Crane Data released its March Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Feb. 29, 2016, shows increases in Treasuries, Other (Time Deposits), CDs, Agencies, and Repo. The only sectors that were down were CP and VRDNs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $64.2 billion in February to $2.676 trillion. MMF holdings increased by $6.0 billion in January, but decreased by $2.2 billion in December. Repos remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were in fourth place, followed by Commercial Paper, Other (mainly Time Deposits) securities and VRDNs. Money funds' European-affiliated securities represented 27.6% of holdings, up slightly from the previous month's 27.0%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) increased $4.4 billion (0.8%) to $558.3 billion, or 20.9%, after decreasing $182.2 billion in January and increasing $176.6 billion in December. Treasury securities had the biggest increase, rising $40.9 billion (8.2%) in February to $538.2 billion, or 20.1% of holdings, after falling $3.4 billion in January and $33.2 billion in December. Government Agency Debt increased $5.5 billion (1.1%) to $496.8 billion, or 18.6% of holdings, after increasing $7.5 billion in January and $35 billion in December. The steady rise in Treasuries and Agencies has been driven by the conversion of about $190 billion (so far) of Prime fund assets to Government funds.
Certificates of Deposit (CDs) were up $7.6 billion (1.6%) to $472.5 billion, or 17.7% of holdings, after rising $33.0 billion in January and decreasing $51.8 billion in December. Commercial Paper (CP) was down $1.8 billion (0.5%) to $355.8 billion, or 13.3% of taxable assets, while Other holdings, primarily Time Deposits, jumped $8.1 billion (3.5%) to $239.4 billion, or 8.9% of holdings. VRDNs held by taxable funds decreased by $500 million (3.4%) to $15.2 billion (0.6% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 32.9% (up from 31.0% a month ago), followed by Commercial Paper at 24.7% (down from 26.6%). The CP totals are primarily Financial Company CP (14.5% of total holdings), with Asset-Backed CP making up 6.2% and Other CP (non-financial) making up 4.0%. Prime funds also hold 6.4% in Agencies (down from 7.2%), 5.9% in Treasury Debt (up from 5.2%), 3.3% in Treasury Repo (down from 3.6%), 4.8% in Other Instruments, 5.1% in Other Instruments (Time Deposits), and 6.3% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.439 trillion (up from $1.427 trillion last month), or 53.8% of taxable money fund holdings' total of $2.676 trillion.
Government fund portfolio assets totaled $704 billion, up from $683 billion in January, while Treasury money fund assets totaled $533 billion, up from $502 billion in January. Government money fund portfolios were made up of 57.4% Agency Debt, 20.7% Government Agency Repo, 8.4% Treasury debt, and 13.3% in Treasury Repo. Treasury money funds were comprised of 74.1% Treasury debt, 25.2% in Treasury Repo, and 0.7% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.237 trillion, or 46.2% of all taxable money fund assets.
European-affiliated holdings rose $34.7 billion in February to $739.0 billion among all taxable funds (and including repos); their share of holdings increased to 27.6% from 27.0% the previous month. Eurozone-affiliated holdings increased $24.5 billion to $436.7 billion in February; they now account for 16.3% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $11.3 billion to $274.6 billion (10.3% of the total). Americas related holdings increased $39.0 billion to $1.658 trillion and now represent 62.0% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which dropped $9.0 billion, or 3.2%, to $275.2 billion, or 10.3% of assets; Government Agency Repurchase Agreements (up $9.5 billion to $211.1 billion, or 7.9% of total holdings), and Other Repurchase Agreements ($71.9 billion, or 2.7% of holdings, up $3.9 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $500 million to $209.1 billion, or 7.8% of assets), Asset Backed Commercial Paper (down $3.5 billion to $89.7 billion, or 3.4%), and Other Commercial Paper (up $1.2 billion to $57.0 billion, or 2.1%).
The 20 largest Issuers to taxable money market funds as of Feb. 29, 2016, include: the US Treasury ($438.2 billion, or 20.1%), Federal Home Loan Bank ($349.3B, 13.1%), Wells Fargo ($88.3B, 3.3%), BNP Paribas ($83.0B, 3.1%), Credit Agricole ($81.0B, 3.0%), Federal Reserve Bank of New York ($68.6B, 2.6%), Federal Home Loan Mortgage Co. ($62.0B, 2.3%), Societe Generale ($59.9, 2.2%), RBC ($59.2B, 2.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($56.7B, 2.1%), Bank of Nova Scotia ($55.7B, 2.1%), Federal Farm Credit Bank ($50.7B, 1.9%), JP Morgan ($50.7B, 1.9%), Bank of America ($46.5B, 1.7%), Credit Suisse ($45.6, 1.7%), Natixis ($44.8B, 1.7%), HSBC ($39.3B, 1.5%), DnB NOR Bank ASA ($39.0B, 1.5%), Citi ($37.8B, 1.4%), and Sumitomo Mitsui Banking Co ($36.6B, 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 $68.6B, or 12.3% of money fund repo. The 10 largest Fed Repo positions among MMFs on 2/29 include: Fidelity Govt Cash Reserves ($27.6B in Fed RRP), Goldman Sachs FS Govt ($22.6B), JP Morgan US Govt ($20.4B), Morgan Stanley Inst Lq Res ($18.3B), Federated Govt Oblg ($16.4B), Federated Trs Oblig ($14.7B), Fidelity Govt MM ($14.0B), Wells Fargo Govt MMkt ($13.6B), Morgan Stanley Inst Lq Trs ($13.3B), and Northern Trust Trs MMkt ($13.0B).
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 ($68.6B, 12.3%), Wells Fargo ($56.2B, 10.1%), BNP Paribas ($50.8B, 9.1%), Societe Generale ($48.2B, 8.6%), Credit Agricole ($37.6B, 6.7%), Bank of America ($35.6B, 6.4%), Credit Suisse ($30.6B, 5.5%), JP Morgan ($28.9B, 5.2%), RBC ($23.4B, 4.2%), and Bank of Nova Scotia ($22.7B, 4.1%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($43.4B, 4.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($43.2B, 4.5%), DnB NOR Bank ASA ($39.0B, 4.1%), Sumitomo Mitsui Banking Co ($36.6B, 3.9%), RBC ($35.8B, 3.8%), Bank of Nova Scotia ($33.0B, 3.5%), Natixis ($32.9B, 3.5%), BNP Paribas ($32.1B, 3.4%), Wells Fargo ($32.1B, 3.4%), and Skandinaviska Enskilda Banken AB ($30.5B, 3.2%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($29.7B, 6.4%), Sumitomo Mitsui Banking Co ($28.0B, 6.0%), Toronto-Dominion Bank ($25.4B, 5.4%), Wells Fargo ($25.0B, 5.4%), Canadian Imperial Bank of Commerce ($23.7B, 5.1%), Bank of Nova Scotia ($21.6B, 4.6%), Mizuho Corporate Bank Ltd ($20.3B, 4.3%), Bank of Montreal ($19.7B, 4.2%), Sumitomo Mitsui Trust Bank ($18.5B, 4.0%), and RBC ($17.3B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($17.4B, 5.7%), JP Morgan ($17.1B, 5.6%), Commonwealth Bank of Australia ($16.0B, 5.3%), RBC ($15.2B, 5.2%), HSBC ($12.7B, 4.2%), Westpac Banking Co ($12.4B, 4.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($10.9B, 3.6%), Bank of Nova Scotia ($10.4B, 3.4%), Credit Agricole ($10.1B, 3.3%), and ING Bank ($9.3B, 3.1%).
The largest increases among Issuers include: US Treasury (up $40.9B to $538.2B), Wells Fargo (up $9.4B to $88.3B), Natixis (up $8.7B to $44.8B), Canadian Imperial Bank of Commerce (up $8.4B to $29.1B), Federal Home Loan Bank (up $8.2B to $349.3B), DnB NOR Bank ASA (up $5.7B to $39.0B), Credit Agricole (up $5.0B to $81.0B), Societe Generale (up $4.8B to $59.9B), Bank of Nova Scotia (up $4.5B to $55.7B), and Swedbank AB (up $4.2B to $28.0B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: Federal Reserve Bank of New York (down $26.6B to $68.6B), Federal Home Loan Mortgage Co. (down $5.1B to $62.0B), State Street (down $4.7B to $11.6B), Nordea Bank (down $4.5B to $20.2B), Sumitomo Mitsui Banking Co. (down $3.9B to $36.6B), Toronto-Dominion Bank (down $3.7B to $36.5B), Barclays PLC (down $3.4B to $17.7B), Svenska Handelsbanken (down $3.2B to $27.0B), Credit Mutuel (down $2.9B to $20.0B), and Goldman Sachs (down $2.3B to $10.1B).
The United States remained the largest segment of country-affiliations; it represents 53.3% of holdings, or $1.425 trillion (down $29.0B). France remained in second (11.3%, $302.5B), followed by Canada (8.6%, $231.2B) in third. Japan (6.6%, $176.0B) stayed in fourth, while Sweden (4.0%, $105.9B) held fifth. The United Kingdom (3.4%, $91.0B) remained sixth, while Australia (2.9%, $76.5B) stayed in seventh. The Netherlands (2.4%, $65.1B), Switzerland (2.3%, $62.1B), and Germany (2.0%, $52.1B) 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 Feb. 29, 2016, Taxable money funds held 29.4% (up from 27.9%) of their assets in securities maturing Overnight, and another 12.0% maturing in 2-7 days (down from 13.5%). Thus, 41.4% in total matures in 1-7 days. Another 20.6% matures in 8-30 days, while 12.5% matures in 31-60 days. Note that about three-quarters, or 74.5% 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 10.5% of taxable securities, while 12.8% matures in 91-180 days, and just 2.2% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Wednesday, and our Tax Exempt MF Holdings and MFI International "offshore" Portfolio Holdings will be released Friday and Monday, respectively. 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.
