Crane Data released its November Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Oct. 31, 2019, shows jumps in Treasuries and Agencies with another big drop in Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $75.8 billion to $3.765 trillion last month, after increasing $92.6 billion in September, $93.0 billion in August and $102.1 billion in July. 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) fell by $24.7 billion (-2.0%) to $1.192 trillion, or 31.6% of holdings, after decreasing $76.8 billion in September, but increasing $20.5 billion in August and $72.2 billion in July. Treasury securities rose $30.2 billion (2.9%) to $1.071 trillion, or 28.4% of holdings, after increasing $134.7 billion in September and $89.8 billion in August but decreasing $3.7 billion in July. Government Agency Debt rose by $39.4 billion (5.3%) to $785.0 billion, or 20.8% of holdings, after increasing $39.2 billion in September, decreasing $9.9 billion in August and increasing $18.2 billion in July. Repo, Treasuries and Agencies totaled $3.003 trillion, representing a massive 80.8% of all taxable holdings.
Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities rose in October. Commercial Paper (CP) increased $13.9 billion (4.2%) to $343.9 billion, or 9.1% of holdings, after increasing $7.4 billion in September, decreasing $15 billion in August and increasing $8.9 billion in July. Certificates of Deposit (CDs) rose by $12.6 billion (5.0%) to $262.6 billion, or 7.0% of taxable assets, after decreasing $7.5 billion in September, increasing $4.5 billion in August and decreasing $0.6 billion in July. Other holdings, primarily Time Deposits, increased $5.0 billion (5.0%) to $104.3 billion, or 2.8% of holdings, after decreasing $4.6 billion in September, increasing $3.4 billion in August and $8.1 billion in July. VRDNs dropped to $6.8 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 $29 billion to $1.079 trillion, or 28.7% of taxable money funds' $3.765 trillion total. Among Prime money funds, CDs represent 24.3% (up from 23.8% a month ago), while Commercial Paper accounted for 31.9% (up from 31.5%). The CP totals are comprised of: Financial Company CP, which makes up 20.6% of total holdings, Asset-Backed CP, which accounts for 6.6%, and Non-Financial Company CP, which makes up 4.7%. Prime funds also hold 6.5% in US Govt Agency Debt, 9.5% in US Treasury Debt, 6.9% in US Treasury Repo, 1.3% in Other Instruments, 6.0% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 6.0% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $1.833 trillion (48.7% of all MMF assets), up $35.0 billion from $1.798 trillion in September, while Treasury money fund assets totaled another $853 billion (22.7%), up from $842 billion the prior month. Government money fund portfolios were made up of 39.0% US Govt Agency Debt, 21.7% US Government Agency Repo, 19.5% US Treasury debt and 19.5% in US Treasury Repo. Treasury money funds were comprised of 71.5% US Treasury debt, 28.4% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.686 trillion, or 71.3% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $68.0 billion in October to $711.5 billion; their share of holdings rose to 18.9% from last month's 17.4%. Eurozone-affiliated holdings rose to $488.0 billion from last month's $428.7 billion; they account for 13.0% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $26.7 billion to $351.8 billion (9.3% of the total). Americas related holdings fell $19 billion to $2.699 trillion and now represent 71.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $75.9 billion, or -10.1%, to $673.5 billion, or 17.9% of assets); US Government Agency Repurchase Agreements (up $47.4 billion, or 11.4%, to $462.9 billion, or 12.3% of total holdings), and Other Repurchase Agreements (up $3.8 billion, or 7.5%, from last month to $55.2 billion, or 1.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $8.2 billion to $221.9 billion, or 5.9% of assets), Asset Backed Commercial Paper (up $1.5 billion to $71.0 billion, or 1.9%), and Non-Financial Company Commercial Paper (up $4.1 billion to $51.0 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2019, include: the US Treasury ($1,071.1 billion, or 28.4%), Federal Home Loan Bank ($582.9B, 15.5%), Fixed Income Clearing Co ($165.8B, 4.4%), BNP Paribas ($132.7B, 3.5%), RBC ($109.0B, 2.9%), Federal Home Loan Mortgage Co ($86.2B, 2.3%), Federal Farm Credit Bank ($83.4B, 2.2%), JP Morgan ($83.2B, 2.2%), Wells Fargo ($81.9B, 2.2%), Mitsubishi UFJ Financial Group Inc ($77.8B, 2.1%), Credit Agricole ($72.8B, 1.9%), Barclays ($65.8B, 1.7%), Sumitomo Mitsui Banking Co ($58.0B, 1.5%), Societe Generale ($57.0B, 1.5%), Bank of America ($49.0B, 1.3%), Toronto-Dominion Bank ($46.0B, 1.2%), Natixis ($44.5B, 1.2%), Bank of Montreal ($44.0B, 1.2%), Bank of Nova Scotia ($42.8B, 1.1%) and Canadian Imperial Bank of Commerce ($37.0B, 1.0%).
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 ($165.8B, 13.9%), BNP Paribas ($121.2B, 10.2%), RBC ($81.6B, 6.8%), JP Morgan ($69.3B, 5.8%), Wells Fargo ($66.4B, 5.6%), Barclays PLC ($54.9B, 4.6%), Credit Agricole ($52.6B, 4.4%), Mitsubishi UFJ Financial Group Inc ($50.1B, 4.2%), Societe Generale ($45.6B, 3.8%) and Bank of America ($41.9B, 3.5%). Fed Repo positions among MMFs on 10/31/19 include: Vanguard Fed MMkt ($16.0B), Goldman Sachs FS Treas Sol ($2.1B), Franklin IFT US Govt MM ($0.8B), Vanguard Market Liquidity Fund ($0.8B) and Vanguard Prime MMkt Fund ($0.3B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank $31.8B, 5.2%), Mitsubishi UFJ Financial Group Inc ($27.7B, 4.5%), RBC ($27.4B, 4.5%), Bank of Nova Scotia ($25.9B, 4.2%), Credit Suisse ($23.1B, 3.8%), Sumitomo Mitsui Banking Co ($22.1B, 3.6%), Credit Agricole ($20.3B, 3.3%), Federated ($17.6B, 2.9%), Canadian Imperial Bank of Commerce ($17.4B, 2.8%) and Bank of Montreal ($16.9B).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($19.8B, 7.6%), Sumitomo Mitsui Banking Co ($16.9B, 6.5%), Wells Fargo ($14.7B, 5.6%), Bank of Montreal ($14.7B, 5.6%), Toronto-Dominion Bank ($14.5B, 5.5%), Mizuho Corporate Bank Ltd ($12.9B, 4.9%), Sumitomo Mitsui Trust Bank ($11.1B, 4.3%), Svenska Handelsbanken ($9.9B, 3.8%), Bank of Nova Scotia ($9.5B, 3.6%) and Landesbank Baden-Wurttemberg ($9.1B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($21.9B, 7.5%), Credit Suisse ($16.5B, 5.6%), Toronto-Dominion Bank ($15.8B, 5.4%), Bank of Nova Scotia ($14.0B, 4.8%), JP Morgan ($13.7B, 4.7%), Societe Generale ($9.5B, 3.3%), Toyota ($9.4B, 3.2%), National Australia Bank Ltd ($8.7B, 3.0%), DBS Bank Ltd ($8.4B, 2.9%) and Credit Agricole ($8.3B, 2.9%.
The largest increases among Issuers include: Federal Home Loan Bank (up $31.4B to $582.9B), US Treasury (up $30.3B to $1,071.1B), Credit Agricole (up $26.0B to $72.8B), Societe Generale (up $13.4B to $57.0B), Barclays PLC (up $13.0B to $65.8B), Natixis (up $11.9B to $44.5B), Federal Home Loan Mortgage Co (up $9.2B to $86.2B), Mizuho Corporate Bank Ltd (up $8.5B to $36.0B), Mitsubishi UFJ Financial Group Inc (up $7.9B to $77.8B) and Credit Suisse (up $6.5B to $30.3B).
The largest decreases among Issuers of money market securities (including Repo) in Oct. were shown by: Fixed Income Clearing Co (down $35.7B to $165.8B), RBC (down $30.1B to $109.0B), JP Morgan (down $22.7B to $83.2B), HSBC (down $10.8B to $33.0B), Goldman Sachs (down $7.5B to $18.3B), Bank of Nova Scotia (down $5.9B to $42.8B), BNP Paribas (down $4.4B to $132.7B), Citi (down $4.2B to $36.5B), Deutsche Bank AG (down $3.6B to $15.0B) and Daiwa Securities Group Inc (down $3.1B to $11.6B).
The United States remained the largest segment of country-affiliations; it represents 63.8% of holdings, or $2.403 trillion. France (8.7%, $328.5B) was number two, and Canada (7.9%, $296.1B) was third. Japan (7.2%, $270.9B) occupied fourth place. The United Kingdom (3.5%, $130.7B) remained in fifth place. Germany (2.0%, $75.3B) was in sixth place, followed by The Netherlands (1.9%, $72.6B), Australia (1.5%, $55.1B), Sweden (1.1%, $42.5B) and Switzerland (1.0%, $37.2B). (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 Oct. 31, 2019, Taxable money funds held 36.4% (down from 41.6%) of their assets in securities maturing Overnight, and another 14.8% maturing in 2-7 days (up from 13.6% last month). Thus, 51.2% in total matures in 1-7 days. Another 17.0% matures in 8-30 days, while 10.0% matures in 31-60 days. Note that over three-quarters, or 78.2% 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 8.0% of taxable securities, while 10.8% matures in 91-180 days, and just 3.2% matures beyond 181 days.
