Crane Data released its August Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of July 31, 2015, shows a big drop in holdings of Repo, but sizable increases in Other (Time Deposits), Commercial Paper, and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $55.0 billion in July to $2.549 trillion. MMF holdings increased $58.3 billion in June and $31.6 billion in May; assets dropped $49.3 billion in April and $19.2 billion in March. Despite a sharp decline, Repos remained the largest portfolio segment, just ahead of CDs. Treasuries stayed in third place, followed by Commercial Paper. Agencies were fifth, followed by Other (mainly Time Deposits) securities, then VRDNs. Money funds' European-affiliated securities represented 28.6% of holdings, up from 19.3% the previous month, as funds switched out of Fed repo at quarter-end and back into Time Deposits, CDs and CP. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreements (repo) decreased $109.7 billion (16.4%) to $558.3 billion, or 21.9% of assets, after increasing $140.5 billion in June and $10.7 billion in May (and decreasing $113.6 billion in April). Certificates of Deposit (CDs) were up $33.9 billion (6.7%) to $536.1 billion, or 21.0% of assets, in July, after rising $21.8 billion in June, $10.8 billion in May, and $1.7 billion in April. Treasury holdings increased $9.4 billion (2.2%) to $430.7 billion, or 16.9% of assets, while Commercial Paper (CP) jumped $32.2 billion (8.5%) to $412.1 billion, or 16.2% of assets. Government Agency Debt decreased $1.8 billion (0.5%) to $354.0 billion, or 13.9% of assets. Other holdings, primarily Time Deposits, skyrocketed $91.5 billion (62.3%) to $238.4 billion, or 9.4% of assets. VRDNs held by taxable funds decreased by $600 million to $19.2 billion (0.8% of assets).
Among Prime money funds, CDs represent one-third of holdings at 33.7% (up from 32.8% a month ago), followed by Commercial Paper at 25.9%. The CP totals are primarily Financial Company CP (15.0% of total holdings), with Asset-Backed CP making up 5.7% and Other CP (non-financial) making up 5.2%. Prime funds also hold 6.9% in Agencies (down from 7.6%), 4.8% in Treasury Debt (up from 4.2%), 2.9% in Treasury Repo, 4.5% in Other Instruments, 4.7% in Other Instruments (Time Deposits), and 5.6% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.589 trillion (up from $1.541 trillion last month), or 62.3% of taxable money fund holdings' total of $2.549 trillion.
Government fund portfolio assets totaled $465 billion, up from $458 billion in June, while Treasury money fund assets totaled $495 billion, up from $494 billion in June. Government money fund portfolios were made up of 52.6% Agency Debt, 26.4% Government Agency Repo, 4.0% Treasury debt, and 17.0% in Treasury Repo. Treasury money funds were comprised of 67.9% Treasury debt, 31.3% in Treasury Repo, and 0.8% in Government agency, repo and investment company shares. Government and Treasury funds combined total $960 billion, or 37.7% of all taxable money fund assets.
European-affiliated holdings rose $248.0 billion in July to $728.1 billion among all taxable funds (and including repos); their share of holdings increased to 28.6% from 19.3% the previous month. Eurozone-affiliated holdings increased $146.1 billion to $409.5 billion in July; they now account for 16.1% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $4.0 billion to $301.6 billion (11.8% of the total). Americas related holdings decreased $188.0 billion to $1.516 trillion, and now represent 59.5% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $158.0 billion to $280.1 billion, or 11.0% of assets), Government Agency Repurchase Agreements (up $47.5 billion to $189.9 billion, or 7.5% of total holdings), and Other Repurchase Agreements ($88.2 billion, or 3.5% of holdings, up $800 million from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $16.8 billion to $238.7 billion, or 9.4% of assets), Asset Backed Commercial Paper (up $4.6 billion to $90.7 billion, or 3.6%), and Other Commercial Paper (up $10.9 billion to $82.6 billion, or 3.2%).
The 20 largest Issuers to taxable money market funds as of July 31, 2015, include: the US Treasury ($430.7 billion, or 18.5%), Federal Home Loan Bank ($237.7B, 10.2%), Federal Reserve Bank of New York ($122.3B, 5.3%), BNP Paribas ($80.9B, 3.5%), Credit Agricole ($77.3B, 3.3%), Wells Fargo ($71.8B, 3.1%), JP Morgan ($68.1B, 2.9%), Bank of Tokyo-Mitsubishi UFJ Ltd ($58.1B, 2.5%), Bank of America ($58.1B, 2.5%), RBC ($57.2B, 2.5%), Bank of Nova Scotia ($56.8B, 2.4%), Toronto-Dominion Bank ($48.6B, 2.1%), Credit Suisse ($47.1B, 2.0%), Sumitomo Mitsui Banking Co ($43.9B, 1.9%), Federal Farm Credit Bank ($43.5B, 1.9%), Natixis ($42.9B, 1.8%), Federal Home Loan Mortgage Co. ($39.8B, 1.7%), Societe Generale, ($39.6B, 1.7%), Mizuho Corporate Bank Ltd. ($38.3B, 1.6%), and Bank of Montreal ($37.3B, 1.6%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $122.3B, or 21.9% of money fund repo, down from $361.4B a month ago. The 10 largest Fed Repo positions among MMFs on 7/31 include: JP Morgan US Govt ($8.6B), State Street Inst Liq. Res. ($6.3B), Morgan Stanley Inst Lq Gvt ($8.5B), Federated Trs Oblg ($7.0B), Dreyfus Govt Cash Mgmt ($4.6B), First American Govt Oblig ($5.3B), Morgan Stanley Inst Liq Trs ($4.9B), UBS Select Treas ($7.0B), Fidelity Cash Central Fund ($7.4B), and Dreyfus Tr&Ag Cash Mgmt ($4.6B).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Federal Reserve Bank of New York ($122.3B, 21.9%), BNP Paribas ($50.9B, 9.1%), Bank of America ($44.8B, 8.0%), Wells Fargo ($38.0B, 6.8%), JP Morgan ($35.2B, 6.3%), Societe Generale ($33.0B, 5.9%), Credit Agricole ($31.4B, 5.6%), Credit Suisse ($26.3B, 4.7%), Citi ($23.3B, 4.2%), and Barclays PLC ($18.2B, 3.3%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($47.5B, 4.5%), Credit Agricole ($46.3B, 4.4%), Sumitomo Mitsui Banking Co ($43.9B, 4.2%), Bank of Nova Scotia ($41.1B, 3.9%), RBC ($39.8B, 3.8%), Skandinaviska Enskilda Banken AB ($36.4B, 3.5%) <b:>`_, Toronto Dominion Bank ($35.2B, 3.4%), Natixis ($33.9B, 3.2%), Wells Fargo ($33.8B, 3.2%), and JP Morgan ($32.6B, 3.1%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($37.2B, 7.0%), Bank of Tokyo-Mitsubishi UFJ Ltd ($35.9B, 6.7%), Toronto-Dominion Bank ($31.2B, 5.9%), Bank of Montreal ($29.0B, 5.4%), Bank of Nova Scotia ($28.7B, 5.4%), Mizuho Corporate Bank Ltd ($28.1B, 5.3%), Wells Fargo ($25.6B, 4.8%), RBC ($20.4B, 3.8%), Canadian Imperial Bank of Commerce ($17.8B, 3.3%), and Sumitomo Mitsui Trust Bank ($17.1B, 3.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($24.3B, 7.2%), Commonwealth Bank of Australia ($16.8B, 5.0%), Westpac Banking Co ($16.6B, 4.9%), RBC ($15.7B, 4.6%), BNP Paribas ($13.6B, 4.0%), National Australia Bank Ltd ($13.0B, 3.9%), Lloyds TSB Bank PLC ($13.0B, 3.8%), Bank of Nova Scotia ($11.2B, 3.3%), HSBC ($10.4B, 3.1%), and Australia & New Zealand Banking Group Ltd ($9.9B, 2.9%).
The largest increases among Issuers include: Credit Agricole (up $44.4B to $77.7B), BNP Paribas (up $29.0B to $80.9B), Barclays PLC (up $20.6B to $32.3B), Societe Generale (up $20.2B to $39.6B), DnB NOR Bank ASA (up $19.9B to $27.5B), Skandinaviska Enskilda Banken AB (up $19.6B to $36.4B), Natixis (up $17.5B to $42.9B), Swedbank AB (up $11.7B to $27.6B), US Treasury (up $9.4B to $430.7B), and JP Morgan (up $8.6B to $68.1B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Federal Reserve Bank of New York (down $239.1B to $122.3B), Bank of Nova Scotia (down $4.2B to $56.8), Svenska Handelsbanken (down $4.1B to $28.4B), Federal National Mortgage Association (down $3.9B to $29.1B), National Australia Bank (down $3.8B to $20.5B), Federal Home Loan Mortgage (down $2.4B to $39.8B), Sumitomo Mitsui Trust Bank (down $1.7B to $19.2B), Westpac Banking Co. (down $1.6B to $23.2), Commonwealth Bank of Australia (down $1.6B to $18.0B) and UBS AG (down $1.1B to $10.3B).
The United States remained the largest segment of country-affiliations; it represents 59.5% of holdings, or $1.516 trillion (up $66B). France (10.9%, $277.2B) moved up to second place, jumping ahead of third place Canada (9.6%, $244.3B) and fourth place Japan (7.4%, $187.8B). Sweden (4.5%, $115.2B) rose to fifth, while the U.K. (4.4%, $111.4B) jumped to sixth, dropping Australia (3.3%, $83.6B) from fifth to seventh. The Netherlands (2.7%, $68.9B), Switzerland (2.5%, $64.3B), and Germany (2.0%, $49.9B) round out the top 10 among country affiliations. (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, 2015, Taxable money funds held 27.7% (up from 26.3%) of their assets in securities maturing Overnight, and another 13.8% maturing in 2-7 days (so 41.5% in total matures in 1-7 days). Another 21.3% matures in 8-30 days, while 13.1% matures in 31-60 days. Note that three-quarters, or 75.9% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 11.6% of taxable securities, while 9.5% matures in 91-180 days, and just 2.9% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Tuesday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released later this week. Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new "Holdings Reports Funds Module." The new file allows user to choose funds (pick a fund then click its ticker) and show Performance alongside Composition, Country breakout, Largest Holdings and Fund Information.
