Crane Data released its August Money Fund Portfolio Holdings Friday, and our most recent collection of taxable money market securities, with data as of July 31, 2019, shows another big jump in Repo, and a rebound in Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $102.1 billion to $3.504 trillion last month, after increasing $18.7 billion in June, $77.2 billion in May and $88.9 billion in April. Repo continues to be the largest portfolio segment, 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 $72.2 billion (6.0%) to $1.273 trillion, or 36.3% of holdings, after increasing $37.2 billion in June, $57.2 billion in May and $87.4 billion in April. Treasury securities fell $3.7 billion (-0.5%) to $816.3 billion, or 23.3% of holdings, after decreasing $19.6 billion in June, $7.6 billion in May and $111.0 billion in April. Government Agency Debt rose by $18.2 billion (2.6%) to $716.4 billion, or 20.4% of holdings, after decreasing $26.0 billion in June, increasing $8.6 billion in May and increasing $48.6 billion in April. Repo, Treasuries and Agencies totaled $2.805 trillion, representing a massive 80.1% of all taxable holdings.
Money funds' holdings of CP rose again in July. Other (mainly Time Deposits) holdings also increased, but CDs inched lower. Commercial Paper (CP) increased $8.9 billion (2.7%) to $337.7 billion, or 9.6% of holdings, after increasing $5.5 billion in June, $14.0 billion in May and $46.8 billion in April. Certificates of Deposit (CDs) fell by $0.6 billion (-0.2%) to $253.0 billion, or 7.2% of taxable assets, after increasing $15.3 billion in June, $4.8 billion in May and $10.9 billion in April. Other holdings, primarily Time Deposits, increased $8.1 billion (8.8%) to $100.6 billion, or 2.9% of holdings, after increasing $5.8 billion in June, $0.4 billion in May and $5.9 billion in April. VRDNs moved down to $7.3 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Monday.)
Prime money fund assets tracked by Crane Data increased $19 billion to $1.015 trillion, or 29.0% of taxable money funds' $3.504 trillion total. Among Prime money funds, CDs represent a quarter of holdings at 24.9% (down from 25.5% a month ago), while Commercial Paper accounted for 33.4% (up from 33.0%). The CP totals are comprised of: Financial Company CP, which makes up 20.3% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 6.4%. Prime funds also hold 6.0% in US Govt Agency Debt, 6.5% in US Treasury Debt, 8.3% in US Treasury Repo, 1.1% in Other Instruments, 6.0% in Non-Negotiable Time Deposits, 4.4% in Other Repo, 7.0% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $1.701 trillion (48.5% of all MMF assets), up $71 billion from $1.630 trillion in June, while Treasury money fund assets totaled another $789 billion (22.5%), up from $775 billion the prior month. Government money fund portfolios were made up of 38.5% US Govt Agency Debt, 21.1% US Government Agency Repo, 13.9% US Treasury debt, and 25.8% in US Treasury Repo. Treasury money funds were comprised of 65.2% US Treasury debt, 34.8% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.490 trillion, or 71.1% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $114.2 billion in July to $740.0 billion; their share of holdings rose to 21.1% from last month's 18.4%. Eurozone-affiliated holdings rose to $483.3 billion from last month's $386.5 billion; they account for 13.8% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $7.1 billion to $312.8 billion (8.9% of the total). Americas related holdings fell $0.02 billion to $2.449 trillion and now represent 69.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $48.0 billion, or 6.4%, to $798.1 billion, or 22.8% of assets); US Government Agency Repurchase Agreements (up $22.1 billion, or 5.4%, to $429.7 billion, or 12.3% of total holdings), and Other Repurchase Agreements (up $2.1 billion from last month to $44.7 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.8 billion to $205.4 billion, or 5.9% of assets), Asset Backed Commercial Paper (up $1.9 billion to $67.8 billion, or 1.9%), and Non-Financial Company Commercial Paper (down $3.8 billion to $64.5 billion, or 1.8%).
The 20 largest Issuers to taxable money market funds as of July 31, 2019, include: the US Treasury ($816.3 billion, or 23.3%), Federal Home Loan Bank ($541.8B, 15.5%), Fixed Income Clearing Co ($217.5B, 6.3%), BNP Paribas ($134.3B, 3.8%), RBC ($106.1B, 3.0%), JP Morgan ($93.9B, 3.5%), Barclays ($86.5B, 2.5%), Federal Farm Credit Bank ($82.9B, 2.4%), ` Credit Agricole <b:>`_ ($79.8B, 2.3%), Wells Fargo ($75.8B, 2.2%), Mitsubishi UFJ Financial Group Inc ($69.2B, 2.0%), Federal Home Loan Mortgage Co ($67.6B, 1.9%), Societe Generale ($55.7B, 1.6%), HSBC ($50.2B, 1.4%), Sumitomo Mitsui Banking Co ($47.9B, 1.4%), Natixis ($46.2B, 1.3%), Toronto-Dominion Bank ($45.9B, 1.3%), Bank of Montreal ($43.3B, 1.2%), Bank of America ($43.1B, 1.2%) and Bank of Nova Scotia ($42.5B, 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 ($217.5B, 17.1%), BNP Paribas ($122.4B, 9.6%), JP Morgan ($79.1B, 6.2%), RBC ($75.7B, 6.0%), Barclays PLC ($75.1B, 5.9%), Wells Fargo ($64.6B, 5.1%), Credit Agricole ($58.0B, 4.6%), Mitsubishi UFJ Financial Group Inc ($44.9B, 3.5%), Societe Generale ($44.4B, 3.5%) and HSBC ($42.1B, 3.3%). Fed Repo positions among MMFs on 7/31/19 declined, with the following funds showing positions: Goldman Sachs FS Treas Sol ($4.4B), DFA Short Term Investment ($1.0B), Franklin IFT US Govt MM ($1.0B), Vanguard Fed MMkt ($0.5B), Wilmington US Govt MMF ($0.5B), First American Govt Oblg ($0.1B), First American Trs Oblg ($0.1B), Western Asset Inst Govt ($0.0B) and Western Asset Inst Liq Res ($0.0B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($32.7B, 5.7%), RBC ($30.3B, 5.2%), Mitsubishi UFJ Financial Group ($24.3B, 4.2%), Credit Suisse ($22.7B, 3.9%), Bank of Nova Scotia ($22.2B, 3.8%), Credit Agricole ($21.8B, 3.8%), Sumitomo Mitsui Banking Co ($19.2B, 3.3%), Bank of Montreal ($18.0B, 3.1%), Mizuho Corporate Bank Ltd ($16.7B, 2.9%) and Canadian Imperial Bank of Commerce ($16.5B, 2.8%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group ($17.8B, 7.1%), Bank of Montreal ($15.5B, 6.1%), Sumitomo Mitsui Banking ($14.8B, 5.9%), Toronto-Dominion Bank ($11.7B, 4.7%), Svenska Handelsbanken ($11.3B, 4.5%), Sumitomo Mitsui Trust Bank ($11.0B, 4.3%), Mizuho Corporate Bank ($10.9B, 4.3%), Wells Fargo ($10.9B, 4.3%), Bank of Nova Scotia ($9.8B, 3.9%) and Canadian Imperial Bank of Commerce ($9.5B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($19.8B, 7.0%), RBC ($18.7B, 6.7%), JPMorgan ($14.5B, 5.2%), Credit Suisse ($13.6B, 4.8%), Bank of Nova Scotia ($11.6B, 4.1%), Societe Generale ($10.9B, 3.9%), NRW.Bank ($8.8B, 3.1%), Toyota ($8.6B, 3.0%), National Australia Bank Ltd ($8.5B, 3.0%) and BNP Paribas ($8.1B, 2.9%).
The largest increases among Issuers include: Credit Agricole (up $43.6 B to $79.8B), Barclays PLC (up $26.3B to $86.5B), Societe Generale (up $16.3B to $55.7B), Natixis (up $15.0B to $46.2B), Goldman Sachs (up $11.0B to $35.7B), Federal Home Loan Mortgage Co (up $10.8B to $67.6B), Federal Home Loan Bank (up $9.8B to $541.8B), Credit Suisse (up $8.1B to $31.5B), Mizuho Corporate Bank Ltd (up $6.8B to $34.8B) and Fixed Income Clearing Co (up $6.3B to $217.5B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: RBC (down $26.0B to $106.1B), Nomura (down $6.0B to $31.5B), HSBC (down $4.3B to $50.2B), Canadian Imperial Bank of Commerce (down $4.0B to $33.1B), Skandinaviska Enskilda Banken AB (down $3.7B to $8.8B), US Treasury (down $3.7B to $816.3B), Federal Farm Credit Bank (down $2.3B to $82.9B), DNB ASA (down $2.3B to $14.9B), Svenska Handelsbanken (down $1.1B to $12.9B) and RBS (down $0.9B to $9.7B).
The United States remained the largest segment of country-affiliations; it represents 61.6% of holdings, or $2.158 trillion. France (9.7%, $338.5B) was number two, and Canada (8.3%, $290.6B) was third. Japan (7.0%, $245.1B) occupied fourth place. The United Kingdom (4.8%, $168.4B) remained in fifth place. Germany (2.1%, $74.0B) was in sixth place, followed by The Netherlands (1.8%, $61.6B), Australia (1.3%, $44.3B), Switzerland (1.2%, $42.0B) and Sweden (0.9%, $31.2B). (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 July 31, 2019, Taxable money funds held 38.5% (up from 35.9%) of their assets in securities maturing Overnight, and another 16.1% maturing in 2-7 days (down from 16.8% last month). Thus, 54.6% in total matures in 1-7 days. Another 18.7% matures in 8-30 days, while 10.0% matures in 31-60 days. Note that over three-quarters, or 83.3% 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 6.4% of taxable securities, while 7.7% matures in 91-180 days, and just 2.6% matures beyond 181 days.
