Crane Data released its June Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of May 31, 2020, shows another jump in Treasuries and big drops in Government Agency Debt and Repo last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $31.6 billion to $5.122 trillion last month, after increasing a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). Treasury securities moved towards the $2.5 trillion level, and remained 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 jumped by $355.9 billion (16.7%) to $2.484 trillion, or 48.5% of holdings, after increasing $795.7 billion in April, $303.1 billion in March, and $10.4 billion in February. Repurchase Agreements (repo) decreased by $216.7 billion (-16.8%) to $1.071 trillion, or 20.9% of holdings, after decreasing $238.4 billion in April and increasing $225.1 billion in March and $10.9 billion in February. Government Agency Debt decreased by $99.8 billion (-9.6%) to $944.4 billion, or 18.4% of holdings, after increasing $6.9 billion in April and $292.5 billion in March but decreasing $9.7 billion in February. Repo, Treasuries and Agencies totaled $4.499 trillion, representing a massive 87.8% of all taxable holdings.

Money funds' holdings of CDs and Other (mainly Time Deposits) securities fell in May while VDRN and CP holdings rose. Commercial Paper (CP) increased $5.2 billion (1.8%) to $293.2 billion, or 5.7% of holdings, after decreasing $11.9 billion in April, $24.1 billion in March and $1.2 billion in February. Certificates of Deposit (CDs) fell by $7.4 billion (-3.3%) to $217.3 billion, or 4.2% of taxable assets, after increasing $12.6 billion in April, but falling $74.3 billion in March and $3.8 billion in February. Other holdings, primarily Time Deposits, decreased $5.7 billion (-5.9%) to $91.7 billion, or 1.8% of holdings, after decreasing by $5.7 billion in April, $8.0 billion in March and $1.5 billion in February. VRDNs increased to $20.6 billion, or 0.4% of assets, from $20.4 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 increased $59.0 billion to $1.135 trillion, or 22.2% of taxable money funds' $5.122 trillion total. Among Prime money funds, CDs represent 19.1% (down from 20.9% a month ago), while Commercial Paper accounted for 25.7% (down from 26.7%). The CP totals are comprised of: Financial Company CP, which makes up 12.1% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 7.6%. Prime funds also hold 5.0% in US Govt Agency Debt, 27.9% in US Treasury Debt, 3.8% in US Treasury Repo, 0.7% in Other Instruments, 4.8% in Non-Negotiable Time Deposits, 4.3% in Other Repo, 5.2% in US Government Agency Repo and 1.0% in VRDNs.

Government money fund portfolios totaled $2.656 trillion (51.9% of all MMF assets), down $34.0 billion from $2.690 trillion in April, while Treasury money fund assets totaled another $1.330 trillion (26.0%), down from $1.354 trillion the prior month. Government money fund portfolios were made up of 33.4% US Govt Agency Debt, 13.1% US Government Agency Repo, 38.3% US Treasury debt, 14.7% in US Treasury Repo, 0.2% in VRDNs and 0.2% in Investment Company. Treasury money funds were comprised of 86.3% US Treasury Debt, 13.6% in US Treasury Repo and 0.1% U.S. Government Agency Debt. Government and Treasury funds combined now total $4.044 trillion, or 78.9% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $76.6 billion in May to $639.2 billion; their share of holdings fell to 12.5% from last month's 14.0%. Eurozone-affiliated holdings fell to $435.3 billion from last month's $461.9 billion; they account for 8.5% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $25.5 billion to $290.3 billion (5.7% of the total). Americas related holdings jumped $99.0 billion to $4.185 trillion and now represent 81.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $147.9 billion, or -19.4%, to $615.5 billion, or 12.0% of assets); US Government Agency Repurchase Agreements (down $69.7 billion, or -14.6%, to $406.3 billion, or 7.9% of total holdings), and Other Repurchase Agreements (up $0.9 billion, or 1.9%, from last month to $49.2 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $28.1 billion to $137.9 billion, or 2.7% of assets), Asset Backed Commercial Paper (up $5.8 billion to $68.5 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $27.6 billion to $86.8 billion, or 1.7%).

The 20 largest Issuers to taxable money market funds as of May 31, 2020, include: the US Treasury ($2,483.5 billion, or 48.5%), Federal Home Loan Bank ($606.4B, 11.8%), Fixed Income Clearing Co ($136.2B, 2.7%), BNP Paribas ($128.4B, 2.5%), Federal National Mortgage Association ($123.7B, 2.4%), RBC ($115.7B, 2.3%), Federal Farm Credit Bank ($107.6B, 2.1%), Federal Home Loan Mortgage Co ($101.5B, 2.0%), JP Morgan ($99.8B, 1.9%), Mitsubishi UFJ Financial Group Inc ($65.0B, 1.3%), Barclays ($60.0B, 1.2%), Sumitomo Mitsui Banking Co ($59.5B, 1.2%), Credit Agricole ($54.7B, 1.1%), Citi ($50.9B, 1.0%), Societe Generale ($46.2B, 0.9%), Toronto-Dominion Bank ($39.3B, 0.8%), Bank of Nova Scotia ($38.7B, 0.8%), Bank of America ($37.7B, 0.7%), Canadian Imperial Bank of Commerce ($36.8B, 0.7%) and Bank of Montreal ($35.4B, 0.7%).

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 ($136.2B, 12.7%), BNP Paribas ($117.3B, 11.0%), JP Morgan ($89.7B, 8.4%), RBC ($89.0B, 8.3%), Mitsubishi UFJ Financial Group ($45.0B, 4.2%), Citi ($41.5B, 3.9%), Barclays ($39.4B, 3.7%), Sumitomo Mitsui Banking Corp ($39.1B, 3.7%), Credit Agricole ($38.8B, 3.6%) and Societe Generale ($35.6B, 3.3%). Fed Repo positions among MMFs on 5/31/20 included: Franklin US Govt Money Market Fund ($1.3B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($26.7B, 5.2%), Toronto-Dominion Bank ($25.4B, 5.0%), Barclays ($20.6B, 4.1%), Sumitomo Mitsui Banking Co ($20.4B, 4.0%), Mitsubishi UFJ Financial Group ($20.5B, 3.9%), Bank of Nova Scotia ($19.1B, 3.8%), Canadian Imperial Bank of Commerce ($17.4B, 3.4%), Credit Agricole ($15.9B, 3.1%) and Mizuho Corporate Bank Ltd ($14.9B, 2.9%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.8B, 7.3%), Mitsubishi UFJ Financial Group Inc ($15.1B, 7.0%), Toronto-Dominion Bank ($11.6B, 5.4%), Sumitomo Mitsui Trust Bank ($11.5B, 5.3%) Bank of Montreal ($10.6B, 4.9%), Svenska Handelsbanken ($10.3B, 4.7%), Bank of Nova Scotia ($10.1B, 4.7%), Natixis ($10.1B, 4.6%), Credit Suisse ($7.4B, 3.4%) and Nordea Bank ($7.4B, 3.4%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($20.0B, 8.1%), Toronto-Dominion Bank ($13.3B, 5.4%), Societe Generale ($10.1B, 4.1%), JP Morgan ($10.1B, 4.1%), Canadian Imperial Bank of Commerce ($9.6B, 3.9%), Bank of Nova Scotia ($8.5B, 3.5%), BNP Paribas ($8.3B, 3.4%), NRW.Bank ($7.9B, 3.2%), Caisse des Depots et Consignations ($7.6B, 3.1%) and ING Bank ($7.2B, 2.9%).

The largest increases among Issuers include: the US Treasury (up $346.3B to $2,483.5 trillion), Federal National Mortgage Association (up $4.4B to $123.7B), Nordea Bank (up $4.3B to $11.9B), Sumitomo Mitsui Trust Bank (up $2.5B to $18.9B), Australia & New Zealand Banking Group Ltd (up $1.4B to $14.3B), Landesbank Baden-Wurttemberg (up $0.9B to $8.5B), Norinchukin Bank (up $0.6B to $14.2B), Daiwa Securities Group Inc (up $0.4B to $11.1B), NRW.Bank (up $0.4B to $8.3B) and ABN Amro Bank (up $0.2B to $13.8B).

The largest decreases among Issuers of money market securities (including Repo) in May were shown by: Federal Home Loan Bank (down $103.7B to $606.4B), Fixed Income Clearing Corp (down $84.6B to $136.2B), Barclays PLC (down $25.5B to $60.0B), JP Morgan (down $16.0B to $99.8B), Credit Agricole (down $12.2B to $54.7B), RBC (down $9.9B to $115.7B), HSBC (down $9.9B to $33.1B), Mizuho Corporate Bank Ltd (down $8.6B to $29.2B), Citi (down $8.5B to $50.9B) and Mitsubishi UFJ Financial Group Inc (down $7.7B to $65.0B).

The United States remained the largest segment of country-affiliations; it represents 76.2% of holdings, or $3.901 trillion. France (5.7%, $292.5B) was number two, and Canada (5.5%, $283.7B) was third. Japan (4.7%, $239.0B) occupied fourth place. The United Kingdom (2.4%, $125.1B) remained in fifth place. Germany (1.4%, $71.8B) was in sixth place, followed by The Netherlands (1.2%, $60.6B), Australia (0.8%, $38.4B), Sweden (0.7%, $36.1B) and Switzerland (0.6%, $30.2B). (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 May 31, 2020, Taxable money funds held 32.4% (down from 33.3%) of their assets in securities maturing Overnight, and another 10.3% maturing in 2-7 days (down from 11.0% last month). Thus, 42.7 % in total matures in 1-7 days. Another 18.3% matures in 8-30 days, while 13.9% matures in 31-60 days. Note that over three-quarters, or 74.9% 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 9.8% of taxable securities, while 13.0% matures in 91-180 days, and just 2.3% matures beyond 181 days.

Email This Article

Use a comma or a semicolon to separate

captcha image