Crane Data released its September Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of August 31, 2016, shows big increases in Repo and Treasuries, and big decreases in CDs and CP. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $75.9 billion to $2.668 trillion last month, after increasing by $47.9 billion in July, decreasing by $59.7 billion in June, and increasing by $24.6 billion in May. Repos remained the largest portfolio segment, followed by Treasuries and Agencies. "Credit" instruments continued to shrink dramatically as the shift from "Prime" to "Government" money funds accelerated in August. CDs were in fourth place, followed by Commercial Paper, Other/Time Deposits and VRDNs. Money funds' European-affiliated securities fell to 24.9% of holdings, down from the previous month's 26.7%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) leapt by $102.6 billion (24.4%) to $735.4 billion, or 24.4% of holdings, after falling $13.3 billion in July, and increasing $71.4B in June and $32.6B in May. Funds dramatically shortened their WAMs (weighted average maturities) in August and continue to shorten in September. Government Agency Debt increased $23.9 billion (4.2%) to $595.7 billion, or 22.3% of all holdings, after increasing $27.0B in July, $37.4B in June, and $34.4B in May. Treasury securities rose $79.4 billion (14.2%) to $640.5 billion, or 24.0% of holdings, after rising $38.8 billion in July, falling $12.8B in June and $3.8B in May. The rise in Repo, Treasuries and Agencies is being driven by the shift of over $650 billion of Prime MMF assets and another $100 billion in Tax Exempt MMF assets (since late 2015) into Government MMFs (so far). The total move by the time the mid-October reforms kick in could top $1 trillion.
CDs and CP both dropped to their lowest levels since Crane Data began tracking these in early 2011. Certificates of Deposit (CDs) were down $55.4 billion (-17.4%) to $262.6 billion, or 9.8% of taxable assets, after declining $37.6 billion in July, $53.6 billion in June, $4.6 billion in May and falling $17.0 billion in April. Commercial Paper (CP) was down $71.8 billion (-26.2%) to $202.1 billion, or 7.6% of holdings, while Other holdings, primarily Time Deposits, fell $14.5 billion (7.0%) to $191.4 billion, or 7.2% of holdings. VRDNs held by taxable funds increased by $11.8 billion (41.1%) to $40.4 billion (1.5% of assets).
Prime money fund holdings tracked by Crane Data fell below $1 trillion to $913 billion (down from $1.074 trillion last month), or 34.2% (down from 41.4%) of taxable money fund holdings' total of $2.668 trillion. Among Prime money funds, CDs represent under one-third of holdings at 28.8% (down from 29.6% a month ago), followed by Commercial Paper at 22.2% (down from 25.5%). The CP totals are comprised of: Financial Company CP, which makes up 13.9% of total holdings, Asset-Backed CP, which accounts for 5.4%, and Non-Financial Company CP, which makes up 2.9%. Prime funds also hold 3.9% in US Govt Agency Debt (same as last month), 6.6% in US Treasury Debt (up from 5.3%), 4.1% in US Treasury Repo (down from 4.6%), 1.6% in Other Instruments, 18.9% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 3.9% in US Government Agency Repo, and 3.8% in VRDNs.
Government money fund portfolios totaled $1.143 trillion, up from $962 billion in July, while Treasury money fund assets totaled another $612 billion, up from $556 billion the prior month. Government money fund portfolios were made up of 49.0% US Govt Agency Debt, 18.2% US Government Agency Repo, 11.7% US Treasury debt, and 20.7% in US Treasury Repo. Treasury money funds were comprised of 72.9% US Treasury debt, 26.8% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $1.755 trillion, or almost 2/3 (65.8%) of all taxable money fund assets, up from 58.6%.
European-affiliated holdings decreased $27.8 billion in August to $663.3 billion among all taxable funds (and including repos); their share of holdings decreased to 24.9% from 26.7% the previous month. Eurozone-affiliated holdings decreased $1.5 billion to $422.8 billion in August; they now account for 15.9% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $53.2 billion to $195.3 billion (7.3% of the total). Americas related holdings increased $157.1 billion to $1.807 trillion and now represent 67.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $91.6 billion, or 26.4%, to $438.6 billion, or 16.4% of assets; US Government Agency Repurchase Agreements (up $19.6 billion to $244.8 billion, or 9.2% of total holdings), and Other Repurchase Agreements ($52.0 billion, or 2.0% of holdings, down $8.6 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $36.9 billion to $126.6 billion, or 4.7% of assets), Asset Backed Commercial Paper (down $21.5 billion to $49.0 billion, or 1.8%), and Non-Financial Company Commercial Paper (down $13.3 billion to $26.5 billion, or 1.0%).
The 20 largest Issuers to taxable money market funds as of August 31, 2016, include: the US Treasury ($640.5 billion, or 25.5%), Federal Home Loan Bank ($433.6B, 17.3%), Federal Reserve Bank of New York ($146.7B, 5.8%), BNP Paribas ($100.8B, 4.0%), Credit Agricole ($78.6B, 3.1%), Wells Fargo ($67.4B, 2.7%), Societe Generale ($67.2B, 2.7%), Federal Home Loan Mortgage Co. ($61.8B, 2.5%), Federal Farm Credit Bank ($56.3B, 2.2%), RBC ($50.6B, 2.0%), Mitsubishi UFJ Financial Group Inc. ($41.2B, 1.6%), Federal National Mortgage Association ($39.3B, 1.6%), Credit Suisse ($36.9B, 1.5%), Bank of Nova Scotia ($36.8B, 1.5%), Natixis ($36.5B, 1.5%), Bank of America ($35.5B, 1.4%), HSBC ($32.5B, 1.3%), Citi ($32.4B, 1.3%), JP Morgan ($30.1B, 1.2%), and Svenska Handelsbanken ($27.6B, 1.1%).
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 ($146.7B, 19.9%), BNP Paribas ($76.6B, 10.4%), Societe Generale ($54.6B, 7.4%), Wells Fargo ($53.9B, 7.3%), Credit Agricole ($48.5B, 6.6%), RBC ($35.1B, 4.8%), Bank of America ($28.6B, 3.9%), Credit Suisse ($26.7B, 3.6%), HSBC ($24.0B, 3.3%) and JP Morgan ($22.6B, 3.1%). The `10 largest Fed Repo positions among MMFs on 8/31 include: JP Morgan US Govt ($13.7B), Morgan Stanley Inst Lq Gvt ($10.0B), BlackRock Lq T-Fund ($7.1B), Goldman Sachs FS Gvt ($6.4B), Federated Gvt Oblg ($5.5B), Goldman Sachs FS Treas Sol ($5.5B), Wells Fargo Gvt MMkt ($5.5B), BlackRock Lq FedFund ($5.3B), Fidelity Inst MMkt Gvt ($5.2B), and Fidelity Cash Central Fund ($4.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($30.1B, 5.1%), Mitsubishi UFJ Financial Group Inc. ($28.0B, 4.8%), Svenska Handelsbanken ($27.6B, 4.7%), Natixis ($23.7B, 4.0%), BNP Paribas ($23.5B, 4.0%), Swedbank AB ($23.0B, 3.9%), DnB NOR Bank ASA ($21.9B, 3.7%), Skandinaviska Enskilda Banken AB ($21.0B, 3.6%), Nordea Bank ($19.7B, 3.4%) and Credit Mutuel ($18.4B, 3.1%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($18.5B, 7.1%), Bank of Montreal ($16.3B, 6.2%), Sumitomo Mitsui Banking Co ($15.4B, 5.9%), Canadian Imperial Bank of Commerce ($12.0B, 4.6%), Sumitomo Mitsui Trust Bank ($11.9B, 4.6%), Toronto-Dominion Bank ($10.7B, 4.1%), Wells Fargo ($10.7B, 4.1%), Svenska Handelsbanken ($9.7B, 3.7%), Bank of Nova Scotia ($8.6B, 3.3%) and Credit Agricole ($8.6B, 3.3%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($14.1B, 8.0%), Societe Generale ($11.4B, 6.5%), Commonwealth Bank of Australia ($7.8B, 4.4%), Credit Agricole ($7.0B, 4.0%), JP Morgan ($6.7B, 3.8%), ING Bank ($5.9B, 3.3%), Bank of Nova Scotia ($5.8B, 3.3%), Natixis ($5.6B, 3.2%), Australia and New Zealand Banking Group Ltd. ($5.5B, 3.1%) and Mitsubishi UFJ Financial Group Inc. ($5.3B, 3.0%),
The largest increases among Issuers include: US Treasury (up $79.4B to $640.5B), Federal Reserve Bank of New York (up $65.9B to $146.7B), Federal Home Loan Bank (up $25.9B to $433.6B), BNP Paribas (up $11.6B to $100.8B), Canadian Imperial Bank of Commerce (up $9.0B to $24.2B), Societe Generale (up $7.9B to $67.2B), Goldman Sachs (up $5.2B to $17.8B), Nomura (up $4.0B to $18.8B) and Deutsche Bank AG (up $3.9B to $17.8B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Mitsubishi UFJ Financial Group Inc (-$10.8B to $41.2B), Mizuho Corporate Bank Ltd (-$10.8B to $19.9B), Sumitomo Mitsui Banking Co (-$10.4B to $18.3B), Wells Fargo (-$8.6B to $67.4B, DnB NOR Bank ASA (-$6.0B to $21.9B), Australia & New Zealand Banking Group Ltd -$5.4B to $14.7B), Federal Home Loan Mortgage Co (-$5.1B to $61.8B), Barclays PLC (-$4.1B to $24.8B), DZ Bank AG (-$4.1B to $7.9B), Citi (-$3.7B to $32.4B) and Rabobank (-$3.6B to $7.4B).
The United States remained the largest segment of country-affiliations; it represents 61.4% of holdings, or $1.638 trillion. France (11.7%, $310.8B) remained in second while Canada (6.3%, $168.1B) remained in 3rd. Japan (4.7%, $125.6B) stayed in fourth, while Sweden (3.4%, $91.7B) held fifth. The United Kingdom (3.0%, $80.5B) remained sixth, while Germany (2.0%, $53.4B) ranked seventh. Australia (1.8%, $47.3B) was eighth and The Netherlands (1.7%, $44.2B) were ninth. Lastly, Switzerland (1.6%, $43.9B) 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 August 31, 2016, Taxable money funds held 33.8% (up from 31.1%) of their assets in securities maturing Overnight, and another 15.2% maturing in 2-7 days (same as last month). Thus, 49.0% in total matures in 1-7 days. Another 19.3% matures in 8-30 days, while 9.0% matures in 31-60 days. Note that more than three-quarters, or 77.3% 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 9.6% (up from 9.0%) of taxable securities, while 10.0% matures in 91-180 days (up from 8.7%), and just 3.2% matures beyond 180 days (up from 2.2%).
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Monday, 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.
