Crane Data released its January Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Dec. 31, 2015, shows a huge gain in (Fed) Repo holdings, a small increase in Agencies, and a big decline in Other (Time Deposits). CDs, CP, and Treasuries all saw declines too. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) `decreased by $2.2 billion in December to $2.606 trillion. MMF holdings decreased by $7.8 in November, increased by $61.8 billion in October, decreased by $30.1 billion in September, and increased by $35.0 billion in August. Repos remained the largest portfolio segment, while Treasuries stayed in second place. Agencies moved into third, ahead of CDs, which fell to 4th place. Commercial Paper was the 5th largest composition segment, while Other (mainly Time Deposits) securities were sixth and VRDNs were seventh. Money funds' European-affiliated securities represented 15.1% of holdings, down dramatically from the previous month's 25.2%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) skyrocketed at quarter-end, as they normally do, increasing $176.6 billion (31.6%) to $735.4 billion, or 28.2% of assets, after decreasing $49.9 billion in November, decreasing $119.8 billion in October, and increasing $172.6 billion in September. (`Fed Repo increased by a massive $283.8 billion to a record $408.5 billion.) Treasury holdings fell $33.2 billion (6.2%) to $500.7 billion, or 19.2% of holdings, after jumping $110.2 billion in November and increasing $9.3 billion in October. Government Agency Debt increased $35 billion (7.6%) to $483.8 billion, or 18.6% of holdings, after decreasing $3.6 billion in November and increasing $34.1 billion in October, $34.5 in September and $29.8 billion in August. The steady rise by Treasuries and Agencies reflects the shift of about $190 billion (so far) of Prime fund to Govt fund assets.
Certificates of Deposit (CDs) were down $51.8 billion (11.2%) to $409.9 billion, or 15.7% of assets, after falling $36.1 billion in November, increasing $15.8 billion in October, and dropping $55.3 billion in September. Commercial Paper (CP) fell $26.5 billion (7.2%) to $343.4 billion, or 13.2%, while Other holdings, primarily Time Deposits, tanked $101.2 billion (46.5%) to $116.4 billion, or 4.5% of assets. VRDNs held by taxable funds decreased by $1.1 billion (6.3%) to $16.3 billion (0.6% of assets).
Among Prime money funds, CDs represent under one-third of holdings at 29.1% (down from 29.5% a month ago), followed by Commercial Paper at 24.4% (up from 23.7%). The CP totals are primarily Financial Company CP (13.6% of total holdings), with Asset-Backed CP making up 7.0% and Other CP (non-financial) making up 3.8%. Prime funds also hold 7.7% in Agencies (up from 11.5%), 6.4% in Treasury Debt (up from 3.7%), 5.4% in Treasury Repo (up from 3.5%), 2.1% in Other Instruments, 1.3% in Other Instruments (Time Deposits), and 4.6% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.409 trillion (down from $1.565 trillion last month), or 54.1% of taxable money fund holdings' total of $2.606 trillion.
Government fund portfolio assets totaled $687 billion, up from $541 billion in November, while Treasury money fund assets totaled $510 billion, up from $502 billion in November. Government money fund portfolios were made up of 54.7% Agency Debt, 14.7% Government Agency Repo, 8.0% Treasury debt, and 22.2% in Treasury Repo. Treasury money funds were comprised of 72.5% Treasury debt, 27.1% in Treasury Repo, and 0.4% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.197 trillion, or 45.9% of all taxable money fund assets.
European-affiliated holdings fell $265.5 billion in December to $392.2 billion among all taxable funds (and including repos); their share of holdings plunged to 15.1% from 25.2% the previous month. Eurozone-affiliated holdings fell $146.5 billion to $230.6 billion in December; they now account for 8.9% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $5.0 billion to $284.9 billion (10.9% of the total). Americas related holdings increased $268.2 billion to $1.925 trillion and now represent 73.9% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which were up $215.5 billion, or 74.3%, to $505.6 billion, or 19.4% of assets; Government Agency Repurchase Agreements (down $32.2 billion to $160.8.9 billion, or 6.2% of total holdings), and Other Repurchase Agreements ($69.1 billion, or 2.6% of holdings, down $6.6 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $22.3 billion to $191.5 billion, or 7.3% of assets), Asset Backed Commercial Paper (up $ 11.4 billion to $98.6 billion, or 3.8%), and Other Commercial Paper (down $15.7 billion to $53.4 billion, or 2.0%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2015, include: the US Treasury ($500.7 billion, or 19.2%), Federal Reserve Bank of New York ($408.5B, 15.7%), Federal Home Loan Bank ($323.0B, 12.4%), Wells Fargo ($72.0B, 2.8%), Federal Home Loan Mortgage Co. ($70.8B, 2.7%), RBC ($57.9B, 2.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($57.3B, 2.2%), Federal Farm Credit Bank ($51.4B, 2.0%), Bank of Nova Scotia ($51.0B, 2.0%), Bank of America ($45.6B, 1.7%), BNP Paribas ($45.3B, 1.7%), JP Morgan ($43.5B, 1.7%), Toronto-Dominion Bank ($39.5B, 1.5%), Sumitomo Mitsui Banking Co ($39.2B, 1.5%), Credit Agricole ($37.3B, 1.4%), Bank of Montreal ($35.2B, 1.4%), Federal National Mortgage Association ($34.5B, 1.3%), Citi ($33.0B, 1.3%), HSBC ($31.5B, 1.2%), and Mizuho Corporate Bank ($29.4B, 1.1%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest repo program with $408.5B, or 55.5% of money fund repo. The 10 largest Fed Repo positions among MMFs on 12/31 include: Fidelity Inst MM MMkt ($18.9B), Fidelity Govt Cash Reserves ($18.1B), BlackRock Lq TempFund ($15.2B), Fidelity Inst MM Prime ($14.9B), JP Morgan US Govt ($14.0B), Fidelity Govt Money Market ($13.0B), Wells Fargo Adv Govt MMkt ($13.0B), BlackRock Cash Inst MMkt ($12.6B), JP Morgan Prime MM ($12.5B), and BlackRock Lq T-Fund ($10.5B).
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 ($408.5B, 55.5%), Wells Fargo ($43.8B, 6.0%), Bank of America ($35.0B, 4.8%), BNP Paribas ($22.7B, 3.1%), JP Morgan ($21.6B, 2.9%), Citi ($21.6B, 2.9%), RBC ($21.2B, 2.9%), Bank of Nova Scotia ($17.5B, 2.4%), HSBC ($16.6B, 2.3%), and Societe Generale ($16.0B, 2.2%),
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($45.6B, 6.0%), Sumitomo Mitsui Banking Co ($39.2B, 5.2%), RBC ($36.8B, 4.8%), Bank of Nova Scotia ($33.5B, 4.4%), Toronto-Dominion Bank ($28.9B, 3.8%), Wells Fargo ($27.7B, 3.6%), Credit Agricole ($27.5B, 3.6%), Bank of Montreal ($27.1B, 3.6%), Mizuho Corporate Bank Ltd ($25.3B, 3.3%), and Canadian Imperial Bank of Commerce ($22.9B, 3.0%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($32.2B, 8.0%), Sumitomo Mitsui Banking Co ($28.1B, 7.0%), Toronto-Dominion Bank ($26.8B, 6.6%), Bank of Montreal ($23.8B, 5.9%), Mizuho Corporate Bank Ltd ($22.0B, 5.4%), Bank of Nova Scotia ($22.0B, 5.4%), Wells Fargo ($20.8B, 5.1%), Canadian Imperial Bank of Commerce ($19.3B, 4.8%), RBC ($18.6B, 4.5%), and Sumitomo Mitsui Trust Bank ($18.3B, 4.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($17.2B, 6.2%), JP Morgan ($17.1B, 5.9%), RBC ($14.4B, 5.0%), Westpac Banking Co ($14.1B, 4.9%), Bank of Tokyo-Mitsubishi UFJ Ltd ($13.2B, 4.6%), BNP Paribas ($11.2B, 3.9%), Australia & New Zealand Banking Group Ltd ($11.0B, 3.8%), Sumitomo Mitsui Banking Co. ($10.5B, 3.6%), Bank of Nova Scotia ($10.1B, 3.5%), and HSBC ($9.8B, 3.4%).
The largest increases among Issuers include: Federal Reserve bank of New York (up $238.8B to $408.5B), Federal Home Loan Bank (up $19.9B to $323.0B), Federal Home Loan Mortgage Co. (up $15.3B to $70.8B), Citi (up $3.8B to $33.0B), Federal Farm Credit Bank (up $2.8B to $51.4B), HSBC (up $2.3B to $31.5B), Sumitomo Mitsui Banking Co. (up $2.1B to $39.2B), RBC (up $1.1B to $57.9B), Australia & New Zealand Banking Group Ltd. (up $0.3B to $19.4B), and Sumitomo Mitsui Trust Bank (up $0.1B to $22.2B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Credit Agricole (down $36.5B to $37.3B), US Treasury (down $33.3B to $500.7B), DnB NOR Bank ASA (down $27.0B to $7.5B), Skandinaviska Enskilden Banken AB (down $26.1B to $8.3B), BNP Paribas (down $25.5B to $45.3B), Natixis (down $22.2B to $14.6B), Credit Suisse (down $19.9B to $24.4B), Societe Generale (down $18.9B to $27.2B), Swedbank AB (down $16.5B to $6.3B), and Barclays PLC (down $12.3B to $9.4B).
The United States remained the largest segment of country-affiliations; it represents 65.1% of holdings, or $1.697 trillion (up $280.0B). Canada (8.7%, $226.4B) jumped to second, while Japan (6.8%, $176.4B) vaulted to third place. France dropped to fourth from second (5.4%, $139.9B), while Australia (3.1%, $80.5B) moved up to fifth. The United Kingdom (2.7%, $70.9B) is sixth, followed by The Netherlands (2.0%, $50.8B) in seventh and Sweden (1.8%, $46.7B) in eighth. Germany (1.3%, $34.3B) and Switzerland (1.3%, $34.1B) 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 Dec. 31, 2015, Taxable money funds held 33.9% (up from 29.8%) of their assets in securities maturing Overnight, and another 9.4% maturing in 2-7 days (down from 12.0%). Thus, 43.3% in total matures in 1-7 days. Another 22.0% matures in 8-30 days, while 13.1% matures in 31-60 days. Note that over three-quarters, or 78.4% 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 9.8% of taxable securities, while 9.7% matures in 91-180 days, and just 2.1% 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.
