Crane Data released its November Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of October 31, 2020, shows a decrease in every category except Other (Time Deposits) and VRDNs last month. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) decreased by $148.0 billion to $4.624 trillion last month, after decreasing $94.3 billion in September, $12.7 billion in August, $83.1 billion in July and $159.1 billion in June. Money market securities increased $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 decreased by $39.8 billion (-1.6%) to $2.422 trillion, or 52.4% of holdings, after decreasing $6.3 billion in September, increasing $3.1 billion in August and decreasing $79.9 billion in July. Repurchase Agreements (repo) decreased by $58.4 billion (-5.6%) to $982.3 billion, or 21.2% of holdings, after decreasing $6.7 billion in September, increasing $60.8 billion in August and increasing $40.0 billion in July. Government Agency Debt decreased by $50.5 billion (-6.6%) to $717.9 billion, or 15.5% of holdings, after decreasing $28.1 billion in September, $37.6 billion in August and $45.1 billion in July. Repo, Treasuries and Agencies totaled $4.122 trillion, representing a massive 89.1% of all taxable holdings.
Money funds' holdings of CP and CDs fell in October, while Other (mainly Time Deposits) and VDRNs saw assets increase. Commercial Paper (CP) decreased $9.7 billion (-4.2%) to $222.2 billion, or 4.8% of holdings, after decreasing $11.6 billion in September, $32.5 billion in August and $10.7 billion in July. Certificates of Deposit (CDs) fell by $8.4 billion (-5.4%) to $147.7 billion, or 3.2% of taxable assets, after decreasing $20.8 billion in September, $19.0 billion in August and $12.3 billion in July. Other holdings, primarily Time Deposits, increased $18.4 billion (19.5%) to $113.0 billion, or 2.4% of holdings, after decreasing $21.0 billion in September, increasing $15.3 billion in August and $22.3 billion in July. VRDNs increased to $19.8 billion, or 0.4% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately late Thursday.)
Prime money fund assets tracked by Crane Data dropped $39.0 billion to $948.0 billion, or 20.5% of taxable money funds' $4.624 trillion total. Among Prime money funds, CDs represent 15.6% (down from 15.8% a month ago), while Commercial Paper accounted for 23.4% (down from 23.5%). The CP totals are comprised of: Financial Company CP, which makes up 14.7% of total holdings, Asset-Backed CP, which accounts for 5.0%, and Non-Financial Company CP, which makes up 3.7%. Prime funds also hold 6.1% in US Govt Agency Debt, 28.1% in US Treasury Debt, 4.0% in US Treasury Repo, 0.6% in Other Instruments, 7.1% in Non-Negotiable Time Deposits, 5.3% in Other Repo, 5.2% in US Government Agency Repo and 1.1% in VRDNs.
Government money fund portfolios totaled $2.532 trillion (54.8% of all MMF assets), down $84.0 billion from $2.616 trillion in September, while Treasury money fund assets totaled another $1.145 trillion (24.8%), down from $1.170 trillion the prior month. Government money fund portfolios were made up of 26.1% US Govt Agency Debt, 13.1% US Government Agency Repo, 48.7% US Treasury debt, 11.5% in US Treasury Repo, 0.2% in VRDNs, 0.3% in Other Instruments and 0.1% in Investment Company . Treasury money funds were comprised of 83.9% US Treasury Debt and 16.0% in US Treasury Repo. Government and Treasury funds combined now total $3.677 trillion, or 79.6% of all taxable money fund assets.
European-affiliated holdings (including repo) increased by $4.2 billion in October to $630.6 billion; their share of holdings rose to 13.6% from last month's 13.1%. Eurozone-affiliated holdings rose to $449.7 billion from last month's $430.0 billion; they account for 9.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased $5.1 billion to $221.9 billion (4.8% of the total). Americas related holdings fell $147.0 billion to $3.768 trillion and now represent 81.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $71.8 billion, or -11.5%, to $551.6 billion, or 11.9% of assets); US Government Agency Repurchase Agreements (up $11.4 billion, or 3.1%, to $380.7 billion, or 8.2% of total holdings), and Other Repurchase Agreements (up $2.0 billion, or 4.2%, from last month to $50.0 billion, or 1.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.0 billion to $139.4 billion, or 3.0% of assets), Asset Backed Commercial Paper (down $4.5 billion to $47.8 billion, or 1.0%), and Non-Financial Company Commercial Paper (down $3.2 billion to $35.0 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2020, include: the US Treasury ($2,421.2 billion, or 52.4%), Federal Home Loan Bank ($430.8B, 9.3%), BNP Paribas ($137.9B, 3.0%), Federal National Mortgage Association ($102.6B, 2.2%), Federal Farm Credit Bank ($98.7B, 2.1%), Fixed Income Clearing Co ($97.0B, 2.1%), RBC ($91.1B, 2.0%), JP Morgan ($86.5B, 1.9%), Federal Home Loan Mortgage Co ($73.9B, 1.6%), Credit Agricole ($62.4B, 1.4%), Mitsubishi UFJ Financial Group Inc ($60.2B, 1.3%), Barclays ($60.2B, 1.3%), Citi ($56.7B, 1.2%), Societe Generale ($50.7B, 1.1%), Sumitomo Mitsui Banking Co ($47.1B, 1.0%), Bank of America ($46.4B, 1.0%), Toronto-Dominion Bank ($35.5B, 0.8%), Bank of Montreal ($34.2B, 0.7%), Canadian Imperial Bank of Commerce ($28.1B, 0.6%) and Mizuho Corporate Bank Ltd ($27.9B, 0.6%).
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 ($106.3B, 11.3%), Fixed Income Clearing Corp ($94.3B, 10.0%), JP Morgan ($74.2B, 7.9%), RBC ($72.9B, 7.7%), Citi ($47.6B, 5.0%), Barclays PLC ($45.3B, 4.8%), Credit Agricole ($43.9B, 4.7%), Bank of America ($42.8B, 4.5%), Mitsubishi UFJ Financial Group Inc ($39.4B, 4.2%) and Societe Generale ($37.7B, 4.0%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: BNP Paribas ($20.0B, 4.7%), Toronto-Dominion Bank ($19.4B, 4.6%), Mizuho Corporate Bank Ltd ($17.2B, 4.1%), Sumitomo Mitsui Banking Corp ($16.9B, 4.0%), RBC ($16.3B, 3.8%), Mitsubishi UFJ Financial Group Inc ($15.7B, 3.7%), Sumitomo Mitsui Trust Bank ($15.6B, 3.7%), Bank of Montreal ($14.9B, 3.5%) and Credit Agricole ($14.3B, 3.4%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Corp ($13.6B, 9.2%), Bank of Montreal ($13.5B, 9.1%), Mitsubishi UFJ Financial Group Inc ($10.2B, 6.9%), Mizuho Corporate Bank Ltd ($9.7B, 6.5%), Sumitomo Mitsui Trust Bank ($9.6B, 6.5%), Canadian Imperial Bank of Commerce ($7.6B, 5.1%), Toronto-Dominion Bank ($6.9B, 4.7%), Credit Suisse ($6.8B, 4.6%), Credit Mutuel ($5.4B, 3.6%) and Landesbank Baden-Wurttemberg ($4.6B, 3.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($11.2B, 5.7%), Societe Generale ($10.7B, 5.5%), RBC ($9.9B, 5.1%), JP Morgan 9$9.7B, 5.0%), Citi ($7.8B, 4.0%), Credit Suisse ($7.0B, 3.6%), BPCE SA ($6.7B, 3.4%), UBS AG ($6.6B, 3.4%), Credit Agricole ($5.8B, 3.0%) and BNP Paribas ($5.8B, 3.0%).
The largest increases among Issuers include: Credit Agricole (up $11.9B to $62.4B), Bank of America (up $8.9B to $46.4B), Citi (up $8.7B to $56.7B), Societe Generale (up $8.4B to $50.7B), BNP Paribas (up $5.0B to $137.9B), Goldman Sachs (up $4.7B to $24.8B), Commerzbank AG (up $2.3B to $9.9B), UBS AG (up $1.8B to $10.9B), DNB ASA (up $1.8B to $9.9B) and Mizuho Corporate Bank Ltd (up $1.2B to $27.9B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: US Treasury (down $56.7B to $2,421.2B), Fixed Income Clearing Corp (down $48.0B to $97.0B), Federal Home Loan Bank (down $29.9B to $430.8B), Federal National Mortgage Association (down $11.1B to $102.6B), HSBC (down $10.8B to $21.1B), JP Morgan (down $6.2B to $86.5B), Deutsche Bank AG (down $6.1B to $12.9B), RBC (down $5.6B to $91.1B), Toronto-Dominion Bank (down $4.9B to $35.5B) and Barclays PLC (down $3.8B to $60.2B).
The United States remained the largest segment of country-affiliations; it represents 76.7% of holdings, or $3.547 trillion. France (6.5%, $299.8B) was number two, and Canada (4.8%, $220.7B) was third. Japan (4.6%, $210.5B) occupied fourth place. The United Kingdom (2.4%, $108.8B) remained in fifth place. Germany (1.3%, $59.6B) was in sixth place, followed by the Netherlands (1.2%, $54.4B), Switzerland (0.7%, $32.5B), Sweden (0.6%, $28.1B) and Australia (0.5%, $24.6B). (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 October 31, 2020, Taxable money funds held 33.7% (down from 35.7%) of their assets in securities maturing Overnight, and another 11.6% maturing in 2-7 days (up from 9.5% last month). Thus, 45.3% in total matures in 1-7 days. Another 13.2% matures in 8-30 days, while 12.7% matures in 31-60 days. Note that close to three-quarters, or 71.2% 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 11.6% of taxable securities, while 15.4% matures in 91-180 days, and just 1.9% matures beyond 181 days.
