Crane Data released its May Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of April 30, 2018, shows a sharp drop in Treasuries and a rebound in Repo, Agencies and Time Deposits. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $46.4 billion to $2.908 trillion last month, after decreasing $105.0 billion in March, but increasing $70.6 billion in February and $3.2 billion in January. Repo reclaimed its spot as the largest portfolio segment, ending Treasuries brief reign. Treasury bills and securities, which dropped after a two-month surge, 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, Repurchase Agreements (repo) jumped $99.9 billion (12.2%) to $917.1 billion, or 31.5% of holdings, after dropping $89.6 billion in March, $21.9 billion in February and $80.9 billion in January. Treasury securities plunged $108.3 billion (-11.5%) to $830.2 billion, or 28.5% of holdings, after jumping $95.3 billion in March and $104.6 billion in Feb., but falling $1.5 billion in January. Government Agency Debt rose by $23.4 billion (3.6%) to $678.0 billion, or 23.3% of all holdings, after falling $58.1 billion in March and $9.4 billion in February, but rising $25.3 billion in January. Repo, Treasuries and Agencies total $2.425 trillion, representing a massive 83.4% of all taxable holdings.
CP, CDs and Other (mainly Time Deposits) securities all rose in the fourth month of the year. Commercial Paper (CP) was up $8.8 billion (4.3%) to $210.8 billion, or 7.2% of holdings (after falling $16.2 billion in March, and rising $6.5 billion in February and $23.1 billion in January). Certificates of Deposits (CDs) rose by $1.7 billion (1.0%) to $168.9 billion, or 5.8% of taxable assets (after falling $6.7 billion in March and $9.5 billion in Feb., but increasing $13.3 billion in January). Other holdings, primarily Time Deposits, jumped by $18.4 billion (2.6%) to $91.6 billion, or 3.1% of holdings. VRDNs held by taxable funds increased by $2.6 billion (30.3%) to $11.4 billion (0.4% of assets).
Prime money fund assets tracked by Crane Data rose to $664 billion (up from $636 billion last month), or 22.8% (up from 22.2%) of taxable money fund holdings' total of $2.908 trillion. Among Prime money funds, CDs represent a quarter of holdings at 25.4% (down from 26.3% a month ago), followed by Commercial Paper at 31.7% (down from 31.8%). The CP totals are comprised of: Financial Company CP, which makes up 20.8% of total holdings, Asset-Backed CP, which accounts for 5.7%, and Non-Financial Company CP, which makes up 5.2%. Prime funds also hold 5.4% in US Govt Agency Debt, 8.8% in US Treasury Debt, 5.9% in US Treasury Repo, 3.4% in Other Instruments, 10.6% in Non-Negotiable Time Deposits, 8.8% in Other Repo, 3.4% in US Government Agency Repo, and 1.2% in VRDNs.
Government money fund portfolios totaled $1.560 trillion (53.6% of all MMF assets), up from $1.546 trillion in March, while Treasury money fund assets totaled another $683 billion (23.5%), up from $679 billion the prior month. Government money fund portfolios were made up of 41.2% US Govt Agency Debt, 19.9% US Government Agency Repo, 18.9% US Treasury debt, and 19.6% in US Treasury Repo. Treasury money funds were comprised of 69.9% US Treasury debt, 29.9% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.243 trillion, or 77.1% of all taxable money fund assets, down from 77.8% last month.
European-affiliated holdings rose $113.2 billion in April to $663.8 billion among all taxable funds (and including repos); their share of holdings rose to 22.1% from 22.8% the previous month. Eurozone-affiliated holdings rose $73.4 billion to $414.4 billion in April; they account for 14.3% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $17.6 billion to $234.2 billion (8.1% of the total). Americas related holdings fell $85.6 billion to $2.007 trillion and now represent 69.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $51.5 billion, or 10.3%, to $550.2 billion, or 18.9% of assets; US Government Agency Repurchase Agreements (up $50.8 billion to $333.9 billion, or 11.5% of total holdings), and Other Repurchase Agreements ($33.0 billion, or 1.1% of holdings, down $2.4 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.4 billion to $138.1 billion, or 4.7% of assets), Asset Backed Commercial Paper (down $2.0 billion to $37.9 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $0.3 billion to $34.7 billion, or 1.2%).
The 20 largest Issuers to taxable money market funds as of April 30, 2018, include: the US Treasury ($830.2 billion, or 28.5%), Federal Home Loan Bank ($550.3B, 18.9%), BNP Paribas ($134.6B, 4.6%), RBC ($81.9B, 2.8%), Federal Farm Credit Bank $78.8B, 2.7%), Credit Agricole ($64.7B, 2.2%), Wells Fargo ($63.1B, 2.2%), HSBC ($61.9B, 2.1%), Barclays PLC ($54.1B, 1.9%), Societe Generale ($45.7B, 1.6%), Sumitomo Mitsui Banking Co ($45.1B, 1.6%), Natixis ($43.7B, 1.5%), JP Morgan ($42.9B, 1.5%), Mitsubishi UFJ Financial Group Inc ($40.8B, 1.4%), Bank of America ($35.3B, 1.2%), ING Bank ($35.3B, 1.2%), Credit Suisse ($33.7B, 1.1%), Citi ($33.6B, 1.1%), Nomura ($33.6B, 1.2%), and Toronto-Dominion ($31.5B, 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 ($123.6B, 13.5%), RBC ($62.9B, 6.9%), HSBC ($53.4B, 5.8%), Credit Agricole ($51.9B, 5.7%), Wells Fargo ($49.4B, 5.4%), Barclays PLC ($42.9B, 4.7%), Societe Generale ($40.9B, 4.5%), JP Morgan ($35.0B, 3.8%), Natixis ($33.7B, 3.7%), and Nomura ($33.6B, 3.7%).
The 7 largest Fed Repo positions among MMFs on 4/30/18 include: JP Morgan US Trs Plus ($4.7B in Fed Repo), Franklin IFT US Govt MM ($3.8B), JP Morgan US Govt ($1.7B), Morgan Stanley Inst Liq Govt Sec ($1.7B), BlackRock Lq FedFund ($0.9B), BlackRock Lq T-Fund ($0.6B), and BlackRock Cash Treas ($0.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($19.1B, 4.7%), Toronto-Dominion Bank ($16.4B, 4.1%), Credit Suisse ($15.7B, 3.9%), Swedbank AB ($15.6B, 3.9%), Mitsubishi UFJ Financial Group Inc. ($14.0B, 3.5%), Wells Fargo ($13.7B, 3.4%), Credit Agricole ($12.4, 3.2%), Sumitomo Mitsui Banking Co ($12.5, 3.1%), Australia & New Zealand Banking Group Ltd ($12.2B, 3.0%) and Canadian Imperial Bank of Commerce ($11.5B, 2.9%).
The 10 largest CD issuers include: Wells Fargo ($13.6B, 8.1%), Bank of Montreal ($10.5B, 6.3%), RBC ($10.2, 6.1%), Mitsubishi UFJ Financial Group Inc ($9.6B, 5.7%), Svenska Handelsbanken ($9.3B, 5.5%), Swedbank AB ($8.6B, 5.1%), Mizuho Corporate Bank Ltd ($8.3B, 5.0%) Sumitomo Mitsui Banking Co ($7.4B, 4.4%), Canadian Imperial Bank of Commerce ($6.5B, 3.9%), and Citi ($6.1B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($9.2B, 5.1%), Credit Suisse ($8.5B, 4.7%), Commonwealth Bank of Australia ($8.2B, 4.6%), JPMorgan ($7.8B, 4.3%), RBC ($6.9B, 3.9%), Australia & New Zealand Banking Group Ltd ($6.5B, 3.6%), Bank of Nova Scotia ($6.3B, 3.5%), National Australia Bank Ltd ($6.2B, 3.4%), Westpac Banking Co ($5.7B, 3.2%), and HSBC ($5.6B, 3.1%).
The largest increases among Issuers include: Credit Agricole (up $39.6B to $64.7B), Federal Home Loan Bank (up $29.8B to $550.3B), Credit Suisse (up $18.8B to $33.7B), Mizuho Corporate Bank Ltd (up $13.8B to $28.5B), Natixis (up $12.5B to $43.7B), Goldman Sachs (up $11.2B to $26.0B), Societe Generale (up $9.3B to $45.7B), JP Morgan (up $7.2B to $42.9B), Sumitomo Mitsui Banking Co (up $6.6B to $45.1B), and Swedbank AB (up $6.0B to $15.6B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: the US Treasury (down $108.3B to $830.2B), the Federal Reserve Bank of New York (down $8.9B to $13.7B), Bank of Nova Scotia (down $8.7B to $26.2B), Federal Home Loan Mortgage Co (down $5.5B to $28.5B), RBC (down $4.9B to $81.9B), Fixed Income Clearing Co (down $4.1B to $19.6B), Canadian Imperial Bank of Commerce (down $3.1B to $24.9B), National Australia Bank Ltd (down $2.9B to $8.1B), Bank of Montreal (down $2.0B to $29.6B), and Federal National Mortgage Association (down $1.5B to $15.2B).
The United States remained the largest segment of country-affiliations; it represents 62.0% of holdings, or $1.802 trillion. France (10.3%, $298.0B) remained in the No. 2 spot and Canada (7.0%, $204.5B) remained No. 3. Japan (6.3%, $183.9B) stayed in fourth place, while the United Kingdom (5.1%, $147.7B) remained in fifth place. The Netherlands (2.0%, $57.4B) remained ahead of Germany (1.7%, $49.5B) in sixth and seventh place, respectively. Switzerland (1.6%, $45.2B) and Sweden (1.5%, $43.6B) moved ahead of Australia (1.3%, $37.9B) 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 April 30, 2018, Taxable money funds held 31.6% (up from 28.6%) of their assets in securities maturing Overnight, and another 14.2% maturing in 2-7 days (down from 15.0%). Thus, 45.8% in total matures in 1-7 days. Another 24.6% matures in 8-30 days, while 12.2% matures in 31-60 days. Note that over three-quarters, or 82.6% 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 7.4% of taxable securities, while 8.6% matures in 91-180 days, and just 1.4% matures beyond 181 days.
