Crane Data released its December Money Fund Portfolio Holdings Tuesday, and our most recent collection, with data as of Nov. 30, 2019, shows a big increase in Treasuries and another drop in Repo. Money market securities held by Taxable U.S. money funds (tracked by Crane Data) increased by $20.8 billion to $3.786 trillion last month, after increasing $75.8 billion in October, $92.6 billion in September and $93.0 billion in August. Repo continues to be the largest portfolio segment closely 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) fell by $35.2 billion (-3.0%) to $1.158 trillion, or 30.6% of holdings, after decreasing $24.7 billion in October and $76.8 billion in September but increasing $20.5 billion in August. Treasury securities rose $55.3 billion (5.2%) to $1.126 trillion, or 29.7% of holdings, after increasing $30.2 billion in October, $134.7 billion in September and $89.8 billion in August. Government Agency Debt decreased by $19.2 billion (-2.4%) to $765.8 billion, or 20.2% of holdings, after increasing $39.4 billion in October and $39.2 billion in September but decreasing $9.9 billion in August. Repo, Treasuries and Agencies totaled $3.050 trillion, representing a massive 80.6% of all taxable holdings.
Money funds' holdings of CP, CD and Other (mainly Time Deposits) securities all rose in November. Commercial Paper (CP) increased $5.1 billion (1.5%) to $346.9 billion, or 9.2% of holdings, after increasing $13.9 billion in October and $7.4 billion in September but decreasing $15 billion in August. Certificates of Deposit (CDs) rose by $12.6 billion (4.8%) to $275.2 billion, or 7.3% of taxable assets, after increasing $12.6 billion in October, decreasing $7.5 billion in September and increasing $4.5 billion in August. Other holdings, primarily Time Deposits, increased $2.3 billion (2.2%) to $107.0 billion, or 2.8% of holdings, after increasing $5.0 billion in October, decreasing $4.6 billion in September and increasing $3.4 billion in August. VRDNs dropped to $6.7 billion, or 0.2% of assets. (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 $14 billion to $1.093 trillion, or 28.9% of taxable money funds' $3.786 trillion total. Among Prime money funds, CDs represent 25.2% (up from 24.3% a month ago), while Commercial Paper accounted for 31.7% (down from 31.9%). The CP totals are comprised of: Financial Company CP, which makes up 20.2% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 5.7% in US Govt Agency Debt, 10.5% in US Treasury Debt, 6.5% in US Treasury Repo, 1.3% in Other Instruments, 5.9% in Non-Negotiable Time Deposits, 4.9% in Other Repo, 5.4% in US Government Agency Repo and 0.5% in VRDNs.
Government money fund portfolios totaled $1.829 trillion (48.3% of all MMF assets), down $4.0 billion from $1.833 trillion in October, while Treasury money fund assets totaled another $864 billion (22.8%), up from $853 billion the prior month. Government money fund portfolios were made up of 38.5% US Govt Agency Debt, 18.9% US Government Agency Repo, 20.5% US Treasury debt and 21.9% in US Treasury Repo. Treasury money funds were comprised of 73.7% US Treasury debt, 26.2% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.693 trillion, or 71.1% of all taxable money fund assets.
European-affiliated holdings (including repo) fell by $17.5 billion in November to $694.0 billion; their share of holdings fell to 18.3% from last month's 18.9%. Eurozone-affiliated holdings fell to $461.4 billion from last month's $488.0 billion; they account for 12.2% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $11.1 billion to $362.9 billion (9.6% of the total). Americas related holdings rose $25.0 billion to $2.724 trillion and now represent 72.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements (up $9.1 billion, or 1.3%, to $698.8 billion, or 18.5% of assets); US Government Agency Repurchase Agreements (down $41.4 billion, or -9.2%, to $406.0 billion, or 10.7% of total holdings), and Other Repurchase Agreements (down $3.0 billion, or -5.4%, from last month to $53.3 billion, or 1.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.7 billion to $221.2 billion, or 5.8% of assets), Asset Backed Commercial Paper (up $2.6 billion to $71.4 billion, or 1.9%), and Non-Financial Company Commercial Paper (up $3.3 billion to $54.3 billion, or 1.4%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2019, include: the US Treasury ($1,126.3 billion, or 29.7%), Federal Home Loan Bank ($596.6B, 15.0%), Fixed Income Clearing Co ($140.2B, 3.7%), RBC ($134.9B, 3.6%), BNP Paribas ($104.7B, 2.8%), Federal Farm Credit Bank ($87.0B, 2.3%), JP Morgan ($83.8B, 2.2%), Mitsubishi UFJ Financial Group Inc ($83.6B, 2.2%), Federal Home Loan Mortgage Co ($80.3B, 2.1%), Credit Agricole ($77.7B, 2.1%), Wells Fargo ($72.5B, 1.9%), Barclays ($66.6B, 1.8%), Sumitomo Mitsui Banking Co ($61.7B, 1.6%), Bank of America ($52.5B, 1.4%), Societe Generale ($52.2B, 1.4%), Natixis ($49.6B, 1.3%), Bank of Montreal ($49.4B, 1.3%), Toronto-Dominion Bank ($46.0B, 1.2%), Canadian Imperial Bank of Commerce ($46.0B, 1.2%) and Bank of Nova Scotia ($44.4B, 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: Fixed Income Clearing Co ($140.2B, 12.1%), RBC ($102.3B, 8.8%), BNP Paribas ($93.3B, 8.1%), JP Morgan ($71.4B, 6.2%), Wells Fargo ($59.1B, 5.1%), Credit Agricole ($56.8B, 4.9%), Barclays ($55.4B, 4.8%), Mitsubishi UFJ Financial Group ($53.7B, 4.6%), Bank of America ($45.7B, 3.9%) and Societe Generale ($42.2B, 3.6%). Fed Repo positions among MMFs on 11/30/19 include just one fund, Goldman Sachs FS Govt ($0.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Toronto-Dominion Bank $33.0B, 5.3%), RBC ($32.5B, 5.2%), Mitsubishi UFJ Financial Group Inc ($29.9B, 4.8%), Credit Suisse ($28.3B, 4.5%), Bank of Nova Scotia ($24.8B, 4.0%), Sumitomo Mitsui Banking Co ($21.8B, 3.5%), Credit Agricole ($20.9B, 3.3%), Canadian Imperial Bank of Commerce ($19.2B, 3.1%), Bank of Montreal ($18.6B, 3.0%) and Australia & New Zealand Banking Group ($18.4B, 2.9%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc ($22.5B, 8.2%), Sumitomo Mitsui Banking Co ($16.7B, 6.1%), Bank of Montreal ($16.0B, 5.8%), Toronto-Dominion Bank ($14.5B, 5.3%), Mizuho Corporate Bank ($14.0B, 5.1%), Wells Fargo ($13.1B, 4.8%), Credit Suisse ($10.7B, 3.9%), Sumitomo Mitsui Trust Bank ($10.0B, 3.6%), Landesbank Baden-Wurttemberg ($9.8B, 3.6%) and Bank of Nova Scotia ($9.5B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: RBC ($22.1B, 7.6%), Toronto-Dominion Bank ($17.2B, 5.9%), Credit Suisse ($17.1B, 5.9%), Bank of Nova Scotia ($14.6B, 5.0%), JP Morgan ($12.4B, 4.2%), National Australia Bank Ltd ($9.6B, 3.3%), Toyota ($9.0B, 3.1%), Societe Generale ($8.8B, 3.0%), DBS Bank ($8.5B, 2.9%) and BNP Paribas ($8.2B, 2.8)%.
The largest increases among Issuers include: US Treasury (up $55.3B to $1,126.3B), RBC (up $25.8B to $134.9B), Canadian Imperial Bank of Commerce (up $9.0B to $46.0B), Goldman Sachs (up $6.1B to $24.4B), Mitsubishi UFJ Financial Group (up $5.8B to $83.6B), Bank of Montreal (up $5.4B to $49.4B), Natixis (up $5.1B to $49.6B), Credit Agricole (up $4.9B to $77.7B), Sumitomo Mitsui Banking Co (up $3.7B to $61.7B) and Federal Farm Credit Bank (up $3.6B to $87.0B).
The largest decreases among Issuers of money market securities (including Repo) in Nov. were shown by: BNP Paribas (down $28.0B to $104.7B), Fixed Income Clearing Co (down $25.6B to $140.2B), Federal Home Loan Bank (down $13.3B to $569.6B), Wells Fargo (down $9.4B to $72.5B), Federal Home Loan Mortgage Co (down $5.9B to $80.3B), Societe Generale (down $4.8B to $52.2B), Federal National Mortgage Association (down $3.8B to $23.1B), Citi (down $3.2B to $33.3B), Commonwealth Bank of Australia (down $1.6B to $9.3B) and Daiwa Securities Group (down $1.5B to $10.1B).
The United States remained the largest segment of country-affiliations; it represents 63.0% of holdings, or $2.384 trillion. Canada (9.0%, $339.3B) was number two, and France (8.1%, $306.8B) was third. Japan (7.5%, $281.9B) occupied fourth place. The United Kingdom (3.6%, $134.3B) remained in fifth place. Germany (2.0%, $75.9B) was in sixth place, followed by The Netherlands (1.8%, $67.1B), Australia (1.5%, $56.7B), Sweden (1.1%, $41.3B) and Switzerland (1.1%, $40.4B). (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 Nov. 30, 2019, Taxable money funds held 34.0% (down from 36.4%) of their assets in securities maturing Overnight, and another 15.9% maturing in 2-7 days (up from 14.8% last month). Thus, 49.8% in total matures in 1-7 days. Another 15.6% matures in 8-30 days, while 12.4% matures in 31-60 days. Note that over three-quarters, or 77.8% 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 9.3% of taxable securities, while 10.2% matures in 91-180 days, and just 2.7% matures beyond 181 days.
