Crane Data released its October Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of Sept. 30, 2019, shows a huge jump in Treasuries, an increase in Agencies and a big drop in Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $92.0 billion to $3.690 trillion last month, after increasing $93.0 billion in August, $102.1 billion in July and $18.7 billion in June. Repo continues to be the largest portfolio segment, followed by Treasury securities, which broke above the $1 trillion level for the first time ever, 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) fell by $76.8 billion (-5.9%) to $1.216 trillion, or 33.0% of holdings, after increasing $20.5 billion in August, $72.2 billion in July and $37.2 billion in June. Treasury securities leapt $134.7 billion (14.9%) to $1.041 trillion, or 28.2% of holdings, after increasing $89.8 billion in August, decreasing $3.7 billion in July and decreasing $19.6 billion in June. Government Agency Debt rose by $39.2 billion (5.5%) to $745.7 billion, or 20.2% of holdings, after decreasing $9.9 billion in August, increasing $18.2 billion in July and decreasing $26.0 billion in June. Repo, Treasuries and Agencies totaled $3.003 trillion, representing a massive 81.4% of all taxable holdings.

Money funds' holdings of CP rose in September, while Other (mainly Time Deposits) and CD holdings fell. Commercial Paper (CP) increased $7.4 billion (2.3%) to $330.0 billion, or 8.9% of holdings, after decreasing $15 billion in August, increasing $8.9 billion in July and increasing $5.5 billion in June. Certificates of Deposit (CDs) fell by $7.5 billion (-2.9%) to $250.0 billion, or 6.8% of taxable assets, after increasing $4.5 billion in August, decreasing $0.6 billion in July and increasing $15.3 billion in June. Other holdings, primarily Time Deposits, decreased $4.6 billion (-4.4%) to $99.4 billion, or 2.7% of holdings, after increasing $3.4 billion in August, $8.1 billion in July and $5.8 billion in June. VRDNs inched higher 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 Thursday.)

Prime money fund assets tracked by Crane Data increased $15 billion to $1.050 trillion, or 28.5% of taxable money funds' $3.689 trillion total. Among Prime money funds, CDs represent 23.8% (down from 24.9% a month ago), while Commercial Paper accounted for 31.5% (up from 31.2%). The CP totals are comprised of: Financial Company CP, which makes up 20.4% of total holdings, Asset-Backed CP, which accounts for 6.6%, and Non-Financial Company CP, which makes up 4.5%. Prime funds also hold 6.6% in US Govt Agency Debt, 10.7% in US Treasury Debt, 6.2% in US Treasury Repo, 1.3% in Other Instruments, 5.9% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 6.6% in US Government Agency Repo and 0.5% in VRDNs.

Government money fund portfolios totaled $1.798 trillion (48.7% of all MMF assets), up $45.0 billion from $1.753 trillion in August, while Treasury money fund assets totaled another $842 billion (22.8%), up from $809 billion the prior month. Government money fund portfolios were made up of 37.6% US Govt Agency Debt, 19.2% US Government Agency Repo, 19.1% US Treasury debt and 23.8% in US Treasury Repo. Treasury money funds were comprised of 69.5% US Treasury debt, 30.4% 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 71.6% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $94.7 billion in September to $643.5 billion; their share of holdings fell to 17.4% from last month's 20.5%. Eurozone-affiliated holdings fell to $428.7 billion from last month's $485.1 billion; they account for 11.6% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $1.5 billion to $325.1 billion (8.8% of the total). Americas related holdings rose $188 billion to $2.718 trillion and now represent 73.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $27.7 billion, or -3.6%, to $749.4 billion, or 20.3% of assets); US Government Agency Repurchase Agreements (down $52.4 billion, or -11.2%, to $415.5 billion, or 11.3% of total holdings), and Other Repurchase Agreements (up $3.3 billion, or 6.9%, from last month to $51.4 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $15.0 billion to $213.7 billion, or 5.8% of assets), Asset Backed Commercial Paper (up $0.2 billion to $69.5 billion, or 1.9%), and Non-Financial Company Commercial Paper (down $7.8 billion to $46.9 billion, or 1.3%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2019, include: the US Treasury ($1,040.8 billion, or 28.2%), Federal Home Loan Bank ($551.5B, 14.9%), Fixed Income Clearing Co ($201.5B, 5.5%), RBC ($139.2B, 3.8%), BNP Paribas ($137.1B, 3.7%), JP Morgan ($105.8B, 2.9%), Wells Fargo ($82.4B, 2.2%), Federal Farm Credit Bank ($82.1B, 2.2%), Federal Home Loan Mortgage Co ($77.0B, 2.1%), Mitsubishi UFJ Financial Group Inc ($69.9B, 1.9%), Barclays ($52.8B, 1.4%), Sumitomo Mitsui Banking Co ($52.5B, 1.4%), Bank of Nova Scotia ($48.6B, 1.3%), Bank of America ($47.6B, 1.3%), Bank of Montreal ($46.9B, 1.3%), Credit Agricole ($46.8B, 1.3%), HSBC ($43.7B, 1.2%), Societe Generale ($43.6B, 1.2%), Toronto-Dominion Bank ($42.3B, 1.1%) and Citi ($40.8B, 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 ($201.5B, 16.6%), BNP Paribas ($125.0B, 10.3%), RBC ($106.3B, 8.7%), JP Morgan ($91.6B, 7.5%), Wells Fargo ($68.2B, 5.6%), Barclays PLC ($44.8B, 3.7%), Mitsubishi UFJ Financial Group Inc ($44.0B, 3.6%), Bank of America ($40.9B, 3.4%), HSBC ($37.9B, 3.1%) and Nomura ($36.2B, 3.0%). Fed Repo positions among MMFs on 9/30/19 include: Fidelity Cash Central Fund ($2.7B), Fidelity Sec Lending Cash Central ($1.4B), Franklin IFT US Govt MM ($1.1B), Wilmington US Govt MMF ($0.8B), Dreyfus Govt Cash Mngt ($0.6B), Goldman Sachs FS Treas Sol ($0.4B), Vanguard Market Liquidity Fund ($0.2B) 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: RBC ($32.9B, 5.7%), Toronto-Dominion Bank ($31.0B, 5.3%), Bank of Nova Scotia ($27.6B, 4.8%), Mitsubishi UFJ Financial Group ($25.9B, 4.5%), Credit Suisse ($20.9B, 3.6%), Bank of Montreal ($18.9B, 3.3%), Mizuho Corporate Bank Ltd ($18.3B, 3.2%), Credit Agricole ($18.3B, 3.2%), Canadian Imperial Bank of Commerce ($17.7B, 3.1%) and Sumitomo Mitsui Banking Co ($17.2B, 3.0%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group ($18.2B, 7.3%), Bank of Montreal ($16.0B, 6.4%), Toronto-Dominion Bank ($15.4B, 6.2%), Sumitomo Mitsui Banking ($13.9B, 5.6%), Wells Fargo ($13.7B, 5.5%), Mizuho Corporate Bank ($12.0B, 4.8%), Sumitomo Mitsui Trust Bank ($10.9B, 4.4%), DZ Bank AG ($10.3B, 4.1%), Svenska Handelsbanken ($10.0B, 4.0%) and Bank of Nova Scotia ($9.5B, 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($21.9B, 7.8%), Toronto-Dominion Bank ($14.7B, 5.2%), JPMorgan ($14.0B, 5.0%), Credit Suisse ($13.8B, 4.9%), Bank of Nova Scotia ($12.1B, 4.3%), National Australia Bank Ltd ($9.7B, 3.4%), NRW.Bank ($9.6B, 3.4%), Societe Generale ($9.3B, 3.3%), BNP Paribas ($9.2B, 3.3%) and DBS Bank Ltd ($8.7B, 3.1%).

The largest increases among Issuers include: the US Treasury (up $134.7B to $1,040.8B), Federal Home Loan Bank (up $37.1B to $551.5B), RBC (up $17.0B to $139.2B), JP Morgan (up $13.8B to $105.8B), Bank of America (up $4.1B to $47.6B), Bank of Nova Scotia (up $3.0B to $48.6B), BNP Paribas (up $2.3B to $137.1B), Federal National Mortgage Association (up $2.3B to $29.8B), Commonwealth Bank of Australia (up $2.2B to $11.2B) and Nomura (up $2.1B to $36.2B).

The largest decreases among Issuers of money market securities (including Repo) in Sept. were shown by: Barclays PLC (down 29.4B to $52.8B), Credit Agricole (down $27.2B to $46.8B), Natixis (down $16.4B to $32.6B), Societe Generale (down $15.4B to $43.6B), Mizuho Corporate Bank Ltd (down $11.1B to $27.5B), Goldman Sachs (down $10.6B to $25.9B), DNB ASA (down $6.3B to $14.7B), Toronto-Dominion Bank (down $4.3B to $42.3B), Fixed Income Clearing Co (down $3.3B to $201.5B) and Credit Suisse (down $3.2B to $23.8B).

The United States remained the largest segment of country-affiliations; it represents 64.7% of holdings, or $2.387 trillion. Canada (9.0%, $330.6B) was number two, and France (7.5%, $277.3B) was third. Japan (6.8%, $249.2B) occupied fourth place. The United Kingdom (3.5%, $129.6B) remained in fifth place. Germany (2.2%, $79.6B) was in sixth place, followed by The Netherlands (1.7%, $62.5B), Australia (1.4%, $50.9B), Sweden (1.0%, $37.4B) and Switzerland (0.9%, $32.6B). (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 September 30, 2019, Taxable money funds held 41.6% (up from 41.0%) of their assets in securities maturing Overnight, and another 13.6% maturing in 2-7 days (down from 13.7% last month). Thus, 55.2% in total matures in 1-7 days. Another 17.0% matures in 8-30 days, while 10.3% matures in 31-60 days. Note that over three-quarters, or 82.4% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 5.5% of taxable securities, while 9.5% matures in 91-180 days, and just 2.5% matures beyond 181 days.

Email This Article




Use a comma or a semicolon to separate

captcha image