Corp with $498.2B, the Federal Home Loan Bank with $236.2B, JP Morgan with $122.0B, BNP Paribas with $109.2B, Citi with $106.8B, RBC with $104.8B, Federal Farm Credit Bank with $93.3B, Wells Fargo with $85.3B and Barclays PLC with $63.7B.
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($306.1B), JPMorgan 100% US Treas MMkt ($268.7B), Fidelity Inv MM: Govt Port ($268.2B), Goldman Sachs FS Govt ($262.9B), State Street Inst US Govt ($185.0B), Federated Hermes Govt ObI ($182.8B), BlackRock Lq FedFund ($181.7B), Fidelity Inv MM: MM Port ($168.8B), BlackRock Lq Treas Tr ($161.0B) and Morgan Stanley Inst Liq Govt ($160.2B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
In other news, J.P. Morgan writes in its latest "Short-Term Market Outlook And Strategy," "Year-to-date, AUMs have already risen by about $600bn to $7.65tn -- a pace that is outstripping last year over the comparable period. With typical seasonal inflows, along with organic interest growth, it would not be surprising to see balances edge above $7.7tn by year-end. At the same time, despite MMFs aggressively extending duration in the month leading into September, WAMs have remained mostly stable over the past few weeks and are currently around 41-days, close to peak 2021 levels."
They tell us, "Meanwhile, net T-bill supply from now until year-end is expected to be a mere $16bn: $51bn next week, $82bn of T-bill issuance forecasted in November, but followed by $117bn of paydowns in December. This should further steer any incremental inflows into MMFs slightly more toward repo markets, and on the margin wider SOFR/FF basis as well."
The piece says, "To that end, if a technical adjustment to the SRF rate and TOMOs are confirmed next week, alongside MMF behavior and muted net T-bill supply over the coming months, we think it makes sense to be long SOFR/FF, though we would wait for clarity from the Fed next week before recommending entry."
A section titled, "September holdings update: MMFs absorb Treasury and repo supply," says, "September was yet another leg higher for MMF allocations toward Treasury securities, though primarily in coupons. Based on recent holdings data, government MMF allocations to Treasury coupons maturing in the money markets jumped by $44bn month-over-month, a 16% increase, reaching $311bn by month-end, the highest level in at least seven years."
It continues, "Government funds did increase T-bill holdings as well, but more modestly than in recent months, reflecting a comparatively lighter supply backdrop in September. Even so, bill allocations still rose by $27bn to $2.367tn in total. Treasury FRNs also saw a modest increase of $22bn to $461bn. In line with the trend of extending duration, government MMFs increased their holdings of Agency discount notes by $45bn month-over-month, while reducing Agency FRNs by nearly $30bn."
JPM writes, "Meanwhile, prime funds were notably more active in allocating their portfolios towards repo. In September, Prime MMFs allocated a substantial $116bn to repo (ex-Fed), bringing total allocations to a record high of $615bn, and accounting for 47% of their total portfolios. This increase was largely offset by a reduction in short-term credit exposure, particularly to banks in the Eurozone and other Yankee banks, which declined by $95bn, possibly a reflection of quarter-end, and higher repo levels. Additionally, Prime MMFs decreased ON RRP balances by $20bn and reduced Treasury holdings by $15bn."
They add, "Collectively, across both Government and Prime MMFs, total FICC-sponsored repo saw a significant increase of $159bn, bringing total allocations to about $1.1tn in September. As of quarter-end, nearly 40% of all MMF repo exposure was with sponsored repo, the highest share on record, as dealers look for balance sheet efficiencies. Correspondingly, dealer repo exposure fell by $100bn, led by reductions in US (–$47bn), French (–$29bn), and U.K. (–$21bn) counterparties. MMFs still hold an estimated 36% of their portfolios in repo -- slightly lower than the peak at the end of July, but still up nearly 3% year-over-year, while T-bill allocations continue to hover near 33% of total portfolios."
