Press Releases Archives: July, 2018

​

Crane Data released its July Money Fund Portfolio Holdings Wednesday, and our most recent collection of taxable money market securities, with data as of June 30, 2018, shows a drop in Repo overall but a sharp rebound in Fed Repo. Money market securities held by Taxable U.​S. money funds (​tracked by Crane Data) decreased by $​53.​8 billion to $​2.​871 trillion last month, after increasing by $​16.​7 billion in May and $​46.​4 billion in April, but decreasing $​105.​0 billion in March. 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) fell $​31.​4 billion (-​3.​2%) to $​952.​8 billion, or 33.​2% of holdings, after jumping $​67.​1 billion in May and $​99.​9 in April, but dropping $​89.​6 billion in March. Treasury securities fell again, down $​6.​3 billion (-​0.​8%) to $​773.​0 billion, or 26.​9% of holdings, after dropping $​50.​9 billion in May and $​108.​3 billion in April, but jumping $​95.​3 billion in March. Government Agency Debt fell by $​9.​3 billion (-​1.​4%) to $​674.​2 billion, or 23.​5% of all holdings, after rising by $​5.​5 billion in May, rising $​23.​4 in April, and falling $​58.​1 billion in March. Repo, Treasuries and Agencies total $​2.​400 trillion, representing a massive 83.​6% of all taxable holdings.

CP fell in the sixth month of the year, while CDs and Other (​mainly Time Deposits) securities increased. Commercial Paper (​CP) was down $​10.​0 billion (-​4.​5%) to $​213.​9 billion, or 7.​5% of holdings, after rising $​13.​2 billion in May, rising $​8.​8 billion in April and falling $​16.​2 billion in March. Certificates of Deposits (​CDs) rose by $​1.​6 billion (​0.​9%) to $​169.​3 billion, or 5.​9% of taxable assets (​after dropping by $​1.​2 billion in May and rising $​1.​7 billion in April). Other holdings, primarily Time Deposits, rose by $​1.​6 billion (​2.​1%) to $​79.​3 billion, or 2.​8% of holdings. VRDNs held by taxable funds fell by $​0.​0B (-​0.​4%) (​0.​3% of assets).

Prime money fund assets tracked by Crane Data dipped again to $​651 billion (​down from $​662 billion last month), or 22.​7% (​up from 22.​6%) of taxable money fund holdings' total of $​2.​871 trillion. Among Prime money funds, CDs represent over a quarter of holdings at 26.​0% (​up from 25.​3% a month ago), followed by Commercial Paper at 33.​0% (​down from 33.​8%). The CP totals are comprised of: Financial Company CP, which makes up 21.​5% 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.​5% in US Govt Agency Debt, 6.​9% in US Treasury Debt, 7.​2% in US Treasury Repo, 1.​6% in Other Instruments, 8.​9% in Non-​Negotiable Time Deposits, 5.​1% in Other Repo, 3.​5% in US Government Agency Repo, and 1.​0% in VRDNs.

Government money fund portfolios totaled $​1.​539 trillion (​53.​6% of all MMF assets), down from $​1.​589 trillion in May, while Treasury money fund assets totaled another $​681 billion (​23.​7%), up from $​673 billion the prior month. Government money fund portfolios were made up of 41.​5% US Govt Agency Debt, 19.​8% US Government Agency Repo, 16.​4% US Treasury debt, and 22.​0% in US Treasury Repo. Treasury money funds were comprised of 69.​7% US Treasury debt, 30.​1% in US Treasury Repo, and 0.​1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $​2.​220 trillion, or 77.​3% of all taxable money fund assets, the same as last month.

European-​affiliated holdings fell $​136.​5 billion in June to $​541.​0 billion among all taxable funds (​and including repos); their share of holdings fell to 18.​4% from 23.​2% the previous month. Eurozone-​affiliated holdings fell $​98.​2 billion to $​337.​3 billion in June; they account for 11.​8% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $​0.​9 billion to $​244.​8 billion (​8.​5% of the total). Americas related holdings rose $​0.​1 billion to $​2.​083 trillion and now represent 72.​6% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $​26.​2 billion, or -​4.​3%, to $​591.​1 billion, or 20.​6% of assets; US Government Agency Repurchase Agreements (​down $​5.​1 billion to $​328.​0 billion, or 11.​4% of total holdings), and Other Repurchase Agreements ($​33.​7 billion, or 1.​2% of holdings, down $​0.​1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (​down $​2.​1 billion to $​139.​6 billion, or 4.​9% of assets), Asset Backed Commercial Paper (​up $​0.​3 billion to $​42.​2 billion, or 1.​5%), and Non-​Financial Company Commercial Paper (​down $​8.​2 billion to $​32.​2 billion, or 1.​1%).

The 20 largest Issuers to taxable money market funds as of June 30, 2018, include: the US Treasury ($​773.​0 billion, or 26.​9%), Federal Home Loan Bank ($​549.​0B, 19.​1%), BNP Paribas ($​143.​4B, 5.​0%), RBC ($​95.​5B, 3.​3%), Federal Reserve Bank of New York $​88.​6B, 3.​1%), Federal Farm Credit Bank $​76.​9B, 2.​7%), Wells Fargo ($​67.​5B, 2.​4%), Fixed Income Clearing Corp ($​51.​0B, 1.​8%), HSBC ($​51.​0B, 1.​8%), Mitsubishi UFJ Financial Group Inc ($​46.​1B, 1.​6%), Sumitomo Mitsui Banking Co ($​45.​1B, 1.​6%), JP Morgan ($​43.​3B, 1.​5%), Bank of Montreal ($​41.​5B, 1.​4%), Nomura ($​40.​4B, 1.​4%), Bank of America ($​38.​2B, 1.​3%), Barclays PLC ($​36.​8B, 1.​3%), Societe Generale ($​36.​1B, 1.​3%), Toronto-​Dominion ($​33.​7B, 1.​2%), Citi ($​30.​2B, 1.​1%), and Federal Home Loan Mortgage Co ($​29.​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 ($​133.​5B, 14.​0%), Federal Reserve Bank of New York ($​88.​6B, 9.​3%), RBC ($​79.​0B, 8.​3%), Wells Fargo ($​54.​0B, 5.​7%), Fixed Income Clearing Corp ($​51.​0B, 5.​4%), HSBC ($​42.​7B, 4.​5%), Nomura ($​40.​4B, 4.​2%), JP Morgan ($​34.​7B, 3.​6%), Bank of America ($​34.​1B, 3.​6%), and Sumitomo Mitsui Banking Co ($​32.​4B, 3.​4%).

The 10 largest Fed Repo positions among MMFs on 6/​30/​18 include: Fidelity Cash Central Fund ($​15.​1B in Fed Repo), Fidelity Sec Lending Cash Central ($​8.​7B), Dreyfus Govt Cash Mgmt ($​8.​5B), Schwab Govt MMkt ($​8.​4B), Fidelity Inv MM: Treasury Port ($​6.​2B), Dreyfus Tr&​Ag Cash Mgmt ($​4.​0B), JP Morgan US Govt ($​3.​7B), BlackRock Lq FedFund ($​3.​4B), JP Morgan US Trs Plus ($​2.​9B), and BlackRock Cash Treas ($​2.​8B),.

The 10 largest issuers of "​credit" -- CDs, CP and Other securities (​including Time Deposits and Notes) combined -- include: Toronto-​Dominion Bank ($​21.​3B, 5.​4%), RBC ($​16.​5B, 4.​2%), Mitsubishi UFJ Financial Group Inc. ($​15.​2B, 3.​9%), Swedbank AB ($​14.​7B, 3.​7%), Canadian Imperial Bank of Commerce ($​14.​0B, 3.​6%), Bank of Montreal ($​13.​5B, 3.​4%) Wells Fargo ($​13.​5B, 3.​4%), Sumitomo Mitsui Banking Co ($​12.​7, 3.​2%), Australia & New Zealand Banking Group Ltd ($​12.​0B, 3.​1%), and Svenska Handelsbanken ($​11.​9, 3.​0%).

The 10 largest CD issuers include: Wells Fargo ($​13.​4B, 8.​0%), Bank of Montreal ($​12.​6B, 7.​4%), RBC ($​10.​1, 6.​0%), Svenska Handelsbanken ($​9.​3B, 5.​5%), Mitsubishi UFJ Financial Group Inc ($​9.​0B, 5.​3%), Sumitomo Mitsui Trust Bank ($​8.​8B, 5.​2%), Swedbank AB ($​8.​7B, 5.​2%), Sumitomo Mitsui Banking Co ($​7.​7B, 4.​6%), Mizuho Corporate Bank Ltd ($​7.​6B, 4.​5%), and Canadian Imperial Bank of Commerce ($​6.​8B, 4.​0%).

The 10 largest CP issuers (​we include affiliated ABCP programs) include: Toronto-​Dominion Bank ($​13.​2B, 7.​3%), JPMorgan ($​8.​5B, 4.​7%), Commonwealth Bank of Australia ($​7.​2B, 3.​9%), Credit Suisse ($​6.​8B, 3.​7%), UBS AG ($​6.​6B, 3.​6%), Australia & New Zealand Banking Group Ltd ($​6.​5B, 3.​6%), National Australia Bank Ltd ($​6.​4B, 3.​5%), Mitsubishi UFJ Financial Group Inc ($​6.​1B, 3.​4%), Bank of Nova Scotia ($​5.​8B, 3.​2%), and Canadian Imperial Bank of Commerce ($​5.​7B, 3.​1%).

The largest increases among Issuers include: Federal Reserve Bank of New York (​up $​67.​1B to $​88.​6B), RBC (​up $​12.​6B to $​95.​5B), Bank of Montreal (​up $​6.​7B to $​41.​5B), Nomura (​up $​6.​0B to $​40.​4B), Sumitomo Mitsui Trust Bank (​up $​4.​1B to $​14.​1B), Fixed Income Clearing Co (​up $​4.​1B to $​51.​0B), BNP Paribas (​up $​3.​7B to $​143.​4B), DNB ASA (​up $​3.​6B to $​14.​0B), Mitsubishi UFJ Financial Group Inc (​up $​3.​4B to $​46.​1B), and Bank of America (​up $​3.​3B to $​38.​2B).

The largest decreases among Issuers of money market securities (​including Repo) in June were shown by: Credit Agricole (​down $​42.​1B to $​24.​4B), Barclays PLC (​down $​21.​9B to 36.​8B), Credit Suisse (​down $​18.​1B to $​11.​2B), Natixis (​down $​15.​3B to $​28.​0B), Societe Generale (​down $​15.​2B to $​36.​1B), Mizuho Corporate Bank Ltd (​down $​11.​6B to $​17.​8B), Deutsche Bank AG (​down $​10.​5B to $​7.​2B), JP Morgan (​down $​9.​3B to $​43.​3B), Federal Home Loan Bank (​down $​6.​7B to $​549.​0B), and the US Treasury (​down $​6.​3B to $​773.​0B).

The United States remained the largest segment of country-​affiliations; it represents 64.​3% of holdings, or $​1.​846 trillion. France (​8.​5%, $​243.​9B) remained in the No. 2 spot and Canada (​8.​3%, $​237.​1B) remained No. 3. Japan (​6.​7%, $​191.​3B) stayed in fourth place, while the United Kingdom (​4.​2%, $​119.​5B) remained in fifth place. Germany (​1.​5%, $​43.​9B) moved ahead of The Netherlands (​1.​5%, $​42.​4B) into sixth place. Sweden (​1.​5%, $​44.​1B) ranked 8th while Australia (​1.​4%, $​39.​1B) moved ahead of Switzerland (​0.​8%, $​23.​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 June 30, 2018, Taxable money funds held 31.​8% (​down from 32.​0%) of their assets in securities maturing Overnight, and another 15.​5% maturing in 2-​7 days (​down from 16.​2%). Thus, 47.​3% in total matures in 1-​7 days. Another 23.​4% matures in 8-​30 days, while 10.​0% matures in 31-​60 days. Note that over three-​quarters, or 80.​6% 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 10.​6% of taxable securities, while 7.​5% matures in 91-​180 days, and just 1.​3% matures beyond 181 days.