Crane Data released its October Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of Sept. 30, 2015, shows a huge gain in holdings of Fed repo, which spiked to record levels. There was also a sizable gain in Agencies (Fidelity Cash Reserves' continuing shift to Govts accounted for half of the increase), a large drop in Other (Time Deposits), and smaller decreases in CDs and Commercial Paper. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $30.2 billion in September to $2.554 trillion. MMF holdings increased by $35.0 billion in August, $55.0 billion in July, and $58.3 billion in June. Repos remained the largest portfolio segment, well ahead of CDs. Agencies moved into third place, jumping ahead of both Treasuries and Commercial Paper . Other (mainly Time Deposits) securities was sixth, followed by VRDNs. Money funds' European-affiliated securities represented just 18.5% of holdings, down significantly from the previous month's 28.1%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreements (repo) increased $172.6 billion (31.1%) to $728.4 billion, or 28.5% of assets, after decreasing $2.5 billion in August and dropping $109.7 billion in July. Certificates of Deposit (CDs) were down $55.3 billion (10.3%) to $482.0 billion, or 18.9%, after increasing $1.1 billion in August and jumping i$33.9 billion in July. Government Agency Debt increased $34.5 (9.0%) to $418.2 billion, or 16.4% of assets, after increasing $29.8 billion last month. Almost half of the gains, $16.7 billion, were due to the ongoing conversion of Fidelity Cash Reserves, the largest money fund with $111.5 billion, from Prime to Government. (Fidelity Cash Reserves now holds 41% in Agencies, up from 26% last month and 19% the month ended July 31.)
Treasury holdings decreased $19.6 billion (4.5%) to $414.5 billion, or 16.2%, while Commercial Paper (CP) dropped $27.7 billion (6.8%) to $379.0 billion, or 14.8% of assets. Other holdings, primarily Time Deposits, fell $133.8 billion (53.7%) to $115.2 billion, or 4.5% of assets. VRDNs held by taxable funds decreased by $1.0 billion (5.4%) to $16.8 billion (0.7% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 30.4% (down from 33.4% a month ago), followed by Commercial Paper at 23.9% (down from 25.3%). The CP totals are primarily Financial Company CP (13.1% of total holdings), with Asset-Backed CP making up 5.8% and Other CP (non-financial) making up 5.0%. Prime funds also hold 10.7% in Agencies (up from 8.0%), 3.7% in Treasury Debt (down from 4.1%), 13.9% in Treasury Repo (up from 3.2%), 1.5% in Other Instruments, 1.3% in Other Instruments (Time Deposits), and 4.3% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.588 trillion (down from $1.607 trillion last month), or 62.2% of taxable money fund holdings' total of $2.554 trillion.
Government fund portfolio assets totaled $471 billion, up from $468 billion in August, while Treasury money fund assets totaled $495 billion, down from $509 billion in August. Government money fund portfolios were made up of 52.7% Agency Debt, 20.1% Government Agency Repo, 3.6% Treasury debt, and 23.2% in Treasury Repo. Treasury money funds were comprised of 68.5% Treasury debt, 30.1% in Treasury Repo, and 1.4% 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 plummeted $253.8 billion in September to $472.7 billion among all taxable funds (and including repos); their share of holdings decreased to 18.5% from 28.1% the previous month. Eurozone-affiliated holdings decreased $138.7 billion to $267.9 billion in September; they now account for 18.5% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $11.3 billion to $282.2 billion (10.5% of the total). Americas related holdings increased $236.0 billion to $1.793 trillion, and now represent 70.2% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which was up a whopping $202.2 billion, or 73%, to $479.2 billion, or 18.8% of assets, Government Agency Repurchase Agreements (down $28.7 billion to $170.6 billion, or 6.7% of total holdings), and Other Repurchase Agreements ($78.7 billion, or 3.1% of holdings, down $900 million from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $21.6 billion to $207.5 billion, or 8.1% of assets), Asset Backed Commercial Paper (unchanged to $92.2 billion, or 3.6%), and Other Commercial Paper (down $6.1 billion to $79.3 billion, or 3.1%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2015, include: the US Treasury ($414.5 billion, or 16.2%), Federal Reserve Bank of New York ($399.2B, 15.6%), Federal Home Loan Bank ($273.3B, 10.7%), Wells Fargo ($68.6B, 2.7%), JP Morgan ($60.1B, 2.4%), Bank of Tokyo-Mitsubishi UFJ Ltd ($57.2B, 2.2%), BNP Paribas ($56.5B, 2.2%), RBC ($56.5B, 2.2%), Federal Home Loan Mortgage Co. ($55.4B, 2.2%), Bank of Nova Scotia ($54.0B, 2.1%), Bank of America ($50.2B, 2.0%), Toronto-Dominion Bank ($46.3B, 1.8%), Sumitomo Mitsui Banking Co ($45.8B, 1.8%), Federal Farm Credit Bank ($44.3B, 1.7%), Federated National Mortgage Association ($42.6B, 1.7%), Bank of Montreal ($39.8B, 1.6%), Credit Agricole ($34.1B, 1.3%), Credit Suisse ($33.9B, 1.3%), HSBC ($31.2B, 1.2%), and Mizuho Corporate Bank Ltd. ($31.1B, 1.2%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) skyrocketed and easily remained the largest repo program with $399.2B, or 54.8% of money fund repo, up from $128.7B a month ago. The 10 largest Fed Repo positions among MMFs on 9/30 include: Fidelity Inst MM ($19.2B), Fidelity Inst MMkt Prime ($17.6B), Morgan Stanley Inst Liq Gvt ($16.8B), JP Morgan Prime ($15.0B), BlackRock Lq TempFund ($14.4B), Fidelity Cash Reserves ($13.4B), JP Morgan US Govt ($13.2B), Fidelity Cash Central ($11.3B), Federated Trs Oblg ($11.2B), and Wells Fargo Adv Gvt MMkt ($10.3B).
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 ($399.2B, 54.8%), Wells Fargo ($38.6B, 5.3%), Bank of America ($37.7B, 5.2%), BNP Paribas ($31.1B, 4.4%), JP Morgan ($28.6B, 3.9%), Citi ($21.1B, 2.9%), Bank of Nova Scotia ($18.4B, 2.5%), RBC ($17.5B, 2.4%), Credit Suisse ($17.0B, 2.3%), and Goldman Sachs ($12.9B, 1.8%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Sumitomo Mitsui Banking Co ($45.8B, 5.4%), Bank of Tokyo-Mitsubishi UFJ Ltd ($45.0B, 5.3%), RBC ($38.9B, 4.6%), Bank of Nova Scotia ($35.6B, 4.2%), Toronto Dominion Bank ($34.3B, 4.0%), Bank of Montreal ($32.1B, 3.8%), JP Morgan ($31.5B, 3.7%), Wells Fargo ($30.0B, 3.5%), Mizuho Corporate Bank Ltd. ($25.9B, 3.0%), and Svenska Handelsbanken AB ($25.7B, 3.0%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($37.5B, 7.8%), Bank of Tokyo-Mitsubishi UFJ Ltd ($33.6B, 7.0%), Toronto-Dominion Bank ($31.1B, 6.5%), Bank of Montreal ($29.1B, 6.1%), Bank of Nova Scotia ($25.7B, 5.4%), Mizuho Corporate Bank Ltd ($23.4B, 4.9%), Wells Fargo ($23.3B, 4.9%), RBC ($20.7B, 4.3%), Sumitomo Mitsui Trust Bank ($18.7B, 3.9%), and Canadian Imperial Bank of Commerce ($18.3B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($24.2B, 7.8%), Commonwealth Bank of Australia ($18.1B, 5.8%), Westpac Banking Co ($16.1B, 5.1%), RBC ($14.4B, 4.6%), BNP Paribas ($13.8B, 4.4%), Bank of Tokyo-Mitsubishi UFJ Ltd ($11.1B, 3.6%), HSBC ($10.9B, 3.5%), Toyota ($10.2B, 3.3%), National Australia Bank Ltd ($9.6B, 3.1%), and Australia & New Zealand Banking Group Ltd ($9.3B, 3.0%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $270.5B to $399.2B), Federal Home Loan Bank (up $20.3B to $273.2B), Federal Home Loan Mortgage Co. (up $9.4B to $55.4B), Federal National Mortgage Assoc (up $4.8B to $42.6B), Bank of Montreal (up $3.3B to $39.8B), Sumitomo Mitsui Banking Co. (up $1.4B to $45.8B), Federal Farm Credit Bank (up $1.1B to $44.3B), Bank of Tokyo-Mitsubishi UFJ Ltd. (up $1.1B to $57.2B), Commonwealth Bank of Australia (up $900M to $19.6B), and Toyota (up $900M to $12.3B).
The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Credit Agricole (down $40.2B to $34.1B), DZ Bank AG (down $26.2B to $8.6B), Natixis (down $25.6B to $26.5B), Societe Generale (down $23.8B to $18.3B), US Treasury (down $20.9B to $414.5B), Barclays PLC (down $19.7B to $10.8B), Skandinaviska EB (down $17.7B to $17.1B), Credit Mutuel (down $17.2B to $6.8B), BNP Paribas (down $15.1B to $56.5B) and Swedbank AB (down $12.4B to $17.6B).
The United States remained the largest segment of country-affiliations; it represents 60.7% of holdings, or $1.550 trillion (up $241.0B). Canada (9.4%, $250.0B) moved into second, followed by Japan (7.2%, $184.7B). Both jumped ahead of France (6.0%, $152.3B), which fell to fourth. Sweden (3.0%, $76.8B) moved to fifth, ahead of Australia (2.9%, $73.5B), while the U.K. (2.8%, $72.5B) fell to sixth. The Netherlands (2.5%, $63.7B), Switzerland (1.9%, $48.5B), Germany (1.8%, $46.7B), and Norway (0.7%, $18.0B) 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 Sept. 30, 2015, Taxable money funds held 27.4% (down from 27.7%) of their assets in securities maturing Overnight, and another 16.5% maturing in 2-7 days (up from 10.3%). So 43.9% in total matures in 1-7 days. Another 23.2% matures in 8-30 days, while 10.8% matures in 31-60 days. Note that more than three-quarters, or 77.9% 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 9.3% of taxable securities, while 10.8% matures in 91-180 days, and just 1.9% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, 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.
