Crane Data released its April Money Fund Portfolio Holdings Tuesday, and our most recent collection of taxable money market securities, with data as of March 31, 2018, shows another jump in Treasuries and another big drop in Repo and Agencies. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $105.0 billion to $2.862 trillion last month, after increasing $70.6 billion in February, $3.2 billion in January, and $37.2 billion in December. Treasuries became the largest portfolio segment, surpassing Repo for the first time ever. Repo, which dropped for the third month straight, fell to No. 2, followed by Agencies. CP remained a distant 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 the latest files, or contact us to see our latest Money Fund Portfolio Holdings reports.)
Among all taxable money funds, Treasury securities jumped $95.3 billion (11.3%) to $938.5 billion, or 32.8% of holdings, after jumping $104.6 billion in Feb., falling $1.5 billion in Jan., and rising $3.8 billion in December. Repurchase Agreements (repo) dropped $89.6 billion (-9.9%) to $817.2 billion, or 28.6% of holdings, after dropping $21.9 billion in February and $80.9 billion in January. But Repo jumped $70.5 billion in December. Government Agency Debt declined $58.1 billion (-8.2%) to $654.5 billion, or 22.9% of all holdings, after falling $9.4 billion in February, rising $25.3 billion in January and $21.5 billion in December. Repo, Treasuries and Agencies total $2.410 trillion, representing a massive 84.2% of all taxable holdings.
CP, CDs and Other (mainly Time Deposits) securities all declined in the third month of the year. Commercial Paper (CP) was down $16.2 billion (-7.4%) to $202.0 billion, or 7.1% of holdings (after rising $6.5 billion in February and $23.1 billion in January, but decreasing $8.1 billion in December). Certificates of Deposits (CDs) fell by $6.7 billion (-3.9%) to $167.3 billion, or 5.8% of taxable assets (after falling $9.5 billion in Feb., increasing $13.3 billion in January, and decreasing $23.4 billion in December). Other holdings, primarily Time Deposits, dropped by $30.0 billion (-29.1%) to $73.2 billion, or 2.6% of holdings. VRDNs held by taxable funds increased by $0.3 billion (3.6%) to $8.7 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data fell to $636 billion (down from $649 billion last month), or 22.2% (up from 21.9%) of taxable money fund holdings' total of $2.861 trillion. Among Prime money funds, CDs represent under a third of holdings at 26.3% (down from 26.8% a month ago), followed by Commercial Paper at 31.8% (down from 33.6%). The CP totals are comprised of: Financial Company CP, which makes up 20.1% of total holdings, Asset-Backed CP, which accounts for 6.3%, and Non-Financial Company CP, which makes up 8.3%. Prime funds also hold 3.6% in US Govt Agency Debt, 11.6% in US Treasury Debt, 4.2% in US Treasury Repo, 1.7% in Other Instruments, 8.3% in Non-Negotiable Time Deposits, 5.5% in Other Repo, 4.6% in US Government Agency Repo, and 1.1% in VRDNs.
Government money fund portfolios totaled $1.546 trillion (54.0% of all MMF assets), down from $1.601 trillion in February, while Treasury money fund assets totaled another $679 billion (23.7%), down from $717 billion the prior month. Government money fund portfolios were made up of 40.8% US Govt Agency Debt, 16.4% US Government Agency Repo, 23.2% US Treasury debt, and 19.4% in US Treasury Repo. Treasury money funds were comprised of 74.5% US Treasury debt, 25.4% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.225 trillion, or 77.8% of all taxable money fund assets, down from 78.2% last month.
European-affiliated holdings fell $106.3 billion in March to $550.6 billion among all taxable funds (and including repos); their share of holdings fell to 19.2% from 22.1% the previous month. Eurozone-affiliated holdings fell $77.3 billion to $341.0 billion in March; they account for 11.9% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $18.7 billion to $216.6 billion (7.6% of the total). Americas related holdings rose $20.4 billion to $2.093 trillion and now represent 73.2% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $35.9 billion, or -6.7%, to $498.7 billion, or 17.4% of assets; US Government Agency Repurchase Agreements (down $55.5 billion to $283.2 billion, or 9.9% of total holdings), and Other Repurchase Agreements ($35.4 billion, or 1.2% of holdings, up $1.7 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $11.4 billion to $127.7 billion, or 4.5% of assets), Asset Backed Commercial Paper (up $0.3 billion to $39.9 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $5.1 billion to $34.4 billion, or 1.2%).
The 20 largest Issuers to taxable money market funds as of March 31, 2018, include: the US Treasury ($938.5 billion, or 32.8%), Federal Home Loan Bank ($520.5B, 18.2%), BNP Paribas ($132.3B, 4.6%), RBC ($86.8B, 3.0%), Federal Farm Credit Bank ($77.9B, 2.7%), Wells Fargo ($58.4B, 2.0%), HSBC ($57.3B, 2.0%), Barclays PLC ($51.5B, 1.8%), Sumitomo Mitsui Banking Co ($38.5B, 1.3%), Mitsubishi UFJ Financial Group Inc ($37.0B, 1.3%), Societe Generale ($36.3B, 1.3%), Bank of America ($35.7B, 1.2%), JP Morgan ($35.7B, 1.2%), Nomura ($35.0B, 1.2%), Bank of Nova Scotia ($34.9B, 1.2%), Federal Home Loan Mortgage Co ($34.0B, 1.2%), Bank of Montreal ($31.6B, 1.1%), Natixis ($31.2B, 1.1%), Citi ( $31.2B, 1.1%) and ING Bank ($30.5B, 1.1%).
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: BNP Paribas ($121.3B, 14.8%), RBC ($67.8B, 8.3%), HSBC ($50.1B, 6.1%), Wells Fargo ($44.0B, 5.4%), Barclays PLC ($40.4B, 4.9%), Nomura ($35.0B, 4.3%), Bank of America ($31.5B, 3.8%), Societe Generale ($30.3B, 3.7%), JP Morgan ($28.0B, 3.4%) and Sumitomo Mitsui Banking Co ($27.4B, 3.4%).
The 10 largest Fed Repo positions among MMFs on 3/31/18 include: Fidelity Cash Central Fund ($5.5B in Fed Repo), Franklin IFT US Govt MM ($3.1B), Schwab Govt MMkt ($2.3B), Morgan Stanley Inst Liq Govt Sec ($1.8B), Northern Inst Govt Select ($1.8B), Fidelity Sec Lending Cash Central ($1.7B), Northern Trust Trs MMkt ($1.3B), First American Govt Oblg ($1.0B), Dreyfus Inst Pref Govt ($0.9B), and Dreyfus Govt Cash Mmgt ($0.7B). Fed repo dropped to its lowest level since April 2016 and its fifth lowest level on record ($55.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($19.1B, 5.1%), Toronto-Dominion Bank ($15.3B, 4.1%), Wells Fargo ($14.4B, 3.8%), Bank of Nova Scotia ($14.3B, 3.8%), Mitsubishi UFJ Financial Group Inc. ($12.8B, 3.4%), Canadian Imperial Bank of Commerce ($12.5B, 3.3%), Australia & New Zealand Banking Group Ltd ($12.4, 3.3%), Bank of Montreal ($12.1, 3.2%), Credit Suisse ($11.8B, 3.2%) and Svenska Handelsbanken ($11.4B, 3.0%).
The 10 largest CD issuers include: Wells Fargo ($14.3B, 8.6%), Bank of Montreal ($11.5B, 6.9%), RBC ($11.4, 6.8%), Svenska Handelsbanken ($9.8B, 5.9%), Sumitomo Mitsui Banking Co ($8.3B, 5.0%), Mitsubishi UFJ Financial Group Inc ($7.6B, 4.6%), Sumitomo Mitsui Trust Bank ($7.3B, 4.4%), Canadian Imperial Bank of Commerce ($7.0B, 4.2%), Mizuho Corporate Bank Ltd ($6.6B, 4.0%) and Citi ($6.1B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Credit Suisse ($8.7B, 5.1%), Toronto-Dominion Bank ($8.6B, 5.0%), Commonwealth Bank of Australia ($8.5B, 5.0%), Bank of Nova Scotia ($7.9B, 4.6%), JPMorgan ($7.7B, 4.5%), RBC ($6.7B, 3.9%), Australia & New Zealand Banking Group Ltd ($6.3B, 3.7%), National Australia Bank Ltd ($6.3B, 3.7%), Westpac Banking Co ($5.5B, 3.2%), and Societe Generale ($5.4B, 3.1%).
The largest increases among Issuers include: US Treasury (up $95.3B to $938.5B), BNP Paribas (up $8.9B to $132.3B), HSBC (up $6.9B to $57.3B), RBC (up $5.7B to $86.8B), Bank of Montreal (up $4.9B to $31.6B), Bank of America (up $2.4B to $35.7B), Fixed Income Clearing Co (up $2.4B to $23.7B), Federal Farm Credit Bank (up $2.2B to $77.9B), National Australia Bank Ltd (up $1.1B to $11.0B), and RBS (up $0.9B to $10.8B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Federal Home Loan Bank (down $52.1B to $520.5), Credit Agricole (down $43.3B to $25.2B), Credit Suisse (down $18.7B to $14.9B), Societe Generale (down $13.1B to $36.3B), Goldman Sachs (down $9.1B to $14.7B), Federal Reserve Bank of New York (down $8.4B to $22.6B), Natixis (down $7.6B to $31.2B), Deutsche Bank AG (down $7.5B to $13.3B), Nomura (down $6.8B to $35.0B), and Mizuho Corporate Bank Ltd (down $6.6B to $14.7B).
The United States remained the largest segment of country-affiliations; it represents 65.5% of holdings, or $1.873 trillion. France (8.2%, $234.6B) remained in the No. 2 spot and Canada (7.7%, $220.0B) remained No. 3. Japan (5.6%, $160.9B) stayed in fourth place, while the United Kingdom (4.8%, $138.4B) remained in fifth place. The Netherlands (1.9%, $55.1B) remained ahead of Germany (1.6%, $45.7B) in sixth and seventh place, respectively. Australia (1.5%, $41.8B) and Sweden (1.1%, $32.7B) moved ahead of Switzerland (0.9%, $25.0B) to rank 8th, 9th and 10th place. (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 March 31, 2018, Taxable money funds held 28.6% (down from 31.2%) of their assets in securities maturing Overnight, and another 15.0% maturing in 2-7 days (up from 14.6%). Thus, 43.6% in total matures in 1-7 days. Another 27.3% matures in 8-30 days, while 8.6% matures in 31-60 days. Note that over three-quarters, or 79.5% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 11.1% of taxable securities, while 8.2% matures in 91-180 days, and just 1.2% matures beyond 181 days.
