Crane Data released its November Money Fund Portfolio Holdings Tuesday, and our latest collection of taxable money market securities, with data as of Oct. 31, 2015, shows a huge gain in holdings of Other (Time Deposits), a big gain in Agencies, and smaller gains in CDs, CP, and Treasuries, as well as a giant drop in Repos. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $61.8 billion in October to $2.616 trillion. MMF holdings decreased by $30.1 billion in September, increased by $35.0 billion in August, and increased by $55.0 billion in July. Repos remained the largest portfolio segment, even as Fed repo plummeted following last month's quarter-end surge; CDs remained the second largest segment. Agencies solidified their hold on third place, driven by Prime funds preparing for reclassification as Government funds. Agencies remained well ahead of both Treasuries and Commercial Paper. Other (mainly Time Deposits) securities were sixth, followed by VRDNs. Money funds' European-affiliated securities represented 27.3% of holdings, up significantly from the previous month's 18.5%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) decreased $119.8 billion (16.5%) to $608.6 billion, or 23.3% of assets, after increasing $172.6 billion in September and decreasing $2.5 billion in August. Certificates of Deposit (CDs) were up $15.8 billion (3.3%) to $497.7 billion, or 19.0%, after dropping $55.3 billion in September and increasing $1.1 billion in August.
Government Agency Debt increased $34.1 billion to $452.3 billion, or 17.3%, after increasing $34.5 in September and $29.8 billion in August. It was the third straight month of gains for Agencies, fueled by the ongoing conversion of the $117 billion Fidelity Cash Reserves from Prime to Government. Cash Reserves again accounted for more than half of the monthly increase in Agencies. (Fidelity Cash Reserves now holds 56% in Agencies, up from 41% last month, 26% in August, and 19% July 31.)
Treasury holdings increased $9.3 billion (2.3%) to $423.8 billion, or 16.2%, while Commercial Paper (CP) jumped $15.5 billion (4.1%) to $394.5 billion, or 15.1% of assets. Other holdings, primarily Time Deposits, soared $107.3 billion (93.1%) to $222.5 billion, or 8.5% of assets. VRDNs held by taxable funds decreased by $400 million (2.5%) to $16.3 billion (0.6% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 30.8% (up from 30.4% a month ago), followed by Commercial Paper at 24.5% (up from 23.9%). The CP totals are primarily Financial Company CP (13.8% of total holdings), with Asset-Backed CP making up 5.9% and Other CP (non-financial) making up 4.8%. Prime funds also hold 11.7% in Agencies (up from 10.7%), 3.7% in Treasury Debt (unchanged), 5.5% in Treasury Repo (down from 13.9%), 3.8% in Other Instruments, 4.9% in Other Instruments (Time Deposits), and 5.0% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.614 trillion (down from $1.588 trillion last month), or 61.7% of taxable money fund holdings' total of $2.616 trillion.
Government fund portfolio assets totaled $511 billion, up from $471 billion in October, while Treasury money fund assets totaled $491 billion, down from $495 billion in October. Government money fund portfolios were made up of 51.8% Agency Debt, 21.7% Government Agency Repo, 5.1% Treasury debt, and 20.8% in Treasury Repo. Treasury money funds were comprised of 68.8% Treasury debt, 29.8% in Treasury Repo, and 1.5% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.002 trillion, or 38.3% of all taxable money fund assets.
European-affiliated holdings rocketed $240.5 billion in October to $713.2 billion among all taxable funds (and including repos); their share of holdings decreased to 27.3% from 18.5% the previous month. Eurozone-affiliated holdings spiked $132.7 billion to $400.6 billion in October; they now account for 15.3% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $20.4 billion to $302.6 billion (11.6% of the total). Americas related holdings decreased $196.0 billion to $1.597 trillion, and now represent 61.0% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which was down $137.9 billion, or 28.8%, to $341.3 billion, or 13.0% of assets, Government Agency Repurchase Agreements (up $21.3 billion to $191.8 billion, or 7.3% of total holdings), and Other Repurchase Agreements ($75.5 billion, or 2.9% of holdings, down $3.2 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $15.4 billion to $223.0 billion, or 8.5% of assets), Asset Backed Commercial Paper (up $2.4 billion to $94.5 billion, or 3.6%), and Other Commercial Paper (down $2.3 billion to $77.0 billion, or 2.9%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2015, include: the US Treasury ($423.8 billion, or 16.2%), Federal Home Loan Bank ($301.8B, 11.5%), Federal Reserve Bank of New York ($174.5B, 6.7%), Wells Fargo ($81.9B, 3.1%), Credit Agricole ($78.5B, 3.0%), BNP Paribas ($74.5B, 2.8%), Bank of Tokyo-Mitsubishi UFJ Ltd ($67.1B, 2.6%), JP Morgan ($59.5B, 2.3%), Federal Home Loan Mortgage Co. ($56.9B, 2.2%), RBC ($56.4B, 2.2%), Credit Suisse ($55.5B, 2.1%), Bank of America ($52.2B, 2.0%), Bank of Nova Scotia ($52.0B, 2.0%), Federal Farm Credit Bank ($47.3B, 1.8%), DnB NOR Bank USA ($45.3B, 1.7%), Federal National Mortgage Association ($43.9B, 1.7%), Societe Generale ($43.8B, 1.7%), Sumitomo Mitsui Banking Co ($43.6B, 1.7%), Toronto-Dominion Bank ($41.5B, 1.6%), and Natixis ($41.0B, 1.6%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest repo program with $173.8B, or 28.6% of money fund repo. The 10 largest Fed Repo positions among MMFs on 10/31 include: Vanguard Prime MMkt Fund ($12.1B), Wells Fargo Adv Govt MMkt ($11.4B), Fidelity Cash Central ($9.3B), JP Morgan US Govt ($8.8B), State Street Inst Lq Res ($8.0B), Goldman Sachs FS Fed ($7.8B), UBS Select Treas ($7.0B), Vanguard Market Liquidity ($6.9B), Franklin IFT MMP ($6.2B), and First American Govt Oblg ($5.4B).
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 ($173.8B, 28.6%), Wells Fargo ($49.1B, 8.1%), BNP Paribas ($45.8B, 7.5%), Credit Suisse ($41.7B, 6.9%), Bank of America ($40.4B, 6.6%), Societe Generale ($34.8B, 5.7%), Credit Agricole ($30.9B, 5.1%), JP Morgan ($28.1B, 4.6%), Citi ($20.6B, 3.4%), and RBC ($18.3B, 3.0%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($54.6B, 5.5%), Credit Agricole ($47.5B, 4.8%), DnB NOR Bank ASA ($45.3B, 4.6%), Sumitomo Mitsui Banking Co ($43.6B, 4.4%), RBC ($38.1B, 3.8%), Bank of Nova Scotia ($35.5B, 3.6%), Skandinaviska Enskilda Banken AB ($33.9B, 3.4%), Wells Fargo ($32.9B, 3.3%), JP Morgan ($31.4B, 3.2%), and Natixis ($31.2B, 3.1%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($41.6B, 8.4%), Sumitomo Mitsui Banking Co ($35.0B, 7.1%), Toronto-Dominion Bank ($29.0B, 5.9%), Wells Fargo ($26.4B, 5.4%), Bank of Montreal ($25.4B, 5.1%), Bank of Nova Scotia ($23.6B, 4.8%), RBC ($21.3B, 4.3%), Mizuho Corporate Bank Ltd ($19.8B, 4.0%), Sumitomo Mitsui Trust Bank ($17.5B, 3.6%), and Credit Agricole ($17.2B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($24.2B, 7.3%), Commonwealth Bank of Australia ($19.0B, 5.7%), BNP Paribas ($17.5B, 5.3%), Westpac Banking Co ($17.0B, 5.1%), RBC ($13.7B, 4.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($11.6B, 3.5%), HSBC ($11.0B, 3.3%), Bank of Nova Scotia ($10.9B, 3.3%), Credit Agricole ($10.7B, 3.2%), and Australia & New Zealand Banking Group Ltd ($10.7B, 3.2%).
The largest increases among Issuers include: Credit Agricole (up $44.4B to $78.5B), Federal Home Loan Bank (up $28.4B to $301.8B), Societe Generale (up $25.5B to $43.8B), Credit Suisse (up $21.0B to $55.0B), Credit Mutuel (up $19.7B to $26.5B), BNP Paribas (up $18.0B to $74.5B), Skandinaviska Enskilda Bank (up $16.8B to $33.9B), Natixis (up $14.5B to $41.0B), Barclays PLC (up $14.4B to $25.2B), and Wells Fargo (up $13.3B to $81.9B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of New York (down $224.7B to $174.5B), Bank of Montreal (down $9.7B to $30.1B), Toronto-Dominion Bank (down $4.8B to $41.5B), Canadian Imperial Bank of Commerce (down $3.4B to $19.2B), Sumitomo Mitsui Banking Co. (down $2.2B to $43.6B), HSBC (down $2.0B to $29.2B), Bank of Nova Scotia (down $1.9B to $52.0B), State Street (down $1.3B to $13.4B), FMS Wertmanagement (down $900M to $7.6B) and DZ Bank AG (down $700M to $8.0B).
The United States remained the largest segment of country-affiliations; it represents 52.6% of holdings, or $1.375 trillion (down $174.8B). France jumped to second from fourth (10.6%, $276.9B), moving ahead of third place Canada (8.4%, $219.7B) and fourth place Japan (7.4%, $194.1B). Sweden (4.1%, $106.3B) remained in fifth, followed by the United Kingdom (3.4%, $87.9B) in sixth and Australia (3.2%, $83.4B) in seventh. Switzerland (2.7%, $70.7B), The Netherlands (2.5%, $63.9B), and Germany (1.8%, $47.3B) 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 October 31, 2015, Taxable money funds held 30.7% (up from 27.4%) of their assets in securities maturing Overnight, and another 12.9% maturing in 2-7 days (down from 16.5%). Thus, 43.6% in total matures in 1-7 days. Another 20.4% matures in 8-30 days, while 10.3% matures in 31-60 days. Note that about three-quarters, or 74.3% 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 12.3% of taxable securities, while 11.4% 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 Tuesday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released late 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.
