Crane Data released its November Money Fund Portfolio Holdings Friday, and our most recent collection of taxable money market securities, with data as of Oct. 31, 2018, shows big increases in Treasuries, Repo and CDs. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $61.0 billion to $2.984 trillion last month, after decreasing by $13.3 billion in Sept. and $24.1 billion in August, but increasing by $90.0 billion in July. 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 $17.3 billion (1.8%) to $982.9 billion, or 32.9% of holdings, after rising $16.0 billion in Sept., falling $11.3 billion in August and rising $8.0 billion in July. Treasury securities rose $21.7 billion (2.7%) to $829.6 billion, or 27.8% of holdings, after falling $29.6 billion in Sept., rising $22.1 billion in August and rising $42.4 billion in July. Government Agency Debt rose by $4.4 billion (0.7%) to $643.2 billion, or 21.6% of all holdings, after falling $11.5 billion in Sept., falling $24.9 billion in August and rising by $0.9 billion in July. Repo, Treasuries and Agencies total $2.456 trillion, representing a massive 82.3% of all taxable holdings.
Money funds' holdings of CDs jumped, and CP and Other (mainly Time Deposits) holding inched higher in October. Commercial Paper (CP) was up $0.6 billion (0.3%) to $240.0 billion, or 8.0% of holdings, after rising $6.1 billion in Sept., falling $3.2 billion in August and rising $22.5 billion in July. Certificates of Deposits (CDs) rose by $15.1 billion (8.5%) to $192.5 billion, or 6.5% of taxable assets (after rising $3.6 billion in Sept., falling $7.6 billion in August and rising $12.0 billion in July). Other holdings, primarily Time Deposits, rose by $2.5 billion (2.9%) to $88.4 billion, or 3.0% of holdings. VRDNs fell by $0.7B (-8.1%) to $7.8 billion, or 0.3% of assets. (Note: This total is VRDNs for taxable funds only. We will publish Tax Exempt MMF holdings separately later Tuesday.)
Prime money fund assets tracked by Crane Data rose to $726 billion (up from $722 billion last month), or 24.7% (up from 24.3%) of taxable money fund total taxable holdings of $2.984 trillion. Among Prime money funds, CDs represent almost a quarter of holdings at 26.5% (up from 24.6% a month ago), while Commercial Paper accounted for 33.0% (down from 33.1%). The CP totals are comprised of: Financial Company CP, which makes up 20.7% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.8%. Prime funds also hold 5.1% in US Govt Agency/ Debt, 6.4% in US Treasury Debt, 5.6% in US Treasury Repo, 1.6% in Other Instruments, 8.8% in Non-Negotiable Time Deposits, 6.4% in Other Repo, 5.1% in US Government Agency Repo, and 0.8% in VRDNs.
Government money fund portfolios totaled $1.542 trillion (51.7% of all MMF assets), down from $1.520 trillion in Sept., while Treasury money fund assets totaled another $717 billion (24.0%), up from $682 billion the prior month. Government money fund portfolios were made up of 39.3% US Govt Agency Debt, 20.8% US Government Agency Repo, 19.1% US Treasury debt, and 20.6% in US Treasury Repo. Treasury money funds were comprised of 68.2% US Treasury debt, 30.1% in US Treasury Repo, and 1.7% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.259 trillion, or 75.7% of all taxable money fund assets.
European-affiliated holdings jumped $104.8 billion in Oct. to $678.4 billion among all taxable funds (and including repos); their share of holdings rose to 22.7% from 19.6% the previous month. Eurozone-affiliated holdings rose $72.4 billion to $439.5 billion in October; they account for 14.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $0.7 billion to $262.1 billion (8.8% of the total). Americas related holdings fell $42.9 billion to $2.042 trillion and now represent 68.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $11.7 billion, or 2.0%, to $586.2 billion, or 19.6% of assets); US Government Agency Repurchase Agreements (up $6.4 billion, or 1.8%, to $359.4 billion, or 12.0% of total holdings), and Other Repurchase Agreements (down $0.8 billion from last month to $37.2 billion, or 1.2% of holdings). (Note that our "Other Repo" totals had been inflated due to a misreporting issue, but we've since revised and corrected these totals.) The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $0.0 billion to $150.3 billion, or 5.0% of assets), Asset Backed Commercial Paper (down $0.2 billion to $47.5 billion, or 1.6%), and Non-Financial Company Commercial Paper (down $0.9 billion to $42.3 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2018, include: the US Treasury ($829.6 billion, or 27.8%), Federal Home Loan Bank ($514.1B, 17.2%), BNP Paribas ($139.9B, 4.7%), RBC ($102.3B, 3.4%), Federal Farm Credit Bank ($75.0B, 2.5%), Fixed Income Clearing Co ($74.1B, 2.5%), Credit Agricole ($68.8B, 2.3%), Wells Fargo ($62.2B, 2.1%), Barclays ($60.6B, 2.0%), JP Morgan ($53.6B, 1.8%), Mitsubishi UFJ Financial Group Inc ($52.8B, 1.8%), HSBC ($47.7B, 1.6%), Sumitomo Mitsui Banking Co ($44.3B, 1.5%), Natixis ($42.7B, 1.4%), Societe Generale ($40.2B, 1.3%), Bank of America ($37.6B, 1.3%), ING Bank ($37.1B, 1.2%), Mizuho Corporate Bank Ltd ($35.4B, 1.2%), Nomura ($33.6B, 1.1%), and Citi ($30.9B, 1.0%).
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 ($130.1B, 13.2%), RBC ($82.3B, 8.4%), Fixed Income Clearing Co ($74.1B, 7.5%), Credit Agricole ($51.5B, 5.2%), Wells Fargo ($50.5B, 5.1%), Barclays PLC ($48.6B, 4.9%), JP Morgan ($42.3B, 4.3%), HSBC ($40.2B, 4.1%), Mitsubishi UFJ Financial Group Inc ($38.0B, 3.9%) and Nomura ($33.6B, 3.4%). Fed Repo positions among MMFs on 10/31/18 include: Northern Trust Trs MMkt ($1.2B), Northern Inst Govt Select ($1.1B), Franklin IFT US Govt MM ($1.0B), Dreyfus Govt Cash Mngt ($0.5B), Dreyfus Inst Pref Govt ($0.5B) and Dreyfus Tr&Ag Cash Mgmt ($0.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank ($21.1B, 4.7%), RBC ($20.0B, 4.5%), Credit Agricole ($17.3B, 3.9%), Sumitomo Mitsui Banking Co ($16.5B, 3.7%), Mizuho Corporate Bank Ltd ($15.4B, 3.4%), Mitsubishi UFJ Financial Group Inc. ($14.8B, 3.3%), Bank of Montreal ($13.8B, 3.1%), Australia & New Zealand Banking Group Ltd ($13.6B, 3.0%), Canadian Imperial Bank of Commerce ($13.4B, 3.0%) and Barclays PLC ($12.0B, 2.7%).
The 10 largest CD issuers include: Bank of Montreal ($13.5B, 7.0%), Sumitomo Mitsui Banking Co ($12.3B, 6.4%), Wells Fargo ($11.6B, 6.0%), Mitsubishi UFJ Financial Group Inc ($11.2B, 5.8%), RBC ($10.9B, 5.7%), Mizuho Corporate Bank Ltd ($10.6B, 5.5%), Svenska Handelsbanken ($9.5B, 4.9%), Toronto-Dominion Bank ($8.5B, 4.4%), Sumitomo Mitsui Trust Bank ($7.8B, 4.1%) and Swedbank AB ($7.7B, 4.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($12.6B, 6.1%), JPMorgan ($11.2B, 5.5%), RBC ($8.5B, 4.1%), UBS AG ($8.0B, 3.9%), Bank of Nova Scotia ($7.8B, 3.8%), Canadian Imperial Bank of Commerce ($6.8B, 3.3%), BayernLB ($6.7B, 3.3%), Credit Agricole ($6.4B, 3.1%), Credit Suisse ($6.3B, 3.1%), and Toyota ($6.0B, 2.9%).
The largest increases among Issuers include: Credit Agricole (up $41.1B to $68.8B), US Treasury (up $21.7B to $829.6B), Societe Generale (up $12.9B to $40.2B), Natixis (up $12.3B to $42.7B), Barclays PLC (up $11.9B to $60.6B), Mizuho Corporate Bank Ltd (up $10.9B to $35.4B), Deutsche Bank AG (up $6.7B to $22.4B), Federal Home Loan Bank (up $5.2B to $514.1B), ING Bank (up $5.1B to $37.1B), and RBC (up $3.2B to $102.3B).
The largest decreases among Issuers of money market securities (including Repo) in Oct. were shown by: Bank of Montreal (down $15.1B to $25.2B), Nomura (down $11.6B to $33.6B), BNP Paribas (down $10.3B to $139.9B), Fixed Income Clearing Co (down $6.8B to $74.1B), Canadian Imperial Bank of Commerce (down $6.4B to $24.5B), Goldman Sachs (down $5.8B to $12.6B), Toronto-Dominion Bank (down $4.7B to $30.6B), Federal Home Loan Mortgage Co (down $4.2B to $29.6B), Sumitomo Mitsui Banking Co (down $2.1B to $44.3B), and Bank of America (down $1.6B to $37.6B).
The United States remained the largest segment of country-affiliations; it represents 60.8% of holdings, or $1.814 trillion. France (10.2%, $304.4B) reclaimed the No. 2 spot and Canada (7.6%, $226.6B) fell to No. 3. Japan (7.1%, $210.4B) stayed in fourth place, while the United Kingdom (4.8%, $143.6B) remained in fifth place. Germany (2.2%, $64.8B) moved ahead of the Netherlands (1.9%, $57.9B), while Sweden (1.4%, $42.8B) remained in 8th place. Finally, Switzerland (1.3%, $39.4B) moved ahead of Australia (1.2%, $36.7B) to rank 9th and 10th. (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 Oct. 30, 2018, Taxable money funds held 34.5% (up from 32.8%) of their assets in securities maturing Overnight, and another 13.8% maturing in 2-7 days (down from 16.6% last month). Thus, 48.3% in total matures in 1-7 days. Another 22.0% matures in 8-30 days, while 10.4% matures in 31-60 days. Note that over three-quarters, or 80.7% 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 8.2% of taxable securities, while 9.7% matures in 91-180 days, and just 1.5% matures beyond 181 days.
