Crane Data released its September Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of August 31, 2018, shows an increase Treasuries but declines in other sectors, especially Agencies and Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $24 billion to $2.937 trillion last month, after increasing by $90.0 billion in July, decreasing by $53.8 billion in June, and increasing by $16.7 billion in May. 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 $11.3 billion (-1.2%) to $949.6 billion, or 32.3% of holdings, after rising $8.0 billion in July and falling $31.4 billion in June. Treasury securities rose $22.1 billion (2.7%) to $837.5 billion, or 28.5% of holdings, after rising $42.4 billion in July and falling $6.3 billion in June. Government Agency Debt fell by $24.9 billion (-3.7%) to $650.2 billion, or 22.1% of all holdings, after rising by $0.9 billion in July and falling $9.3 billion in June. Repo, Treasuries and Agencies total $2.437 trillion, representing a massive 83.0% of all taxable holdings.
Money funds' holdings of CP and CDs fell, but Other (mainly Time Deposits) holding inched higher in August. Commercial Paper (CP) was down $3.2 billion (-1.4%) to $233.3 billion, or 7.9% of holdings, after rising $22.5 billion in July and falling $10.0 billion in June. Certificates of Deposits (CDs) fell by $7.6 billion (-4.2%) to $173.8 billion, or 5.9% of taxable assets (after rising $12.0 billion in July and rising $1.6 billion in June). Other holdings, primarily Time Deposits, rose by $1.0 billion (1.2%) to $84.4 billion, or 2.9% of holdings. VRDNs fell by $0.3B (-3.4%) to $8.0 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately later today.)
Prime money fund assets tracked by Crane Data jumped to $711 billion (up from $687 billion last month), or 24.2% (up from 23.2%) of taxable money fund total taxable holdings of $2.937 trillion. Among Prime money funds, CDs represent almost a quarter of holdings at 24.4% (down from 26.4% a month ago), while Commercial Paper accounted for 32.8% (down from 34.5%). The CP totals are comprised of: Financial Company CP, which makes up 20.4% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.9%. Prime funds also hold 4.6% in US Govt Agency/ Debt, 11.8% in US Treasury Debt, 4.2% in US Treasury Repo, 1.3% in Other Instruments, 8.8% in Non-Negotiable Time Deposits, 4.8% in Other Repo, 4.9% in US Government Agency Repo, and 0.9% in VRDNs.
Government money fund portfolios totaled $1.544 trillion (52.6% of all MMF assets), down from $1.568 trillion in July, while Treasury money fund assets totaled another $682 billion (23.2%), down from $706 billion the prior month. Government money fund portfolios were made up of 40.0% US Govt Agency Debt, 20.9% US Government Agency Repo, 18.2% US Treasury debt, and 20.6% in US Treasury Repo. Treasury money funds were comprised of 69.4% US Treasury debt, 30.5% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.226 trillion, or 75.8% of all taxable money fund assets.
European-affiliated holdings fell $11.8 billion in August to $669.2 billion among all taxable funds (and including repos); their share of holdings fell to 22.8% from 23.0% the previous month. Eurozone-affiliated holdings fell $18.5 billion to $421.7 billion in August; they account for 14.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $5.5 billion to $259.1 billion (8.8% of the total). Americas related holdings fell $1.8 billion to $2.006 trillion and now represent 68.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $20.2 billion, or -3.5%, to $556.0 billion, or 18.9% of assets); US Government Agency Repurchase Agreements (up $12.0 billion, or 3.5%, to $358.8 billion, or 12.2% of total holdings), and Other Repurchase Agreements (down $3.0 billion from last month to $34.8 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.3 billion to $144.9 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $1.7 billion to $46.2 billion, or 1.6%), and Non-Financial Company Commercial Paper (down $3.6 billion to $42.3 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of August 31, 2018, include: the US Treasury ($837.5 billion, or 28.5%), Federal Home Loan Bank ($520.6B, 17.7%), BNP Paribas ($139.8B, 4.8%), RBC ($86.5B, 2.9%), Federal Farm Credit Bank ($74.1B, 2.5%), Barclays ($69.9B, 2.4%), Wells Fargo ($63.3B, 2.2%), Credit Agricole ($59.0B, 2.0%), JP Morgan ($55.4B, 1.9%), Mitsubishi UFJ Financial Group Inc ($49.8B, 1.7%), HSBC ($48.0B, 1.6%), Nomura ($41.2B, 1.4%), Sumito Mitsui Banking Co ($40.9B, 1.4%), Societe Generale ($40.6B, 1.4%), ING Bank ($39.8B, 1.4%), Natixis ($39.7B, 1.4%), Fixed Income Clearing Co ($37.4B, 1.3%), Bank of America ($37.4B, 1.3%), Federal Home Loan Mortgage Co ($35.5B, 1.2%), and Mizuho Corporate Bank Ltd ($35.0B, 1.2%).
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 ($131.4B, 13.8%), RBC ($67.8B, 7.1%), Barclays PLC ($57.6B, 6.1%), Wells Fargo ($52.0B, 5.5%), Credit Agricole ($45.3B, 4.8%), JP Morgan ($45.2B, 4.8%), Nomura ($41.2B, 4.3%), HSBC ($39.8B, 4.2%), Fixed Income Clearing Co ($37.4B, 3.9%), and Societe Generale ($34.8B, 3.7%). Fed Repo positions among MMFs on 8/31/18 include a record low of just two funds: Columbia Short-Term Cash Fund ($0.4B) and Western Asset Inst Govt ($0.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($20.5B, 5.0%), RBC ($18.7B, 4.5%), Mitsubishi UFJ Financial Group Inc. ($16.5B, 4.0%), Credit Agricole ($13.7B, 3.3%), Sumitomo Mitsui Banking Co ($13.6B, 3.3%), ING Bank ($13.0B, 3.1%), Mizuho Corporate Bank Ltd ($12.8B, 3.1%), Bank of Montreal ($12.8B, 3.1%), Canadian Imperial Bank of Commerce ($12.7B, 3.1%), and Sumitomo Mitsui Trust Bank ($12.6, 3.0%).
The 10 largest CD issuers include: Bank of Montreal ($12.4B, 7.2%), RBC ($11.2B, 6.5%), Wells Fargo ($11.2B, 6.4%), Mitsubishi UFJ Financial Group Inc ($10.9B, 6.3%), Svenska Handelsbanken ($10.3B, 6.0%), Sumitomo Mitsui Banking Co ($8.9B, 5.2%), Sumitomo Mitsui Trust Bank ($8.4B, 4.9%), Mizuho Corporate Bank Ltd ($8.4B, 4.8%), Toronto-Dominion Bank ($6.9B, 4.0%), and Landesbank Baden-Wurttemberg ($6.6B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($12.4B, 6.4%), JPMorgan ($10.2B, 5.2%), UBS AG ($7.3B, 3.8%), Toyota ($6.2B, 3.2%), Barclays PLC ($5.9B, 3.0%), RBC ($5.8B, 3.0%), ING Bank ($5.8B, 3.0%), Bank of Nova Scotia ($5.7B, 2.9%), Mitsubishi UFJ Financial Group Inc ($5.6B, 2.9%), and Canadian Imperial Bank of Commerce ($5.5B, 2.8%).
The largest increases among Issuers include: the US Treasury (up $22.1B to $837.5B), Barclays PLC (up $12.4B to $69.9B), JP Morgan (up $9.5B to $55.4B), Mizuho Corporate Bank Ltd (up $6.6B to $35.0B), Bank of Nova Scotia (up $4.0B to $27.2B), ING Bank (up $3.6B to $39.8B), Nordea Bank (up $3.3B to $10.8B), Toronto-Dominion Bank (up $2.7B to $32.4B), Nomura (up $2.1B to $41.2B), and National Australia Bank Ltd (up $1.4B to $8.8B).
The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Home Loan Bank (down $21.1B to $520.6B), BNP Paribas (down $7.8B to $139.8B), Fixed Income Clearing Co (down $6.9B to $37.4B), Wells Fargo (down $5.6B to $63.3B), Citi (down $4.8B to $27.1B), Sumitomo Mitsui Banking Co (down $4.5B to $40.9B), Credit Suisse (down $4.0B to $23.5B), Credit Agricole (down $3.7B to $59.0B), DNB ASA (down $3.3B to $8.2B), and Bank of Montreal (down $2.7B to $33.1B).
The United States remained the largest segment of country-affiliations; it represents 60.9% of holdings, or $1.787 trillion. France (10.0%, $293.1B) remained in the No. 2 spot and Canada (7.4%, $218.1B) remained No. 3. Japan (7.2%, $212.5B) stayed in fourth place, while the United Kingdom (5.1%, $151.1B) remained in fifth place. The Netherlands (2.1%, $61.3B) stayed ahead of Germany (2.0%, $58.5B), while Sweden (1.6%, $46.3B) remained in 8th place. Switzerland (1.4%, $39.6B) stayed ahead of Australia (1.1%, $33.2B) in 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 August 31, 2018, Taxable money funds held 33.6% (up from 31.2%) of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (down from 16.2% last month). Thus, 47.7% in total matures in 1-7 days. Another 24.8% matures in 8-30 days, while 10.0% matures in 31-60 days. Note that over three-quarters, or 82.5% 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 8.9% of taxable securities, while 7.0% matures in 91-180 days, and just 1.6% matures beyond 181 days.
