Crane Data released its May Money Fund Portfolio Holdings Thursday, and our most recent collection of taxable money market securities, with data as of April 30, 2019, shows a big jump in Repo, Agencies and CP, and a big drop in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $88.9 billion to $3.305 trillion last month, after decreasing by $8.2 billion in March, increasing by $89.8 billion in February and increasing by $4.2 billion in January. (Note that the figures were inflated by the addition of massive $108 billion American Funds Central Cash Fund to our collections.) Repo continued to be the largest portfolio segment -- it surged over the $1.1 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 by $87.4 billion (8.6%) to $1.106 trillion, or 33.5% of holdings, after decreasing by $61.6 billion in March, increasing $0.9 billion in February and increasing by $41.4 billion in January. Treasury securities plunged by $111.0 billion (-11.6%) to $847.3 billion, or 25.6% of holdings, after increasing by $54.4 billion in March, increasing by $69.6 billion in February and decreasing by $99.0 billion in January. Government Agency Debt surged higher by $48.6 billion (7.3%), to $715.5 billion, or 21.6% of holdings, after increasing $5.6 billion in March, decreasing $0.1 billion in February, increasing $0.7 billion in January and rising $25.9 billion in Dec. Repo, Treasuries and Agencies totaled $2.669 trillion, representing a massive 80.7% of all taxable holdings.
Money funds' holdings of CP jumped in April, and CDs and Other (mainly Time Deposits) holdings also rose strongly. Commercial Paper (CP) increased $46.8 billion (17.8%) to $309.3 billion, or 9.4% of holdings, after rising $5.2 billion in March, rising $13.2 billion in February and rising $17.7 billion in January. Certificates of Deposit (CDs) rose by $10.9 billion (4.9%) to $233.4 billion, or 7.1% of taxable assets, after falling $5.9 billion in March, rising $6.7 billion in February and rising $30.4 billion in January. Other holdings, primarily Time Deposits, increased $5.9 billion (7.4%) to $86.3 billion, or 2.6% of holdings, after falling $5.8 billion in March, falling $0.5 billion in February and rising $13.1 billion in January. VRDNs moved up to $8.1 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Friday.)
Prime money fund assets tracked by Crane Data increased $140 billion to $979 billion, or 29.6% of taxable money funds' $3.306 trillion total. Among Prime money funds, CDs represent almost a quarter of holdings at 23.8% (down from 26.5% a month ago), while Commercial Paper accounted for 31.6% (up from 31.3%). The CP totals are comprised of: Financial Company CP, which makes up 18.6% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 6.5%. Prime funds also hold 5.6% in US Govt Agency Debt, 12.4% in US Treasury Debt, 6.2% in US Treasury Repo, 1.1% in Other Instruments, 6.0% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 6.8% in US Government Agency Repo, and 0.6% in VRDNs.
Government money fund portfolios totaled $1.599 trillion (48.4% of all MMF assets), down from $1.620 trillion in March, while Treasury money fund assets totaled another $728 billion (22.0%), down from $759 billion the prior month. Government money fund portfolios were made up of 41.3% US Govt Agency Debt, 23.3% US Government Agency Repo, 14.7% US Treasury debt, and 20.5% in US Treasury Repo. Treasury money funds were comprised of 67.4% US Treasury debt, 32.3% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.327 trillion, or 70.4% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $90.3 billion in April to $684.2 billion; their share of holdings rose to 20.7% from last month's 18.5%. Eurozone-affiliated holdings fell to $438.1 billion from last month's $366.4 billion; they account for 13.3% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $28.1 billion to $297.2 billion (9.0% of the total). Americas related holdings fell $30.2 billion to $2.322 trillion and now represent 70.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $28.0 billion, or 4.7%, to $623.2 billion, or 18.9% of assets); US Government Agency Repurchase Agreements (up $54.0 billion, or 13.9%, to $441.2 billion, or 13.3% of total holdings), and Other Repurchase Agreements (up $5.4 billion from last month to $41.6 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $17.9 billion to $182.4 billion, or 5.5% of assets), Asset Backed Commercial Paper (up $6.4 billion to $63.3 billion, or 1.9%), and Non-Financial Company Commercial Paper (up $22.5 billion to $63.6 billion, or 1.9%).
The 20 largest Issuers to taxable money market funds as of April 30, 2019, include: the US Treasury ($847.3 billion, or 25.6%), Federal Home Loan Bank ($552.3B, 16.7%), BNP Paribas ($138.3B, 4.2%), Fixed Income Clearing Co ($111.7B, 3.4%), RBC ($106.9B, 3.2%), JP Morgan ($97.7B, 3.0%), Federal Farm Credit Bank ($84.7B, 2.6%), Wells Fargo ($68.0B, 2.1%), Barclays ($66.2B, 2.0%), Mitsubishi UFJ Financial Group Inc ($59.1B, 1.8%), Credit Agricole ($57.8B, 1.7%), Federal Home Loan Mortgage Co ($54.7B, 1.7%), Sumitomo Mitsui Banking Co ($53.3B, 1.6%), Societe Generale ($48.3B, 1.5%), Natixis ($46.2B, 1.4%), Mizuho Corporate Bank Ltd ($43.8B, 1.3%), HSBC ($43.1B, 1.3%), Bank of Nova Scotia ($40.3B, 1.2%), Bank of America ($38.6B, 1.2%) and Credit Suisse ($38.2B, 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 ($126.1B, 11.4%), Fixed Income Clearing Co ($111.7B, 10.1%), RBC ($82.8B, 7.5%), JP Morgan ($82.1B, 7.4%), Wells Fargo ($56.9B, 5.1%), Barclays PLC ($55.5B, 5.0%), Credit Agricole ($41.2B, 3.7%), Societe Generale ($39.8B, 3.6%), HSBC ($36.7B, 3.3%) and Mitsubishi UFJ Financial Group Inc ($35.0B, 3.2%). Fed Repo positions among MMFs on 4/30/19 shrunk to virtually zero with only Western Asset Inst Govt showing just a tiny fractional holding (0.0).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($26.1B, 4.9%), Mitsubishi UFJ Financial Group Inc. ($24.1B, 4.6%), RBC ($24.1B, 4.6%), Credit Suisse ($22.0B, 4.2%), Mizuho Corporate Bank Ltd ($21.1B, 4.0%), Sumitomo Mitsui Banking Co ($20.1B, 3.8%), Bank of Nova Scotia ($16.9B, 3.2%), Credit Agricole ($16.6B, 3.1%), JP Morgan ($15.6B, 3.0%) and Canadian Imperial Bank of Commerce ($15.3B, 2.9%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($16.0B, 6.9%), Sumitomo Mitsui Banking Co ($15.9B, 6.8%), Mizuho Corporate Bank Ltd ($13.0B, 5.6%), Bank of Montreal ($12.8B, 5.5%), Svenska Handelsbanken ($12.0B, 5.1%), Bank of Nova Scotia ($10.9B, 4.7%), Wells Fargo ($10.8B, 4.6%), Sumitomo Mitsui Trust Bank ($10.0B, 4.3%), Canadian Imperial Bank of Commerce ($8.8B, 3.8%) and Landesbank Baden-Wurttemberg ($8.1B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($16.7B, 6.6%), JPMorgan ($15.3B, 6.1%), RBC ($14.5B, 5.8%), Credit Suisse ($12.9B, 5.1%), Mitsubishi UFJ Financial Group Inc ($8.0B, 3.2%), Societe Generale ($7.6B, 3.0%), Credit Agricole ($7.3B, 2.9%), National Australia Bank Ltd ($7.0B, 2.8%), Toyota ($6.8B, 2.7%) and Citi ($6.6B, 2.6%).
The largest increases among Issuers include: Federal Home Loan Bank (up $35.7B to $552.3B), Credit Agricole (up $34.3B to $57.8B), Natixis (up $19.0B to $46.2B), Credit Suisse (up $17.3B to $38.2B), Mizuho Corporate Bank Ltd (up $16.2B to $43.8B), Sumitomo Mitsui Banking Co (up $14.7B to $53.3B), Federal Home Loan Mortgage Co (up $11.3B to $54.7B), Goldman Sachs (up $9.2B to $29.6B), Societe Generale (up $7.1B to $48.3B) and Barclays PLC (up $6.4B to $66.2B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: the US Treasury (down $111.0B to $847.3B), RBC (down $18.6B to $106.9B), Deutsche Bank AG (down $5.8B to $16.6B), Nomura (down $4.3B to $30.0B), HSBC (down $3.3B to $43.1B), Sumitomo Mitsui Trust Bank (down $1.9B to $16.7B), Bank of Montreal (down $1.8B to $37.0B), DNB ASA (down $1.7B to $13.3B), Svenska Handelsbanken (down $1.5B to $14.8B) and Australia & New Zealand Banking Group Ltd (down $1.0B to $8.8B).
The United States remained the largest segment of country-affiliations; it represents 62.0% of holdings, or $2.048 trillion. France (9.4%, $310.7B) moved up to the No. 2 spot, and Canada (8.3%, $273.7B) was third. Japan (7.3%, $241.3B) occupied fourth place. The United Kingdom (4.3%, $140.6B) remained in fifth place. Germany (1.9%, $62.1B) was in sixth place, followed by The Netherlands (1.7%, $56.1B), Switzerland (1.5%, $48.0B), Sweden (1.3%, $44.1B) and Australia (1.1%, $37.4B). (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 April 30, 2019, Taxable money funds held 34.5% (up from 32.5%) of their assets in securities maturing Overnight, and another 15.4% maturing in 2-7 days (up from 16.3% last month). Thus, 49.9% in total matures in 1-7 days. Another 21.1% matures in 8-30 days, while 12.2% matures in 31-60 days. Note that over three-quarters, or 83.2% 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 7.7% of taxable securities, while 7.3% matures in 91-180 days, and just 1.8% matures beyond 181 days.
