Crane Data released its May Money Fund Portfolio Holdings earlier this week, and our latest collection of taxable money market securities, with data as of April 30, 2016, shows a drop in Repo, Treasuries and CDs but increases in Time Deposits and Commercial Paper. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $21.0 billion in April to $2.580 trillion. MMF holdings decreased by $75.5 billion in March, increased by $64.2 billion in February, and increased by $6.0 billion in January. Repos remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were in fourth place, followed by Commercial Paper, Time Deposits securities and VRDNs. Money funds' European-affiliated securities jumped to 28.6% of holdings, up from the previous month's 20.3%. Below, we review our latest Money Fund Portfolio Holdings statistics. Note: we made a number of category changes to reflect the SEC's new disclosure mandates, which went live on April 14.
Among all taxable money funds, Repurchase Agreements (repo) decreased $65.3 billion (-10.8%) to $542.2 billion, or 23.4% of holdings, after increasing $49.3 billion in March and increasing $4.4 billion in February. Treasury securities fell $36.8 billion (-6.4%) to $538.8 billion, or 22.1% of holdings, after rising $37.5 billion in March and climbing $40.9 billion in February. Government Agency Debt decreased $9.0 billion (-1.9%) to $473.1 billion, or 18.5%, after decreasing $14.7 billion in March and increasing $5.5 billion in February. Repos normally plunge following quarter-ends, and Treasuries and Agencies declines even amidst the continued conversion of Prime funds to Government funds ($242.0 billion so far has converted).
Certificates of Deposit (CDs) were down $17.0 billion (-3.9%) to $413.8 billion, or 16.6% of holdings, after dropping $41.8 billion in March and climbing $7.6 billion in February. Commercial Paper (CP) was up $20.1 billion (6.0%) to $352.8 billion, or 13.7%, while Other holdings, primarily Time Deposits, jumped $81.1 billion (52.7%) to $235.0 billion, or 9.1% of holdings. VRDNs held by taxable funds increased by $5.9 billion (32.7%) to $23.8 billion (0.9% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 31.2% (down from 32.0% a month ago), followed by Commercial Paper at 26.6% (up from 24.7%). The CP totals are comprised of: Financial Company CP, which makes up 15.8% of total holdings, Asset-Backed CP, which accounts for 6.8%, and Non-Financial Company CP, which makes up 4.0%. Prime funds also hold 4.3% in US Govt Agency Debt (down from 5.7%), 7.1% in US Treasury Debt (up from 5.9%), 3.7% in US Treasury Repo (up from 9.3%), 2.9% in Other Instruments, 13.7% in Non-Negotiable Time Deposits, 4.8% in Other Repo, and 4.3% in US Government Agency Repo.
Some of the new Portfolio Composition "Categories" (taken from changes in the SEC's Form N-MFP) include: Non-US Sovereign Debt, Other Asset Backed Securities, Other Investment (Corp Notes), Other Investment (Medium Term Note), Other Municipal Securities, and Tender Option Bonds. But holdings in all of these were too small to mention. Prime money fund holdings tracked by Crane Data total $1.326 trillion (down from $1.348 trillion last month), or 51.4% of taxable money fund holdings' total of $2.580 trillion. (Let us know if you'd like to see our spreadsheet comparing the old vs. new Holdings categories.)
Government money fund portfolios totaled $735 billion, up from $716 billion in March, while Treasury money fund assets totaled $519 billion, down from $536 billion in March. Government money fund portfolios were made up of 56.7% US Govt Agency Debt, 19.0% US Government Agency Repo, 8.7% US Treasury debt, and 15.3% in US Treasury Repo. Treasury money funds were comprised of 76.8% US Treasury debt, 22.4% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and investment company shares. Government and Treasury funds combined total $1.254 trillion, or 48.6% of all taxable money fund assets.
European-affiliated holdings increased $210.1 billion in April to $737.8 billion among all taxable funds (and including repos); their share of holdings increased to 28.6% from 20.3% the previous month. Eurozone-affiliated holdings increased $129.7 billion to $434.6 billion in April; they now account for 16.9% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $14.8 billion to $274.3 billion (10.6% of the total). Americas related holdings decreased $245.0 billion to $1.562 trillion and now represent 60.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $96.3 billion, or -25.7%, to $278.3 billion, or 10.6% of assets; US Government Agency Repurchase Agreements (up $31.5 billion to $199.6 billion, or 7.7% of total holdings), and Other Repurchase Agreements ($64.2 billion, or 2.5% of holdings, down $400 million from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.6 billion to $209.8 billion, or 8.1% of assets), Asset Backed Commercial Paper (down $100 million to $90.3 billion, or 3.5%), and Non-Financial Company Commercial Paper (up $9.6 billion to $52.6 billion, or 2.0%).
The 20 largest Issuers to taxable money market funds as of April 30, 2016, include: the US Treasury ($538.8 billion, or 20.9%), Federal Home Loan Bank ($342.7B, 13.3%), BNP Paribas ($85.0B, 3.3%), Wells Fargo ($84.2B, 3.3%), Credit Agricole ($81.1B, 3.1%), Societe Generale ($55.5B, 2.2%), Mitsubishi UFJ Financial Group Inc. ($54.5, 2.1%), Federal Reserve Bank of New York ($52.6B, 2.0%), Federal Farm Credit Bank ($52.0B, 2.0%), RBC ($51.2B, 2.0%), Bank of Nova Scotia ($50.6B, 2.0%), Federal Home Loan Mortgage Co. ($47.3B, 1.8%), Bank of America ($43.3B, 1.7%), Natixis ($40.7B, 1.6%), Credit Suisse ($40.6B, 1.6%), Mizuho Corporate Bank ($40.4B, 1.2%), JP Morgan ($38.3B, 1.5%), HSBC ($37.6B, 1.5%), Sumitomo Mitsui Banking Co ($37.4B, 1.4%), and DnB NOR Bank ASA ($36.5, 1.4%).
In the repo space, the `10 largest Repo issuers (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Wells Fargo ($55.8B, 10.3%), BNP Paribas ($53.6B, 9.9%), Federal Reserve Bank of New York ($52.6B, 9.7%), Societe Generale ($39.9B, 7.4%), Credit Agricole ($39.9B, 7.4%), Bank of America ($34.0B, 6.3%), Credit Suisse ($27.4B, 5.0%), RBC ($24.4B, 4.5%), Bank of Nova Scotia ($24.3B, 4.5%), and JP Morgan ($21.8B, 4.0%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) plummeted by $194.4B to $52.6B, or 9.7% of money fund repo -- the lowest level since the end of 2013 when the program began. The 10 largest Fed Repo positions among MMFs on 4/30 include: Fidelity Cash Central ($9.1B), Goldman Sachs FS Treas Sol ($5.0B), Vanguard Market Liquidity Fund ($3.8B), Franklin IFT MMP ($3.4B), UBS Select Treas ($3.0B), JP Morgan US Govt ($2.4B), Morgan Stanley Inst Lq Govt ($2.3B), Schwab Cash Reserves ($1.5B), UBS RMA Money Market Portfolio ($1.5B), and Deutsche MMkt Series ($1.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($43.2B, 4.9%), Credit Agricole ($41.2B, 4.6%), Sumitomo Mitsui Banking Co ($37.4B, 4.2%), DnB NOR Bank ASA ($36.5B, 4.1%), Skandinaviska Enskilden Banken AB ($33.1B, 3.7%), Svenska Handelsbanken ($31.5B, 3.6%), BNP Paribas ($31.3B, 3.5%), Swedbank AB ($29.8B, 3.4%), Wells Fargo ($28.4B, 3.2%), and Natixis ($27.1B, 3.1%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($29.4B, 7.2%), Mitsubishi UFJ Financial Group Inc. ($29.1B, 7.1%), Wells Fargo ($22.2B, 5.4%), Mizuho Corporate Bank Ltd ($19.8B, 4.8%), Bank of Nova Scotia ($18.3B, 4.5%), Bank of Montreal ($17.9B, 4.4%), Sumitomo Mitsui Trust Bank ($17.9B, 4.3%), Toronto-Dominion Bank ($17.7B, 4.3%), Canadian Imperial Bank of Commerce ($16.4B, 4.0%), and Norinchukin Bank ($14.8B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($21.8B, 7.4%), Commonwealth Bank of Australia ($13.6B, 4.6%), JP Morgan ($12.8B, 4.3%), RBC ($12.0B, 4.0%), Credit Agricole ($11.6B, 3.9%), Mitsubishi UFJ Financial Group Inc. ($11.5B, 3.9%), ING Bank ($11.3B, 3.8%), HSBC ($11.1B, 3.8%), Societe Generale ($10.5B, 3.5%), and Australia and New Zealand Banking Group Ltd ($9.4B, 3.2%).
The largest increases among Issuers include: Credit Agricole (up $41.5B to $81.1B), DnB NOR Bank ASA (up $27.3B to $36.5B), Societe Generale (up $26.5B to $55.5B), Skandinaviska Enskilda Banken AB (up $21.6B to $33.1B), BNP Paribas (up $15.6B to $85.0B), Natixis (up $13.2B to $40.7B), Credit Mutuel (up $11.8B to $19.9B), Barclays PLC (up $11.3B to $21.6B), Credit Suisse (up $11.1 to $40.6B), and Mizuho Corporate Bank Ltd. (up $9.9B to $40.4B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Federal Reserve Bank of New York (down $194.4B to $52.6B), US Treasury (down $38.0B to $538.8B), Canadian Imperial Bank of Commerce (down $8.9B to $17.1B), Bank of Montreal (down $8.2B to $25.1B), Federal Home Loan Mortgage Co. (down $6.8B to $47.3B), RBC (down $3.7B to $51.2B), Mitsubishi UFJ Financial Group Inc. (down $3.4B to $54.5B), Rabobank (down $2.7B to $15.8B), Federal National Mortgage Association (down $1.9B to $28.1B), and State Street (down $1.8B to $9.1B).
The United States remained the largest segment of country-affiliations; it represents 53.1% of holdings, or $1.370 trillion (down $225.0B). France (11.5%, $295.7B) moved back into second, displacing Canada (7.4%, $190.9B) which fell to third. Japan (7.2%, $184.3B) stayed in fourth, while Sweden (4.5%, $117.1B) held fifth. The United Kingdom (3.5%, $89.8B) remained sixth, while Australia (2.6%, $67.8B) stayed in seventh. The Netherlands (2.4%, $61.7B), Germany (2.3%, $60.0B), and Switzerland (2.2%, $55.8B) 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 April 30, 2016, Taxable money funds held 29.8% (up from 29.7%) of their assets in securities maturing Overnight, and another 13.2% maturing in 2-7 days (up from 9.1%). Thus, 43.1% in total matures in 1-7 days. Another 18.4% matures in 8-30 days, while 14.6% matures in 31-60 days. Note that more than three-quarters, or 76.1% 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 10.9% of taxable securities, while 10.9% 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 late Tuesday and Wed., and our Tax Exempt MF Holdings and MFI International "offshore" Portfolio 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.
