Crane Data released its October Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of Sept. 30, 2018, shows decreases in Treasuries and Agencies, but increases in Repo, CP and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $13.3 billion to $2.924 trillion last month, after decreasing by $24.1 billion in August, increasing by $90.0 billion in July, and decreasing by $53.8 billion in June. 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) rose $16.0 billion (1.7%) to $965.6 billion, or 33.0% of holdings, after falling $11.3 billion in August and rising $8.0 billion in July. Treasury securities fell $29.6 billion (-3.5%) to $807.9 billion, or 27.6% of holdings, after rising $22.1 billion in August and rising $42.4 billion in July. Government Agency Debt fell by $11.5 billion (-1.8%) to $638.7 billion, or 21.8% of all holdings, after falling $24.9 billion in August and rising by $0.9 billion in July. Repo, Treasuries and Agencies total $2.412 trillion, representing a massive 82.5% of all taxable holdings.
Money funds' holdings of CP, CDs, and Other (mainly Time Deposits) holding all inched higher in September. Commercial Paper (CP) was up $6.1 billion (2.6%) to $239.4 billion, or 8.2% of holdings, after falling $3.2 billion in August and rising $22.5 billion in July. Certificates of Deposits (CDs) rose by $3.6 billion (2.1%) to $177.4 billion, or 6.1% of taxable assets (after falling $7.6 billion in August and rising $12.0 billion in July). Other holdings, primarily Time Deposits, rose by $1.6 billion (1.9%) to $86.0 billion, or 2.9% of holdings. VRDNs rose by $0.5B (5.7%) to $8.5 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 $722 billion (up from $711 billion last month), or 24.7% (up from 24.2%) of taxable money fund total taxable holdings of $2.923 trillion. Among Prime money funds, CDs represent almost a quarter of holdings at 24.6% (up from 24.4% a month ago), while Commercial Paper accounted for 33.1% (up from 32.8%). The CP totals are comprised of: Financial Company CP, which makes up 20.8% of total holdings, Asset-Backed CP, which accounts for 6.6%, and Non-Financial Company CP, which makes up 5.7%. Prime funds also hold 5.4% in US Govt Agency/ Debt, 8.0% in US Treasury Debt, 7.2% in US Treasury Repo, 1.2% in Other Instruments, 9.0% in Non-Negotiable Time Deposits, 5.2% in Other Repo, 5.9% in US Government Agency Repo, and 0.9% in VRDNs.
Government money fund portfolios totaled $1.520 trillion (52.0% of all MMF assets), down from $1.544 trillion in August, while Treasury money fund assets totaled another $682 billion (23.2%), the same as the prior month. Government money fund portfolios were made up of 39.5% US Govt Agency Debt, 21.3% US Government Agency Repo, 18.5% US Treasury debt, and 20.5% in US Treasury Repo. Treasury money funds were comprised of 68.9% US Treasury debt, 31.1% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.202 trillion, or 75.3% of all taxable money fund assets.
European-affiliated holdings fell $95.5 billion in Sept. to $573.7 billion among all taxable funds (and including repos); their share of holdings fell to 19.6% from 22.8% the previous month. Eurozone-affiliated holdings fell $54.6 billion to $367.1 billion in September; they account for 12.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $3.7 billion to $262.8 billion (9.0% of the total). Americas related holdings rose $0.8 billion to $2.085 trillion and now represent 71.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $18.5 billion, or 3.3%, to $574.5 billion, or 19.7% of assets); US Government Agency Repurchase Agreements (down $5.7 billion, or -1.6%, to $353.1 billion, or 12.1% of total holdings), and Other Repurchase Agreements (up $3.2 billion from last month to $38.0 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.4 billion to $150.3 billion, or 5.1% of assets), Asset Backed Commercial Paper (up $1.5 billion to $47.7 billion, or 1.6%), and Non-Financial Company Commercial Paper (down $0.8 billion to $41.4 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2018, include: the US Treasury ($807.9 billion, or 27.6%), Federal Home Loan Bank ($508.8B, 17.4%), BNP Paribas ($150.2B, 5.1%), RBC ($99.1B, 3.4%), Fixed Income Clearing Co ($81.0B, 2.8%), Federal Farm Credit Bank ($74.3B, 2.5%), Wells Fargo ($61.3B, 2.1%), Mitsubishi UFJ Financial Group Inc ($51.5B, 1.8%), JP Morgan ($50.9B, 1.7%), Barclays ($48.7B, 1.7%), HSBC ($47.1B, 1.6%), Sumitomo Mitsui Banking Co ($46.4B, 1.6%), Nomura ($45.1B, 1.5%), Federal Reserve Bank of New York ($44.7B, 1.5%), Bank of Montreal ($40.3B, 1.4%), Bank of America ($39.2B, 1.3%), Toronto-Dominion Bank ($35.3B, 1.2%), Federal Home Loan Mortgage Co ($33.8B, 1.2%), ING Bank ($32.0B, 1.1%),and Canadian Imperial Bank of Commerce ($30.8B, 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 ($136.4B, 14.1%), Fixed Income Clearing Co ($81.0B, 8.4%), RBC ($78.5B, 8.1%), Wells Fargo ($51.3B, 5.3%), Nomura ($45.1B, 4.7%), Federal Reserve Bank of New York ($44.7B, 4.6%), Barclays PLC ($41.3B, 4.3%), JP Morgan ($39.8B, 4.1%), HSBC ($39.3B, 4.1%), and Mitsubishi UFJ Financial Group Inc ($35.7B, 3.7%). Fed Repo positions among MMFs on 9/30/18 include: Fidelity Cash Central Fund ($18.3B), Fidelity Sec Lending Cash Central ($7.9B), JP Morgan US Govt ($4.0B), Franklin IFT US Govt MM ($3.4B), BlackRock Cash Treas ($2.7B), Dreyfus Tr&Ag Cash Mgmt ($2.4B), Fidelity Inv MM: Treasury Port ($1.2B), State Street Inst Trs Plus ($0.9B), First American Govt Oblg ($0.7B), and Dreyfus Inst Pref Govt ($0.6B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($24.6B, 5.8%), RBC ($20.6B, 4.8%), Mizuho Corporate Bank Ltd ($16.0B, 3.8%), Mitsubishi UFJ Financial Group Inc. ($15.8B, 3.7%), Canadian Imperial Bank of Commerce ($15.7B, 3.7%), Bank of Montreal ($14.7B, 3.4%), Sumitomo Mitsui Banking Co ($14.3B, 3.4%), BNP Paribas ($13.9B, 3.2%), Bank of Nova Scotia ($12.9B, 3.0%), and Credit Agricole ($11.9B, 2.8%).
The 10 largest CD issuers include: Bank of Montreal ($14.4B, 8.1%), RBC ($11.9B, 6.7%), Mitsubishi UFJ Financial Group Inc ($10.4B, 5.9%), Mizuho Corporate Bank Ltd ($9.9B, 5.6%), Wells Fargo ($9.9B, 5.6%), Sumitomo Mitsui Banking Co ($9.7B, 5.4%), Svenska Handelsbanken ($8.6B, 4.9%), Sumitomo Mitsui Trust Bank ($8.6B, 4.8%), Nordea Bank ($8.0B, 4.5%), and Toronto-Dominion Bank ($7.6B, 4.3%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($15.4B, 7.7%), JPMorgan ($11.0B, 5.5%), Canadian Imperial Bank of Commerce ($7.9B, 4.0%), RBC ($7.8B, 3.9%), UBS AG ($7.3B, 3.7%), Bank of Nova Scotia ($6.6B, 3.3%), Toyota ($6.0B, 3.0%), ING Bank ($5.6B, 2.8%), Bank Nederlandse Gemeenten ($5.2B, 2.6%), and Mitsubishi UFJ Financial Group Inc ($5.2B, 2.6%).
The largest increases among Issuers include: Fixed Income Clearing Co (up $43.5B to $81.0B), RBC (up $12.6B to $99.1B), BNP Paribas (up $10.4B to $150.2B), Bank of Montreal (up $7.2B to $40.3B), Goldman Sachs (up $5.6B to $18.5B), Sumitomo Mitsui Banking Co (up $5.5B to $46.4B), Nomura (up $3.9B to $45.1B), Canadian Imperial Bank of Commerce (up $3.8B to $30.8B), DNB ASA (up $3.8B to $12.0B), Bank of Nova Scotia (up $3.5B to $30.6B), and Toronto-Dominion Bank (up $2.9B to $35.3B).
The largest decreases among Issuers of money market securities (including Repo) in Sept. were shown by: Credit Agricole (down $32.3B to $26.7B), US Treasury (down $29.6B to $807.9B), Barclays PLC (down $21.2B to $48.7B), Societe Generale (down $13.3B to $27.3B), Federal Home Loan Bank (down $11.7B to $508.8B), Mizuho Corporate Bank Ltd (down $10.5B to $24.5B), Natixis (down $9.4B to $30.3B), ING Bank (down $7.8B to $32.0B), and Deutsche Bank AG (down $5.3B to $15.7B).
The United States remained the largest segment of country-affiliations; it represents 62.7% of holdings, or $1.833 trillion. Canada (8.6%, $250.6B) took the No. 2 spot and France (8.5%, $248.6B) took No. 3. Japan (7.2%, $211.7B) stayed in fourth place, while the United Kingdom (4.5%, $131.2B) remained in fifth place. The Netherlands (1.9%, $55.4B) stayed ahead of Germany (1.9%, $55.1B), while Sweden (1.4%, $40.9B) remained in 8th place. Australia (1.2%, $35.0B) was back ahead of Switzerland (0.7%, $20.6B) 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 Sept. 30, 2018, Taxable money funds held 32.8% (down from 33.6%) of their assets in securities maturing Overnight, and another 16.6% maturing in 2-7 days (up from 14.1% last month). Thus, 49.5% in total matures in 1-7 days. Another 20.5% matures in 8-30 days, while 10.8% matures in 31-60 days. Note that over three-quarters, or 80.8% 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 8.4% of taxable securities, while 9.7% matures in 91-180 days, and just 1.2% matures beyond 181 days.
