Crane Data released its July Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of June 30, 2019, shows another big jump in Repo, which broke the $1.2 trillion level, and another big drop in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $18.7 billion to $3.402 trillion last month, after increasing $77.2 billion in May, increasing by $88.9 billion in April and decreasing by $8.2 billion in March. (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 $1.2 trillion this 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 $37.2 billion (3.2%) to $1.200 trillion, or 35.3% of holdings, after increasing $57.2 billion in May, increasing by $87.4 billion in April and decreasing $61.6 billion in February. Treasury securities fell by $19.6 billion (-2.3%) to $820.0 billion, or 24.1% of holdings, after decreasing $7.6 billion in May, decreasing by $111.0 billion in April and increasing by $54.4 billion in March. Government Agency Debt plunged by $26.0 billion (-3.6%) to $698.2 billion, or 20.5% of holdings, after increasing $8.6 billion in May, increasing $48.6 billion in April and increasing $5.6 billion in March. Repo, Treasuries and Agencies totaled $2.719 trillion, representing a massive 79.9% of all taxable holdings.
Money funds' holdings of CP rose again in June, and CDs and Other (mainly Time Deposits) holdings also jumped. Commercial Paper (CP) increased $5.5 billion (1.7%) to $328.7 billion, or 9.7% of holdings, after rising $14.0 billion in May, rising $46.8 billion in April and rising $5.2 billion in March. Certificates of Deposit (CDs) rose by $15.3 billion (6.4%) to $253.6 billion, or 7.5% of taxable assets, after rising $4.8 billion in May, rising $10.9 billion in April and falling $5.8 billion in March. Other holdings, primarily Time Deposits, increased $5.8 billion (6.7%) to $92.5 billion, or 2.7% of holdings, after rising $0.4 billion in May, rising $5.9 billion in April and falling $5.8 billion in March. VRDNs moved up to $8.4 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Thursday.)
Prime money fund assets tracked by Crane Data increased $12 billion to $996 billion, or 29.3% of taxable money funds' $3.402 trillion total. Among Prime money funds, CDs represent a quarter of holdings at 25.5% (up from 24.2% a month ago), while Commercial Paper accounted for 33.0% (up from 32.8%). The CP totals are comprised of: Financial Company CP, which makes up 19.5% of total holdings, Asset-Backed CP, which accounts for 6.6%, and Non-Financial Company CP, which makes up 6.9%. Prime funds also hold 5.9% in US Govt Agency Debt, 7.2% in US Treasury Debt, 9.3% in US Treasury Repo, 0.9% in Other Instruments, 6.3% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 5.1% in US Government Agency Repo, and 0.6% in VRDNs.
Government money fund portfolios totaled $1.630 trillion (47.9% of all MMF assets), down $20 billion from $1.632 trillion in May, while Treasury money fund assets totaled another $775 billion (22.8%), up from $767 billion the prior month. Government money fund portfolios were made up of 39.2% US Govt Agency Debt, 21.9% US Government Agency Repo, 14.0% US Treasury debt, and 24.6% in US Treasury Repo. Treasury money funds were comprised of 67.0% US Treasury debt, 33.0% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.405 trillion, or 70.7% of all taxable money fund assets.
European-affiliated holdings (including repo) fell by $60.9 billion in June to $625.8 billion; their share of holdings fell to 18.4% from last month's 20.3%. Eurozone-affiliated holdings fell to $386.5 billion from last month's $447.2 billion; they account for 11.4% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $1.4 billion to $305.7 billion (9.0% of the total). Americas related holdings rose $8.1 billion to $2.468 trillion and now represent 72.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $49.3 billion, or 7.0%, to $750.1 billion, or 22.1% of assets); US Government Agency Repurchase Agreements (down $14.8 billion, or -3.5%, to $407.7 billion, or 12.0% of total holdings), and Other Repurchase Agreements (up $2.8 billion from last month to $42.6 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.4 billion to $194.6 billion, or 5.7% of assets), Asset Backed Commercial Paper (down $0.6 billion to $65.8 billion, or 1.9%), and Non-Financial Company Commercial Paper (down $4.3 billion to $68.3 billion, or 2.0%).
The 20 largest Issuers to taxable money market funds as of June 30, 2019, include: the US Treasury ($820.0 billion, or 24.1%), Federal Home Loan Bank ($532.0B, 15.6%), Fixed Income Clearing Co ($211.2B, 6.2%), BNP Paribas ($134.9B, 4.0%), RBC ($132.1B, 3.9%), JP Morgan ($90.4B, 2.7%), Federal Farm Credit Bank ($85.2B, 2.5%), Wells Fargo ($70.0B, 2.1%), Mitsubishi UFJ Financial Group Inc ($67.8B, 2.0%), Barclays ($60.3B, 1.8%), Federal Home Loan Mortgage Co ($56.8B, 1.7%), HSBC ($54.5B, 1.6%), Sumitomo Mitsui Banking Co ($45.9B, 1.3%), Toronto-Dominion Bank ($44.2B, 1.3%) Bank of Montreal ($43.5B, 1.3%), Federal Reserve Bank of New York ($43.1B, 1.3%), Bank of Nova Scotia ($41.8B, 1.2%), Bank of America ($40.5B, 1.2%), Societe Generale ($39.5B, 1.2%) and Citi ($38.9B, 1.1%).
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 ($211.2B, 17.6%), BNP Paribas ($120.6B, 10.0%), RBC ($103.1B, 8.6%), JP Morgan ($74.2B, 6.2%), Wells Fargo ($57.9B, 4.8%), Barclays PLC ($50.5B, 4.2%), HSBC ($44.5B, 3.7%), Federal Reserve Bank of New York ($43.1B, 3.6%), Mitsubishi UFJ Financial Group Inc ($42.8B, 3.6%) and Nomura ($37.5B, 3.1%). Fed Repo positions among MMFs on 6/30/19 rebounded from the prior month, with the following funds showing positions: Fidelity Cash Central Fund ($16.2B), Vanguard Market Liquidity Fund ($7.4B), Fidelity Sec Lending Cash Central ($6.7B), Goldman Sachs FS Treas Sol ($5.2B), Vanguard Prime MMkt Fund ($3.2B), Dreyfus Inst Treas & Agen Liq MMF ($2.0B), Dreyfus Tr&Ag Cash Mgmt ($1.0B), Franklin IFT US Govt MM ($0.7B), Wilmington US Govt MMF ($0.6B) and DFA Short Term Investment Fund ($0.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($31.1B, 5.5%), RBC ($28.9B, 5.1%), Mitsubishi UFJ Financial Group ($25.0B, 4.4%), Bank of Nova Scotia ($22.8B, 4.0%), Credit Suisse ($20.6B, 3.6%), Sumitomo Mitsui Banking Co ($20.1B, 3.6%), Canadian Imperial Bank of Commerce ($18.6B, 3.3%), Mizuho Corporate Bank Ltd ($18.6B, 3.3%), Credit Agricole ($18.3B, 3.2%) and Bank of Montreal ($17.6B, 3.1%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group ($18.1B, 7.2%), Sumitomo Mitsui Banking ($15.5B, 6.2%), Bank of Montreal ($15.4B, 6.1%), Svenska Handelsbanken ($11.9B, 4.7%), Wells Fargo ($11.6B, 4.6%), Mizuho Corporate Bank ($11.4B, 4.5%), Bank of Nova Scotia ($10.7B, 4.2%), Canadian Imperial Bank of Commerce ($9.9B, 3.9%), Toronto-Dominion Bank ($9.6B, 3.8%) and Sumitomo Mitsui Trust Bank ($9.4B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($20.6B, 7.6%), RBC ($16.6B, 6.1%), JPMorgan ($15.8B, 5.8%), Credit Suisse ($12.2B, 4.5%), Bank of Nova Scotia ($10.3B, 3.8%), National Australia Bank Ltd ($8.4B, 3.1%), Toyota ($8.2B, 3.0%), Societe Generale ($8.2B, 3.0%), DBS Bank Ltd ($7.8B, 2.9%) and NRW.Bank ($7.5B, 2.8%).
The largest increases among Issuers include: Fixed Income Clearing Co (up $47.1 to $211.2B), RBC (up $17.8B to $132.1B), HSBC (up $7.9B to $54.5B), Mitsubishi UFJ Financial Group Inc (up $6.9B to $67.8B), Bank of Montreal (up $4.6B to $43.5B), Toronto-Dominion Bank (up $4.6B to $44.2B), Canadian Imperial Bank of Commerce (up $4.4B to $37.1B), Skandinaviska Enskilda Banken AB (up $4.0B to $12.5B), Nomura (up $3.2B to $37.5B) and DNB ASA (up $3.2B to $17.2B).
The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Credit Agricole (down $27.4B to $36.2B), Federal Home Loan Bank (down $20.8B to $532.0B), US Treasury (down $19.6B to $820.0B), Mizuho Corporate Bank Ltd (down $19.5B to $28.0B), Natixis (down $14.8B to $31.2B), Societe Generale (down $13.3B to $39.5B), Credit Suisse (down $9.5B to $23.5B), ING Bank (down $6.0B to $25.1B), Barclays PLC (down $5.5B to $60.3B) and Federal Home Loan Mortgage Co (down $5.5B to $56.8B).
The United States remained the largest segment of country-affiliations; it represents 63.1% of holdings, or $2.148 trillion. Canada (9.4%, $320.3B) was number two, and France (7.7%, $261.4B) was third. Japan (7.0%, $239.0B) occupied fourth place. The United Kingdom (4.4%, $148.6B) remained in fifth place. Germany (1.9%, $64.1B) was in sixth place, followed by The Netherlands (1.6%, $53.1B), Australia (1.2%, $41.1B), Sweden (1.2%, $40.4B) and Switzerland (1.0%, $33.0B). (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 June 30, 2019, Taxable money funds held 35.9% (up from 35.2%) of their assets in securities maturing Overnight, and another 16.8% maturing in 2-7 days (up from 16.5% last month). Thus, 52.6% in total matures in 1-7 days. Another 20.7% matures in 8-30 days, while 11.6% matures in 31-60 days. Note that over three-quarters, or 84.9% 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 6.6% of taxable securities, while 6.6% matures in 91-180 days, and just 1.8% matures beyond 181 days.
