Crane Data released its June Money Fund Portfolio Holdings Tuesday, and our most recent collection of taxable money market securities, with data as of May 31, 2019, shows another big jump in Repo and CP, and another drop in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $77.2 billion to $3.383 trillion last month, after increasing $88.9 billion in April, decreasing by $8.2 billion in March and increasing by $89.8 billion in February. (Note that the April 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 broke $1.1 trillion last 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 by $57.2 billion (5.2%) to $1.16 3trillion, or 34.4% of holdings, after increasing $87.4 billion in April, decreasing by $61.6 billion in March and increasing $0.9 billion in February. Treasury securities fell by $7.6 billion (-0.9%) to $839.6 billion, or 24.8% of holdings, after decreasing $111.0 billion in April, increasing by $54.4 billion in March and increasing by $69.6 billion in February. Government Agency Debt moved higher by $8.6 billion (1.2%), to $724.2 billion, or 21.4% of holdings, after increasing $48.6 billion in April, increasing $5.6 billion in March and decreasing $0.1 billion in February. Repo, Treasuries and Agencies totaled $2.727 trillion, representing a massive 80.6% of all taxable holdings.
Money funds' holdings of CP jumped again in May, and CDs and Other (mainly Time Deposits) holdings also rose. Commercial Paper (CP) increased $14.0 billion (4.5%) to $323.3 billion, or 9.6% of holdings, after rising $46.8 billion in April, rising $5.2 billion in March and rising $13.2 billion in February. Certificates of Deposit (CDs) rose by $4.8 billion (2.1%) to $238.3 billion, or 7.0% of taxable assets, after rising $10.9 billion in April, falling $5.9 billion in March and rising $6.7 billion in February. Other holdings, primarily Time Deposits, increased $0.4 billion (0.5%) to $86.7 billion, or 2.6% of holdings, after rising $5.9 billion in April, falling $5.8 billion in March and falling $0.5 billion in February. 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 Wednesday.)
Prime money fund assets tracked by Crane Data increased $5 billion to $984 billion, or 29.1% of taxable money funds' $3.383 trillion total. Among Prime money funds, CDs represent almost a quarter of holdings at 24.2% (up from 23.8% a month ago), while Commercial Paper accounted for 32.8% (up from 31.6%). The CP totals are comprised of: Financial Company CP, which makes up 18.7% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 7.4%. Prime funds also hold 6.1% in US Govt Agency Debt, 10.7% in US Treasury Debt, 6.4% in US Treasury Repo, 1.2% in Other Instruments, 6.0% in Non-Negotiable Time Deposits, 4.0% in Other Repo, 6.6% in US Government Agency Repo, and 0.6% in VRDNs.
Government money fund portfolios totaled $1.632 trillion (48.2% of all MMF assets), up $36 billion from $1.599 trillion in April, while Treasury money fund assets totaled another $767 billion (22.7%), up from $728 billion the prior month. Government money fund portfolios were made up of 40.7% US Govt Agency Debt, 21.8% US Government Agency Repo, 13.5% US Treasury debt, and 23.7% in US Treasury Repo. Treasury money funds were comprised of 67.1% US Treasury debt, 32.8% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.399 trillion, or 70.9% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $2.5 billion in May to $686.7 billion; their share of holdings fell to 20.3% from last month's 20.7%. Eurozone-affiliated holdings fell to $447.2 billion from last month's $438.1 billion; they account for 13.2% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $9.9 billion to $307.1 billion (9.1% of the total). Americas related holdings rose $65.3 billion to $2.387 trillion and now represent 70.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $77.6 billion, or 12.5%, to $700.8 billion, or 20.7% of assets); US Government Agency Repurchase Agreements (down $18.7 billion, or -4.2%, to $422.5 billion, or 12.5% of total holdings), and Other Repurchase Agreements (down $1.7 billion from last month to $39.9 billion, or 1.2% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.9 billion to $184.3 billion, or 5.4% of assets), Asset Backed Commercial Paper (up $3.2 billion to $66.4 billion, or 2.0%), and Non-Financial Company Commercial Paper (up $8.9 billion to $72.6 billion, or 2.1%).
The 20 largest Issuers to taxable money market funds as of May 31, 2019, include: the US Treasury ($839.6 billion, or 24.8%), Federal Home Loan Bank ($552.8B, 16.3%), Fixed Income Clearing Co ($164.2B, 4.9%), BNP Paribas ($132.7B, 3.9%), RBC ($114.2B, 3.4%), JP Morgan ($95.2B, 2.8%), Federal Farm Credit Bank ($85.3B, 2.5%), Wells Fargo ($67.8B, 2.0%), Barclays ($65.8B, 1.9%), Credit Agricole ($63.6B, 1.9%), Federal Home Loan Mortgage Co ($62.3B, 1.8%), Mitsubishi UFJ Financial Group Inc ($60.9B, 1.8%), Societe Generale ($52.8B, 1.6%), Sumitomo Mitsui Banking Co ($48.3B, 1.4%), Mizuho Corporate Bank Ltd ($47.5B, 1.4%), HSBC ($46.6B, 1.4%), Natixis ($46.0B, 1.4%), Citi ($41.8B, 1.2%), Toronto-Dominion Bank ($39.6B, 1.2%) and Bank of Nova Scotia ($39.0B, 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 ($164.2B, 14.1%), BNP Paribas ($122.6B, 10.5%), RBC ($88.9B, 7.6%), JP Morgan ($79.1B, 6.8%), Wells Fargo ($57.1B, 4.9%), Barclays PLC ($55.8B, 4.8%), Credit Agricole ($44.4B, 3.8%), Societe Generale ($42.3B, 3.6%), HSBC ($39.7B, 3.4%) and Mitsubishi UFJ Financial Group Inc ($37.8B, 3.2%). Fed Repo positions among MMFs on 5/31/19 remained near zero with only Franklin IFT US Govt MM ($0.9B) and Western Asset Inst Govt ($0.0B) showing small holdings.
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($27.9B, 5.2%), RBC ($25.3B, 4.7%), Mitsubishi UFJ Financial Group ($23.2B, 4.3%), Credit Suisse ($21.5B, 4.0%), Sumitomo Mitsui Banking Co ($20.6B, 3.8%), Mizuho Corporate Bank Ltd ($20.3B, 3.8%), Credit Agricole ($19.3B, 3.6%), Bank of Nova Scotia ($18.3B, 3.4%), Bank of Montreal ($16.8B, 3.1%) and JP Morgan ($16.1B, 3.0%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking ($16.7B, 7.0%), Mitsubishi UFJ Financial Group ($15.1B, 6.4%), Bank of Montreal ($13.9B, 5.9%), Mizuho Corporate Bank ($12.9B, 5.4%), Svenska Handelsbanken ($12.0B, 5.0%), Bank of Nova Scotia ($10.6B, 4.5%), Wells Fargo ($10.5B, 4.4%), Sumitomo Mitsui Trust Bank ($9.8B, 4.1%), Canadian Imperial Bank of Commerce ($9.0B, 3.8%) and Natixis ($8.7B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($17.5B, 6.7%), JPMorgan ($15.9B, 6.1%), RBC ($14.7B, 5.6%), Credit Suisse ($12.9B, 4.9%), Societe Generale ($8.9B, 3.4%), Mitsubishi UFJ Financial Group ($7.9B, 3.0%), National Australia Bank Ltd ($7.6B, 2.9%), Bank of Nova Scotia ($7.6B, 2.9%), Toyota ($7.4B, 2.8%) and Bank Nederlandse Gemeenten ($6.9B, 2.6%).
The largest increases among Issuers include: Fixed Income Clearing Co (up $52.5B to $164.2B), Federal Home Loan Mortgage Co (up $7.6B to $62.3B), RBC (up $7.3B to $114.2B), Credit Agricole (up $5.9B to $63.6B), Citi (up $4.6B to $41.8B), Societe Generale (up $4.5B to $52.8B), Nomura (up $4.2B to $34.2B), Mizuho Corporate Bank Ltd (up $3.7B to $47.5B), HSBC (up $3.5B to $46.6B), Toronto-Dominion Bank (up $2.2B to $39.6B) and Bank of Montreal (up $1.9B to $38.9B).
The largest decreases among Issuers of money market securities (including Repo) in May were shown by: the US Treasury (down $7.6B to $839.6B), Goldman Sachs (down $6.0B to $23.6B), BNP Paribas (down $5.6B to $132.7B), Credit Suisse (down $5.2B to $32.9B), Sumitomo Mitsui Banking Co (down $5.0B to $48.3B), JP Morgan (down $2.5B to $95.2B), Skandinaviska Enskilda Banken AB (down $1.5B to $8.5B), Bank of Nova Scotia (down $1.3B to $39.0B), Nordea Bank (down $0.9B to $9.0B) and Bank of America (down $0.6B to $38.1B).
The United States remained the largest segment of country-affiliations; it represents 62.2% of holdings, or $2.103 trillion. France (9.4%, $317.8B) remained in the No. 2 spot, and Canada (8.4%, $283.6B) was third. Japan (7.3%, $246.2B) occupied fourth place. The United Kingdom (4.3%, $144.6B) remained in fifth place. Germany (2.0%, $66.8B) was in sixth place, followed by The Netherlands (1.7%, $56.1B), Switzerland (1.3%, $42.8B), Australia (1.2%, $38.8B) and Sweden (1.1%, $38.1B). (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 May 31, 2019, Taxable money funds held 35.2% (up from 34.5%) of their assets in securities maturing Overnight, and another 16.5% maturing in 2-7 days (up from 15.4% last month). Thus, 51.7% in total matures in 1-7 days. Another 19.5% matures in 8-30 days, while 12.1% matures in 31-60 days. Note that over three-quarters, or 83.33% 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 8.6% of taxable securities, while 6.4% matures in 91-180 days, and just 1.8% matures beyond 181 days.
