Crane Data released its January Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of Dec. 31, 2019, shows a big increase in Repo and Agencies, and a drop in Treasuries. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $24.7 billion to $3.811 trillion last month, after increasing $20.8 billion in November, $75.8 billion in October and $92.6 billion in September. Repo continues to be the largest portfolio segment closely 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 $75.3 billion (6.51%) to $1.234 trillion, or 32.4% of holdings, after decreasing $35.2 billion in November, $24.7 billion in October and $76.8 billion in September. Treasury securities fell $14.7 billion (-1.3%) to $1.112 trillion, or 29.2% of holdings, after increasing $55.3 billion in November, $30.2 billion in October and $134.7 billion in September. Government Agency Debt increased by $42.0 billion (5.5%) to $807.8 billion, or 21.2% of holdings, after decreasing $19.2 billion in November, increasing $39.4 billion in October and $39.2 billion in September. Repo, Treasuries and Agencies totaled $3.154 trillion, representing a massive 82.8% of all taxable holdings.

Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities all fell in December. Commercial Paper (CP) decreased $37.6 billion (-10.9%) to $309.2 billion, or 8.1% of holdings, after increasing $5.1 billion in November, $13.9 billion in October and $7.4 billion in September. Certificates of Deposit (CDs) fell by $10.5 billion (-3.8%) to $264.6 billion, or 6.9% of taxable assets, after increasing $12.6 billion in November, $12.6 billion in October and decreasing $7.5 billion in September. Other holdings, primarily Time Deposits, decreased $29.5 billion (-27.5%) to $77.6 billion, or 2.0% of holdings, after increasing $2.3 billion in November, $5.0 billion in October and decreasing $4.6 billion in September. VRDNs dropped to $6.4 billion, or 0.2% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Monday.)

Prime money fund assets tracked by Crane Data decreased $28.0 billion to $1.065 trillion, or 27.9% of taxable money funds' $3.811 trillion total. Among Prime money funds, CDs represent 24.9% (down from 25.2% a month ago), while Commercial Paper accounted for 29.1% (down from 31.7%). The CP totals are comprised of: Financial Company CP, which makes up 18.9% of total holdings, Asset-Backed CP, which accounts for 6.4%, and Non-Financial Company CP, which makes up 3.8%. Prime funds also hold 6.9% in US Govt Agency Debt, 9.2% in US Treasury Debt, 11.4% in US Treasury Repo, 1.2% in Other Instruments, 3.6% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 5.4% in US Government Agency Repo and 0.5% in VRDNs.

Government money fund portfolios totaled $1.875 trillion (49.2% of all MMF assets), up $46.0 billion from $1.829 trillion in November, while Treasury money fund assets totaled another $871 billion (22.9%), up from $864 billion the prior month. Government money fund portfolios were made up of 39.2% US Govt Agency Debt, 16.7% US Government Agency Repo, 20.4% US Treasury debt, 23.6% in US Treasury Repo and 0.2% in Investment Company. Treasury money funds were comprised of 72.6% US Treasury debt, 27.4% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.746 trillion, or 72.1% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $176.4 billion in December to $517.6 billion; their share of holdings fell to 13.6% from last month's 18.3%. Eurozone-affiliated holdings fell to $319.6 billion from last month's $461.4 billion; they account for 8.4% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $17.5 billion to $345.4 billion (9.1% of the total). Americas related holdings rose $221.0 billion to $2.945 trillion and now represent 77.3% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $103.7 billion, or 14.8%, to $802.4 billion, or 21.1% of assets); US Government Agency Repurchase Agreements (down $36.3 billion, or -8.9%, to $369.8 billion, or 9.7% of total holdings), and Other Repurchase Agreements (up $8.0 billion, or 14.9%, from last month to $61.3 billion, or 1.6% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $20.3 billion to $200.9 billion, or 5.3% of assets), Asset Backed Commercial Paper (down $3.1 billion to $68.3 billion, or 1.8%), and Non-Financial Company Commercial Paper (down $14.3 billion to $40.0 billion, or 1.0%).

The 20 largest Issuers to taxable money market funds as of Dec. 31, 2019, include: the US Treasury ($1,111.6 billion, or 29.2%), Federal Home Loan Bank ($602.8B, 15.8%), Fixed Income Clearing Co ($276.4B, 7.3%), RBC ($151.7B, 4.0%), Federal Farm Credit Bank ($87.7B, 2.3%), Federal Home Loan Mortgage Co ($87.3B, 2.3%), Mitsubishi UFJ Financial Group Inc ($82.6B, 2.2%), JP Morgan ($73.0B, 1.9%), BNP Paribas ($69.5B, 1.8%), Wells Fargo ($67.8B, 1.8%), Bank of Montreal ($59.6B, 1.6%), Bank of America ($58.1B, 1.5%), Sumitomo Mitsui Banking Co ($54.1B, 1.4%), ` Barclays <b:>`_ ($51.6B, 1.4%), Credit Agricole ($49.8B, 1.3%), Bank of Nova Scotia ($49.3B, 1.3%), Canadian Imperial Bank of Commerce ($48.9B, 1.3%), Federal Reserve Bank of New York ($47.4B, 1.2%), Toronto-Dominion Bank ($43.0B, 1.1%) and Societe Generale ($36.9B, 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 ($276.4B, 22.4%), RBC ($119.9B, 9.7%), JP Morgan ($62.4B, 5.1%), BNP Paribas ($60.5B, 4.9%), Wells Fargo ($56.6B, 4.6%), Mitsubishi UFJ Financial Group ($53.7B, 4.4%), Bank of America ($51.6B, 4.2%), Barclays ($48.5B, 3.9%), Federal Reserve Bank of New York ($47.4B, 3.8%) and Bank of Montreal ($38.4B, 3.1%). Fed Repo positions among MMFs on 12/31/19 included: Vanguard Market Liquidity Fund ($8.1B), Fidelity Cash Central Fund ($7.4B), Vanguard Prime MMF ($3.0B), Schwab Value Adv MF ($2.5B), Fidelity Sec Lending Cash Central Fund ($2.1B), Federated Government ObI ($2.0B), Wells Fargo Govt MM ($1.9B), Franklin US Govt Money Market Fund ( $1.8B), JPMorgan US Govt MM ($1.8B) and BlackRock Cash Inst MMkt ($1.6B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($31.8B, 5.6%), Bank of Nova Scotia ($30.2B, 5.3%), Toronto-Dominion Bank ($30.1B, 5.3%), Mitsubishi UFJ Financial Group Inc ($28.9, 5.1%), Credit Suisse ($27.6B, 4.8%), Mizuho Corporate Bank Ltd ($22.4, 3.9%), Sumitomo Mitsui Banking Co ($21.4B, 3.8%), Bank of Montreal ($21.2B, 3.7%), Canadian Imperial Bank of Commerce ($19.0B, 3.3%) and Australia & New Zealand Banking Group Ltd ($18.0B, 3.2%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($21.9B, 8.3%), Bank of Montreal ($19.6B, 7.4%), Sumitomo Mitsui Banking Co ($17.2B, 6.5%), Toronto-Dominion Bank ($15.0B, 5.7%), Credit Suisse ($13.8B, 5.2%), Mizuho Corporate Bank ($13.3B, 5.1%), Bank of Nova Scotia ($11.5B, 4.3%), Sumitomo Mitsui Trust Bank ($10.9B, 4.1%), Wells Fargo ($10.8B, 4.1%) and Svenska Handelsbanken ($9.7B, 3.7%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($22.1B, 8.2%), Toronto-Dominion Bank ($14.7B, 5.5%), Bank of Nova Scotia ($14.1B, 5.3%), Credit Suisse ($13.7B, 5.1%), JP Morgan ($10.5B, 3.9%), Canadian Imperial Bank of Commerce ($10.5B, 3.9%), National Australia Bank Ltd ($10.0B, 3.7%), Australia & New Zealand Banking Group Ltd ($8.5B, 3.2%), DBS Bank ($8.5B, 3.2%) and Credit Agricole ($8.4B, 3.1%).

The largest increases among Issuers include: Fixed Income Clearing Co (up $136.2B to $276.4B), Federal Home Loan Bank (up $33.2B to $602.8B), RBC (up $16.8B to $151.7B), Bank of Montreal (up $10.2B to $59.6B), Federal Home Loan Mortgage Co (up $7.0B to $87.3B), Bank of America (up $5.6B to $58.1B), Bank of Nova Scotia (up $4.9B to $49.3B), Canadian Imperial Bank of Commerce (up $2.9B to $48.9B), National Australia Bank Ltd (up $1.0B to $17.1B) and Federal National Mortgage Association (up $0.8B to $23.9B).

The largest decreases among Issuers of money market securities (including Repo) in December were shown by: BNP Paribas (down $35.2B to $69.5B), Credit Agricole (down $27.9B to $49.8B), Natixis (down $16.5B to $33.1B), Societe Generale (down $15.4B to $36.9B), Barclays PLC (down $15.0B to $51.6B), US Treasury (down $14.7B to $1,111.6B), JP Morgan (down $10.8B to $73.0B), Goldman Sachs (down $7.6B to $16.8B), Sumitomo Mitsui Banking Co (down $7.6B to $54.1B) and DNB ASA (down $5.8B to $10.8B).

The United States remained the largest segment of country-affiliations; it represents 67.5% of holdings, or $2.572 trillion. Canada (9.8%, $373.4B) was number two, and Japan (6.9%, $261.7B) was third. France (5.4%, $207.3B) occupied fourth place. The United Kingdom (3.0%, $114.7B) remained in fifth place. Australia (1.6%, $59.7B) was in sixth place, followed by The Netherlands (1.4%, $54.7B), Germany (1.3%, $48.2B), Switzerland (1.0%, $39.0B) and Sweden (0.9%, $33.3B). (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 Dec. 31, 2019, Taxable money funds held 36.0% (up from 34.0%) of their assets in securities maturing Overnight, and another 13.8% maturing in 2-7 days (down from 15.9% last month). Thus, 49.8% in total matures in 1-7 days. Another 16.8% matures in 8-30 days, while 12.6% matures in 31-60 days. Note that over three-quarters, or 79.2% 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 8.6% of taxable securities, while 8.9% matures in 91-180 days, and just 3.4% matures beyond 181 days.

Email This Article




Use a comma or a semicolon to separate

captcha image