Crane Data released its September Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of August 31, 2015, shows a big gains in holdings of Agencies (much of which was due to Fidelity Cash Reserves increasing its Agencies by $9.4 billion) and gains in Time Deposits and small decreases in Commercial Paper and Repo. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $35.0 billion in August to $2.584 trillion. MMF holdings increased $55.0 billion in July, $58.3 billion in June and $31.6 billion in May. Despite a minor 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 28.1% of holdings, down slightly from the previous month's 28.6%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreements (repo) decreased $2.5 billion (0.4%) to $555.8 billion, or 21.5% of all assets, after decreasing $109.7 billion in July and increasing $140.5 billion in June. Certificates of Deposit (CDs) were up $1.1 billion (0.2%) to $537.2 billion, or 20.8%, after increasing $33.9 billion in July and $21.8 billion in June. Treasury holdings increased $3.3 billion (0.8%) to $434.0 billion, or 16.8%, while Commercial Paper (CP) dropped $5.4 billion (1.3%) to $406.7 billion, or 15.7% of assets.
Government Agency Debt increased $29.8 billion (8.4%) to $383.7 billion, or 14.8% of assets. As we mentioned, Fidelity Cash Reserves, the largest money fund with $111.5 billion, increased its holdings of Agencies from 19% ($21.3 billion) last month to 26% ($30.7 billion), an increase of $9.4 billion. (Fidelity Cash Reserves is in the process of converting to Fidelity Government Cash Reserves -- see "Fidelity Announces Major Changes to MMFs; Staying Stable, Going Govt." The fund is one of the first of many expected to do so under the pending Money Fund Reforms, and Fidelity plans to complete the shift in the 4th quarter of 2015.) Other holdings, primarily Time Deposits, jumped $10.6 billion (4.5%) to $249.0 billion, or 9.6% of assets. VRDNs held by taxable funds decreased by $1.9 billion (9.6%) to $17.7 billion (0.7% of assets).
Among Prime money funds, CDs represent one-third of holdings at 33.4% (down from 33.7% a month ago), followed by Commercial Paper at 25.3%. The CP totals are primarily Financial Company CP (14.3% of total holdings), with Asset-Backed CP making up 5.7% and Other CP (non-financial) making up 5.3%. Prime funds also hold 8.0% in Agencies (up from 6.9%), 4.1% in Treasury Debt (down from 4.8%), 3.2% in Treasury Repo, 5.8% in Other Instruments, 4.1% in Other Instruments (Time Deposits), and 4.1% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.607 trillion (up from $1.589 trillion last month), or 62.2% of taxable money fund holdings' total of $2.584 trillion.
Government fund portfolio assets totaled $468 billion, up from $465 billion in July, while Treasury money fund assets totaled $509 billion, up from $495 billion in July. Government money fund portfolios were made up of 54.4% Agency Debt, 26.1% Government Agency Repo, 4.4% Treasury debt, and 14.6% in Treasury Repo. Treasury money funds were comprised of 68.4% Treasury debt, 30.8% in Treasury Repo, and 0.9% in Government agency, repo and investment company shares. Government and Treasury funds combined total $977 billion, or 37.8% of all taxable money fund assets.
European-affiliated holdings fell $1.6 billion in August to $726.5 billion among all taxable funds (and including repos); their share of holdings decreased to 28.1% from 28.6% the previous month. Eurozone-affiliated holdings decreased $2.9 billion to $406.6 billion in August; they now account for 15.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $8.1 billion to $293.5 billion (11.4% of the total). Americas related holdings increased $41.0 billion to $1.557 trillion, and now represent 60.3% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $3.1 billion to $277.0 billion, or 10.7% of assets), Government Agency Repurchase Agreements (up $9.4 billion to $199.3 billion, or 7.7% of total holdings), and Other Repurchase Agreements ($79.6 billion, or 3.1% of holdings, down $8.7 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.6 billion to $229.1 billion, or 8.9% of assets), Asset Backed Commercial Paper (up $1.4 billion to $92.2 billion, or 3.6%), and Other Commercial Paper (up $2.8 billion to $85.4 billion, or 3.3%).
The 20 largest Issuers to taxable money market funds as of August 31, 2015, include: the US Treasury ($435.4 billion, or 18.4%), Federal Home Loan Bank ($253.1B, 10.7%), Federal Reserve Bank of New York ($128.7B, 5.4%), Wells Fargo ($74.9B, 3.2%), Credit Agricole ($74.2B, 3.1%), BNP Paribas ($71.6B, 3.0%), JP Morgan ($67.4B, 2.9%), RBC ($57.0B, 2.4%), Bank of Tokyo-Mitsubishi UFJ Ltd ($56.1B, 2.4%), Bank of Nova Scotia ($55.3B, 2.3%), Bank of America ($54.6B, 2.3%), Natixis ($52.1B, 2.2%), Toronto-Dominion Bank ($51.0B, 2.2%), Federal Home Loan Mortgage Co. ($46.0B, 1.9%), Sumitomo Mitsui Banking Co ($44.4B, 1.9%), Federal Farm Credit Bank ($43.2B, 1.8%), Credit Suisse ($42.6B, 1.8%), Societe Generale ($42.2B, 1.8%), Federated National Mortgage Association ($37.8B, 1.6%), and Mizuho Corporate Bank Ltd. ($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 $128.73B, or 22.2% of money fund repo, up from $122.3B a month ago, but down from $361.4B 2 months ago. The 10 largest Fed Repo positions among MMFs on 8/31 include: Fidelity Cash Central Fund ($10.2B), UBS Select Treas ($7.4B), JP Morgan US Trs Plus ($7.3B), Morgan Stanley Inst Lq Gvt ($7.0B), Federated Trs Oblg ($5.9B), Morgan Stanley Inst Liq Trs ($5.8B), JP Morgan US Govt ($5.6B), Dreyfus Govt Cash Mngt ($5.5B), First American Gvt Oblg ($5.2B), and Fidelity Inst MMkt Gvt ($4.8B).
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 ($128.7B, 23.2%), BNP Paribas ($42.6B, 7.7%), Wells Fargo ($41.9B, 7.5%), Bank of America ($40.6B, 7.3%), Societe Generale ($35.1B, 6.3%), JP Morgan ($34.6B, 6.2%), Credit Agricole ($28.7B, 5.2%), Credit Suisse ($24.1B, 4.3%), Citi ($20.7B, 3.7%), and RBC ($18.0B, 3.2%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($45.6B, 4.3%), Sumitomo Mitsui Banking Co ($44.2B, 4.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($44.3B, 4.2%), Natixis ($42.2B, 4.0%), RBC ($39.0B, 3.7%), Toronto Dominion Bank ($37.8B, 3.6%), Bank of Nova Scotia ($37.7B, 3.6%), DnB NOR Bank ASA ($34.8B, 3.3%), Skandinaviska Enskilda Banken AB ($34.8B, 3.3%), and Wells Fargo ($32.9B, 3.1%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($38.6B, 7.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($34.2B, 6.4%), Toronto-Dominion Bank ($32.8B, 6.1%), Mizuho Corporate Bank Ltd ($27.3B, 5.1%), Bank of Nova Scotia ($26.7B, 5.0%), Bank of Montreal ($26.0B, 4.9%), Wells Fargo ($24.8B, 4.6%), RBC ($20.2B, 3.8%), Canadian Imperial Bank of Commerce ($19.5B, 3.7%), and Sumitomo Mitsui Trust Bank ($19.5B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($24.5B, 7.4%), Commonwealth Bank of Australia ($17.1B, 5.1%), Westpac Banking Co ($16.6B, 5.0%), Lloyds TSB Bank PLC ($15.0B, 4.5%), RBC ($14.8B, 4.4%), BNP Paribas ($14.3B, 4.3%), HSBC ($10.3B, 3.1%), National Australia Bank Ltd ($10.2B, 3.1%), Bank of Nova Scotia ($9.7B, 2.9%), and Australia & New Zealand Banking Group Ltd ($9.6B, 2.9%).
The largest increases among Issuers include: Federal Home Loan Bank (up $15.4B to $253.1B), Natixis (up $9.2B to $52.1B), Federal National Mortgage Association (up $8.7B to $37.8B), DnB NOR Bank ASA (up $7.4B to $34.8B), Federal Reserve Bank of New York (up $6.4B to $128.7B), Federal Home Loan Mortgage Co. (up $6.2B to $46.0B), US Treasury (up $4.6B to $435.4B), Canadian Imperial Chamber of Commerce (up $3.1B to $23.8B), Wells Fargo (up $3.0B to $74.9B), and Rabobank (up $2.9B to $23.2B).
The largest decreases among Issuers of money market securities (including Repo) in August were shown by: BNP Paribas (down $9.3B to $71.6B), Credit Suisse (down $4.6B to $42.6B), Bank of America (down $3.5B to $54.6), Credit Agricole (down $3.5B to $74.2B), National Australia Bank (down $3.1B to $17.4B), ABN Amro Bank (down $2.6B to $10.1B), ING Bank (down $2.3B to $23.5B), Nordea Bank (down $2.2B to $20.4), Bank of Tokyo-Mitsubishi (down $2.0B to $56.1B) and Barclays PLC (down $1.8B to $30.4B).
The United States remained the largest segment of country-affiliations; it represents 50.7% of holdings, or $1.309 trillion (down $40.0B). France (10.7%, $275.8B) stayed in second place, just ahead of third place Canada (9.5%, $246.2B) and fourth place Japan (7.3%, $187.4B). The U.K. and Sweden (4.4%, $113.9B) tied for fifth, while Australia (3.1%, $79.4B) placed sixth. The Netherlands (2.5%, $65.3B), Switzerland (2.2%, $56.9B), Germany (2.0%, $52.5B), and Norway (1.4%, $34.8B) 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 August 31, 2015, Taxable money funds held 28.3% (up from 27.7%) of their assets in securities maturing Overnight, and another 10.3% maturing in 2-7 days (so 38.6% in total matures in 1-7 days). Another 27.3% matures in 8-30 days, while 13.5% matures in 31-60 days. Note that more than three-quarters, or 79.4% 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 8.8% of taxable securities, while 9.6% matures in 91-180 days, and just 2.4% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Thursday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released early next 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.
