Both J.P. Morgan Securities and Citi Research commented recently on the latest cut of Money Fund Portfolio Holdings, in particular the jump in FICC repo. JPM's "September MMF holdings update" tells us, "[T]he recent release of the September MMF holdings reports provides fresh data to highlight how the repo market is evolving. In the past year, it has not only seen yields move higher, but the market has grown larger, broader and deeper. It's also the case the Federal Reserve's presence has greatly declined and innovative uses of sponsored repo have provided both lenders and borrowers new opportunities." We review these below, and we also summarize our latest Form N-MFP Holdings and Weekly Portfolio Holdings data.
J.P. Morgan's latest "Short-Term Fixed Income" tells us, "The September 2018 MMF reports show that total repo outstandings held by MMF registered $966bn, shy of last May's record $1.01tn, but still one of the highest months ever.... Part of this increase is attributable to the growth of FICC sponsored repo programs. FICC balances peaked at $81bn in September, and averaged $54bn across 3Q18 vs $10bn in 3Q17."
They explain, "The number of active dealers involved in repo with MMFs in 3Q was 49, up from 45 a year prior. More impressively, 42 of the dealers had increased borrowing from MMFs over the past year with a median increase of $4bn. We are excluding Fed ONRRP and FICC sponsored repo from these numbers, to reflect the change in dealer led activity.... We can further categorize repo by collateral type, breaking the outstandings into Treasuries, agencies and 'other'. In comparing 3Q18 and 3Q17, dealer participation grew in all three categories."
Citi's Steve Kang also comments on "More competitive repo with FICC sponsor program." He writes, "We saw an increase in sponsored repo program participation from the 2a7 community at the end of September, to 81bn vs 37bn in August and 51bn in June, placing FICC as the second largest repo counterparty, with the Fed being the 6th at 45bn."
Kang continues, "This explains the tamer quarter-end that we have seen in September vs June, where the RRP facility usage was lower and repo spread spike was lower. The sponsor repo program worked as a pressure release valve here -- with the sponsor being Bank of New York Mellon (BK) and State Street (STT)."
He adds, "The quarter-ends are when netting needs are greater due to quarter-end snapshots of foreign banks. Sponsors can convert 2a7 cash into DTCC net-able funding for foreign banks to use -- while earning a spread between GCF - TGCR (Crane data notes that 2a7s been receiving TGCR on FICC repo in the past two QEs). In other words, rather than 2a7 cash being thrown out to Fed’s RRP facility, it stays in the system via sponsoring banks.... RRP gets disintermediated here."
Crane Data's latest monthly Money Fund Portfolio Holdings statistics were published last week, but we didn't do our normal summary on the Form N-MFP cut of the data then since some filings (notably Fidelity) were missing. (Our N-MFP Holdings files are available to our Money Fund Wisdom subscribers.) Our summary, with data as of Sept. 30, includes holdings information from 1,227 money funds (up from 1,225 on August 31), representing $3.132 trillion (down from $3.138 trillion). We review the latest data below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows that Repurchase Agreement (Repo) holdings in money market funds total $986.6 billion (up from $966.4 billion on August 31), or 31.5% of all assets. Treasury holdings total $827.3 billion (down from $854.9 billion) or 26.4%, and Government Agency securities total $660.2 billion (down from $668.8 billion), or 21.1%. Commercial Paper (CP) totals $250.9 billion (up from $241.2 billion), or 8.0%, and Certificates of Deposit (CDs) total $180.3 billion (down from $180.5 billion), or 5.8%. The Other category (primarily Time Deposits) totals $125.4 billion or 4.0%, and VRDNs account for $101.7 billion, or 3.2%.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $154.7 billion, or 4.9%, in Financial Company Commercial Paper; $47.1 billion or 1.5%, in Asset Backed Commercial Paper; and, $49.1 billion, or 1.6%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($589.4B, or 18.8%), U.S. Govt Agency Repo ($358.7B, or 11.5%), and Other Repo ($38.5B, or 1.2%).
The N-MFP Holdings summary for the the 223 Prime Money Market Funds shows: CP holdings of $246.5 billion (up from $235.2 billion August 31), or 33.2%; CD holdings of $180.3B (up from $179.0B) or 24.2%; Repo holdings of $121.8B (up from $101.8B), or 16.4%; Other (primarily Time Deposits) holdings of $85.0B (up from $83.9B), or 11.4%; Treasury holdings of $62.8B (down from $90.4B), or 8.4%; Government Agency holdings of $39.9B or 5.4%; and VRDN holdings of $7.2B, or 1.0%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $154.7 billion, or 20.8%, in Financial Company Commercial Paper; $47.1billion, or 6.3%, in Asset Backed Commercial Paper; and, $44.7 billion, or 6.0%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($55.6B, or 7.5%), U.S. Govt Agency Repo ($28.3B, or 3.8%), and Other Repo ($37.9B, or 5.1%).
Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary Tuesday, which tracks a shifting subset of our monthly Portfolio Holdings collection. The latest cut, with data as of Oct. 12, includes Holdings information from 55 money funds (down from 63 on Oct. 5), representing $868.8 billion (down from $1.290 trillion) of the $2.924 T (29.7%) in total money fund assets tracked by Crane Data. (For our latest monthly Money Fund Portfolio Holdings numbers, see our Oct. 11 News, "October MF Portfolio Holdings: Treasury, Agency Down; FICC Repo Up.")
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $320.6 billion (down from $471.8 billion on Oct. 5), or 36.9% of holdings, Treasury debt totaling $276.7 billion (down from $401.6 billion) or 31.9%, and Government Agency securities totaling $172.3 billion (down from $251.7 billion), or 19.8%. Commercial Paper (CP) totaled $38.3 billion (down from $54.9 billion), or 4.4%, and Certificates of Deposit (CDs) totaled $29.9 billion (down from $49.0 billion), or 3.4%. A total of $19.0 billion or 2.2% was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $11.8 billion, or 1.4%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $276.7 billion (31.9% of total holdings), Federal Home Loan Bank with $128.2B (14.8%), BNP Paribas with $46.0 billion (5.3%), RBC with $35.6B (4.1%), Federal Farm Credit Bank with $31.6B (3.6%), Credit Agricole with $23.9B (2.8%), ING Bank with $20.0 B (2.3%), Fixed Income Clearing Co with $19.0B (2.2%), Fidelity with $18.9B (2.2%), and Nomura with $16.4B (1.9%).
The Ten Largest Funds tracked in our latest Weekly Holdings update include: Fidelity Inv MM: Govt Port ($112.2B), Goldman Sachs FS Govt ($103.3B), Wells Fargo Govt MMkt ($69.2B), Dreyfus Govt Cash Mgmt ($57.1B), Goldman Sachs FS Trs Instruments ($56.4B), Morgan Stanley Inst Liq Govt ($54.4B), Fidelity Inv MMkt Port ($41.2B), First American Govt Oblg ($39.4B), Dreyfus Treas Sec Cash Mg ($30.8B), and Fidelity Inv MM Treasury Port ($25.3B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
