Crane Data released its April Money Fund Portfolio Holdings Thursday, and our most recent collection, with data as of March 31, 2020, shows huge jumps in Treasuries, Agencies and Repo but a drop in CDs, CPs and Other (Time Deposits) as Government fund assets skyrocketed and Prime MMF assets plunged. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by a staggering $725.6 billion to $4.561 trillion last month, after increasing $5.0 billion in February, $19.0 billion in January and $24.7 billion in December. 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 $225.1 billion (17.2%) to $1.536 trillion, or 33.7% of holdings, after increasing $10.9 billion in February, $66.6 billion in January and $75.3 billion in December. Treasury securities rose $303.1 billion (29.2%) to $1.342 trillion, or 29.4% of holdings, after increasing $10.4 billion in February and decreasing $83.6 billion in January and $14.7 billion in December. Government Agency Debt increased by $292.5 billion (38.6%) to $1.050 trillion, or 23.0% of holdings, after decreasing $9.7 billion in February, $40.4 billion in January and increasing $42.0 billion in December. Repo, Treasuries and Agencies totaled $3.928 trillion, representing a massive 86.1% of all taxable holdings.
Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities all fell in March while VDRN holdings rose. Commercial Paper (CP) decreased $24.1 billion (-7.5%) to $299.9 billion, or 6.6% of holdings, after decreasing $1.2 billion in February, increasing $16.1 billion in January and decreasing $37.6 billion in December. Certificates of Deposit (CDs) fell by $74.3 billion (-26.0%) to $212.1 billion, or 4.6% of taxable assets, after falling $3.8 billion in February, rising $25.5 billion in January and decreasing $10.5 billion in December. Other holdings, primarily Time Deposits, decreased $8.0 billion (-7.2%) to $103.1 billion, or 2.3% of holdings, after decreasing by $1.5 billion in February, increasing $35.1 billion in January and decreasing $29.5 billion in December. VRDNs increased to $17.7 billion, or 0.4% of assets, from $6.3 billion the previous month. (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 $122.0 billion to $959.0 billion, or 21.0% of taxable money funds' $4.561 trillion total. Among Prime money funds, CDs represent 22.1% (down from 26.5% a month ago), while Commercial Paper accounted for 31.3% (up from 30.0%). The CP totals are comprised of: Financial Company CP, which makes up 18.5% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 6.7%. Prime funds also hold 7.1% in US Govt Agency Debt, 11.1% in US Treasury Debt, 8.4% in US Treasury Repo, 1.1% in Other Instruments, 6.7% in Non-Negotiable Time Deposits, 4.6% in Other Repo, 4.3% in US Government Agency Repo and 1.1% in VRDNs.
Government money fund portfolios totaled $2.401 trillion (52.6% of all MMF assets), up $513 billion from $1.888 trillion in February, while Treasury money fund assets totaled another $1.197 trillion (26.2%), up from $866 billion the prior month. Government money fund portfolios were made up of 40.8% US Govt Agency Debt, 17.3% US Government Agency Repo, 15.4% US Treasury debt, 25.9% in US Treasury Repo, 0.2% in VRDNs, 0.2% in Investment Company and 0.1% in Other Instrument. Treasury money funds were comprised of 72.2% US Treasury debt and 27.7% in US Treasury Repo. Government and Treasury funds combined now total $3.598 trillion, or 78.9% of all taxable money fund assets.
European-affiliated holdings (including repo) fell by $140.7 billion in March to $627.6 billion; their share of holdings fell to 13.8% from last month's 20.0%. Eurozone-affiliated holdings fell to $400.0 billion from last month's $492.5 billion; they account for 8.8% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $35.2 billion to $301.1 billion (6.6% of the total). Americas related holdings fell $1.0 billion to $2.626 trillion and now represent 79.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $311.5 billion, or 43.0%, to $1.036 billion, or 22.7% of assets); US Government Agency Repurchase Agreements (down $71.1 billion, or -13.5%, to $456.5 billion, or 10.0% of total holdings), and Other Repurchase Agreements (down $15.2 billion, or -25.7%, from last month to $44.2 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $20.0 billion to $10.2 billion, or 3.9% of assets), Asset Backed Commercial Paper (down $12.6 billion to $58.7 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $8.5 billion to $64.2 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of March 31, 2020, include: the US Treasury ($1,341.5 billion, or 29.4%), Federal Home Loan Bank ($733.1B, 16.1%), Federal Reserve Bank of New York ($284.3B, 6.2%), Fixed Income Clearing Co ($264.2B, 5.8%), RBC ($147.4B, 3.2%), BNP Paribas ($122.8B, 2.7%), Federal Home Loan Mortgage Co ($111.5B, 2.4%), Federal Farm Credit Bank ($111.1B, 2.4%), JP Morgan ($93.9B, 2.1%), Federal National Mortgage Association ($86.3B, 1.9%), Mitsubishi UFJ Financial Group Inc ($70.9B, 1.6%), Sumitomo Mitsui Banking Co ($59.8B, 1.3%), Barclays ($58.2B, 1.3%), Citi ($53.1B, 1.2%), Wells Fargo ($49.7B, 1.1%), Bank of America ($44.2B, 1.0%), Bank of Montreal ($43.6B, 1.0%), Canadian Imperial Bank of Commerce ($42.8B, 0.9%), Credit Agricole ($42.8B, 0.9%) and Societe Generale ($42.7B, 0.9%).
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: Federal Reserve Bank of New York ($284.3B, 18.5%), Fixed Income Clearing Co ($264.2B, 17.2%), RBC ($119.4B, 7.8%), BNP Paribas ($112.1B, 7.3%), JP Morgan ($85.5B, 5.6%), Mitsubishi UFJ Financial Group ($47.7B, 3.1%), Citi ($44.7B, 2.9%), Sumitomo Mitsui Banking Corp ($42.6B, 2.8%), Barclays ($42.1B, 2.7%) and Wells Fargo ($41.6B, 2.7%). Fed Repo positions among MMFs on 3/31/20 included: Goldman Sachs FS Govt ($25.0B), Fidelity Cash Central Fund ($20.7B), Fidelity Inv MM: Govt Port ($18.7B), BlackRock Lq T-Fund ($18.6B), Wells Fargo Govt MM ($17.4B), JPMorgan US Govt MM ($16.0B), Fidelity Inv MM: Treas Port ($12.8B), Vanguard Market Liquidity Fund ($14.1B), Morgan Stanley Inst Liq Govt ($10.6B) and JPMorgan US Treas Plus MMkt ($10.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($28.0B, 5.4%), Bank of Nova Scotia ($26.6B, 5.1%), Toronto-Dominion Bank ($24.5B, 4.7%), Mitsubishi UFJ Financial Group ($23.2B, 4.4%), Svenska Handelsbanken ($22.1B, 4.3%), Canadian Imperial Bank of Commerce ($20.3B, 3.9%), Credit Suisse ($18.1B, 3.5%), Mizuho Corporate Bank Ltd ($17.4B, 3.3%), Sumitomo Mitsui Banking Co ($17.2B, 3.3%) and Bank of Montreal ($16.8B, 3.2%).
The 10 largest CD issuers include: Bank of Montreal ($15.2B, 7.2%), Sumitomo Mitsui Banking Co ($14.8B, 7.0%), Mitsubishi UFJ Financial Group Inc ($14.4B, 6.8%), Toronto-Dominion Bank ($11.6B, 5.5%), Svenska Handelsbanken ($10.8B, 5.1%), Bank of Nova Scotia ($10.3B, 4.9%), DZ Bank ($9.5B, 4.5%), Mizuho Corporate Bank ($9.5B, 4.5%), Sumitomo Mitsui Trust Bank ($8.2B, 3.9%) and Wells Fargo ($7.7B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($22.3B, 8.9%), Societe Generale ($13.9B, 5.6%), Toronto-Dominion Bank ($12.8B, 5.1%), Canadian Imperial Bank of Commerce ($12.2B, 4.9%), Bank of Nova Scotia ($10.4B, 4.2%), Credit Suisse ($8.7B, 3.5%), JP Morgan ($8.4B, 3.4%), BNP Paribas ($8.3B, 3.3%), Barclays ($7.5B, 3.0%) and Australia & New Zealand Banking Group ($7.2B, 2.9%).
The largest increases among Issuers include: the US Treasury (up $303.1B to $1.342 trillion), Federal Home Loan Bank (up $175.6B to $733.1B), Federal National Mortgage Association (up $63.6B to $86.3B), Fixed Income Clearing Corp (up $63.4B to $264.2B), Federal Home Loan Mortgage Corp (up $26.4B to $111.5B), Federal Farm Credit Bank (up $24.4B to $111.1B), RBC (up $7.3B to $147.4B), Citi (up $7.1B to $53.1B), JP Morgan (up $5.9B to $93.9B) and Svenska Handelsbanken (up $4.6B to $22.1B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Credit Agricole (down $38.6B to $42.8B), Goldman Sachs (down $32.1B to $12.3B), Barclays PLC (down $28.3B to $58.2B), Wells Fargo (down $16.7B to $49.7B), Mizuho Corporate Bank Ltd (down $14.2B to $27.9B), Natixis (down $11.3B to $29.8B), HSBC (down $9.6B to $42.6B), Societe Generale (down $9.2B to $42.7B), Bank of America (down $8.1B to $44.2B) and Toronto-Dominion Bank (down $7.0B to $37.8B).
The United States remained the largest segment of country-affiliations; it represents 72.2% of holdings, or $3.294 trillion. Canada (7.3%, $332.1B) was number two, and France (5.6%, $255.5B) was third. Japan (5.3%, $240.6B) occupied fourth place. The United Kingdom (3.0%, $138.2B) remained in fifth place. Germany (1.6%, $71.8B) was in sixth place, followed by The Netherlands (1.4%, $61.9B), Australia (1.0%, $47.6B), Sweden (0.9%, $41.7B) and Switzerland (0.8%, $35.5B). (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 March 31, 2020, Taxable money funds held 40.5% (up from 38.1%) of their assets in securities maturing Overnight, and another 12.5% maturing in 2-7 days (down from 15.3% last month). Thus, 53.0 % in total matures in 1-7 days. Another 15.6% matures in 8-30 days, while 11.0% matures in 31-60 days. Note that over three-quarters, or 79.6% 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 7.4% of taxable securities, while 9.2% matures in 91-180 days, and just 3.8% matures beyond 181 days.
