Crane Data released its April Money Fund Portfolio Holdings Tuesday, and our most recent collection of taxable money market securities, with data as of March 31, 2019, shows another big increase in Treasury holdings and drop in Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $8.2 billion to $3.217 trillion last month, after increasing by $89.8 billion in February, $4.2 billion in January, and $98.0 billion in December. Repo continued to be the largest portfolio segment -- it was down sharply 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) fell by $61.6 billion (-5.7%) to $1.018 trillion, or 31.7% of holdings, after increasing $0.9 billion in February, $41.4 billion in January and $29.6 billion in December. Treasury securities jumped by $54.4 billion (6.0%) to $958.3 billion, or 29.8% of holdings, after increasing by $69.6 billion in February, decreasing $99.0 billion in January and rising $70.2 billion in December. Government Agency Debt inched higher by $5.6 billion (0.8%), to $666.9 billion, or 20.7% of holdings, after decreasing $0.1 billion in February, increasing $0.7 billion in January and rising $25.9 billion in Dec. Repo, Treasuries and Agencies totaled $2.644 trillion, representing a massive 82.2% of all taxable holdings.
Money funds' holdings of CP rose in March, but CDs and Other (mainly Time Deposits) assets fell. Commercial Paper (CP) increased $5.2 billion (2.0%) to $262.4 billion, or 8.2% of holdings, after rising $13.2 billion in February and $17.7 billion in January. Certificates of Deposit (CDs) fell by $5.9 billion (-2.6%) to $222.6 billion, or 6.9% of taxable assets, after jumping $6.7 billion in February and $30.4 billion in January. Other holdings, primarily Time Deposits, decreased $5.8 billion (-6.7%) to $80.3 billion, or 2.5% of holdings, after falling $0.5 billion in February but rising $13.1 billion in January. VRDNs moved down to $7.8 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late today.)
Prime money fund assets tracked by Crane Data decreased $5 billion to $839 billion, or 26.1% of taxable money funds' $3.217 trillion total. Among Prime money funds, CDs represent over a quarter of holdings at 26.5% (down from 27.1% a month ago), while Commercial Paper accounted for 31.3% (up from 30.5%). The CP totals are comprised of: Financial Company CP, which makes up 19.6% of total holdings, Asset-Backed CP, which accounts for 6.8%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 3.1% in US Govt Agency Debt, 13.0% in US Treasury Debt, 5.3% in US Treasury Repo, 1.2% in Other Instruments, 6.5% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 6.3% in US Government Agency Repo, and 0.7% in VRDNs.
Government money fund portfolios totaled $1.620 trillion (50.4% of all MMF assets), down from $1.626 trillion in Feb., while Treasury money fund assets totaled another $759 billion (23.5%), up from $755 billion the prior month. Government money fund portfolios were made up of 39.6% US Govt Agency Debt, 20.6% US Government Agency Repo, 18.9% US Treasury debt, and 20.76% in US Treasury Repo. Treasury money funds were comprised of 71.6% US Treasury debt, 28.3% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.379 trillion, or 73.9% of all taxable money fund assets.
European-affiliated holdings (including repo) fell by $87.0 billion in March to $593.9 billion; their share of holdings fell to 18.5% from last month's 21.1%. Eurozone-affiliated holdings fell to $366.4 billion from last month's $426.5 billion; they account for 11.4% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $13.7 billion to $269.1 billion (8.4% of the total). Americas related holdings jumped $92 billion to $2.352 trillion and now represent 73.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $63.6 billion, or -9.7%, to $595.2 billion, or 18.5% of assets); US Government Agency Repurchase Agreements (up $2.2 billion, or 0.6%, to $387.2 billion, or 12.0% of total holdings), and Other Repurchase Agreements (down $0.1 billion from last month to $36.2 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.4 billion to $164.5 billion, or 5.1% of assets), Asset Backed Commercial Paper (down $1.2 billion to $56.9 billion, or 1.8%), and Non-Financial Company Commercial Paper (up $3.1 billion to $41.1 billion, or 1.3%).
The 20 largest Issuers to taxable money market funds as of March 31, 2019, include: the US Treasury ($958.3 billion, or 29.8%), Federal Home Loan Bank ($516.7B, 16.1%), BNP Paribas ($133.2B, 4.1%), RBC ($125.5B, 3.9%), Fixed Income Clearing Co ($106.8B, 3.3%), JP Morgan ($93.6B, 2.9%), Federal Farm Credit Bank ($85.4B, 2.7%), Wells Fargo ($64.5B, 2.0%), Barclays ($59.8B, 1.9%), Mitsubishi UFJ Financial Group Inc ($58.1B, 1.8%), HSBC ($46.4B, 1.4%), Federal Home Loan Mortgage Co ($43.4B, 1.3%), Societe Generale ($41.1B, 1.3%), Bank of America ($39.5B, 1.2%), Bank of Montreal ($38.8B, 1.2%), Sumitomo Mitsui Banking Co ($38.6B, 1.2%), Bank of Nova Scotia ($38.2B, 1.2%), Toronto-Dominion Bank ($34.9B, 1.1%), Nomura ($34.3B, 1.1%) and Citi ($33.1B, 1.0%).
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 ($123.3B, 12.1%), Fixed Income Clearing Co ($106.8B, 10.5%), RBC ($99.5B, 9.8%), JP Morgan ($79.0B, 7.8%), Wells Fargo ($52.6B, 5.2%), Barclays PLC ($50.5B, 5.0%), HSBC ($38.7B, 3.8%), Mitsubishi UFJ Financial Group Inc ($35.9B, 3.5%), Bank of America ($35.5B, 3.5%) and Nomura ($34.3B, 3.4%). Fed Repo positions among MMFs on 3/31/19 include: T Rowe Price Govt Reserve Fund ($0.5B), Northern Inst Govt Select ($0.1B), Northern Trust US Govt MMkt ($0.1B), Western Asset Inst Govt ($0.0B), Northern Inst Govt ($0.0B) and HSBC Inv US Govt MMkt ($0.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($26.0B, 5.3%), Toronto-Dominion Bank ($22.8B, 4.7%), Mitsubishi UFJ Financial Group Inc. ($22.2B, 4.6%), Mizuho Corporate Bank Ltd ($19.4B, 4.0%), Credit Suisse ($18.0B, 3.7%), Bank of Nova Scotia ($16.8B, 3.5%), Svenska Handelsbanken ($16.3B, 3.3%), Sumitomo Mitsui Banking Co ($15.5B, 3.2%), Canadian Imperial Bank of Commerce ($14.7B, 3.0%) and JP Morgan ($14.6B, 3.0%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($16.5B, 7.4%), Mizuho Corporate Bank Ltd ($13.8B, 6.2%), Svenska Handelsbanken ($13.4B, 6.0%), Sumitomo Mitsui Banking Co ($13.0B, 5.9%), Wells Fargo ($11.6B, 5.2%), Sumitomo Mitsui Trust Bank ($11.0B, 5.0%), Bank of Nova Scotia ($10.9B, 4.9%), Bank of Montreal ($9.6B, 4.3%), Landesbank Baden-Wurttemberg ($8.5B, 3.8%) and Skandinaviska Enskilda Banken AB ($7.6B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($14.8B, 6.5%), RBC ($14.5B, 6.4%), JPMorgan ($14.4B, 6.3%), Credit Suisse ($11.7B, 5.2%), Toyota ($7.1B, 3.1%), National Australia Bank Ltd ($7.1B, 3.1%), Bank Nederlandse Gemeenten ($7.0B, 3.1%), Societe Generale ($6.8B, 3.0%) Credit Agricole ($6.7B, 3.0%) and Westpac Banking Co ($6.5B, 2.9%).
The largest increases among Issuers include: US Treasury (up $54.4B to $958.3B), JP Morgan (up $17.8B to $93.6B), RBC (up $10.1B to $125.5B), Deutsche Bank AG (up $5.8B to $22.4B), Fixed Income Clearing Co (up $4.6B to $106.8B), DNB ASA (up $4.1B to $14.9B), Toronto-Dominion Bank (up $3.2B to $34.9B), Federal Home Loan Mortgage Co (up $3.0B to $43.4B), Federal Farm Credit Bank (up $2.1B to $85.4B) and National Australia Bank Ltd (up $1.9B to $12.0B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Credit Agricole (down $44.2B to $23.5B), Credit Suisse (down $15.5B to $20.9B), Natixis (down $14.8B to $27.2B), Mizuho Corporate Bank Ltd (down $13.4B to $27.6B), Barclays PLC (down $7.0B to $59.8B), Swedbank AB (down $6.7B to $8.9B), Citi (down $3.5B to $33.1B), Nomura (down $2.1B to $34.3B), HSBC (down $2.1B to $46.4B) and Goldman Sachs (down $2.0B to $20.4B).
The United States remained the largest segment of country-affiliations; it represents 64.3% of holdings, or $2.067 trillion. Canada (8.8%, $284.6B) moved up to the No. 2 spot, and France (7.5%, $240.2B) was third. Japan (6.7%, $214.0B) occupied fourth place. The United Kingdom (4.2%, $134.9B) remained in fifth place. Germany (2.0%, $63.6B), in sixth place, followed by The Netherlands (1.7%, $54.9B) and Sweden (1.5%, $47.0B), Australia (1.2%, $38.9B) and Switzerland <b:>`_ (1.0%, $30.7B), 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 March 31, 2019, Taxable money funds held 32.5% (down from 35.1%) of their assets in securities maturing Overnight, and another 16.3% maturing in 2-7 days (up from 15.7% last month). Thus, 48.9% in total matures in 1-7 days. Another 21.6% matures in 8-30 days, while 12.6% matures in 31-60 days. Note that over three-quarters, or 83.0% 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 6.6% matures in 91-180 days, and just 1.6% matures beyond 181 days.
