Crane Data released its June Money Fund Portfolio Holdings Monday, and our most recent collection of taxable money market securities, with data as of May 31, 2018, shows a drop in Treasuries and a jump in Repo for the second straight month. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $16.7 billion to $2.925 trillion last month, after increasing $46.4 billion in April, decreasing $105.0 billion in March, and increasing $70.6 billion in February. Repo continued to be the largest portfolio segment, followed by Treasury securities then Agencies. 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 the latest files, or contact us to see our latest Portfolio Holdings reports.)
Among taxable money funds, Repurchase Agreements (repo) jumped $67.1 billion (7.3%) to $984.2 billion, or 33.7% of holdings, after increasing $99.9 in April, dropping $89.6 billion in March and $21.9 billion in February. Treasury securities fell again, down $50.9 billion (-6.1%) to $779.3 billion, or 26.6% of holdings, after dropping $108.3 billion in April and jumping $95.3 billion in March. Government Agency Debt rose by $5.5 billion (0.8%) to $683.5 billion, or 23.4% of all holdings, after rising by $23.4 in April and falling $58.1 billion in March. Repo, Treasuries and Agencies total $2.447 trillion, representing a massive 83.7% of all taxable holdings.
CP rose in the fifth month of the year, while CDs and Other (mainly Time Deposits) securities decreased. Commercial Paper (CP) was up $13.2 billion (6.3%) to $223.9 billion, or 7.7% of holdings, after rising $8.8 billion in April and falling $16.2 billion in March. Certificates of Deposits (CDs) dropped by $1.2 billion (-0.7%) to $167.8 billion, or 5.7% of taxable assets (after rising $1.7 billion in April and falling $6.7 billion in March). Other holdings, primarily Time Deposits, fell by $13.9 billion (-15.2%) to $77.7 billion, or 2.7% of holdings. VRDNs held by taxable funds decreased by $3.0 billion (26.7%) to $8.4 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data dipped to $662 billion (down from $664 billion last month), or 22.6% (down from 22.8%) of taxable money fund holdings' total of $2.925 trillion. Among Prime money funds, CDs represent a quarter of holdings at 25.3% (down from 25.4% a month ago), followed by Commercial Paper at 33.8% (up from 31.7%). The CP totals are comprised of: Financial Company CP, which makes up 21.4% of total holdings, Asset-Backed CP, which accounts for 6.3%, and Non-Financial Company CP, which makes up 6.1%. Prime funds also hold 6.6% in US Govt Agency Debt, 6.7% in US Treasury Debt, 5.4% in US Treasury Repo, 1.6% in Other Instruments, 8.5% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 4.5% in US Government Agency Repo, and 1.0% in VRDNs.
Government money fund portfolios totaled $1.589 trillion (54.3% of all MMF assets), up from $1.560 trillion in April, while Treasury money fund assets totaled another $673 billion (23.0%), down from $683 billion the prior month. Government money fund portfolios were made up of 40.2% US Govt Agency Debt, 19.1% US Government Agency Repo, 16.7% US Treasury debt, and 23.8% in US Treasury Repo. Treasury money funds were comprised of 69.6% US Treasury debt, 30.3% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.262 trillion, or 77.3% of all taxable money fund assets, up from 77.1% last month.
European-affiliated holdings rose $13.7 billion in May to $677.5 billion among all taxable funds (and including repos); their share of holdings rose to 23.2% from 22.8% the previous month. Eurozone-affiliated holdings rose $21.1 billion to $435.5 billion in May; they account for 14.9% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $0.9 billion to $233.3 billion (8.0% of the total). Americas related holdings rose $0.1 billion to $2.013 trillion and now represent 68.8% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $67.1 billion, or 12.2%, to $617.3 billion, or 21.1% of assets; US Government Agency Repurchase Agreements (down $0.8 billion to $333.1 billion, or 11.4% of total holdings), and Other Repurchase Agreements ($33.7 billion, or 1.2% of holdings, up $0.7 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.5 billion to $141.6 billion, or 4.8% of assets), Asset Backed Commercial Paper (up $3.9 billion to $41.8 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $5.7 billion to $40.5 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of May 31, 2018, include: the US Treasury ($779.3 billion, or 26.6%), Federal Home Loan Bank ($555.7B, 19.0%), BNP Paribas ($139.7B, 4.8%), RBC ($82.9B, 2.8%), Federal Farm Credit Bank $78.5B, 2.7%), Credit Agricole ($66.5B, 2.3%), Wells Fargo ($66.5B, 2.3%), Barclays PLC ($58.7B, 2.0%), HSBC ($55.0B, 1.9%), JP Morgan ($52.5B, 1.8%), Societe Generale ($51.3B, 1.8%), Fixed Income Clearing Corp ($47.0B, 1.6%), Natixis ($43.3B, 1.5%), Mitsubishi UFJ Financial Group Inc ($42.7B, 1.5%), Sumitomo Mitsui Banking Co ($42.2B, 1.4%), Bank of America ($34.8B, 1.2%), Bank of Montreal ($34.8B, 1.2%), Nomura ($34.4B, 1.2%), Toronto-Dominion ($33.1B, 1.1%), and ING Bank ($32.8B, 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 ($129.3B, 13.1%), RBC ($65.2B, 6.6%), Wells Fargo ($53.9B, 5.5%), Credit Agricole ($53.7B, 5.5%), Barclays PLC ($47.5B, 4.8%), Fixed Income Clearing Corp ($47.0B, 4.8%), HSBC ($46.6B, 4.7%), Societe Generale ($45.4B, 4.6%), JP Morgan ($44.8B, 4.6%), and Natixis ($35.4B, 3.6%).
The 9 largest Fed Repo positions among MMFs on 5/31/18 include: JP Morgan US Govt ($16.5B in Fed Repo), Morgan Stanley Inst Liq Govt Sec ($3.0B), Northern Trust Trs MMkt ($1.4B), Franklin IFT US Govt MM ($0.2B), First American Trs Oblg ($0.1B), Northern Inst Govt ($0.1B), First American Govt Oblg ($0.1B), and Northern Inst Govt Select ($0.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($17.7B, 4.5%), Toronto-Dominion Bank ($17.4B, 4.4%), Credit Suisse ($15.7B, 4.0%), Mitsubishi UFJ Financial Group Inc. ($15.0B, 3.8%), Credit Agricole ($12.9, 3.3%), Wells Fargo ($12.6B, 3.2%), Sumitomo Mitsui Banking Co ($12.4, 3.1%), Canadian Imperial Bank of Commerce ($12.4B, 3.1%), Bank of Montreal ($11.8B, 3.0%) and Swedbank AB ($11.4B, 2.9%).
The 10 largest CD issuers include: Wells Fargo ($12.5B, 7.5%), Bank of Montreal ($11.0B, 6.6%), RBC ($10.5, 6.3%), Mitsubishi UFJ Financial Group Inc ($9.6B, 5.8%), Svenska Handelsbanken ($9.6B, 5.8%), Mizuho Corporate Bank Ltd ($8.0B, 4.8%) Sumitomo Mitsui Banking Co ($7.5B, 4.5%), Swedbank AB ($7.2B, 4.3%), Canadian Imperial Bank of Commerce ($6.9B, 4.1%), and Sumitomo Mitsui Trust Bank ($6.2B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($10.6B, 5.6%), Credit Suisse ($9.0B, 4.8%), JPMorgan ($7.7B, 4.1%), Commonwealth Bank of Australia ($7.6B, 4.1%), RBC ($6.9B, 3.7%), Australia & New Zealand Banking Group Ltd ($6.3B, 3.3%), Bank of Nova Scotia ($5.7B, 3.1%), BPCE SA ($5.6B, 3.0%), Societe Generale ($5.6B, 3.0%), and Toyota ($5.6B, 3.0%).
The largest increases among Issuers include: Fixed Income Clearing Co (up $27.4B to $47.0B), JP Morgan (up $9.7B to $52.5B), Federal Reserve Bank of New York (up $7.7B to $21.5B), Societe Generale (up $5.7B to $51.3B), Federal Home Loan Bank (up $5.4B to $555.7B), BNP Paribas (up $5.2B to $139.7B), Bank of Montreal (up $5.2B to $34.8B), Barclays PLC (up $4.6B to $58.7B), Federal Home Loan Mortgage Co (up $4.2B to $32.7B), and Bank of Nova Scotia (up $3.8B to $30.0B).
The largest decreases among Issuers of money market securities (including Repo) in May were shown by: the US Treasury (down $50.9B to $779.3B), Goldman Sachs (down $9.2B to $16.7B), HSBC (down 6.9B to $55.0B), Credit Suisse (down 4.4B to $29.3B), Swedbank AB (down $4.1B to $11.4B), Skandinaviska Enskilda Banken AB (down $3.8B to $7.5B), Federal National Mortgage Association (down $3.8B to $11.4B), Citi (down $3.0B to $30.7B), Sumitomo Mitsui Banking Co (down $2.9B to $42.2B), and ING Bank (down $2.5B to $32.8B).
The United States remained the largest segment of country-affiliations; it represents 61.4% of holdings, or $1.796 trillion. France (10.7%, $314.1B) remained in the No. 2 spot and Canada (7.4%, $216.7B) remained No. 3. Japan (6.3%, $185.3B) stayed in fourth place, while the United Kingdom (5.0%, $146.3B) remained in fifth place. The Netherlands (2.0%, $57.9B) remained ahead of Germany (1.9%, $56.5B) in sixth and seventh place, respectively. Switzerland (1.5%, $43.2B) and Sweden (1.3%, $38.8B) moved ahead of Australia (1.2%, $34.7B) 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 May 31, 2018, Taxable money funds held 32.0% (up from 31.6%) of their assets in securities maturing Overnight, and another 16.2% maturing in 2-7 days (up from 14.2%). Thus, 48.3% in total matures in 1-7 days. Another 25.0% matures in 8-30 days, while 9.0% matures in 31-60 days. Note that over three-quarters, or 82.3% 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 7.6% of taxable securities, while 8.8% matures in 91-180 days, and just 1.3% matures beyond 181 days.
