Crane Data released its July Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of June 30, 2018, shows a drop in Repo overall but a sharp rebound in Fed Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $53.8 billion to $2.871 trillion last month, after increasing by $16.7 billion in May and $46.4 billion in April, but decreasing $105.0 billion in March. 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) fell $31.4 billion (-3.2%) to $952.8 billion, or 33.2% of holdings, after jumping $67.1 billion in May and $99.9 in April, but dropping $89.6 billion in March. Treasury securities fell again, down $6.3 billion (-0.8%) to $773.0 billion, or 26.9% of holdings, after dropping $50.9 billion in May and $108.3 billion in April, but jumping $95.3 billion in March. Government Agency Debt fell by $9.3 billion (-1.4%) to $674.2 billion, or 23.5% of all holdings, after rising by $5.5 billion in May, rising $23.4 in April, and falling $58.1 billion in March. Repo, Treasuries and Agencies total $2.400 trillion, representing a massive 83.6% of all taxable holdings.
CP fell in the sixth month of the year, while CDs and Other (mainly Time Deposits) securities increased. Commercial Paper (CP) was down $10.0 billion (-4.5%) to $213.9 billion, or 7.5% of holdings, after rising $13.2 billion in May, rising $8.8 billion in April and falling $16.2 billion in March. Certificates of Deposits (CDs) rose by $1.6 billion (0.9%) to $169.3 billion, or 5.9% of taxable assets (after dropping by $1.2 billion in May and rising $1.7 billion in April). Other holdings, primarily Time Deposits, rose by $1.6 billion (2.1%) to $79.3 billion, or 2.8% of holdings. VRDNs held by taxable funds fell by $0.0B (-0.4%) (0.3% of assets).
Prime money fund assets tracked by Crane Data dipped again to $651 billion (down from $662 billion last month), or 22.7% (up from 22.6%) of taxable money fund holdings' total of $2.871 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 26.0% (up from 25.3% a month ago), followed by Commercial Paper at 33.0% (down from 33.8%). The CP totals are comprised of: Financial Company CP, which makes up 21.5% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 5.5% in US Govt Agency Debt, 6.9% in US Treasury Debt, 7.2% in US Treasury Repo, 1.6% in Other Instruments, 8.9% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 3.5% in US Government Agency Repo, and 1.0% in VRDNs.
Government money fund portfolios totaled $1.539 trillion (53.6% of all MMF assets), down from $1.589 trillion in May, while Treasury money fund assets totaled another $681 billion (23.7%), up from $673 billion the prior month. Government money fund portfolios were made up of 41.5% US Govt Agency Debt, 19.8% US Government Agency Repo, 16.4% US Treasury debt, and 22.0% in US Treasury Repo. Treasury money funds were comprised of 69.7% US Treasury debt, 30.1% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.220 trillion, or 77.3% of all taxable money fund assets, the same as last month.
European-affiliated holdings fell $136.5 billion in June to $541.0 billion among all taxable funds (and including repos); their share of holdings fell to 18.4% from 23.2% the previous month. Eurozone-affiliated holdings fell $98.2 billion to $337.3 billion in June; they account for 11.8% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $0.9 billion to $244.8 billion (8.5% of the total). Americas related holdings rose $0.1 billion to $2.083 trillion and now represent 72.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $26.2 billion, or -4.3%, to $591.1 billion, or 20.6% of assets; US Government Agency Repurchase Agreements (down $5.1 billion to $328.0 billion, or 11.4% of total holdings), and Other Repurchase Agreements ($33.7 billion, or 1.2% of holdings, down $0.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.1 billion to $139.6 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $0.3 billion to $42.2 billion, or 1.5%), and Non-Financial Company Commercial Paper (down $8.2 billion to $32.2 billion, or 1.1%).
The 20 largest Issuers to taxable money market funds as of June 30, 2018, include: the US Treasury ($773.0 billion, or 26.9%), Federal Home Loan Bank ($549.0B, 19.1%), BNP Paribas ($143.4B, 5.0%), RBC ($95.5B, 3.3%), Federal Reserve Bank of New York $88.6B, 3.1%), Federal Farm Credit Bank $76.9B, 2.7%), Wells Fargo ($67.5B, 2.4%), Fixed Income Clearing Corp ($51.0B, 1.8%), HSBC ($51.0B, 1.8%), Mitsubishi UFJ Financial Group Inc ($46.1B, 1.6%), Sumitomo Mitsui Banking Co ($45.1B, 1.6%), JP Morgan ($43.3B, 1.5%), Bank of Montreal ($41.5B, 1.4%), Nomura ($40.4B, 1.4%), Bank of America ($38.2B, 1.3%), Barclays PLC ($36.8B, 1.3%), Societe Generale ($36.1B, 1.3%), Toronto-Dominion ($33.7B, 1.2%), Citi ($30.2B, 1.1%), and Federal Home Loan Mortgage Co ($29.9B, 1.0%).
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 ($133.5B, 14.0%), Federal Reserve Bank of New York ($88.6B, 9.3%), RBC ($79.0B, 8.3%), Wells Fargo ($54.0B, 5.7%), Fixed Income Clearing Corp ($51.0B, 5.4%), HSBC ($42.7B, 4.5%), Nomura ($40.4B, 4.2%), JP Morgan ($34.7B, 3.6%), Bank of America ($34.1B, 3.6%), and Sumitomo Mitsui Banking Co ($32.4B, 3.4%).
The 10 largest Fed Repo positions among MMFs on 6/30/18 include: Fidelity Cash Central Fund ($15.1B in Fed Repo), Fidelity Sec Lending Cash Central ($8.7B), Dreyfus Govt Cash Mgmt ($8.5B), Schwab Govt MMkt ($8.4B), Fidelity Inv MM: Treasury Port ($6.2B), Dreyfus Tr&Ag Cash Mgmt ($4.0B), JP Morgan US Govt ($3.7B), BlackRock Lq FedFund ($3.4B), JP Morgan US Trs Plus ($2.9B), and BlackRock Cash Treas ($2.8B),.
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($21.3B, 5.4%), RBC ($16.5B, 4.2%), Mitsubishi UFJ Financial Group Inc. ($15.2B, 3.9%), Swedbank AB ($14.7B, 3.7%), Canadian Imperial Bank of Commerce ($14.0B, 3.6%), Bank of Montreal ($13.5B, 3.4%) Wells Fargo ($13.5B, 3.4%), Sumitomo Mitsui Banking Co ($12.7, 3.2%), Australia & New Zealand Banking Group Ltd ($12.0B, 3.1%), and Svenska Handelsbanken ($11.9, 3.0%).
The 10 largest CD issuers include: Wells Fargo ($13.4B, 8.0%), Bank of Montreal ($12.6B, 7.4%), RBC ($10.1, 6.0%), Svenska Handelsbanken ($9.3B, 5.5%), Mitsubishi UFJ Financial Group Inc ($9.0B, 5.3%), Sumitomo Mitsui Trust Bank ($8.8B, 5.2%), Swedbank AB ($8.7B, 5.2%), Sumitomo Mitsui Banking Co ($7.7B, 4.6%), Mizuho Corporate Bank Ltd ($7.6B, 4.5%), and Canadian Imperial Bank of Commerce ($6.8B, 4.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($13.2B, 7.3%), JPMorgan ($8.5B, 4.7%), Commonwealth Bank of Australia ($7.2B, 3.9%), Credit Suisse ($6.8B, 3.7%), UBS AG ($6.6B, 3.6%), Australia & New Zealand Banking Group Ltd ($6.5B, 3.6%), National Australia Bank Ltd ($6.4B, 3.5%), Mitsubishi UFJ Financial Group Inc ($6.1B, 3.4%), Bank of Nova Scotia ($5.8B, 3.2%), and Canadian Imperial Bank of Commerce ($5.7B, 3.1%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $67.1B to $88.6B), RBC (up $12.6B to $95.5B), Bank of Montreal (up $6.7B to $41.5B), Nomura (up $6.0B to $40.4B), Sumitomo Mitsui Trust Bank (up $4.1B to $14.1B), Fixed Income Clearing Co (up $4.1B to $51.0B), BNP Paribas (up $3.7B to $143.4B), DNB ASA (up $3.6B to $14.0B), Mitsubishi UFJ Financial Group Inc (up $3.4B to $46.1B), and Bank of America (up $3.3B to $38.2B).
The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Credit Agricole (down $42.1B to $24.4B), Barclays PLC (down $21.9B to 36.8B), Credit Suisse (down $18.1B to $11.2B), Natixis (down $15.3B to $28.0B), Societe Generale (down $15.2B to $36.1B), Mizuho Corporate Bank Ltd (down $11.6B to $17.8B), Deutsche Bank AG (down $10.5B to $7.2B), JP Morgan (down $9.3B to $43.3B), Federal Home Loan Bank (down $6.7B to $549.0B), and the US Treasury (down $6.3B to $773.0B).
The United States remained the largest segment of country-affiliations; it represents 64.3% of holdings, or $1.846 trillion. France (8.5%, $243.9B) remained in the No. 2 spot and Canada (8.3%, $237.1B) remained No. 3. Japan (6.7%, $191.3B) stayed in fourth place, while the United Kingdom (4.2%, $119.5B) remained in fifth place. Germany (1.5%, $43.9B) moved ahead of The Netherlands (1.5%, $42.4B) into sixth place. Sweden (1.5%, $44.1B) ranked 8th while Australia (1.4%, $39.1B) moved ahead of Switzerland (0.8%, $23.7B) to rank 9th and 10th. (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 June 30, 2018, Taxable money funds held 31.8% (down from 32.0%) of their assets in securities maturing Overnight, and another 15.5% maturing in 2-7 days (down from 16.2%). Thus, 47.3% in total matures in 1-7 days. Another 23.4% matures in 8-30 days, while 10.0% matures in 31-60 days. Note that over three-quarters, or 80.6% 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 10.6% of taxable securities, while 7.5% matures in 91-180 days, and just 1.3% matures beyond 181 days.
