Crane Data released its December Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of Nov. 30, 2015, shows a huge gain in holdings of Treasuries, and declines in Repo, CDs, and CP. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $7.8 billion in November to $2.608 trillion. MMF holdings increased by $61.8 billion in October, 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, but Treasuries jumped into second place. CDs fell to 3rd place, and Agencies were in fourth with their first decline since July. These sectors remained ahead of Commercial Paper, which was the 5th largest composition segment. Other (mainly Time Deposits) securities were sixth, followed by VRDNs. Money funds' European-affiliated securities represented 25.2% of holdings, down slightly from the previous month's 27.3%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) decreased $49.9 billion (8.2%) to $558.7 billion, or 21.4% of assets, after decreasing $119.8 billion in October, increasing $172.6 billion in September and decreasing $2.5 billion in August. Treasury holdings spiked $110.2 billion (26.0%) to $534.0 billion, or 20.5% of holdings, after increasing $9.3 billion in October. This is Treasuries' highest level in money fund portfolios since Crane Data began tracking Portfolio Holdings in January 2011. Certificates of Deposit (CDs) were down $36.1 billion (7.3%) to $461.7 billion, or 17.7%, after increasing $15.8 billion in October, dropping $55.3 billion in September and increasing $1.1 billion in August.
Government Agency Debt decreased $3.6 billion to $448.7 billion, or 17.2%, after increasing $34.1 billion in October, $34.5 in September and $29.8 billion in August. It was the first decline in 4 months for Agencies, despite the final stage of conversion of the $115 billion Fidelity Cash Reserves from Prime to Government. Cash Reserves increased its holdings in Agencies by $13.4 billion in its final shift towards becoming Fidelity Govt Cash Reserves (Dec. 1). (Fidelity Cash Reserves held 67% in Agencies as of Nov. 30, up from 56% in Oct., 41% in Sept., 26% in August, and 19% July 31.) Commercial Paper (CP) fell $24.6 billion (6.2%) to $369.9 billion, or 14.2% of assets. Other holdings, primarily Time Deposits, dipped $4.9 billion (2.2%) to $217.6 billion, or 8.3% of assets. VRDNs held by taxable funds increased by $1.0 billion (6.4%) to $17.4 billion (0.7% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 29.5% (down from 30.8% a month ago), followed by Commercial Paper at 23.7% (down from 24.5%). The CP totals are primarily Financial Company CP (13.7% of total holdings), with Asset-Backed CP making up 5.6% and Other CP (non-financial) making up 4.4%. Prime funds also hold 11.5% in Agencies (up from 11.7%), 6.4% in Treasury Debt (up from 3.7%), 3.5% in Treasury Repo (down from 5.5%), 3.8% in Other Instruments, 4.9% in Other Instruments (Time Deposits), and 5.2% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.565 trillion (down from $1.614 trillion last month), or 60.0% of taxable money fund holdings' total of $2.608 trillion.
Government fund portfolio assets totaled $541 billion, up from $511 billion in November, while Treasury money fund assets totaled $502 billion, up from $491 billion in November. Government money fund portfolios were made up of 49.5% Agency Debt, 18.5% Government Agency Repo, 11.7% Treasury debt, and 19.9% in Treasury Repo. Treasury money funds were comprised of 73.9% Treasury debt, 25.3% in Treasury Repo, and 0.9% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.043 trillion, or 40.0% of all taxable money fund assets.
European-affiliated holdings fell $55.4 billion in November to $657.8 billion among all taxable funds (and including repos); their share of holdings decreased to 25.2% from 27.3% the previous month. Eurozone-affiliated holdings fell $23.5 billion to $377.1 billion in November; they now account for 14.5% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $12.7 billion to $289.9 billion (11.1% of the total). Americas related holdings increased $59.9 billion to $1.657 trillion, and now represent 63.5% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which was down $51.2 billion, or 15.0%, to $290.1 billion, or 11.1% of assets, Government Agency Repurchase Agreements (up $1.1 billion to $192.9 billion, or 7.4% of total holdings), and Other Repurchase Agreements ($75.7 billion, or 2.9% of holdings, up $0.2 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.2 billion to $213.7 billion, or 8.2% of assets), Asset Backed Commercial Paper (down $7.4 billion to $87.1 billion, or 3.3%), and Other Commercial Paper (down $7.9 billion to $69.1 billion, or 2.6%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2015, include: the US Treasury ($534.0 billion, or 20.5%), Federal Home Loan Bank ($303.1B, 11.6%), Federal Reserve Bank of New York ($124.7B, 4.8%), Credit Agricole ($73.8B, 2.8%), Wells Fargo ($72.6B, 2.8%), BNP Paribas ($70.8B, 2.7%), Bank of Tokyo-Mitsubishi UFJ Ltd ($63.7B, 2.4%), RBC ($56.8B, 2.2%), Federal Home Loan Mortgage Co. ($55.4B, 2.1%), JP Morgan ($54.6B, 2.1%), Bank of America ($54.2B, 2.1%), Bank of Nova Scotia ($52.8B, 2.0%), Federal Farm Credit Bank ($48.6B, 1.9%), Societe Generale ($46.1B, 1.8%), Credit Suisse ($44.3B, 1.7%), Toronto-Dominion Bank ($42.0B, 1.6%), Bank of Montreal ($40.7B, 1.6%), Federal National Mortgage Association ($38.7B, 1.5%), Sumitomo Mitsui Banking Co ($37.1B, 1.4%), and Natixis ($36.8B, 1.4%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest repo program with $124.7B, or 22.3% of money fund repo. The 10 largest Fed Repo positions among MMFs on 11/30 include: Wells Fargo Adv Govt MMkt ($13.2B), JP Morgan US Govt ($8.7B), Fidelity Cash Reserves ($7.9B), Morgan Stanley Inst Lq Gvt ($7.8B), State Street Inst Lq Res ($6.8B), Fidelity Cash Central Fund ($6.3B), Northern Inst Gvt Select ($5.4B), UBS Select Treas ($5.3B), Fidelity Govt Money Market ($5.2B), and Morgan Stanley Inst Liq Trs ($4.7B).
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 ($124.7B, 22.3%), Wells Fargo ($43.3B, 7.7%), Bank of America ($42.6B, 7.6%), BNP Paribas ($41.9B, 7.5%), Societe Generale ($37.1B, 6.6%), Credit Suisse ($33.9B, 6.1%), Credit Agricole ($29.8B, 5.3%), JP Morgan ($26.7B, 4.8%), Citi ($20.8B, 3.7%), and RBC ($19.6B, 3.5%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($49.7B, 5.3%), Credit Agricole ($44.1B, 4.7%), RBC ($37.2B, 4.0%), Sumitomo Mitsui Banking Co ($37.1B, 3.9%), DnB NOR Bank ASA ($34.5B, 3.7%), Skandinaviska Enskilda Banken AB ($34.3B, 3.7%), Bank of Nova Scotia ($34.1B, 3.6%), Bank of Montreal ($32.9B, 3.5%), Toronto-Dominion Bank ($29.8B, 3.2%), and Wells Fargo ($29.3B, 3.1%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($33.3B, 7.3%), Bank of Montreal ($29.9B, 6.5%), Toronto-Dominion Bank ($27.8B, 6.1%), Sumitomo Mitsui Banking Co ($27.1B, 5.9%), Wells Fargo ($22.7B, 5.0%), Bank of Nova Scotia ($22.2B, 4.8%), Canadian Imperial Bank of Commerce ($21.8B, 4.8%), RBC ($20.3B, 4.4%), Sumitomo Mitsui Trust Bank ($18.8B, 4.1%), and Mizuho Corporate Bank Ltd ($18.3B, 4.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($20.9B, 6.7%), Commonwealth Bank of Australia ($17.6B, 5.6%), BNP Paribas ($16.7B, 5.3%), Westpac Banking Co ($15.6B, 5.0%), RBC ($13.3B, 4.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($11.8B, 3.8%), Bank of Nova Scotia ($10.7B, 3.4%), HSBC ($10.4B, 3.3%), Australia & New Zealand Banking Group Ltd ($10.2B, 3.3%), and Credit Agricole ($10.2B, 3.3%).
The largest increases among Issuers include: US Treasury (up $110.2B to $534.0B), Bank of Montreal (up $10.6B to $40.7B), Canadian Imperial Bank of Commerce (up $7.6B to $26.8B), ING Bank (up $2.7B to $24.3B), DZ Bank AG (up $2.6B to $10.6B), Lloyds Banking Group (up $2.6B to $13.7B), Societe Generale (up $2.3B to $46.1B), Bank of America (up $2.0B to $54.2B), KBC Group NV (up $1.7B to $10.6B), and Sumitomo Mitsui Trust Bank (up $1.5B to $22.1B).
The largest decreases among Issuers of money market securities (including Repo) in November were shown by: Federal Reserve Bank of New York (down $49.8B to $124.7B), DnB NOR Bank ASA (down $10.9B to $34.5B), Credit Suisse (down $10.7B to $44.3B), Wells Fargo (down $9.3B to $72.6B), Sumitomo Mitsui Banking Co. (down $6.5B to $37.1B), Federal National Mortgage Association (down $5.2B to $38.7B), JP Morgan (down $5.0B to $54.6B), Credit Agricole (down $4.6B to $73.8B), Natixis (down $4.2B to $36.8B) and Swedbank AB (down $4.1B to $22.8B).
The United States remained the largest segment of country-affiliations; it represents 54.3% of holdings, or $1.417 trillion (up $42.0B). France remained in second (10.0%, $261.8B), remaining ahead of third place Canada (9.1%, $237.6B) and fourth place Japan (7.1%, $184.2B). Sweden (3.9%, $101.1B) remained in fifth, followed by the United Kingdom (3.3%, $86.3B) in sixth and Australia (3.1%, $81.1B) in seventh. The Netherlands (2.3%, $60.5B) moved ahead of Switzerland (2.1%, $55.9B), and Germany (1.6%, $41.0B) ranked No. 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 Nov. 30, 2015, Taxable money funds held 29.8% (down from 30.7%) of their assets in securities maturing Overnight, and another 12.0% maturing in 2-7 days (down from 12.9%). Thus, 41.8% in total matures in 1-7 days. Another 22.2% matures in 8-30 days, while 13.9% matures in 31-60 days. Note that over three-quarters, or 77.8% 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 10.6% of taxable securities, while 9.8% 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 Wednesday, 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.
