Crane Data released its May Money Fund Portfolio Holdings Monday, and our most recent collection, with data as of April 30, 2020, shows a huge jump in Treasuries and a big drop in Repo last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) jumped by $562.6 billion to $5.123 trillion last month, after increasing a staggering $725.6 billion in March, $5.0 billion in February and $19.0 billion in January. Treasury securities broke above $2.0 trillion and are now the largest portfolio segment, followed by Repo, 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, Treasury securities increased by a massive $795.7 billion (59.3%) to $2.137 trillion, or 41.7% of holdings, after increasing $303.1 billion in March, $10.4 billion in February and decreasing $83.6 billion in January. Repurchase Agreements (repo) decreased by $238.4 billion (-15.5%) to $1.298 trillion, or 25.3% of holdings, after increasing $225.1 billion in March, $10.9 billion in February and $66.6 billion in January. Government Agency Debt increased by $6.9 billion (0.7%) to $1.057 trillion, or 20.6% of holdings, after increasing $292.5 billion in March, decreasing $9.7 billion in February and $40.4 billion in January. Repo, Treasuries and Agencies totaled $4.492 trillion, representing a huge 87.7% of all taxable holdings.
Money funds' holdings of CP and Other (mainly Time Deposits) securities all fell in April while VDRN and CD holdings rose. Commercial Paper (CP) decreased $11.9 billion (-4.0%) to $288.0 billion, or 5.6% of holdings, after decreasing $24.1 billion in March, $1.2 billion in February and increasing $16.1 billion in January. Certificates of Deposit (CDs) rose by $12.6 billion (6.0%) to $224.7 billion, or 4.4% of taxable assets, after falling $74.3 billion in March, $3.8 billion in February and rising $25.5 billion in January. Other holdings, primarily Time Deposits, decreased $5.7 billion (-5.6%) to $97.4 billion, or 1.9% of holdings, after decreasing by $8.0 billion in March, $1.5 billion in February and increasing $35.1 billion in January. VRDNs increased to $21.2 billion, or 0.4% of assets, from $17.7 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Tuesday.)
Prime money fund assets tracked by Crane Data increased $117.0 billion to $1.076 trillion, or 21.0% of taxable money funds' $5.123 trillion total. Among Prime money funds, CDs represent 20.9% (down from 22.1% a month ago), while Commercial Paper accounted for 26.7% (down from 31.3%). The CP totals are comprised of: Financial Company CP, which makes up 15.4% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 5.5%. Prime funds also hold 5.8% in US Govt Agency Debt, 22.4% in US Treasury Debt, 4.1% in US Treasury Repo, 0.9% in Other Instruments, 5.7% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 5.8% in US Government Agency Repo and 1.1% in VRDNs.
Government money fund portfolios totaled $2.690 trillion (52.5% of all MMF assets), up $289.0 billion from $2.401 trillion in March, while Treasury money fund assets totaled another $1.354 trillion (26.4%), up from $1.197 trillion the prior month. Government money fund portfolios were made up of 36.9% US Govt Agency Debt, 15.6% US Government Agency Repo, 28.4% US Treasury debt, 18.5% in US Treasury Repo, 0.3% in VRDNs and 0.2% in Investment Company. Treasury money funds were comprised of 83.5% US Treasury debt and 16.5% in US Treasury Repo. Government and Treasury funds combined now total $4.044 trillion, or 78.9% of all taxable money fund assets.
European-affiliated holdings (including repo) rose by $88.2 billion in April to $715.8 billion; their share of holdings rose to 14.0% from last month's 13.8%. Eurozone-affiliated holdings rose to $461.9 billion from last month's $400.0 billion; they account for 9.0% of overall taxable money fund holdings. Asia & Pacific related holdings increased $14.7 billion to $315.8 billion (6.2% of the total). Americas related holdings jumped $460.2 billion to $4.086 trillion and now represent 79.8% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $269.2 billion, or -26.0%, to $766.3 billion, or 15.0% of assets); US Government Agency Repurchase Agreements (up $26.6 billion, or 5.8%, to $483.2 billion, or 9.4% of total holdings), and Other Repurchase Agreements (up $4.1 billion, or 9.3%, from last month to $48.3 billion, or 0.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $11.0 billion to $166.0 billion, or 3.2% of assets), Asset Backed Commercial Paper (up $4.1 billion to $62.7 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $5.0 billion to $59.3 billion, or 1.2%).
The 20 largest Issuers to taxable money market funds as of April 30, 2020, include: the US Treasury ($2,137.2 billion, or 41.7%), Federal Home Loan Bank ($710.1B, 13.9%), Fixed Income Clearing Co ($220.8B, 4.3%), BNP Paribas ($131.9B, 2.6%), RBC ($125.6B, 2.5%), Federal National Mortgage Association ($119.3B, 2.3%), JP Morgan ($115.9B, 2.3%), Federal Farm Credit Bank ($112.3B, 2.2%), Federal Home Loan Mortgage Co ($109.1B, 2.1%), Barclays ($85.5B, 1.7%), Mitsubishi UFJ Financial Group Inc ($72.7B, 1.4%), Credit Agricole ($66.9B, 1.3%), Sumitomo Mitsui Banking Co ($65.6B, 1.3%), Citi ($59.5B, 1.2%), Societe Generale ($52.7B, 1.0%), HSBC ($43.0B, 0.8%), Toronto-Dominion Bank ($42.6B, 0.8%), Bank of America ($40.6B, 0.8%), Bank of Nova Scotia ($40.2B, 0.8%) and Nomura ($39.4B, 0.8%).
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 ($220.8B, 17.0%), BNP Paribas ($121.7B, 9.4%), JP Morgan ($107.2B, 8.3%), RBC ($98.4B, 7.6%), Barclays ($65.1B, 5.0%), Mitsubishi UFJ Financial Group ($52.2B, 4.0%), Credit Agricole ($51.7B, 4.0%), Citi ($49.7B, 3.8%), Sumitomo Mitsui Banking Corp ($47.2B, 3.6%) and Societe Generale ($43.3B, 3.3%). Fed Repo positions among MMFs on 4/30/20 included: Franklin US Govt Money Market Fund ($1.7B) and DFA Short Term Investment Fund MMkt ($0.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($28.0B, 5.4%), RBC ($27.2B, 5.2%), Mizuho Corporate Bank Ltd ($22.5B, 4.3%), Bank of Nova Scotia ($20.6B, 4.0%), Mitsubishi UFJ Financial Group ($20.5B, 3.9%), Barclays ($20.5B, 3.9%), Sumitomo Mitsui Banking Co ($18.4B, 3.5%), Canadian Imperial Bank of Commerce ($17.9B, 3.4%), Natixis ($15.9B, 3.1%) and Svenska Handelsbanken ($15.3B, 2.9%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($15.3B, 6.8%), Sumitomo Mitsui Banking Co ($14.3B, 6.4%), Bank of Montreal ($12.5B, 5.6%), Toronto-Dominion Bank ($11.8B, 5.3%), Svenska Handelsbanken ($11.6B, 5.2%), Bank of Nova Scotia ($10.6B, 4.7%), Natixis ($9.7B, 4.3%), Mizuho Corporate Bank ($9.3B, 4.1%), Sumitomo Mitsui Trust Bank ($9.3B, 4.1%) and Credit Suisse ($7.8B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($21.0B, 8.8%), Toronto-Dominion Bank ($15.4B, 6.5%), Canadian Imperial Bank of Commerce ($10.2B, 4.3%), Bank of Nova Scotia ($9.8B, 4.1%), Societe Generale ($9.0B, 3.8%), JP Morgan ($8.6B, 3.6%), ING Bank ($7.9B, 3.3%), NRW.Bank ($7.8B, 3.3%), Barclays ($7.5B, 3.1%) and Credit Suisse ($6.7B, 2.8%).
The largest increases among Issuers include: the US Treasury (up $795.7 billion to $2.137 trillion), Federal National Mortgage Association (up $33.0B to $119.3B), Barclays PLC (up $27.4B to $85.5B), Credit Agricole (up $24.1B to $66.9B), JP Morgan (up $21.9B to $115.9B), Goldman Sachs (up $10.7B to $23.1B), Societe Generale (up $10.0B to $52.7B), Mizuho Corporate Bank Ltd (up $10.0B to $37.9B), BNP Paribas (up $9.0B to $131.9B) and Natixis (up $9.0B to $38.8B).
The largest decreases among Issuers of money market securities (including Repo) in April 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 73.9% of holdings, or $3.786 trillion. France (6.1%, $311.3B) was number two, and Canada (5.9%, $300.4B) was third. Japan (5.1%, $263.2B) occupied fourth place. The United Kingdom (3.3%, $167.9B) remained in fifth place. Germany (1.4%, $73.3B) was in sixth place, followed by The Netherlands (1.3%, $64.0B), Australia (0.8%, $39.6B), Sweden (0.7%, $35.0B) and Switzerland (0.6%, $31.6B). (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 April 30, 2020, Taxable money funds held 33.3% (down from 40.5%) of their assets in securities maturing Overnight, and another 11.0% maturing in 2-7 days (down from 12.5% last month). Thus, 44.3 % in total matures in 1-7 days. Another 16.9% matures in 8-30 days, while 14.1% matures in 31-60 days. Note that over three-quarters, or 75.3% 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 12.8% matures in 91-180 days, and just 3.3% matures beyond 181 days.
