Crane Data released its September Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of August 31, 2019, shows a big jump in Treasury and Repo holdings, and declines in CP and Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $93.0 billion to $3.597 trillion last month, after increasing $102.1 billion in July, $18.7 billion in June and $77.2 billion in May. 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 $20.5 billion (1.6%) to $1.293 trillion, or 35.9% of holdings, after increasing $72.2 billion in July, $37.2 billion in June and $57.2 billion in May. Treasury securities rose $89.8 billion (11.0%) to $906.1 billion, or 25.2% of holdings, after decreasing $3.7 billion in July, $19.6 billion in June and $7.6 billion in May. Government Agency Debt fell by $9.9 billion (-1.4%) to $706.5 billion, or 19.6% of holdings, after increasing $18.2 billion in July, decreasing $26.0 billion in June and increasing $8.6 billion in May. Repo, Treasuries and Agencies totaled $2.906 trillion, representing a massive 80.8% of all taxable holdings.

Money funds' holdings of CP fell in August, while Other (mainly Time Deposits) and CD holdings rose. Commercial Paper (CP) decreased $15.0 billion (-4.4%) to $322.7 billion, or 9.0% of holdings, after increasing $8.9 billion in July, $5.5 billion in June and $14.0 billion in May. Certificates of Deposit (CDs) rose by $4.5 billion (1.8%) to $257.5 billion, or 7.2% of taxable assets, after decreasing $0.6 billion in July, increasing $15.3 billion in June and increasing $4.8 billion in May. Other holdings, primarily Time Deposits, increased $3.4 billion (3.4%) to $104.0 billion, or 2.9% of holdings, after increasing $8.1 billion in July, $5.8 billion in June and $0.4 billion in May. VRDNs inched lower to $7.1 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late today.)

Prime money fund assets tracked by Crane Data increased $20 billion to $1.035 trillion, or 28.8% of taxable money funds' $3.597 trillion total. Among Prime money funds, CDs represent a quarter of holdings at 24.9% (the same as a month ago), while Commercial Paper accounted for 31.2% (down from 33.4%). The CP totals are comprised of: Financial Company CP, which makes up 19.2% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 5.3%. Prime funds also hold 6.4% in US Govt Agency Debt, 7.9% in US Treasury Debt, 8.1% in US Treasury Repo, 1.1% in Other Instruments, 6.8% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 6.8% in US Government Agency Repo and 0.5% in VRDNs.

Government money fund portfolios totaled $1.753 trillion (48.7% of all MMF assets), up $52 billion from $1.701 trillion in July, while Treasury money fund assets totaled another $809 billion (22.5%), up from $789 billion the prior month. Government money fund portfolios were made up of 36.5% US Govt Agency Debt, 22.6% US Government Agency Repo, 15.8% US Treasury debt and 24.7% in US Treasury Repo. Treasury money funds were comprised of 67.6% US Treasury debt, 32.3% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.562 trillion, or 71.2% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $1.8 billion in August to $738.2 billion; their share of holdings fell to 20.5% from last month's 21.1%. Eurozone-affiliated holdings rose to $485.1 billion from last month's $483.3 billion; they account for 13.5% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $13.8 billion to $326.6 billion (9.1% of the total). Americas related holdings fell $80 billion to $2.30 trillion and now represent 70.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $21.0 billion, or -2.6%, to $777.1 billion, or 21.6% of assets); US Government Agency Repurchase Agreements (up $38.2 billion, or 8.9%, to $467.9 billion, or 13.0% of total holdings), and Other Repurchase Agreements (up $3.3 billion, or 7.4%, from last month to $48.1 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $6.7 billion to $198.7 billion, or 5.5% of assets), Asset Backed Commercial Paper (up $1.5 billion to $69.3 billion, or 1.9%), and Non-Financial Company Commercial Paper (down $9.8 billion to $54.7 billion, or 1.5%).

The 20 largest Issuers to taxable money market funds as of August 31, 2019, include: the US Treasury ($906.1 billion, or 25.2%), Federal Home Loan Bank ($514.4B, 14.3%), Fixed Income Clearing Co ($204.8B, 5.7%), BNP Paribas ($134.7B, 3.7%), RBC ($122.2B, 3.4%), JP Morgan ($92.0B, 2.6%), Federal Farm Credit Bank ($82.3B, 2.3%), Barclays ($82.1B, 2.3%), Wells Fargo ($80.6B, 2.2%), Federal Home Loan Mortgage Co ($77.4B, 2.2%), Credit Agricole ($74.0B, 2.1%), Mitsubishi UFJ Financial Group Inc ($69.4B, 1.9%), Societe Generale ($59.0B, 1.6%), Sumitomo Mitsui Banking Co ($51.4B, 1.4%), Natixis ($48.9B, 1.4%), Toronto-Dominion Bank ($46.6B, 1.3%), Bank of Montreal ($46.1B, 1.3%), Bank of Nova Scotia ($45.6B, 1.3%), HSBC ($45.6B, 1.3%) and Bank of America ($43.5B, 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 ($204.8B, 15.8%), BNP Paribas ($124.1B, 9.6%), RBC ($93.6B, 7.2%), JP Morgan ($79.3B, 6.1%), Barclays PLC ($71.7B, 5.5%), Wells Fargo ($66.4B, 5.1%), Credit Agricole ($52.8B, 4.1%), Societe Generale ($47.6B, 3.7%), Mitsubishi UFJ Financial Group Inc ($45.3B, 3.5%) and HSBC ($38.6B, 3.0%). Fed Repo positions among MMFs on 8/31/19 include: Fidelity Cash Central Fund ($7.1B), Fidelity Sec Lending Cash Central ($3.2B), Franklin IFT US Govt MM ($1.8B) and Western Asset Inst Govt ($0.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($31.9B, 5.6%), RBC ($28.6B, 5.0%), Bank of Nova Scotia ($24.1B, 4.2%), Mitsubishi UFJ Financial Group ($24.0B, 4.2%), Credit Suisse ($21.3B, 3.7%), Credit Agricole ($21.2B, 3.7%), Sumitomo Mitsui Banking Co ($18.7B, 3.3%), Bank of Montreal ($18.1B, 3.2%), Mizuho Corporate Bank Ltd ($17.8B, 3.1%) and DNB ASA ($16.9B, 2.9%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group ($17.6B, 6.8%), Bank of Montreal ($15.8B, 6.2%), Toronto-Dominion Bank ($15.2B, 5.9%), Sumitomo Mitsui Banking ($14.3B, 5.6%), Wells Fargo ($13.8B, 5.4%), Mizuho Corporate Bank ($11.4B, 4.4%), Sumitomo Mitsui Trust Bank ($10.6B, 4.1%), Bank of Nova Scotia ($9.7B, 3.8%), Svenska Handelsbanken ($9.6B, 3.7%) and Canadian Imperial Bank of Commerce ($9.4B, 3.7%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($19.8B, 7.3%), Toronto-Dominion Bank ($16.2B, 6.0%), Credit Suisse ($12.8B, 4.7%), JPMorgan ($12.4B, 4.6%), Bank of Nova Scotia ($12.3B, 4.6%), Societe Generale ($10.0B, 3.7%), NRW.Bank ($9.8B, 3.6%), National Australia Bank Ltd ($9.3B, 3.5%), Toyota ($8.5B, 3.2%) and FMS Wertmanagement ($7.6B, 2.8%).

The largest increases among Issuers include: US Treasury (up $89.8B to $906.1B), RBC (up $16.2B to $122.2B), Federal Home Loan Mortgage Co (up $9.8B to $77.4B), Federal National Mortgage Association (up $8.5B to $27.5B), DNB ASA (up $6.2B to $21.1B), Wells Fargo (up $4.8B to $80.6B), Mizuho Corporate Bank Ltd (up $3.8B to $38.6B), Standard Chartered Bank (up $3.5B to $12.2B), Sumitomo Mitsui Banking Co (up $3.5B to $51.4B) and Australia & New Zealand Banking Group Ltd (up $3.5B to $14.8B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Home Loan Bank (down $27.5B to $514.4B), Fixed Income Clearing Co (down $12.7B to $204.8B), Credit Agricole (down $5.7B to $74.0B), HSBC (down $4.6B to $45.6B), Credit Suisse (down $4.5B to $27.0B), Barclays PLC (down $4,4B to $82.1B), JP Morgan (down $1.9B to $92.0B), Citi (down $1.9B to $40.2B), ABN Amro Bank (down $1.0B to $10.1B) and Federal Farm Credit Bank (down $0.6B to $82.3B).

The United States remained the largest segment of country-affiliations; it represents 61.6% of holdings, or $2.214 trillion. France (9.4%, $336.8B) was number two, and Canada (8.8%, $314.9B) was third. Japan (7.1%, $256.6B) occupied fourth place. The United Kingdom (4.6%, $163.5B) remained in fifth place. Germany (2.2%, $78.8B) was in sixth place, followed by The Netherlands (1.7%, $59.7B), Australia (1.3%, $46.7B), Switzerland (1.0%, $36.3B) and Sweden (0.9%, $32.1B). (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 August 31, 2019, Taxable money funds held 41.0% (up from 38.5%) of their assets in securities maturing Overnight, and another 13.7% maturing in 2-7 days (down from 16.1% last month). Thus, 54.7% in total matures in 1-7 days. Another 17.9% matures in 8-30 days, while 10.7% 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 7.1% of taxable securities, while 7.5% matures in 91-180 days, and just 2.2% matures beyond 181 days.

Email This Article

Use a comma or a semicolon to separate

captcha image