Crane Data released its December Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of Nov. 30, 2018, shows big increases in Treasuries, Repo and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $41.7 billion to $3.026 trillion last month, after increasing $61.0 billion in Oct., decreasing by $13.3 billion in Sept. and decreasing $24.1 billion in August. Repo continued to be the largest portfolio segment, breaking over $1.0 in total for the first time, 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 $18.1 billion (1.8%) to $1.001 trillion, or 33.1% of holdings, after rising $17.3 billion in Oct. and $16.0 billion in Sept., but falling $11.3 billion in August. Treasury securities rose $33.5 billion (4.0%) to $863.1 billion, or 28.5% of holdings, after rising $21.7 billion in Oct., falling $29.6 billion in Sept., and rising $22.1 billion in August. Government Agency Debt fell by $8.3 billion (-1.3%) to $634.9 billion, or 21.0% of all holdings, after rising $4.4 billion in Oct., falling $11.5 billion in Sept., falling $24.9 billion in August and rising by $0.9 billion in July. Repo, Treasuries and Agencies total $2.499 trillion, representing a massive 82.6% of all taxable holdings.
Money funds' holdings of CDs increased, and CP and Other (mainly Time Deposits) holding inched lower in November. Commercial Paper (CP) was down $1.7 billion (-0.7%) to $238.4 billion, or 7.9% of holdings, after rising $0.7 billion in Oct., rising $6.1 billion in Sept., and falling $3.2 billion in August. Certificates of Deposits (CDs) rose by $4.1 billion (2.1%) to $196.6 billion, or 6.5% of taxable assets (after rising $15.1 billion in Oct., rising $3.6 billion in Sept., and falling $7.6 billion in August). Other holdings, primarily Time Deposits, fell by $4.0 billion (-4.5%) to $84.4 billion, or 2.8% of holdings. VRDNs increased by $0.0B (0.3%) to $7.8 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately later Thursday.)
Prime money fund assets tracked by Crane Data rose to $748 billion (up from $726 billion last month), or 24.7% (the same as last month) of taxable money fund total taxable holdings of $3.026 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 26.3% (down from 26.5% a month ago), while Commercial Paper accounted for 31.9% (down from 33.0%). The CP totals are comprised of: Financial Company CP, which makes up 20.4% of total holdings, Asset-Backed CP, which accounts for 6.8%, and Non-Financial Company CP, which makes up 4.7%. Prime funds also hold 3.8% in US Govt Agency Debt, 9.8% in US Treasury Debt, 5.2% in US Treasury Repo, 1.6% in Other Instruments, 8.3% in Non-Negotiable Time Deposits, 9.8% in Other Repo, 5.5% in US Government Agency Repo, and 0.8% in VRDNs.
Government money fund portfolios totaled $1.559 trillion (51.5% of all MMF assets), down from $1.542 trillion in Oct., while Treasury money fund assets totaled another $719 billion (23.8%), up from $717 billion the prior month. Government money fund portfolios were made up of 38.9% US Govt Agency Debt, 19.7% US Government Agency Repo, 19.3% US Treasury debt, and 21.9% in US Treasury Repo. Treasury money funds were comprised of 67.9% US Treasury debt, 32.0% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.278 trillion, or 75.3% of all taxable money fund assets.
European-affiliated holdings declined by $30.1 billion in Nov. to $648.3 billion among all taxable funds (and including repos); their share of holdings fell to 21.4% from 21.7% the previous month. Eurozone-affiliated holdings fell $30.0 billion to $409.5 billion in November; they account for 13.5% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $6.8 billion to $268.9 billion (8.9% of the total). Americas related holdings rose $65.9 billion to $2.108 trillion and now represent 69.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $24.6 billion, or 4.2%, to $610.8 billion, or 20.2% of assets); US Government Agency Repurchase Agreements (down $10.7 billion, or -3.0%, to $348.7 billion, or 11.5% of total holdings), and Other Repurchase Agreements (up $4.2 billion from last month to $41.4 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.9 billion to $152.2 billion, or 5.0% of assets), Asset Backed Commercial Paper (up $3.4 billion to $50.9 billion, or 1.7%), and Non-Financial Company Commercial Paper (down $7.0 billion to $35.3 billion, or 1.2%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2018, include: the US Treasury ($863.1 billion, or 28.5%), Federal Home Loan Bank ($502.6B, 16.6%), RBC ($113.3B, 3.7%), BNP Paribas ($111.0B, 3.7%), Fixed Income Clearing Co ($83.9B, 2.8%), Federal Farm Credit Bank ($79.6B, 2.6%), Wells Fargo ($65.7B, 2.2%), Barclays ($64.5B, 2.1%), Credit Agricole ($63.5B, 2.1%), Mitsubishi UFJ Financial Group Inc ($54.4B, 1.8%), JP Morgan ($54.2B, 1.8%), HSBC ($47.4B, 1.6%), Natixis ($45.7B, 1.5%), Societe Generale ($45.4B, 1.5%), Mizuho Corporate Bank Ltd ($41.1B, 1.4%), Bank of Montreal ($38.5B, 1.3%), Bank of America ($38.1B, 1.3%), Sumitomo Mitsui Banking Co ($37.9B, 1.3%), Nomura ($32.9B, 1.1%), and Toronto-Dominion 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 ($101.0B, 10.1%), RBC ($91.7B, 9.1%), Fixed Income Clearing Co ($83.9B, 8.4%), Wells Fargo ($54.4B, 5.4%), Barclays PLC ($54.1B, 5.4%), Credit Agricole ($50.3B, 5.0%), JP Morgan ($43.2B, 4.3%), HSBC ($39.2B, 3.9%), Mitsubishi UFJ Financial Group Inc ($38.8B, 3.9%) and Societe Generale ($37.6B, 3.8%). Fed Repo positions among MMFs on 11/30/18 include: Franklin IFT US Govt MM ($2.3B), State Street Inst US Govt ($0.1B) 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 ($23.2B, 5.2%), RBC ($21.7B, 4.9%), Mizuho Corporate Bank Ltd ($17.6B, 3.9%), Australia & New Zealand Banking Group Ltd ($15.9B, 3.6%), Mitsubishi UFJ Financial Group Inc. ($15.6B, 3.5%), Sumitomo Mitsui Banking Co ($15.2B, 3.4%), Bank of Montreal ($13.7B, 3.1%), Credit Agricole ($13.2B, 3.0%), Bank of Nova Scotia ($12.9B, 2.9%) and Canadian Imperial Bank of Commerce ($12.7B, 2.8%).
The 10 largest CD issuers include: Bank of Montreal ($13.3B, 6.8%), Mitsubishi UFJ Financial Group Inc ($11.6B, 5.9%), Wells Fargo ($11.1B, 5.7%), Mizuho Corporate Bank Ltd ($11.1B, 5.6%), Sumitomo Mitsui Banking Co ($10.9B, 5.5%), RBC ($10.6B, 5.4%), Svenska Handelsbanken ($10.0B, 5.1%), Toronto-Dominion Bank ($8.6B, 4.4%), KBC Group NV ($7.9B, 4.0%) and Sumitomo Mitsui Trust Bank ($7.7B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($13.6B, 6.7%), JPMorgan ($10.9B, 5.3%), RBC ($10.6B, 5.2%), Bank of Nova Scotia ($8.9B, 4.4%), UBS AG ($8.0B, 3.9%), Credit Suisse ($7.7B, 3.8%), Westpac Banking Co ($6.8B, 3.3%), Canadian Imperial Bank of Commerce ($6.5B, 3.2%), Toyota ($6.4B, 3.1%) and BayernLB ($6.3B, 3.1%).
The largest increases among Issuers include: US Treasury (up $33.5B to $863.1B), Bank of Montreal (up $13.3B to $38.5B), RBC (up $11.0B to $113.3B), Fixed Income Clearing Co (up $9.8B to $83.9B), Mizuho Corporate Bank Ltd (up $5.7B to $41.1B), Societe Generale (up $5.2B to $45.4B), Federal Farm Credit Bank (up $4.6B to $79.6B), Barclays PLC (up $3.9B to $64.5B), Wells Fargo (up $3.5B to $65.7B), and Natixis (up $3.1B to $45.7B).
The largest decreases among Issuers of money market securities (including Repo) in Nov. were shown by: BNP Paribas (down $28.9B to $111.0B), Federal Home Loan Bank (down $11.4B to $502.6B), ING Bank (down $6.5B to $30.6B), Sumitomo Mitsui Banking Co (down $6.4B to $37.9B), Credit Agricole (down $5.3B to $63.5B), DNB ASA (down $2.2B to $9.9B), Swedbank AB (down $1.6B to $10.1B), Federal National Mortgage Association (down $1.1B to $18.0B), Lloyds Banking Group (down $0.9B to $12.5B), and RBS (down $0.9B to $13.8B).
The United States remained the largest segment of country-affiliations; it represents 61.1% of holdings, or $1.850 trillion. France (9.2%, $278.1B) remained in the No. 2 spot and Canada (8.5%, $257.3B) remained No. 3. Japan (7.0%, $212.3B) stayed in fourth place, while the United Kingdom (4.9%, $146.7B) remained in fifth place. Germany (2.2%, $65.2B) remained ahead of the Netherlands (1.7%, $51.9B), while Sweden (1.4%, $42.9B) remained in 8th place. Finally, Australia (1.4%, $42.5B) moved ahead of Switzerland (1.3%, $38.9B) 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 Nov. 30, 2018, Taxable money funds held 33.4% (down from 34.5%) of their assets in securities maturing Overnight, and another 15.6% maturing in 2-7 days (up from 13.8% last month). Thus, 49.0% in total matures in 1-7 days. Another 20.7% matures in 8-30 days, while 11.5% matures in 31-60 days. Note that over three-quarters, or 81.1% of securities, mature in 60 days or less (up 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 7.0% matures in 91-180 days, and just 1.4% matures beyond 181 days.
