Crane Data released its July Money Fund Portfolio Holdings Friday, and our most recent collection, with data as of June 30, 2020, shows another increase 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) decreased by $159.1 billion to $4.963 trillion last month, after increasing $31.6 billion in May, a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). Treasury securities broke 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 increased by $60.8 billion (2.5%) to $2.544 trillion, or 51.3% of holdings, after increasing $355.9 billion in May, $795.7 billion in April and $303.1 billion in March. Repurchase Agreements (repo) decreased by $124.3 billion (-11.6%) to $946.6 billion, or 19.1% of holdings, after decreasing $216.7 billion in May, $238.4 billion in April and increasing $225.1 billion in March. Government Agency Debt decreased by $65.2 billion (-6.9%) to $879.2 billion, or 17.7% of holdings, after decreasing $99.8 billion in May, increasing $6.9 billion in April and $292.5 billion in March. Repo, Treasuries and Agencies totaled $4.370 trillion, representing a massive 88.1% of all taxable holdings.

Money funds' holdings of CP, CDs, Other (mainly Time Deposits) and VDRNs all fell in June. Commercial Paper (CP) decreased $6.5 billion (-2.2%) to $286.8 billion, or 5.8% of holdings, after increasing $5.2 billion in May and decreasing $11.9 billion in April and $24.1 billion in March. Certificates of Deposit (CDs) fell by $9.1 billion (-4.2%) to $208.2 billion, or 4.2% of taxable assets, after decreasing $7.4 billion in May, increasing $12.6 billion in April and falling $74.3 billion in March. Other holdings, primarily Time Deposits, decreased $13.7 billion (-14.9%) to $78.0 billion, or 1.6% of holdings, after decreasing by $5.7 billion in May, $5.7 billion in April and $8.0 billion in March. VRDNs decreased to $19.4 billion, or 0.4% of assets, from $20.6 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 increased $19.0 billion to $1.154 trillion, or 23.3% of taxable money funds' $4.963 trillion total. Among Prime money funds, CDs represent 18.0% (down from 19.1% a month ago), while Commercial Paper accounted for 24.8% (down from 25.7%). The CP totals are comprised of: Financial Company CP, which makes up 14.2% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 6.7% in US Govt Agency Debt, 29.6% in US Treasury Debt, 3.4% in US Treasury Repo, 0.7% in Other Instruments, 3.7% in Non-Negotiable Time Deposits, 4.2% in Other Repo, 5.6% in US Government Agency Repo and 0.9% in VRDNs.

Government money fund portfolios totaled $2.558 trillion (51.5% of all MMF assets), down $98.0 billion from $2.656 trillion in June, while Treasury money fund assets totaled another $1.251 trillion (25.2%), down from $1.330 trillion the prior month. Government money fund portfolios were made up of 31.3% US Govt Agency Debt, 12.2% US Government Agency Repo, 44.3% US Treasury debt, 11.9% in US Treasury Repo, 0.2% in VRDNs and 0.1% in Investment Company. Treasury money funds were comprised of 85.6% US Treasury Debt, 14.3% in US Treasury Repo and 0.1% U.S. Government Agency Debt. Government and Treasury funds combined now total $3.809 trillion, or 76.7% of all taxable money fund assets.

European-affiliated holdings (including repo) fell by $92.3 billion in June to $546.9 billion; their share of holdings fell to 11.0% from last month's 12.5%. Eurozone-affiliated holdings fell to $353.5 billion from last month's $435.3 billion; they account for 7.1% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $17.8 billion to $272.5 billion (5.5% of the total). Americas related holdings fell $49.0 billion to $4.136 trillion and now represent 83.4% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $93.7 billion, or -15.2%, to $521.8 billion, or 10.5% of assets); US Government Agency Repurchase Agreements (down $30.2 billion, or -7.4%, to $376.1 billion, or 7.6% of total holdings), and Other Repurchase Agreements (down $0.5 billion, or -1.0%, from last month to $48.7 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $25.7 billion to $163.6 billion, or 3.3% of assets), Asset Backed Commercial Paper (up $1.2 billion to $69.7 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $33.4 billion to $53.5 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of June 30, 2020, include: the US Treasury ($2,544.4 billion, or 51.3%), Federal Home Loan Bank ($542.3B, 10.9%), Federal National Mortgage Association ($124.9B, 2.5%), Fixed Income Clearing Co ($111.3B, 2.2%), RBC ($109.1B, 2.2%), BNP Paribas ($106.8B, 2.2%), Federal Home Loan Mortgage Co ($103.7B, 2.1%), Federal Farm Credit Bank ($102.5B, 2.1%), JP Morgan ($86.3B, 1.7%), Mitsubishi UFJ Financial Group Inc ($62.4B, 1.3%), Citi ($55.8B, 1.1%), Sumitomo Mitsui Banking Co ($53.2B, 1.1%), Barclays ($51.7B, 1.0%), Toronto-Dominion Bank ($44.4B, 0.9%), Credit Agricole ($43.4B, 0.9%), Bank of Montreal ($39.7B, 0.8%), Bank of America ($37.2B, 0.7%), Canadian Imperial Bank of Commerce ($35.1B, 0.7%), Bank of Nova Scotia ($34.5B, 0.7%) and Societe Generale ($33.8B, 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 ($111.1B, 11.7%), BNP Paribas ($95.3B, 10.1%), RBC ($78.9B, 8.3%), JP Morgan ($75.5B, 8.0%), Citi ($47.5B, 5.0%), Mitsubishi UFJ Financial Group ($41.9B, 4.4%), Barclays ($36.0B, 3.8%), Sumitomo Mitsui Banking Corp ($34.1B, 3.6%), Bank of America ($33.8B, 3.6%) and Credit Agricole ($32.1B, 3.4%). Fed Repo positions among MMFs on 6/30/20 still include only Franklin US Govt Money Market Fund ($1.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($30.3B, 6.1%), Toronto-Dominion Bank ($29.2B, 5.9%), Mitsubishi UFJ Financial Group ($20.5B, 4.2%), Sumitomo Mitsui Banking Co ($19.1B, 3.9%), Canadian Imperial Bank of Commerce ($18.5B, 3.8%), Sumitomo Mitsui Trust Bank ($17.4B, 3.5%), Bank of Nova Scotia ($16.9B, 3.4%), Mizuho Corporate Bank Ltd ($16.7B, 3.4%), Barclays ($15.7B, 3.2%) and Credit Suisse ($13.3B, 2.7%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.1B, 7.2%), Mitsubishi UFJ Financial Group Inc ($15.0B, 7.2%), Toronto-Dominion Bank ($13.1B, 6.3%), Sumitomo Mitsui Trust Bank ($12.3B, 5.9%) Bank of Montreal ($11.1B, 5.4%), Natixis ($9.4B, 4.5%), Bank of Nova Scotia ($9.2B, 4.4%), Mizuho Corporate Bank Ltd ($9.2B, 4.4%), Svenska Handelsbanken ($8.7B, 4.2%) and Canadian Imperial Bank of Commerce ($7.5B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($18.0B, 7.3%), Toronto-Dominion Bank ($15.7B, 6.3%), JP Morgan ($10.8B, 4.4%), Societe Generale ($9.9B, 4.0%), Canadian Imperial Bank of Commerce ($9.8B, 3.9%), Caisse des Depots et Consignations ($8.9B, 3.6%), ING Bank ($7.3B, 2.9%), Barclays PLC ($7.2B, 2.9%), Credit Suisse ($7.2B, 2.9%) and Credit Suisse ($7.0B, 2.8%).

The largest increases among Issuers include: the US Treasury (up $60.8B to $2.544 trillion), Toronto-Dominion Bank (up $5.2B to $44.4B), Citi (up $4.9B to $55.8B), Bank of Montreal (up $4.4B to $39.7B), Sumitomo Mitsui Trust Bank (up $4.1B to $23.0B), Federal Home Loan Mortgage Corp (up $2.2B to $103.7B), Skandinaviska Enskilda Banken AB (up $1.5B to $9.6B), Wells Fargo (up $1.4B to $29.2B), UBS AG (up $1.3B to $9.5B) and Caisse des Depots et Consignations (up $1.3B to $9.1B).

The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Federal Home Loan Bank (down $64.1B to $542.3B), Fixed Income Clearing Corp (down $24.9B to $111.3B), BNP Paribas (down $21.5B to $106.8B), JP Morgan (down $13.5B to $86.3B), Societe Generale (down $12.4B to $33.8B), Credit Agricole (down $11.3B to $43.4B), Barclays PLC (down $8.3B to $51.7B), Natixis (down $7.4B to $26.6B), Deutsche Bank AG (down $7.0B to $13.7B) and RBC (down $6.6B to $109.1B).

The United States remained the largest segment of country-affiliations; it represents 77.7% of holdings, or $3.856 trillion. Canada (5.6%, $279.5B) was number two, and France (4.8%, $236.7B) was third. Japan (4.5%, $222.5B) occupied fourth place. The United Kingdom (2.3%, $114.7B) remained in fifth place. Germany (1.2%, $58.0B) was in sixth place, followed by The Netherlands (1.1%, $52.5B), Sweden (0.7%, $35.9B), Australia (0.7%, $32.2B) 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 June 30, 2020, Taxable money funds held 28.7% (down from 32.4%) of their assets in securities maturing Overnight, and another 9.2% maturing in 2-7 days (down from 10.3% last month). Thus, 37.9% in total matures in 1-7 days. Another 18.1% matures in 8-30 days, while 14.7% matures in 31-60 days. Note that over three-quarters, or 70.0% 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 11.8% of taxable securities, while 14.9% matures in 91-180 days, and just 2.7% matures beyond 181 days.

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