Crane Data released its August Money Fund Portfolio Holdings Thursday, and our most recent collection of taxable money market securities, with data as of July 31, 2018, shows increases across all composition segments with big jumps in Treasuries, CP and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $90.0 billion to $2.961 trillion last month, after decreasing by $53.8 billion in June, but increasing by $16.7 billion in May and $46.4 billion in April. Repo continued to be the largest portfolio segment, followed by Treasury securities, 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, Repurchase Agreements (repo) rose $8.0 billion (0.8%) to $960.8 billion, or 32.5% of holdings, after falling $31.4 billion in June but jumping $67.1 billion in May. Treasury securities rose $42.4 billion (5.5%) to $815.4 billion, or 27.5% of holdings, after falling $6.3 billion in June and falling $50.9 billion in May. Government Agency Debt rose by $0.9 billion (0.1%) to $675.1 billion, or 22.8% of all holdings, after falling $9.3 billion in June, but rising by $5.5 billion in May. Repo, Treasuries and Agencies total $2.451 trillion, representing a massive 82.8% of all taxable holdings.
Money funds' holdings of CP, CD, and Other (mainly Time Deposits) securities all rose strongly in July. Commercial Paper (CP) was up $22.5 billion (10.5%) to $236.5 billion, or 8.0% of holdings, after falling $10.0 billion in June and rising $13.2 billion in May. Certificates of Deposits (CDs) rose by $12.0 billion (7.1%) to $181.4 billion, or 6.1% of taxable assets (after rising $1.6 billion in June but dropping by $1.2 billion in May). Other holdings, primarily Time Deposits, rose by $4.1 billion (5.1%) to $83.3 billion, or 2.8% of holdings. VRDNs were relatively flat, falling $0.0B (-0.4%) to $8.3 billion, or 0.3% of assets.
Prime money fund assets tracked by Crane Data jumped to $687 billion (up from $651 billion last month), or 23.2% (up from 22.7%) of taxable money fund total taxable holdings of $2.961 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 26.4% (up from 26.0% a month ago), while Commercial Paper accounted for 34.5% (up from 33.0%). The CP totals are comprised of: Financial Company CP, which makes up 21.3% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 6.7%. Prime funds also hold 5.7% in US Govt Agency/ Debt, 9.1% in US Treasury Debt, 2.9% in US Treasury Repo, 1.4% in Other Instruments, 8.6% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 3.9% in US Government Agency Repo, and 1.0% in VRDNs.
Government money fund portfolios totaled $1.568 trillion (53.0% of all MMF assets), up from $1.539 trillion in June, while Treasury money fund assets totaled another $706 billion (23.8%), up from $681 billion the prior month. Government money fund portfolios were made up of 40.6% US Govt Agency Debt, 20.4% US Government Agency Repo, 17.1% US Treasury debt, and 21.6% in US Treasury Repo. Treasury money funds were comprised of 68.8% US Treasury debt, 30.8% in US Treasury Repo, and 0.5% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.274 trillion, or 77.0% of all taxable money fund assets.
European-affiliated holdings rose $140.0 billion in July to $681.0 billion among all taxable funds (and including repos); their share of holdings rose to 23.0% from 18.8% the previous month. Eurozone-affiliated holdings rose $102.9 billion to $440.2 billion in July; they account for 14.9% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $8.8 billion to $253.6 billion (8.6% of the total). Americas related holdings fell $59.6 billion to $2.024 trillion and now represent 68.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (down $14.8 billion, or -2.5%, to $576.2 billion, or 19.5% of assets); US Government Agency Repurchase Agreements (up $18.8 billion, or 5.7%, to $346.8 billion, or 11.7% of total holdings), and Other Repurchase Agreements (up $4.1 billion from last month to $37.8 billion, or 1.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $6.6 billion to $146.1 billion, or 4.9% of assets), Asset Backed Commercial Paper (up $2.3 billion to $44.5 billion, or 1.5%), and Non-Financial Company Commercial Paper (up $13.6 billion to $45.9 billion, or 1.5%).
The 20 largest Issuers to taxable money market funds as of July 31, 2018, include: the US Treasury ($815.4 billion, or 27.5%), Federal Home Loan Bank ($541.7B, 18.3%), BNP Paribas ($147.6B, 5.0%), RBC ($87.3B, 3.0%), Federal Farm Credit Bank $75.4B, 2.5%), Wells Fargo $68.9B, 2.3%), Credit Agricole ($62.7B, 2.1%), Barclays PLC ($57.4B, 1.9%), Mitsubishi UFJ Financial Group Inc ($51.2B, 1.7%), HSBC ($48.6B, 1.6%), JP Morgan ($45.9B, 1.5%), Sumito Mitsui Banking Co ($45.4B, 1.5%), Fixed Income Clearing Co ($44.3B, 1.5%), Societe Generale ($42.2B, 1.4%), Natixis ($42.0B, 1.4%), Nomura ($39.1B, 1.3%), Bank of America ($36.8B, 1.2%), ING Bank ($36.3B, 1.2%), Federal Home Loan Mortgage Co ($35.8B, 1.2%), and Bank of Montreal ($35.8B, 1.2%).
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 ($136.5B, 14.2%), RBC ($66.7B, 6.9%), Wells Fargo ($55.8B, 5.8%), Credit Agricole ($47.3B, 4.9%), Barclays PLC ($46.8B, 4.9%), Fixed Income Clearing Co ($44.3B, 4.6%), HSBC ($40.2B, 4.2%), Nomura ($39.1B, 4.1%), Societe General ($36.5B, 3.8%), and JP Morgan ($36.3B, 3.8%).
The 10 largest Fed Repo positions among MMFs on 7/31/18 include: JP Morgan US Govt ($2.0B in Fed Repo), Northern Trust Trs MMkt ($0.9B), BlackRock Cash Treas ($0.6B), Dreyfus Inst Pref Govt ($0.4B), Northern Inst Govt ($0.4B), Columbia Short-Term Cash Fund ($1.0B), Franklin IFT US Govt MM ($1.7B), Northern Inst Govt Select ($0.8B), State Street Inst US Govt ($0.7B), and Morgan Stanley Inst Liq Govt Sec ($0.6B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($20.7B, 4.9%), Toronto-Dominion Bank ($17.1B, 4.1%), Mitsubishi UFJ Financial Group Inc. ($16.7B, 4.0%), Credit Agricole ($15.4B, 3.7%), Swedbank AB ($14.8B, 3.5%), Sumitomo Mitsui Banking Co ($14.2B, 3.4%), Canadian Imperial Bank of Commerce ($13.6B, 3.2%), Wells Fargo ($13.1B, 3.1%), Sumitomo Mitsui Trust Bank ($12.8B, 3.1%), and Bank of Montreal ($12.3, 2.9%).
The 10 largest CD issuers include: Wells Fargo ($13.0B, 7.2%), Bank of Montreal ($11.6B, 6.4%), RBC ($11.0, 6.1%), Mitsubishi UFJ Financial Group Inc ($10.3B, 5.7%), Svenska Handelsbanken ($10.0B, 5.5%), Sumitomo Mitsui Trust Bank ($9.6B, 5.3%), Swedbank AB ($8.3B, 4.6%), Sumitomo Mitsui Banking Co ($8.2B, 4.6%), Mizuho Corporate Bank Ltd ($7.4B, 4.1%), and Canadian Imperial Bank of Commerce ($7.0B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($11.0B, 5.6%), JPMorgan ($9.5B, 4.8%), UBS AG ($7.1B, 3.6%), Commonwealth Bank of Australia ($6.4B, 3.2%), Mitsubishi UFJ Financial Group Inc ($6.3B, 3.2%), Bank Nederlandse Gemeenten ($6.3B, 3.2%), Canadian Imperial Bank of Commerce ($5.8B, 2.9%), Sumitomo Mitsui Banking Co ($5.7B, 2.9%), Australia & New Zealand Banking Group Ltd ($5.7B, 2.9%), and RBC ($5.6B, 2.8%).
The largest increases among Issuers include: the US Treasury (up $42.4B to $815.4B), Credit Agricole (up $38.3B to $62.7B), Barclays PLC (up $20.7B to $57.4B), Credit Suisse (up $16.3B to $27.5B), Deutsche Bank AG (up $14.6B to $21.8B), Natixis (up $14.0B to $42.0B), Mizuho Corporate Bank Ltd (up $10.7B to $28.4B), ING Bank (up $7.9B to $36.3B), Societe Generale (up $6.0B to $42.2B), and Federal Home Loan Mortgage Co (up $5.9B to $35.8B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: the Federal Reserve Bank of New York (down $79.6B to $9.0B), RBC (down $8.2B to $87.3B), Federal Home Loan Bank (down $7.4B to $541.7B), Fixed Income Clearing Co (down $6.7B to $44.3B), Bank of Montreal (down $5.8B to $35.8B), Goldman Sachs (down $4.6B to $13.2B), Toronto-Dominion Bank (down $4.0B to $29.7B), National Australia Bank Ltd (down $3.8B to $7.4B), Canadian Imperial Bank of Commerce (down $2.7B to $26.4B), and HSBC (down $2.5B to $48.6B).
The United States remained the largest segment of country-affiliations; it represents 61.1% of holdings, or $1.810 trillion. France (10.4%, $307.1B) remained in the No. 2 spot and Canada (7.2%, $213.9B) remained No. 3. Japan (7.0%, $208.2B) stayed in fourth place, while the United Kingdom (4.7%, $139.1B) remained in fifth place. The Netherlands (2.1%, $63.0B) moved ahead of Germany (2.1%, $62.0B) to reclaim sixth place. Sweden (1.5%, $43.9B) ranked 8th while Switzerland (1.5%, $42.9B) moved back ahead of Australia (1.1%, $32.0B) into 9th place. (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, 2018, Taxable money funds held 31.2% (down from 31.8%) of their assets in securities maturing Overnight, and another 16.2% maturing in 2-7 days (same as last month). Thus, 47.4% in total matures in 1-7 days. Another 24.2% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that over three-quarters, or 82.8% 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 8.4% of taxable securities, while 7.2% matures in 91-180 days, and just 1.6% matures beyond 181 days.
