Crane Data released its July Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of June 30, 2016, shows increases in Repos, Agencies, and VRDNs, and decreases in Time Deposits, CDs, CP, and Treasuries. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $59.7 billion to $2.544 trillion, after increasing by $24.6 billion in May, decreasing $21.0 billion in April, and falling $75.5 billion in March. Repos remained the largest portfolio segment, followed by Agencies and Treasuries; Agencies moved ahead of Treasuries in June. CDs were in fourth place, followed by Commercial Paper, Time Deposits and VRDNs. Money funds' European-affiliated securities fell to 19.6% of holdings, down from the previous month's 27.4%. (U.K.-affiliated holdings declined by just $9.0 billion to $80.9 billion, or 3.2% of assets.) Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) jumped $71.4 billion (12.4%) to $646.2 billion, or 25.4% of holdings, after increasing $32.6 billion in May and decreasing $65.3 billion in April. Government Agency Debt increased $37.4 billion (7.4%) to $544.9 billion, or 21.4% of all holdings, after increasing $34.4 billion in May and decreasing $9.0 billion in April. Treasury securities fell $12.8 billion (2.4%) to $522.3 billion, or 20.5% of holdings, after falling $3.8 billion in May and dropping $36.8 billion in April. `The rise in Agencies is in large part due to a shift of over $400 billion (since late 2015) of Prime MMF asset into Government MMFs (so far).
Certificates of Deposit (CDs) were down $53.6 billion (13.1%) to $355.6 billion, or 14.0%, after declining $4.6 billion in May and falling $17.0 billion in April. Commercial Paper (CP) was down $38.2 billion (11.4%) to $297.1 billion, or 11.7% of holdings, while Other holdings, primarily Time Deposits, dropped $66.3 billion (30.6%) to $150.1 billion, or 5.9% of holdings. VRDNs held by taxable funds increased by $2.3 billion (8.7%) to $28.1 billion (1.1% of assets).
Prime money fund holdings tracked by Crane Data totaled $1.123 trillion (down from $1.270 trillion last month), or 44.1% (down from 48.8%) of taxable money fund holdings' total of $2.544 trillion. (Prime fund assets fell below combined Treasury and Government portfolio holdings assets for the first time last month.) Among Prime money funds, CDs represent just under one-third of holdings at 31.7% (up from 32.2% a month ago), followed by Commercial Paper at 26.5% (up from 26.2%). The CP totals are comprised of: Financial Company CP, which makes up 15.4% of total holdings, Asset-Backed CP, which accounts for 7.1%, and Non-Financial Company CP, which makes up 4.0%. Prime funds also hold 4.7% in US Govt Agency Debt (up from 4.1%), 4.5% in US Treasury Debt (down from 5.5%), 7.9% in US Treasury Repo (up from 3.8%), 2.6% in Other Instruments, 9.7% in Non-Negotiable Time Deposits, 5.2% in Other Repo, 4.0% in US Government Agency Repo, and 2.0% in VRDNs.
Government money fund portfolios totaled $875 billion, up from $789 billion in May, while Treasury money fund assets totaled $546 billion, up from $545 billion in May. Government money fund portfolios were made up of 56.3% US Govt Agency Debt, 15.9% US Government Agency Repo, 7.6% US Treasury debt, and 20.0% in US Treasury Repo. Treasury money funds were comprised of 74.1% US Treasury debt, 25.7% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined total $1.421 trillion, or 55.9% of all taxable money fund assets, up from 51.2%.
European-affiliated holdings decreased $213.1 billion in June to $499.3 billion among all taxable funds (and including repos); their share of holdings decreased to 19.6% from 27.4% the previous month. Eurozone-affiliated holdings decreased $125.6 billion to $288.4 billion in June; they now account for 11.3% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $11.4 billion to $288.4 billion (10.3% of the total). Americas related holdings increased $167.0 billion to $1.780 trillion and now represent 69.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $100.9 billion, or 33.3%, to $403.8 billion, or 15.9% of assets; US Government Agency Repurchase Agreements (down $27.8 billion to $184.2 billion, or 7.2% of total holdings), and Other Repurchase Agreements ($58.2 billion, or 2.3% of holdings, down $1.7 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $27.7 billion to $172.8 billion, or 6.8% of assets), Asset Backed Commercial Paper (down $5.1 billion to $79.4 billion, or 3.1%), and Non-Financial Company Commercial Paper (down $5.4 billion to $44.9 billion, or 1.8%).
The 20 largest Issuers to taxable money market funds as of June 30, 2016, include: the US Treasury ($522.3 billion, or 20.5%), Federal Home Loan Bank ($395.2B, 15.5%), Federal Reserve Bank of New York ($225.7B, 8.9%), Wells Fargo ($83.6B, 3.3%), BNP Paribas ($74.2B, 2.9%), RBC ($61.2B, 2.4%), Federal Home Loan Mortgage Co. ($58.3B, 2.3%), Federal Farm Credit Bank ($53.2B, 2.1%), Mitsubishi UFJ Financial Group Inc. ($53.0, 2.1%), Bank of Nova Scotia ($44.7B, 1.8%), Bank of America ($41.3B, 1.6%), Citi ($39.5B, 1.6%), HSBC ($36.4B, 1.4%), Federal National Mortgage Association ($34.9B, 1.4%), Credit Agricole ($34.2B, 1.3%), Sumitomo Mitsui Banking Co ($34.2B, 1.3%), Svenska Handelsbanken ($33.6B, 1.3%), JP Morgan ($32.4B, 1.3%), Bank of Montreal ($31.7B, 1.2%), and Toronto-Dominion Bank ($31.7B, 1.2%).
In the repo space, the `10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Federal Reserve Bank of New York ($225.7B, 34.9%), Wells Fargo ($58.7B, 9.1%), BNP Paribas ($46.5B, 7.2%), RBC ($36.3B, 5.6%), Bank of America ($31.2B, 4.8%), Citi ($23.0B, 3.6%), Bank of Nova Scotia ($21.9B, 3.4%), HSBC ($19.8B, 3.1%), JP Morgan ($19.5B, 3.0%), and Societe Generale ($18.7B, 2.9%). The `10 largest Fed Repo positions among MMFs on 6/30 include: Goldman Sachs FS Govt ($31.6B), JP Morgan US Govt ($30.4B), Fidelity Govt Cash Reserves ($29.4B), Federated Govt Obligs ($23.0B), Fidelity Inst MMkt Govt ($22.2B), Wells Fargo Govt MMkt ($19.3B), Morgan Stanley Inst Lq Govt ($18.9B), BlackRock Lq T-Fund ($18.0B), Dreyfus Govt Cash Mgmt ($15.7B), and Fidelity Inst MM Prm ($15.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($41.7B, 5.9%), Sumitomo Mitsui Banking Co. ($34.2B, 4.8%), Svenska Handelsbanken ($33.6B, 4.8%), BNP Paribas ($27.7B, 3.9%), Wells Fargo ($24.9B, 3.5%), RBC ($24.7B, 3.5%), Credit Agricole ($23.0B, 3.3%), Bank of Nova Scotia ($22.8B, 3.2%), Bank of Montreal ($21.3B, 3.0%), and Swedbank AB ($21.2B, 3.0%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($27.6B, 7.8%), Sumitomo Mitsui Banking Co ($27.5B, 7.8%), Wells Fargo ($20.4B, 5.8%), Bank of Montreal ($20.1B, 5.7%), Mizuho Corporate Bank Ltd ($18.4B, 5.2%), Sumitomo Mitsui Trust Bank ($17.8B, 5.1%), Toronto-Dominion Bank ($15.6B, 4.4%), Canadian Imperial Bank of Commerce ($14.8B, 4.2%), Bank of Nova Scotia ($14.8B, 4.2%), and Citi ($13.7B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($16.7B, 6.6%), JP Morgan ($10.9B, 4.3%), Mitsubishi UFJ Financial Group Inc. ($10.3B, 4.1%), ING Bank ($10.2B, 4.0%), Commonwealth Bank of Australia ($9.8B, 3.9%), Societe Generale ($9.7B, 3.8%), Credit Agricole ($8.5B, 3.4%), RBC ($8.3B, 3.3%), Australia and New Zealand Banking Group Ltd. ($8.3B, 3.3%), and National Australia Bank Ltd ($7.8B, 3.1%).
The largest increases among Issuers include: Federal Reserve Bank of NY (up $139.0B to $225.7B), Federal Home Loan Bank (up $23.2B to $395.2B), Federal Home Loan Mortgage Co. (up $8.8B to $58.2B), RBC (up $8.7B to $61.2B), Wells Fargo (up $5.5B to $83.6B), Citi (up $4.8B to $39.5B), Australia and New Zealand Banking Group Ltd. (up $3.8B to $20.1B), Federal National Mortgage Association (up $3.6B to $34.9B), Toronto-Dominion Bank (up $3.2 to $31.7B), and Svenska Handelsbanken (up $3.1B to $33.6B).
The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Credit Agricole (down $41.7B to $34.2B), Credit Suisse (down $22.8B to $19.7B), Societe Generale (down $21.4B to $30.9B), Skandinaviska Enskilda Banken AB (down $20.1B to $9.9B), Natixis (down $17.4B to $22.0B), US Treasury (down $12.8B to $522.3B), Credit Mutuel (down $10.9B to $8.4B), Mizuho Corporate Bank Ltd. (down $8.3B to $29.0B), Swedbank AB (down $7.1B to $21.2B), and BNP Paribas (down $6.8B to $74.2B).
The United States remained the largest segment of country-affiliations; it represents 61.8% of holdings, or $1.572 trillion (up $158.0B). Canada (8.1%, $206.5B) moved up one spot to second while France (7.1%, $181.3B) fell to third. Japan (6.8%, $172.9B) stayed in fourth, while Sweden (3.4%, $85.4B) held fifth. The United Kingdom (3.2%, $80.9B) remained sixth, while Australia (2.3%, $59.6B) moved up to seventh and The Netherlands (2.0%, $50.6B) climbed to eighth. Germany (2.0%, $50.2B) fell two spots to ninth, while and Switzerland (1.3%, $33.2B) held tenth place 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 June 30, 2016, Taxable money funds held 30.9% (up from 30.1%) of their assets in securities maturing Overnight, and another 13.1% maturing in 2-7 days (down from 13.9%). Thus, 44.0% in total matures in 1-7 days. Another 19.2% matures in 8-30 days, while 14.2% matures in 31-60 days. Note that more than three-quarters, or 77.4% of securities, mature in 60 days or less (same as last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 10.9% (down from 11.0%) of taxable securities, while 9.4% matures in 91-180 days (down from 10.0%), and just 2.3% matures beyond 180 days (down from 2.2%).
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Tuesday, 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.
