Crane Data released its January Money Fund Portfolio Holdings Thursday, and our most recent collection of taxable money market securities, with data as of Dec. 31, 2018, shows big increases in Treasuries, Repo and Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $98.0 billion to $3.124 trillion last month, after increasing $41.7 billion in Nov. and $61.0 billion in Oct. Repo continued to be the largest portfolio segment, after breaking over $1.0 trillion the previous month, 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 $29.6 billion (3.0%) to $1.031 trillion, or 33.0% of holdings, after increasing $18.1 billion (1.8%) in Nov., $17.3 billion in Oct. and $16.0 billion in Sept. Treasury securities rose $70.2 billion (8.1%) to $933.3 billion, or 29.9% of holdings, after gaining $33.5 billion (4.0%) in Nov., rising $21.7 billion in Oct. and falling $29.6 billion in Sept. Government Agency Debt rose $25.9 billion (4.1%) to $660.8 billion, or 21.2% of holdings, after declining by $8.3 billion (-1.3%) in Nov., rising $4.4 billion in Oct. and falling $11.5 billion in Sept. Repo, Treasuries and Agencies totaled $2.625 trillion, representing a massive 84.0% of all taxable holdings.
Money funds' holdings of CDs, CP and Other (mainly Time Deposits) all declined in December. Commercial Paper (CP) was down $12.1 billion (-5.1%) to $226.2 billion, or 7.2% of holdings after dropping by $1.7 billion (-0.7%) in Nov., and adding $0.7 billion in Oct. and $6.1 billion in Sept., respectively. Certificates of Deposits (CDs) fell $5.1 billion (-2.6%) to $191.5 billion, or 6.1% of taxable assets, after rising by $4.1 billion (2.1%) in Nov., which followed increases of $15.1 billion in Oct. and $3.6 billion in Sept. Other holdings, primarily Time Deposits, fell by $10.5 billion (-12.5%) to $73.9 billion, or 2.4% of holdings. VRDNs were unchanged at $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 today.)
Prime money fund assets tracked by Crane Data declined by $3 billion to $745 billion, or 23.8% of taxable money fund total taxable holdings of $3.124 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 25.7% (down from 26.3% a month ago), while Commercial Paper accounted for 30.3% (down from 31.9%). The CP totals are comprised of: Financial Company CP, which makes up 19.2% of total holdings, Asset-Backed CP, which accounts for 7.3%, and Non-Financial Company CP, which makes up 3.8%. Prime funds also hold 4.2% in US Govt Agency Debt, 10.6% in US Treasury Debt, 6.4% in US Treasury Repo, 1.6% in Other Instruments, 8.3% in Non-Negotiable Time Deposits, 5.6% in Other Repo, 6.4% in US Government Agency Repo, and 0.8% in VRDNs.
Government money fund portfolios totaled $1.605 trillion (51.4% of all MMF assets), up from $1.559 trillion in Nov., while Treasury money fund assets totaled another $774 billion (24.8%), up from $719 billion the prior month. Government money fund portfolios were made up of 39.2% US Govt Agency Debt, 19.9% US Government Agency Repo, 20.0% US Treasury debt, and 20.7% in US Treasury Repo. Treasury money funds were comprised of 68.9% US Treasury debt, 30.5% in US Treasury Repo, and 0.5% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.379 trillion, or 76.2% of all taxable money fund assets.
European-affiliated holdings declined by $167.4 billion in Dec. to $480.9 billion among all taxable funds (and including repos); their share of holdings fell to 15.4% from 21.4% the previous month. Eurozone-affiliated holdings fell $131.9 billion to $277.7 billion in December; they account for 8.9% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $9.1 billion to $278.0 billion (8.9% of the total). Americas related holdings rose $256.0 billion to $2.364 trillion and now represent 75.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $6.0 billion, or 1.0%, to $616.8 billion, or 19.7% of assets); US Government Agency Repurchase Agreements (up $23.4 billion, or 6.7%, to $372.1 billion, or 11.9% of total holdings), and Other Repurchase Agreements (up $0.3 billion from last month to $41.7 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.0 billion to $143.2 billion, or 4.6% of assets), Asset Backed Commercial Paper (up $3.6 billion to $54.5 billion, or 1.7%), and Non-Financial Company Commercial Paper (down $6.7 billion to $28.5 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2018, include: the US Treasury ($933.3 billion, or 29.9%), Federal Home Loan Bank ($526.3B, 16.8%), Fixed Income Clearing Co ($138.3B, 4.4%), RBC ($127.0B, 4.1%), Federal Farm Credit Bank ($82.1B, 2.6%), BNP Paribas ($76.9B, 2.5%), JP Morgan ($68.3B, 2.2%), Wells Fargo ($61.2B, 2.0%), Mitsubishi UFJ Financial Group Inc ($59.1B, 1.9%), Barclays ($52.2B, 1.7%), HSBC ($48.1B, 1.5%), Sumitomo Mitsui Banking Co ($45.8B, 1.5%), Bank of Montreal ($43.9B, 1.4%), Bank of America ($41.3B, 1.3%), Nomura ($41.1B, 1.3%), Federal Reserve Bank of New York ($39.6B, 1.3%), Societe Generale ($38.1B, 1.2%), Toronto-Dominion Bank ($38.0B, 1.2%), Citi ($37.5B, 1.2%), and Bank of Nova Scotia ($37.3B, 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: Fixed Income Clearing Co ($138.3B, 13.4%), RBC ($100.6B, 9.8%), BNP Paribas ($69.3B, 6.7%), JP Morgan ($57.0B, 5.5%), Wells Fargo ($51.1B, 5.0%), Barclays PLC ($47.3B, 4.6%), Mitsubishi UFJ Financial Group Inc ($42.1B, 4.1%), Nomura ($41.1B, 4.0%), HSBC ($40.4B, 3.9%), and Federal Reserve Bank of New York ($39.6B, 3.8%). Fed Repo positions among MMFs on 12/31/18 include: Fidelity Inv MM: Treasury Port ($9.5B), Schwab Value Adv MF ($9.4B), Schwab Govt MMkt ($5.0B), Fidelity Govt Cash Reserves ($3.7B), Fidelity Govt Money Market ($2.4B), Schwab Cash Reserves ($1.4B), Fidelity Treasury Fund ($6.0B), Morgan Stanley Inst Liq Govt Sec ($0.7B), Franklin IFT US Govt MM ($0.6B), and Columbia Short-Term Cash Fund ($0.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($26.4B, 6.1%), Toronto-Dominion Bank ($26.2B, 6.1%), Mizuho Corporate Bank Ltd ($18.3B, 4.2%), Bank of Nova Scotia ($17.6B, 4.1%), Mitsubishi UFJ Financial Group Inc. ($17.0B, 3.9%), Credit Suisse ($15.9B, 3.7%), Bank of Montreal ($15.7B, 3.7%), Sumitomo Mitsui Banking Co ($15.7B, 3.6%), Australia & New Zealand Banking Group Ltd ($14.4B, 3.3%), and Canadian Imperial Bank of Commerce ($13.9B, 3.2%).
The 10 largest CD issuers include: Bank of Montreal ($15.4B, 8.0%), Mitsubishi UFJ Financial Group Inc ($11.7B, 6.1%), Sumitomo Mitsui Banking Co ($11.4B, 5.9%), Svenska Handelsbanken ($10.7B, 5.6%), RBC ($10.6B, 5.6%), Mizuho Corporate Bank Ltd ($10.3B, 5.4%), Wells Fargo ($9.9B, 5.2%), Sumitomo Mitsui Trust Bank ($9.1B, 4.7%), Toronto-Dominion Bank ($8.7B, 4.5%), and Nordea Bank ($8.5B, 4.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($16.2B, 8.1%), RBC ($11.4B, 5.7%), JPMorgan ($11.2B, 5.6%), Bank of Nova Scotia ($8.8B, 4.4%), Credit Suisse ($8.5B, 4.3%), UBS AG ($7.6B, 3.8%), Societe Generale ($6.7B, 3.4%), Canadian Imperial Bank of Commerce ($6.7B, 3.4%), Westpac Banking Co ($6.5B, 3.2%), and National Australia Bank Ltd ($6.3B, 3.2%).
The largest increases among Issuers include: US Treasury (up $70.2B to $933.3B), Fixed Income Clearing Co (up $54.3B to $138.3B), Federal Home Loan Bank (up $23.6B to $526.3B), JP Morgan (up $14.1B to $68.3B), RBC (up $13.7B to $127.0B), Nomura (up $8.2B to $41.1B), Sumitomo Mitsui Banking Co (up $7.9B to $45.8B), Citi (up $7.2B to $37.5B), Goldman Sachs (up $6.7B to $19.4B), and Bank of Nova Scotia (up $5.4B to $37.3B).
The largest decreases among Issuers of money market securities (including Repo) in Dec. were shown by: BNP Paribas (down $34.1B to $76.9B), Credit Agricole (down $31.9B to $31.6B), Natixis (down $16.2B to $29.6B), Mizuho Corporate Bank Ltd (down $14.1B to $27.0B), Barclays PLC (down $12.2B to $52.2B), Societe Generale (down $7.2B to $38.1B), Deutsche Bank AG (down $6.2B to $16.4B), Lloyds Banking Group (down $6.2B to $6.3B), Skandinaviska Enskilda Banken AB (down $5.0B to $6.4B), and Wells Fargo (down $4.5B to $61.2B).
The United States remained the largest segment of country-affiliations; it represents 66.4% of holdings, or $2.074 trillion. Canada (9.2%, $288.6B) moved into second place and Japan (7.1%, $220.2B) moved up to third. France (6.0%, $186.4B) dropped down to the No. 4 spot. The United Kingdom (4.0%, $125.3B) remained in fifth place. Australia (1.4%, $44.2B) moved ahead of the Netherlands (1.3%, $41.6B). Germany (1.2%, $38.8B) fell to 8th place, and Switzerland (1.2%, $37.1B) and Sweden (1.1%, $33.4B) ranked 9th and 10th, respectively. (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 Dec. 31, 2018, Taxable money funds held 37.0% (up from 33.4%) of their assets in securities maturing Overnight, and another 11.6% maturing in 2-7 days (down from 15.6% last month). Thus, 48.6% in total matures in 1-7 days. Another 20.4% matures in 8-30 days, while 14.1% matures in 31-60 days. Note that over three-quarters, or 83.1% 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 8.7% of taxable securities, while 6.9% matures in 91-180 days, and just 1.4% matures beyond 181 days.
