Crane Data released its March Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Feb. 29, 2020, shows an increase in Repo and Treasuries but a drop in Agencies, CDs, CPs, Other (Time Deposits) and VDRNs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $5.0 billion to $3.835 trillion last month, after increasing $19.0 billion in January, $24.7 billion in December and $20.8 billion in November. 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 $10.9 billion (0.84%) to $1.311 trillion, or 34.2% of holdings, after increasing $66.6 billion in January, $75.3 billion in December and decreasing $35.2 billion in November. Treasury securities rose $10.4 billion (1.0%) to $1.038 trillion, or 27.1% of holdings, after decreasing $83.6 billion in January, $14.7 billion in December and increasing $55.3 billion in November. Government Agency Debt decreased by $9.7 billion (-1.3%) to $757.7 billion, or 19.8% of holdings, after decreasing $40.4 billion in January, increasing $42.0 billion in December and decreasing $19.2 billion in November. Repo, Treasuries and Agencies totaled $3.107 trillion, representing a massive 81.0 % of all taxable holdings.
Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities all fell in February. Commercial Paper (CP) decreased $1.2 billion (-0.4%) to $324.1 billion, or 8.5% of holdings, after increasing $16.1 billion in January, decreasing $37.6 billion in December and increasing $5.1 billion in November. Certificates of Deposit (CDs) fell by $3.8 billion (-1.3%) to $286.4 billion, or 7.5% of taxable assets, after rising $25.5 billion in January, decreasing $10.5 billion in December and increasing $12.6 billion in November. Other holdings, primarily Time Deposits, decreased $1.5 billion (-1.4%) to $111.1 billion, or 2.9% of holdings, after increasing $35.1 billion in January, decreasing $29.5 billion in December and increasing $2.3 billion in November. VRDNs dropped to $6.3 billion, or 0.2% of assets, from $6.4 billion the previous month. (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 decreased $14 billion to $1.081 trillion, or 28.2% of taxable money funds' $3.835 trillion total. Among Prime money funds, CDs represent 26.5% (unchanged from a month ago), while Commercial Paper accounted for 30.0% (up from 28.9%). The CP totals are comprised of: Financial Company CP, which makes up 18.2% of total holdings, Asset-Backed CP, which accounts for 6.6%, and Non-Financial Company CP, which makes up 5.2%. Prime funds also hold 4.0% in US Govt Agency Debt, 9.2% in US Treasury Debt, 6.6% in US Treasury Repo, 1.2% in Other Instruments, 6.3% in Non-Negotiable Time Deposits, 5.5% in Other Repo, 7.9% in US Government Agency Repo and 0.4% in VRDNs.
Government money fund portfolios totaled $1.888 trillion (49.2% of all MMF assets), up $32 billion from $1.856 trillion in January, while Treasury money fund assets totaled another $866 billion (22.6%), down from $879 billion the prior month. Government money fund portfolios were made up of 37.9% US Govt Agency Debt, 23.4% US Government Agency Repo, 17.3% US Treasury debt, 21.2% in US Treasury Repo, 0.1% in Other Repurchase Agreement, and 0.1% in Investment Company. Treasury money funds were comprised of 70.8% US Treasury debt and 29.2% in US Treasury Repo. Government and Treasury funds combined now total $2.754 trillion, or 71.8% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $29.2 billion in February to $768.3 billion; their share of holdings rose to 20.0% from last month's 19.3%. Eurozone-affiliated holdings rose to $492.5 billion from last month's $480.1 billion; they account for 12.8% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $26.0 billion to $336.3 billion (8.8% of the total). Americas related holdings fell $3.0 billion to $2.726 trillion and now represent 71.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $66.8 billion, or -8.5%, to $724.0 billion, or 18.9% of assets); US Government Agency Repurchase Agreements (up $86.1 billion, or 19.5%, to $527.7 billion, or 13.8% of total holdings), and Other Repurchase Agreements (down $8.3 billion, or -12.3%, from last month to $59.4 billion, or 1.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $11.8 billion to $197.0 billion, or 5.1% of assets), Asset Backed Commercial Paper (up $5.0 billion to $71.3 billion, or 1.9%), and Non-Financial Company Commercial Paper (up $5.6 billion to $55.8 billion, or 1.5 %).
The 20 largest Issuers to taxable money market funds as of Feb. 29, 2020, include: the US Treasury ($1,038.4 billion, or 27.1%), Federal Home Loan Bank ($557.6B, 14.5%), Fixed Income Clearing Co ($200.8B, 5.2%), RBC ($140.1B, 3.7%), BNP Paribas ($124.5B, 3.2%), JP Morgan ($88.0B, 2.3%), Federal Farm Credit Bank ($86.7B, 2.3%), Barclays ($86.5B, 2.3%), Federal Home Loan Mortgage Co ($85.0B, 2.2%), Credit Agricole ($81.4B, 2.1%), Mitsubishi UFJ Financial Group Inc ($74.5B, 1.9%), Wells Fargo ($66.5B, 1.7%), Sumitomo Mitsui Banking Co ($62.6B, 1.6%), Bank of America ($52.4B, 1.4%), HSBC ($52.2B, 1.4%), Societe Generale ($51.9B, 1.4%), Bank of Montreal ($46.6B, 1.2%), Citi ($46.0B, 1.2%), Bank of Nova Scotia ($45.5B, 1.2%) and Toronto-Dominion Bank ($44.9B, 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 ($200.8B, 15.3%), RBC ($110.8B, 8.5%), BNP Paribas ($110.3B, 8.4%), JP Morgan ($77.2B, 5.9%), Barclays ($69.2B, 5.3%), Credit Agricole ($56.2B, 4.3%), Wells Fargo ($54.5B, 4.2%), Mitsubishi UFJ Financial Group ($50.4B, 3.8%), Bank of America ($45.8B, 3.5%) and Goldman Sachs ($43.6B, 3.3%). Fed Repo positions among MMFs on 2/29/20 included only two funds: Goldman Sachs FS Treas Sol ($2.1B) and Vanguard Federal Money Mkt Fund ($0.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($29.3B, 4.7%), Toronto-Dominion Bank ($29.2B, 4.7%), Bank of Nova Scotia ($25.4B, 4.1%), Credit Agricole ($25.2, 4.1%), Mitsubishi UFJ Financial Group ($24.1, 3.9%), Credit Suisse ($23.7B, 3.8%), Mizuho Corporate Bank Ltd ($20.5B, 3.3%), Sumitomo Mitsui Banking Co ($20.3B, 3.3%), Federated ($19.8B, 3.2%) and Canadian Imperial Bank of Commerce ($18.1B, 2.9%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($17.8B, 6.2%), Bank of Montreal ($17.0B, 5.9%), Sumitomo Mitsui Banking Co ($16.6B, 5.8%), Mizuho Corporate Bank ($14.7B, 5.1%), Toronto-Dominion Bank ($13.6B, 4.8%), Bank of Nova Scotia ($13.1B, 4.6%), Credit Suisse ($13.0B, 4.5%), DZ Bank ($11.9B, 4.1%), Wells Fargo ($11.6B, 4.1%) and Credit Agricole ($11.4B, 4.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($20.4B, 7.7%), Toronto-Dominion Bank ($14.2B, 5.3%), Bank of Nova Scotia ($12.1B, 4.6%), JP Morgan ($10.8B, 4.1%), Credit Suisse ($10.7B, 4.0%), BNP Paribas ($10.3B, 3.9%), Canadian Imperial Bank of Commerce ($9.7B, 3.7%), National Australia Bank Ltd ($8.7B, 3.3%), Societe Generale ($8.1B, 3.0%) and Australia & New Zealand Banking Group ($7.8B, 2.9%).
The largest increases among Issuers include: Barclays PLC (up $15.7B to $86.5B), RBC (up $13.6B to $140.1B), BNP Paribas (up $10.6B to $124.5B), US Treasury (up $10.4B to $1,038.4B), HSBC (up $8.6B to $52.2B), Goldman Sachs (up $8.1B to $44.4B), Federal National Mortgage Association (up $4.3B to $22.7B), Societe Generale (up $3.9B to $51.9B), JP Morgan (up $3.5B to $88.0B) and Citi (up $3.2B to $46.0B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: Fixed Income Clearing Corp (down $31.5B to $200.8B), Mitsubishi UFJ Financial Group Inc (down $10.1B to $74.5B), Federal Home Loan Bank (down $7.4B to $557.6B), Credit Suisse (down $7.2B to $30.7B), Natixis (down $4.8B to $41.1B), Australia & New Zealand Banking Group Ltd (down $4.2B to $17.5B), Bank of Montreal (down $4.0B to $46.6B), Nomura (down $3.8B to $33.0B), Federal Home Loan Mortgage Corp (down $3.2B to $85.0B) and Federal Farm Credit Bank (down $3.0B to $86.7B).
The United States remained the largest segment of country-affiliations; it represents 62.2% of holdings, or $2.387 trillion. Canada (8.9%, $339.4B) was number two, and France (8.4%, $322.3B) was third. Japan (6.9%, $264.6B) occupied fourth place. The United Kingdom (4.6%, $175.4B) remained in fifth place. Germany (2.1%, $82.1B) was in sixth place, followed by The Netherlands (1.9%, $71.6B), Australia (1.4%, $51.7B), Sweden (1.2%, 45.6B) and Switzerland (1.0%, $38.0B). (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 Feb. 29, 2020, Taxable money funds held 38.1% (up from 37.9%) of their assets in securities maturing Overnight, and another 15.3% maturing in 2-7 days (up from 14.6% last month). Thus, 53.4 % in total matures in 1-7 days. Another 17.4% matures in 8-30 days, while 11.4% matures in 31-60 days. Note that over three-quarters, or 82.2% 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 8.5% of taxable securities, while 6.7% matures in 91-180 days, and just 2.6% matures beyond 181 days.
