Crane Data released its September Money Fund Portfolio Holdings Thursday, and our most recent collection, with data as of August 31, 2020, shows an increase in Repo and Treasuries and drops in CP and Government Agency Debt last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $12.7 billion to $4.867 trillion last month, after decreasing $83.1 billion in July and $159.1 billion in June, and increasing $31.6 billion in May, and a staggering $529.4 billion in April and $725.6 billion in March. 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 increased by $3.1 billion (0.1%) to $2.468 trillion, or 50.7% of holdings, after decreasing $79.9 billion in July and increasing $60.8 billion in June and $355.9 billion in May. Repurchase Agreements (repo) increased by $60.8 billion (6.2%) to $1.048 trillion, or 21.5% of holdings, after increasing $40.0 billion in July, and decreasing $124.3 billion in June and $216.7 billion in May. Government Agency Debt decreased by $37.6 billion (-4.5%) to $796.5 billion, or 16.4% of holdings, after decreasing $45.1 billion in July, $65.2 billion in June and $99.8 billion in May. Repo, Treasuries and Agencies totaled $4.312 trillion, representing a massive 88.6% of all taxable holdings.

Money funds' holdings of CP, CDs and VDRNs fell in August, while Other (mainly Time Deposits) saw assets increase. Commercial Paper (CP) decreased $32.5 billion (-11.8%) to $243.5 billion, or 5.0% of holdings, after decreasing $10.7 billion in July, $6.5 billion in June and increasing $5.2 billion in May. Certificates of Deposit (CDs) fell by $19.0 billion (-9.8%) to $176.9 billion, or 3.6% of taxable assets, after decreasing $12.3 billion in July, $9.1 billion in June and $7.4 billion in May. Other holdings, primarily Time Deposits, increased $15.3 billion (15.2%) to $115.6 billion, or 2.4% of holdings, after increasing $22.3 billion in July and decreasing by $13.7 billion in June and $5.7 billion in May. VRDNs decreased to $19.1 billion, or 0.4% of assets, from $22.0 billion the previous month. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Friday.)

Prime money fund assets tracked by Crane Data increased $2.0 billion to $1.136 trillion, or 23.3% of taxable money funds' $4.867 trillion total. Among Prime money funds, CDs represent 15.6% (down from 17.3% a month ago), while Commercial Paper accounted for 21.4% (down from 24.3%). The CP totals are comprised of: Financial Company CP, which makes up 12.6% of total holdings, Asset-Backed CP, which accounts for 4.9%, and Non-Financial Company CP, which makes up 3.9%. Prime funds also hold 9.0% in US Govt Agency Debt, 28.4% in US Treasury Debt, 4.9% in US Treasury Repo, 0.5% in Other Instruments, 6.3% in Non-Negotiable Time Deposits, 5.4% in Other Repo, 4.7% in US Government Agency Repo and 0.9% in VRDNs.

Government money fund portfolios totaled $2.505 trillion (51.5% of all MMF assets), up $2.0 billion from $2.503 trillion in July, while Treasury money fund assets totaled another $1.226 trillion (25.2%), down from $1.243 trillion the prior month. Government money fund portfolios were made up of 27.7% US Govt Agency Debt, 13.5% US Government Agency Repo, 44.8% US Treasury debt, 13.4% in US Treasury Repo, 0.2% in VRDNs , 0.1% in Investment Company and 0.2% in Other Instrument. Treasury money funds were comprised of 83.5% US Treasury Debt and 16.4% in US Treasury Repo. Government and Treasury funds combined now total $3.731 trillion, or 76.7% of all taxable money fund assets.

European-affiliated holdings (including repo) rose by $35.4 billion in August to $659.9 billion; their share of holdings rose to 13.6% from last month's 12.8%. Eurozone-affiliated holdings rose to $456.7 billion from last month's $424.3 billion; they account for 9.4% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $21.3 billion to $248.1 billion (5.1% of the total). Americas related holdings fell $26.0 billion to $3.952 trillion and now represent 81.2% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $22.9 billion, or 4.0%, to $593.5 billion, or 12.2% of assets); US Government Agency Repurchase Agreements (up $24.2 billion, or 6.6%, to $392.3 billion, or 8.1% of total holdings), and Other Repurchase Agreements (up $13.7 billion, or 28.7%, from last month to $61.6 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $10.7 billion to $143.5 billion, or 2.9% of assets), Asset Backed Commercial Paper (down $10.7 billion to $55.4 billion, or 1.1%), and Non-Financial Company Commercial Paper (down $11.1 billion to $44.6 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of August 31, 2020, include: the US Treasury ($2,467.5 billion, or 50.7%), Federal Home Loan Bank ($491.3B, 10.1%), BNP Paribas ($129.2B, 2.7%), Federal National Mortgage Association ($116.2B, 2.4%), Fixed Income Clearing Co ($113.2B, 2.3%), RBC ($102.5B, 2.1%), Federal Farm Credit Bank ($99.7B, 2.0%), JP Morgan ($91.2B, 1.9%), Federal Home Loan Mortgage Co ($84.3B, 1.7%), Credit Agricole ($73.0B, 1.5%), Mitsubishi UFJ Financial Group Inc ($67.8B, 1.4%), Barclays ($59.7B, 1.2%), Citi ($53.8B, 1.1%), Sumitomo Mitsui Banking Co ($49.4B, 1.0%), Societe Generale ($42.7B, 0.9%), Toronto-Dominion Bank ($41.2B, 0.8%), Bank of Montreal ($40.2B, 0.8%), Bank of America ($37.0B, 0.8%), Mizuho Corporate Bank Ltd ($34.8B, 0.7%) and Canadian Imperial Bank of Commerce ($32.7B, 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 ($115.1B, 11.0%), Fixed Income Clearing Co ($113.0B, 10.8%), JP Morgan ($80.9B, 7.7%), RBC ($78.1B, 7.5%), Credit Agricole ($53.8B, 5.1%), Citi ($45.9B, 4.4%), Mitsubishi UFJ Financial Group ($45.2B, 4.3%), Barclays ($42.4B, 4.1%), Bank of America ($34.5B, 3.3%) and Societe Generale ($33.7B, 3.2%).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($24.4B, 5.3%), Toronto-Dominion Bank ($24.1B, 5.2%), Mitsubishi UFJ Financial Group ($22.6B, 4.9%), Mizuho Corporate Bank Ltd ($19.7B, 4.3%), Credit Agricole ($19.2B, 4.2%), Sumitomo Mitsui Trust Bank ($17.3B, 3.7%), Barclays ($17.3B, 3.7%), Sumitomo Mitsui Banking Co ($17.0B, 3.7%), Canadian Imperial Bank of Commerce ($16.1B, 3.5%) and BNP Paribas ($14.1B, 3.1%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($15.1B, 8.5%), Sumitomo Mitsui Banking Co ($13.7B, 7.7%), Bank of Montreal ($13.0B, 7.4%), Sumitomo Mitsui Trust Bank ($11.2B, 6.3%), Mizuho Corporate Bank Ltd ($10.9B, 6.2%), Toronto-Dominion Bank ($9.2B, 5.2%), Canadian Imperial Bank of Commerce ($7.2B, 4.1%), Bank of Nova Scotia ($6.9B, 3.9%), Credit Suisse ($6.6B, 3.7%) and Svenska Handelsbanken ($6.3B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($13.8B, 6.6%), Toronto-Dominion Bank ($13.3B, 6.4%), JP Morgan ($10.3B, 5.0%), Societe Generale ($8.3B, 4.0%), Canadian Imperial Bank of Commerce ($7.6B, 3.7%), BNP Paribas ($6.7B, 3.2%), Barclays ($6.4B, 3.1%), Citi ($6.3B, 3.0%), NRW.Bank ($6.2B, 3.0%) and Caisse des Depots et Consignations ($6.2B, 3.0%).

The largest increases among Issuers include: BNP Paribas (up $11.0B to $129.2B), Fixed Income Clearing Corp (up $7.5B to $113.2B), Mitsubishi UFJ Financial Group Inc (up $4.0B to $67.8B), Bank of America (up $3.5B to $37.0B), DNB ASA (up $3.5B to $15.9B), JP Morgan (up $3.3B to $91.2B), the US Treasury (up $3.0B to $2,467.5B), Mizuho Corporate Bank Ltd (up $2.4B to $2.4B to $34.8B), Goldman Sachs (up $2.4B to $22.4B) and Sumitomo Mitsui Banking Corp (up $2.4B to $49.4B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: the Federal Home Loan Bank (down $19.0B to $491.3B), Federal Home Loan Mortgage Corp (down $11.0B to $84.3B), Federal National Mortgage Association (down $5.3B to $116.2B), Credit Suisse (down $3.9B to $21.1B), Wells Fargo (down $3.8B to $23.2B), Federal Farm Credit Bank (down $1.6B to $99.7B), Deutsche Bank AG (down $1.3B to $17.3B), Landesbank Baden-Wurttemberg (down $1.2B to $9.4B), Bank of Nova Scotia (down $1.1B to $26.6B) and National Australia Bank Ltd (down $1.)B to $7.4B).

The United States remained the largest segment of country-affiliations; it represents 76.0% of holdings, or $3.696 trillion. France (6.1%, $294.8B) was number two, and Canada (5.3%, $256.1B) was third. Japan (4.8%, $235.6B) occupied fourth place. The United Kingdom (2.5%, $121.2B) remained in fifth place. Germany (1.4%, $66.6B) was in sixth place, followed by The Netherlands (1.1%, $54.9B), Sweden (0.7%, $31.9B), Switzerland (0.6%, $31.3B) and Australia (0.6%, $28.6B). (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 August 31, 2020, Taxable money funds held 36.0% (up from 29.3%) of their assets in securities maturing Overnight, and another 6.9% maturing in 2-7 days (down from 11.0% last month). Thus, 42.9% in total matures in 1-7 days. Another 16.6% matures in 8-30 days, while 13.9% matures in 31-60 days. Note that close to three-quarters, or 73.4% 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 10.6% of taxable securities, while 13.5% matures in 91-180 days, and just 2.4% matures beyond 181 days.

Email This Article

Use a comma or a semicolon to separate

captcha image