Crane Data released its August Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of July 31, 2020, shows an increase in Repo and big drops in Treasuries and Government Agency Debt last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $83.1 billion to $4.879 trillion last month, after decreasing $159.1 billion in June, increasing $31.6 billion in May, increasing a staggering $529.4 billion in April and $725.6 billion in March (and $5.0 billion in February). Treasury securities 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 decreased by $79.9 billion (-3.1%) to $2.464 trillion, or 50.5% of holdings, after increasing $60.8 billion in June, $355.9 billion in May and $795.7 billion in April. Repurchase Agreements (repo) increased by $40.0 billion (4.2%) to $986.7 billion, or 20.2% of holdings, after decreasing $124.3 billion in June, $216.7 billion in May and $238.4 billion in April. Government Agency Debt decreased by $45.1 billion (-5.1%) to $834.1 billion, or 17.1% of holdings, after decreasing $65.2 billion in June, $99.8 billion in May and increasing $6.9 billion in April. Repo, Treasuries and Agencies totaled $4.285 trillion, representing a massive 87.8% of all taxable holdings.

Money funds' holdings of CP and CDs fell in July, while Other (mainly Time Deposits) and VDRNs saw asset increases. Commercial Paper (CP) decreased $10.7 billion (-3.7%) to $276.1 billion, or 5.7% of holdings, after decreasing $6.5 billion in June, increasing $5.2 billion in May and decreasing $11.9 billion in April. Certificates of Deposit (CDs) fell by $12.3 billion (-5.9%) to $195.8 billion, or 4.0% of taxable assets, after decreasing $9.1 billion in June, $7.4 billion in May and increasing $12.6 billion in April. Other holdings, primarily Time Deposits, increased $22.3 billion (28.6%) to $100.3 billion, or 2.1% of holdings, after decreasing by $13.7 billion in June, $5.7 billion in May and $5.7 billion in April. VRDNs increased to $22.0 billion, or 0.5% of assets, from $19.4 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 $20.0 billion to $1.134 trillion, or 23.2% of taxable money funds' $4.879 trillion total. Among Prime money funds, CDs represent 17.3% (down from 18.0% a month ago), while Commercial Paper accounted for 24.3% (down from 24.8%). The CP totals are comprised of: Financial Company CP, which makes up 13.6% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 8.1% in US Govt Agency Debt, 28.1% in US Treasury Debt, 3.3% in US Treasury Repo, 0.6% in Other Instruments, 5.3% in Non-Negotiable Time Deposits, 4.2% in Other Repo, 4.7% in US Government Agency Repo and 1.1% in VRDNs.

Government money fund portfolios totaled $2.503 trillion (51.3% of all MMF assets), down $55.0 billion from $2.558 trillion in June, while Treasury money fund assets totaled another $1.243 trillion (25.5%), down from $1.251 trillion the prior month. Government money fund portfolios were made up of 29.6% US Govt Agency Debt, 12.5% US Government Agency Repo, 44.6% US Treasury debt, 12.8% in US Treasury Repo, 0.2% in VRDNs and 0.2% in Investment Company. Treasury money funds were comprised of 82.8% US Treasury Debt and 17.1% in US Treasury Repo. Government and Treasury funds combined now total $3.746 trillion, or 76.8% of all taxable money fund assets.

European-affiliated holdings (including repo) rose by $77.6 billion in July to $624.5 billion; their share of holdings rose to 12.8% from last month's 11.0%. Eurozone-affiliated holdings rose to $424.3 billion from last month's $353.5 billion; they account for 8.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $3.1 billion to $269.4 billion (5.5% of the total). Americas related holdings fell $157 billion to $3.979 trillion and now represent 81.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $48.9 billion, or 9.4%, to $570.7 billion, or 11.7% of assets); US Government Agency Repurchase Agreements (down $8.0 billion, or -2.1%, to $368.1 billion, or 7.5% of total holdings), and Other Repurchase Agreements (down $0.8 billion, or -1.7%, from last month to $47.9 billion, or 1.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.4 billion to $154.2 billion, or 3.2% of assets), Asset Backed Commercial Paper (down $3.6 billion to $66.1 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $2.3 billion to $55.7 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of July 31, 2020, include: the US Treasury ($2,464.4 billion, or 50.5%), Federal Home Loan Bank ($510.3B, 10.5%), Federal National Mortgage Association ($121.5B, 2.5%), BNP Paribas ($118.1B, 2.4%), Fixed Income Clearing Co ($105.7B, 2.2%), Federal Farm Credit Bank ($101.3B, 2.1%), RBC ($101.2B, 2.1%), Federal Home Loan Mortgage Co ($95.4B, 2.0%), JP Morgan ($87.9B, 1.8%), Credit Agricole ($72.2B, 1.5%), Mitsubishi UFJ Financial Group Inc ($63.8B, 1.3%), Barclays ($58.6B, 1.2%), Citi ($53.3B, 1.1%), Sumitomo Mitsui Banking Co ($47.1B, 1.0%), Toronto-Dominion Bank ($41.8B, 0.9%), Societe Generale ($41.4B, 0.8%), Bank of Montreal ($41.1B, 0.8%), Bank of America ($33.4B, 0.7%), Mizuho Corporate Bank Ltd ($32.4B, 0.7%) and Canadian Imperial Bank of Commerce ($32.0B, 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: BNP Paribas ($108.7B, 11.0%), Fixed Income Clearing Co ($105.5B, 10.7%), JP Morgan ($77.8B, 7.9%), RBC ($74.0B, 7.5%), Credit Agricole ($53.7B, 5.4%), Citi ($45.4B, 4.6%), Mitsubishi UFJ Financial Group ($43.3B, 4.4%), Barclays ($40.9B, 4.1%), Societe Generale ($32.3B, 3.3%) and Bank of America ($30.5B, 3.1%). Fed Repo positions among MMFs on 7/31/20 still include only Franklin US Govt Money Market Fund ($0.2B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($27.8B, 5.7%), RBC ($27.2B, 5.6%), Mizuho Corporate Bank Ltd ($21.5B, 4.4%), Mitsubishi UFJ Financial Group ($20.5B, 4.2%), Sumitomo Mitsui Banking Co ($19.4B, 4.0%), Credit Agricole ($18.5B, 3.8%), Barclays ($17.7B, 3.6%), Sumitomo Mitsui Trust Bank ($17.6B, 3.6%), Canadian Imperial Bank of Commerce ($16.2B, 3.3%) and Bank of Montreal ($13.8B, 2.8%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($15.9B, 8.1%), Mitsubishi UFJ Financial Group Inc ($15.5B, 7.9%), Bank of Montreal ($12.6B, 6.4%), Toronto-Dominion Bank ($11.7B, 6.0%), Sumitomo Mitsui Trust Bank ($11.6B, 5.9%), Mizuho Corporate Bank Ltd ($11.3B, 5.8%), Bank of Nova Scotia ($7.9B, 4.0%), Natixis ($7.7B, 3.9%), Svenska Handelsbanken ($7.5B, 3.8%) and Landesbank Baden-Wurttemberg ($7.4B, 3.8%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($17.3B, 7.3%), Toronto-Dominion Bank ($15.1B, 6.4%), JP Morgan ($10.1B, 4.3%), Societe Generale ($8.2B, 3.5%), Caisse des Depots et Consignations ($7.6B, 3.2%), NRW.Bank ($7.5B, 3.2%), Canadian Imperial Bank of Commerce ($7.4B, 3.1%), FMS Wertmanagement ($7.2B, 3.1%), Credit Suisse ($6.9B, 2.9%) and BNP Paribas ($6.5B, 2.7%).

The largest increases among Issuers include: Credit Agricole (up $28.7B to $72.2B), BNP Paribas (up $11.3B to $118.1B), Societe Generale (up $7.6B to $41.4B), Mizuho Corporate Bank Ltd (up $7.3B to $32.4B), Barclays PLC (up $6.9B to $58.6B), Credit Suisse (up $6.0B to $25.0B), Deutsche Bank AG (up $4.9B to $18.6B), Landesbank Baden-Wurttemberg (up $2.7B to $10.6B), DNB ASA (up $2.5B to $12.4B) and Lloyds Banking Group (up $2.4B to $11.0B).

The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the US Treasury (down $79.9B to $2,464.4B), Federal Home Loan Bank (down $32.0B to $510.3B), Federal Home Loan Mortgage Corp (down $8.3B to $95.4B), RBC (down $8.0B to $101.2B), Bank of Nova Scotia (down $6.8B to $27.7B), Sumitomo Mitsui Banking Corp (down $6.1B to $47.1B), Fixed Income Clearing Corp (down $5.6B to $105.7B), Bank of America (down $3.7B to $33.4B), Federal National Mortgage Association (down $3.5B to $121.5B) and HSBC (down $3.4B to $27.5B).

The United States remained the largest segment of country-affiliations; it represents 76.2% of holdings, or $3.720 trillion. France (5.9%, $285.8B) was number two, and Canada (5.3%, $258.5B) was third. Japan (4.6%, $223.9B) occupied fourth place. The United Kingdom (2.5%, $120.3B) remained in fifth place. Germany (1.5%, $72.8B) was in sixth place, followed by The Netherlands (1.2%, $56.7B), Switzerland (0.7%, $35.7B), Australia (0.6%, $29.3B) and Sweden (0.6%, $29.2B). (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 July 31, 2020, Taxable money funds held 29.3% (up from 28.7%) of their assets in securities maturing Overnight, and another 11.0% maturing in 2-7 days (up from 9.2% last month). Thus, 40.3% in total matures in 1-7 days. Another 14.6% matures in 8-30 days, while 16.4% matures in 31-60 days. Note that over three-quarters, or 71.3% 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 12.2% of taxable securities, while 13.9% matures in 91-180 days, and just 2.7% matures beyond 181 days.

Email This Article

Use a comma or a semicolon to separate

captcha image