Crane Data released its March Money Fund Portfolio Holdings Monday, and our most recent collection of taxable money market securities, with data as of Feb. 28, 2019, shows big increases in Treasury holdings and increases in CP and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $89.8 billion to $3.225 trillion last month, after increasing by $4.2 billion in January, $98.0 billion in December, and $41.7 billion in November. Repo continued to be the largest portfolio segment -- it was flat but remained 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 $0.9 billion (0.1%) to $1.080 trillion, or 33.5% of holdings, after increasing $41.4 billion in January, $29.6 billion in December and $18.1 billion in Nov. Treasury securities jumped by $69.6 billion (8.3%) to $903.8 billion, or 28.0% of holdings, after plunging $99.0 billion in January, but rising $70.2 billion in Dec. and $33.5 billion in Nov. Government Agency Debt was flat again, down $0.1 billion (-0.0%), to $661.3 billion, or 20.5% of holdings, after increasing $0.7 billion in January and $25.9 billion in Dec. Repo, Treasuries and Agencies totaled $2.645 trillion, representing a massive 82.0% of all taxable holdings.
Money funds' holdings of CDs and CP posted gains in January, but Other (mainly Time Deposits) assets inched lower. Commercial Paper (CP) moved up $13.2 billion (5.4%) to $257.2 billion, or 8.0% of holdings, after rising $17.7 billion in January, but falling $12.1 billion in December and $1.7 billion in Nov. Certificates of Deposits (CDs) rose $6.7 billion (3.0%) to $228.5 billion, or 7.1% of taxable assets, after jumping $30.4 billion in January, declining $5.1 billion in Dec., but rising $4.1 billion in Nov. Other holdings, primarily Time Deposits, decreased $0.5 billion (-0.6%) to $86.1 billion, or 2.7% of holdings, after rising $13.1 billion in January and dropping $10.5 billion at year-end. VRDNs inched up to $8.0 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately tomorrow.)
Prime money fund assets tracked by Crane Data gained $42 billion to $844 billion, or 26.2% of taxable money fund total taxable holdings of $3.225 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 27.1% (down from 27.6% a month ago), while Commercial Paper accounted for 30.5% (up from 30.4%). The CP totals are comprised of: Financial Company CP, which makes up 19.1% of total holdings, Asset-Backed CP, which accounts for 6.9%, and Non-Financial Company CP, which makes up 4.5%. Prime funds also hold 4.0% in US Govt Agency Debt, 10.8% in US Treasury Debt, 6.2% in US Treasury Repo, 1.3% in Other Instruments, 7.6% in Non-Negotiable Time Deposits, 1.2% in Other Repo, 6.3% in US Government Agency Repo, and 0.7% in VRDNs.
Government money fund portfolios totaled $1.626 trillion (50.4% of all MMF assets), up from $1.597 trillion in Jan., while Treasury money fund assets totaled another $755 billion (23.4%), up from $729 billion the prior month. Government money fund portfolios were made up of 38.6% US Govt Agency Debt, 20.4% US Government Agency Repo, 17.4% US Treasury debt, and 23.5% in US Treasury Repo. Treasury money funds were comprised of 70.1% US Treasury debt, 29.7% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.381 trillion, or 73.8% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $11.0 billion in February to $680.9 billion; their share of holdings fell to 21.1% from last month's 21.4%. Eurozone-affiliated holdings inched lower to $426.5 billion from last month's $427.1 billion; they account for 13.2% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $14.8 billion to $282.8 billion (8.8% of the total). Americas related holdings jumped $100.8 billion to $2.260 trillion and now represent 70.1 % of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $26.2 billion, or 4.1%, to $658.8 billion, or 20.4% of assets); US Government Agency Repurchase Agreements (down $25.5 billion, or -6.2%, to $385.0 billion, or 11.9% of total holdings), and Other Repurchase Agreements (up $0.2 billion from last month to $36.3 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $7.7 billion to $161.0 billion, or 5.0% of assets), Asset Backed Commercial Paper (up $1.1 billion to $58.1 billion, or 1.8%), and Non-Financial Company Commercial Paper (up $4.5 billion to $38.0 billion, or 1.2%).
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2019, include: the US Treasury ($903.8 billion, or 28.0%), Federal Home Loan Bank ($517.3B, 16.0%), BNP Paribas ($134.8B, 4.2%), RBC ($115.4B, 3.6%), Fixed Income Clearing Co ($102.2B, 3.2%), Federal Farm Credit Bank ($83.3B, 2.6%), JP Morgan ($75.8B, 2.4%), Credit Agricole ($67.7B, 2.1%), Barclays ($66.8B, 2.1%), Wells Fargo ($65.8B, 2.0%), Mitsubishi UFJ Financial Group Inc ($59.5B, 1.8%), HSBC ($48.4B, 1.5%), Societe Generale ($42.5B, 1.3%), Natixis ($42.0B, 1.3%), Mizuho Corporate Bank Ltd ($41.0B, 1.3%), Federal Home Loan Mortgage Co ($40.4B, 1.3%), Bank of Nova Scotia ($39.1B, 1.2%), Bank of America ($38.8B, 1.2%), Bank of Montreal ($38.4B, 1.2%) and Sumitomo Mitsui Banking Co ($38.3B, 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: BNP Paribas ($122.9B, 11.4%), Fixed Income Clearing Co ($102.2B, 9.5%), RBC ($91.4B, 8.5%), JP Morgan ($62.3B, 5.8%), Barclays PLC ($56.2B, 5.2%), Wells Fargo ($54.4B, 5.0%), Credit Agricole ($46.7B, 4.3%), HSBC ($40.6B, 3.8%), Mitsubishi UFJ Financial Group Inc ($37.1B, 3.4%), and Nomura ($36.3B, 3.4%). Fed Repo positions among MMFs on 2/28/19 include: Franklin IFT US Govt MM ($1.6B), Northern Trust Trs MMkt ($0.7B), DFA Short Term Investment Fund ($0.4B), Goldman Sachs FS Govt ($0.4B), Northern Inst Govt ($0.3B), Northern Inst Govt Select ($0.1B), Northern Trust US Govt MMkt ($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: RBC ($24.0B, 4.8%), Mitsubishi UFJ Financial Group Inc. ($22.4B, 4.5%), Toronto-Dominion Bank ($21.0B, 4.2%), Credit Agricole ($21.0B, 4.2%), Mizuho Corporate Bank Ltd ($19.8B, 4.0%), Credit Suisse ($17.8B, 3.6%), Bank of Nova Scotia ($17.6B, 3.5%), Sumitomo Mitsui Banking Co ($17.1B, 3.4%), Svenska Handelsbanken ($16.0B, 3.2%) and Swedbank AB ($15.6B, 3.1%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($17.0B, 7.4%), Mizuho Corporate Bank Ltd ($15.1B, 6.6%), Sumitomo Mitsui Banking Co ($13.4B, 5.9%), Svenska Handelsbanken ($13.4B, 5.9%), Bank of Montreal ($11.4B, 5.0%), Bank of Nova Scotia ($11.2B, 4.9%), Wells Fargo ($11.0B, 4.8%), Sumitomo Mitsui Trust Bank ($10.4B, 4.5%), Landesbank Baden-Wurttemberg ($8.4B, 3.7%) and RBC ($8.3B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($14.7B, 6.7%), Toronto-Dominion Bank ($13.3B, 6.1%), JPMorgan ($13.2B, 6.0%), Credit Suisse ($9.7B, 4.4%), Credit Agricole ($7.7B, 3.5%), Toyota ($7.1B, 3.3%), UBS AG ($7.1B, 3.3%), Westpac Banking Co ($7.0B, 3.2%), Societe Generale ($6.3B, 2.9%) and Bank of Nova Scotia ($6.3B, 2.9%).
The largest increases among Issuers include: US Treasury (up $69.6B to $903.8B), Federal Home Loan Mortgage Co (up $9.1B to $40.4B), JP Morgan (up $8.4B to $75.8B), Fixed Income Clearing Co (up $7.1B to $102.2B), Credit Suisse (up $6.0B to $36.4B), Credit Agricole (up $5.4B to $67.7B), Bank of Nova Scotia (up $4.1B to $39.1B), Wells Fargo (up $4.0B to $65.8B), Swedbank AB (up $3.4B to $15.6B) and RBC (up $3.0B to $115.4B).
The largest decreases among Issuers of money market securities (including Repo) in Feb. were shown by: Sumitomo Mitsui Banking Co (down $16.1B to $38.3B), Federal Home Loan Bank (down $7.5B to $517.3B), Citi (down $3.9B to $36.6B), BNP Paribas (down $2.1B to $134.8B), KBC Group NV (down $1.9B to $7.8B), Deutsche Bank AG (down $1.5B to $16.6B), Societe Generale (down $1.3B to $42.5B), Federal National Mortgage Association (down $1.0B to $15.1B), Sumitomo Mitsui Trust Bank (down $0.8B to $18.4B) and ING Bank (down $0.7B to $27.0B).
The United States remained the largest segment of country-affiliations; it represents 61.6% of holdings, or $1.987 trillion. France (9.4%, $304.5B) remained in the No. 2 spot. Canada (8.4%, $272.0B) was third. Japan (7.2%, $230.8B) occupied fourth place. The United Kingdom (4.5%, $144.6B) remained in fifth place. Germany (1.6%, $52.3B), moved up to sixth place, followed by Sweden (1.7%, $55.9B) and The Netherlands (1.5%, $49.4B). Switzerland (1.5%, $48.9B) and Australia (1.2%, $38.6B) round 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 Feb. 28, 2019, Taxable money funds held 35.1% (down from 36.0%) of their assets in securities maturing Overnight, and another 15.7% maturing in 2-7 days (up from 14.6% last month). Thus, 50.8% in total matures in 1-7 days. Another 19.3% matures in 8-30 days, while 11.6% matures in 31-60 days. Note that over three-quarters, or 81.7% 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 9.7% of taxable securities, while 7.2% matures in 91-180 days, and just 1.4% matures beyond 181 days.
