Crane Data released its February Money Fund Portfolio Holdings yesterday, and our most recent collection, with data as of Jan. 31, 2020, shows a jump in Repo, Other (Time Deposits) and CDs, and a sharp drop in Treasuries and Agencies. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $19.0 billion to $3.830 trillion last month, after increasing $24.7 billion in December, $20.8 billion in November and $75.8 billion in October. 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 $66.6 billion (5.4%) to $1.300 trillion, or 33.9% of holdings, after increasing $75.3 billion in December, but decreasing $35.2 billion in November and $24.7 billion in October. Treasury securities fell $83.6 billion (-7.5%) to $1.028 trillion, or 26.8% of holdings, after decreasing $14.7 billion in December, but increasing $55.3 billion in November and $30.2 billion in October. Government Agency Debt decreased by $40.4 billion (-5.0%) to $767.4 billion, or 20.0% of holdings, after increasing $42.0 billion in December, decreasing $19.2 billion in November and increasing $39.4 billion in October. Repo, Treasuries and Agencies totaled $3.105 trillion, representing a massive 80.8% of all taxable holdings.
Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities all rose in January. Commercial Paper (CP) increased $16.1 billion (5.2%) to $325.3 billion, or 8.5% of holdings, after decreasing $37.6 billion in December, increasing $5.1 billion in November and $13.9 billion in October. Certificates of Deposit (CDs) rose by $25.5 billion (9.7%) to $290.1 billion, or 7.6% of taxable assets, after decreasing $10.5 billion in December, increasing $12.6 billion in November and increasing $12.6 billion in October. Other holdings, primarily Time Deposits, increased $35.1 billion (45.3%) to $112.7 billion, or 2.9% of holdings, after decreasing $29.5 billion in December, increasing $2.3 billion in November and $5.0 billion in October. VRDNs remained at $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 Wednesday.)
Prime money fund assets tracked by Crane Data increased $30 billion to $1.095 trillion, or 28.6% of taxable money funds' $3.830 trillion total. Among Prime money funds, CDs represent 26.5% (up from 24.9% a month ago), while Commercial Paper accounted for 28.9% (down from 29.1%). The CP totals are comprised of: Financial Company CP, which makes up 18.2% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 6.1% in US Govt Agency Debt, 7.9% in US Treasury Debt, 6.9% in US Treasury Repo, 1.2% in Other Instruments, 6.7% in Non-Negotiable Time Deposits, 6.6% in Other Repo, 6.5% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $1.856 trillion (48.5% of all MMF assets), down $19 billion from $1.875 trillion in December, while Treasury money fund assets totaled another $879 billion (23.0%), up from $871 billion the prior month. Government money fund portfolios were made up of 37.7% US Govt Agency Debt, 19.9% US Government Agency Repo, 17.6% US Treasury debt, 24.3% in US Treasury Repo, 0.3% in Other Repurchase Agreement, and 0.1% in Investment Company. Treasury money funds were comprised of 69.8% US Treasury debt, 30.1% in US Treasury Repo, and 0.1% in Other Repurchase Agreement. Government and Treasury funds combined now total $2.735 trillion, or 71.4% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $221.5 billion in January to $739.1 billion; their share of holdings rose to 19.3% from last month's 13.6%. Eurozone-affiliated holdings rose to $480.1 billion from last month's $319.6 billion; they account for 12.5% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $16.9 billion to $362.3 billion (9.5% of the total). Americas related holdings fell $222.0 billion to $2.723 trillion and now represent 71.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $11.6 billion, or -1.4%, to $790.8 billion, or 20.6% of assets); US Government Agency Repurchase Agreements (up $71.8 billion, or 19.4%, to $441.6 billion, or 11.5% of total holdings), and Other Repurchase Agreements (up $6.4 billion, or 10.5%, from last month to $67.7 billion, or 1.8% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $7.9 billion to $208.8 billion, or 5.5% of assets), Asset Backed Commercial Paper (down $2.0 billion to $66.3 billion, or 1.7%), and Non-Financial Company Commercial Paper (up $10.2 billion to $50.2 billion, or 1.3%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2020, include: the US Treasury ($1,028.0 billion, or 26.8%), Federal Home Loan Bank ($565.0B, 14.8%), Fixed Income Clearing Co ($232.3B, 6.1%), RBC ($126.5B, 3.3%), BNP Paribas ($113.9B, 3.0%), Federal Farm Credit Bank ($89.7B, 2.3%), Federal Home Loan Mortgage Co ($88.3B, 2.3%), Mitsubishi UFJ Financial Group Inc ($84.6B, 2.2%), JP Morgan ($84.5B, 2.2%), Credit Agricole ($82.7B, 2.2%), Barclays ($70.8B, 1.8%), Wells Fargo ($69.0B, 1.8%), Sumitomo Mitsui Banking Co ($62.1B, 1.6%), Bank of Montreal ($50.6B, 1.3%), Bank of America ($50.3B, 1.3%), Societe Generale ($48.0B, 1.3%), Natixis ($45.9B, 1.2%), Bank of Nova Scotia ($45.1B, 1.2%), Toronto-Dominion Bank ($43.8B, 1.1%) and HSBC ($43.6B, 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 ($232.3B, 17.9%), BNP Paribas ($101.1B, 7.8%), RBC ($99.6B, 7.7%), JP Morgan ($74.4B, 5.7%), Barclays ($59.4B, 4.6%), Credit Agricole ($57.5B, 4.4%), Wells Fargo ($54.4B, 4.2%), Mitsubishi UFJ Financial Group ($52.2B, 4.0%), Bank of America ($43.8B, 3.4%) and Sumitomo Mitsui Banking Corp ($39.6B, 3.0%). Fed Repo positions among MMFs on 1/31/20 included only one fund: Goldman Sachs FS Treas Sol ($4.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group ($32.4, 5.1%), Credit Suisse ($29.9B, 4.7%), Toronto-Dominion Bank ($29.1B, 4.6%), Bank of Nova Scotia ($27.6B, 4.4%), RBC ($27.0B, 4.3%), Credit Agricole ($25.2, 4.0%), Sumitomo Mitsui Banking Co ($22.5B, 3.6%), Svenska Handelsbanken ($19.2B, 3.0%), Federated ($18.9B, 3.0%) and Mizuho Corporate Bank Ltd ($18.8B, 3.0%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($20.8B, 7.2%), Sumitomo Mitsui Banking Co ($18.6B, 6.4%), Bank of Montreal ($15.5B, 5.3%), Toronto-Dominion Bank ($14.7B, 5.1%), Wells Fargo ($14.3B, 4.9%), Credit Suisse ($13.6B, 4.7%), Bank of Nova Scotia ($13.6B, 4.7%), Mizuho Corporate Bank ($12.2B, 4.2%), Natixis ($12.0B, 4.1%) and Sumitomo Mitsui Trust Bank ($10.5B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($19.8B, 7.4%), Toronto-Dominion Bank ($14.0B, 5.2%), Bank of Nova Scotia ($13.8B, 5.1%), Credit Suisse ($12.8B, 4.8%), National Australia Bank Ltd ($10.4B, 3.9%), JP Morgan ($10.1B, 3.8%), Canadian Imperial Bank of Commerce ($10.1B, 3.7%), Societe Generale ($10.1B, 3.7%), BNP Paribas ($9.7B, 3.6%) and Credit Agricole ($9.0B, 3.3%).
The largest increases among Issuers include: BNP Paribas (up $44.4B to $113.9B), Credit Agricole (up $33.0B to $82.7B), Goldman Sachs (up $19.6B to $36.3B), Barclays PLC (up $19.3B to $70.8B), Natixis (up $12.8B to $45.9B), JP Morgan (up $11.5B to $84.5B), Citi (up $11.2B to $42.8B), Societe Generale (up $11.2B to $48.0B) and HSBC (up $11.1B to $43.6B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: US Treasury (down $83.6B to $1,028.0B), Fixed Income Clearing Corp (down $44.1B to $232.3B), Federal Home Loan Bank (down $37.8B to $565.0B), RBC (down $25.2B to $126.5B), Canadian Imperial Bank of Commerce (down $9.1B to $39.8B), Bank of Montreal (down $9.0B to $50.6B), Bank of America (down $7.9B to $50.3B), Federal National Mortgage Association (down $5.5B to $18.4B), Bank of Nova Scotia (down $4.1B to $45.1B) and Norinchukin Bank (down $1.2B to $17.0B).
The United States remained the largest segment of country-affiliations; it represents 62.6% of holdings, or $2.397 trillion. Canada (8.5%, $326.1B) was number two, and France (8.2%, $315.0B) was third. Japan (7.3%, $280.8B) occupied fourth place. The United Kingdom (3.9%, $150.3B) remained in fifth place. Germany (2.1%, $79.6B) was in sixth place, followed by The Netherlands (1.8%, $68.8B), Australia (1.6%, $59.9B), Sweden (1.2%, 47.3B) and Switzerland (1.2%, $45.0B). (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 Jan. 31, 2020, Taxable money funds held 37.9% (up from 36.0%) of their assets in securities maturing Overnight, and another 14.6% maturing in 2-7 days (up from 13.8% last month). Thus, 52.4% in total matures in 1-7 days. Another 17.1% matures in 8-30 days, while 12.9% matures in 31-60 days. Note that over three-quarters, or 82.4% 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 8.4% of taxable securities, while 6.1% matures in 91-180 days, and just 3.1% matures beyond 181 days.
