Crane Data released its February Money Fund Portfolio Holdings Monday, and our most recent collection of taxable money market securities, with data as of Jan. 31, 2019, shows big increases in Repurchase Agreements, Certificates of Deposit, Commercial Paper and Other (mainly Time Deposits), and a big drop in Treasury holdings. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $4.2 billion to $3.128 trillion last month, after increasing by $98.0 billion in December, $41.7 billion in November and $61.0 billion in October. Repo continued to be the largest portfolio segment, remaining above the $1.0 trillion mark, 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 $41.4 billion (4.0%) to $1.072 trillion, or 34.3% of holdings, after increasing $29.6 billion in December, $18.1 billion in Nov., and $17.3 billion in Oct. Treasury securities plunged by $99.0 billion (-10.6%) to $834.3 billion, or 26.7% of holdings, after rising $70.2 billion in Dec., $33.5 billion in Nov., and $21.7 billion in Oct. Government Agency Debt increased slightly, by $0.7 billion (0.1%), to $661.5 billion, or 21.1% of holdings, after increasing $25.9 billion in Dec., decreasing $8.3 billion in Nov., and rising $4.4 billion in Oct. Repo, Treasuries and Agencies totaled $2.568 trillion, representing a massive 82.1% of all taxable holdings.
Money funds' holdings of CDs, CP and Other (mainly Time Deposits) all posted gains in January. Commercial Paper (CP) moved up $17.7 billion (7.8%) to $244.0 billion, or 7.8% of holdings, after falling $12.1 billion in December and $1.7 billion in Nov., but and adding $0.7 billion in Oct. Certificates of Deposits (CDs) jumped $30.4 billion (15.9%) to $221.8 billion, or 7.1% of taxable assets, after declining $5.1 billion in Dec., rising $4.1 billion in Nov. and rising $15.1 billion in Oct. Other holdings, primarily Time Deposits, increased $13.1 billion (17.7%) to $86.9 billion, or 2.8% of holdings, after dropping $10.5 billion at year-end. VRDNs inched up to $7.9 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 gained $57 billion to $802 billion, or 25.6% of taxable money fund total taxable holdings of $3.128 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 27.6 % (up from 25.7% a month ago), while Commercial Paper accounted for 30.4% (up from 30.3%). The CP totals are comprised of: Financial Company CP, which makes up 19.1% of total holdings, Asset-Backed CP, which accounts for 7.1%, and Non-Financial Company CP, which makes up 4.2%. Prime funds also hold 4.5% in US Govt Agency Debt, 7.9% in US Treasury Debt, 5.3% in US Treasury Repo, 1.3% in Other Instruments, 1.2% in Non-Negotiable Time Deposits, 1.2% in Other Repo, 8.2% in US Government Agency Repo, and 0.8% in VRDNs.
Government money fund portfolios totaled $1.597 trillion (51.1% of all MMF assets), down from $1.605 trillion in Dec., while Treasury money fund assets totaled another $729 billion (23.3%), down from $774 billion the prior month. Government money fund portfolios were made up of 39.1% US Govt Agency Debt, 21.1% US Government Agency Repo, 17.1% US Treasury debt, and 22.5% in US Treasury Repo. Treasury money funds were comprised of 68.2% US Treasury debt, 31.7% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.326 trillion, or 74.4% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $189.0 billion in January to $669.9 billion; their share of holdings rose to 21.4% from last month's 15.4%. Eurozone-affiliated holdings mushroomed to $427.1 billion from last month's $277.7 billion; they account for 13.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $19.6 billion to $297.6 billion (9.5% of the total). Americas related holdings slid $205.0 billion to $2.159 trillion and now represent 69.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $15.8 billion, or 2.6%, to $632.6 billion, or 20.2% of assets); US Government Agency Repurchase Agreements (up $31.2 billion, or 8.4%, to $403.3 billion, or 12.9% of total holdings), and Other Repurchase Agreements (down $5.6 billion from last month to $36.2 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.1 billion to $153.4 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $2.6 billion to $57.1 billion, or 1.8%), and Non-Financial Company Commercial Paper (up $5.0 billion to $33.5 billion, or 1.1%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2019, include: the US Treasury ($843.3 billion, or 28.2%), Federal Home Loan Bank ($524.8B, 17.7%), BNP Paribas ($139.7B, 4.7%), RBC ($112.4B, 3.8%), Fixed Income Clearing Co ($95.1B, 3.2%), Federal Farm Credit Bank ($83.3B, 2.8%), JP Morgan ($67.4B, 2.3%), Barclays ($65.1B, 2.2%), Credit Agricole ($62.3B, 2.1%), Wells Fargo ($61.8B, 2.1%), Mitsubishi UFJ Financial Group Inc ($58.3B, 2.0%), Sumitomo Mitsui Banking Co ($54.3B, 1.8%), HSBC ($49.0B, 1.7%), Societe Generale ($43.8B, 1.5%), Natixis ($41.9B, 1.4%), Mizuho Corporate Bank Ltd ($41.4B, 1.4%), Citi ($40.5B, 1.4%), Bank of America ($39.1B, 1.3%), Bank of Montreal ($38.1B, 1.3%), and Nomura ($37.1B, 1.3%).
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 ($127.8B, 11.9%), Fixed Income Clearing Co ($95.1B, 8.9%), RBC ($88.4B, 8.2%), JP Morgan ($55.2B, 5.2%), Barclays PLC ($54.3B, 5.1%), Wells Fargo ($51.3B, 4.8%), Credit Agricole ($45.6B, 4.3%), HSBC ($42.2B, 3.9%), Sumitomo Mitsui Banking Co ($37.2B, 3.5%), and Nomura ($37.1B, 3.5%). Fed Repo positions among MMFs on 1/31/19 include: DFA Short Term Investment Fund ($0.3B), Franklin IFT US Govt MM ($0.2B), Northern Inst Govt Select ($0.2B), Northern Trust Trs MMkt ($0.2B), Northern Inst Govt ($0.1B), Northern Trust US Govt MMkt ($0.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($24.0B, 5.0%), Mitsubishi UFJ Financial Group Inc. ($21.6B, 4.5%), Toronto-Dominion Bank ($20.8B, 4.3%), Mizuho Corporate Bank Ltd ($18.8B, 3.9%), Sumitomo Mitsui Banking Co ($17.1B, 3.6%), Credit Agricole ($16.6B, 3.5%), Svenska Handelsbanken ($14.4B, 3.0%), Sumitomo Mitsui Trust Bank ($14.3B, 3.0%), Bank of Nova Scotia ($14.2B, 3.0%), and Credit Suisse ($13.9B, 2.9%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($16.3B, 7.3%), Bank of Montreal ($13.1B, 5.9%), Mizuho Corporate Bank Ltd ($13.0B, 5.8%), Sumitomo Mitsui Banking Co ($12.7B, 5.7%), Svenska Handelsbanken ($12.2B, 5.5%), Sumitomo Mitsui Trust Bank ($10.3B, 4.6%), Wells Fargo ($10.2B, 4.6%), RBC ($9.4B, 4.2%), KBC Group NV ($9.3B, 4.2%), and Landesbank Baden-Wurttemberg ($8.4B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.3B, 6.3%), JPMorgan ($12.1B, 5.7%), Toronto-Dominion Bank ($11.4B, 5.4%), Credit Suisse ($8.5B, 4.0%), UBS AG ($7.5B, 3.6%), Credit Agricole ($7.4B, 3.5%), Bank of Nova Scotia ($7.0B, 3.3%), Westpac Banking Co ($6.7B, 3.2%), Toyota ($6.4B, 3.0%) and Societe Generale ($6.3B, 3.0%).
The largest increases among Issuers include: BNP Paribas (up $76.9 billion to $139.7B), Credit Agricole (up $31.6B to $62.3B), Mizuho Corporate Bank Ltd (up $27.0B to $41.4B), Barclays PLC (up $52.2B to $65.1B), Natixis (up $29.6B to $41.9B), Credit Suisse (up $21.7B to $30.4B), Sumitomo Mitsui Banking Co (up $45.8B to $54.3B), Societe Generale (up $38.1B to $43.8B), DNB ASA (up $7.3B to $11.0B), and Sumitomo Mitsui Trust Bank (up $16.2B to $19.2B).
The largest decreases among Issuers of money market securities (including Repo) in Jan. were shown by: the US Treasury (down $99.0B to $834.3B), Fixed Income Clearing Co (down $43.2B to $95.1B), RBC (down $14.6B to $112.4B), Toronto-Dominion Bank (down $7.9B to $30.1B), Bank of Montreal (down $5.8B to $38.1B), Australia & New Zealand Banking Group Ltd (down $4.9B to $10.4B), Nomura (down $4.0B to $37.1B), ING Bank (down $3.4B to $27.8B), Federal National Mortgage Association (down $2.6B to $16.1B), and Bank of Nova Scotia (down $2.3B to $35.0B).
The United States remained the largest segment of country-affiliations; it represents 60.7% of holdings, or $1.899 trillion. France (9.7%, $302.9B) climbed into to the No. 2 spot. Canada (8.3%, $259.0B) was third. Japan (7.9%, $246.0B) occupied fourth place. The United Kingdom (4.6%, $143.5B) remained in fifth place. The Netherlands (1.8%, $55.7B) was next, followed by Germany (1.7%, $52.6B), Sweden (1.4%, $44.7B), Switzerland (1.4%, $43.3B), and Australia (1.3%, $39.0B) rounded out the Top 10. (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 Jan. 31, 2019, Taxable money funds held 36.0% (down from 37.0%) of their assets in securities maturing Overnight, and another 14.6% maturing in 2-7 days (up from 11.6% last month). Thus, 50.6% in total matures in 1-7 days. Another 20.4% matures in 8-30 days, while 11.9% matures in 31-60 days. Note that over three-quarters, or 82.9% 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 8.1% of taxable securities, while 7.3% matures in 91-180 days, and just 1.7% matures beyond 181 days.
