Crane Data released its November Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Oct. 31, 2016, shows a big increase in Treasuries and Agencies, and big decreases in Repo, Other (TDs) and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $32.0 billion to $2.586 trillion last month, after decreasing by $114 billion in Sept., increasing by $75.9 billion in August and $47.9 billion in July, and decreasing by $59.7 billion in June. Repos remained the largest portfolio segment, though they declined and dipped below $800 billion, and Treasuries and Agencies continued their growth spurt driven by the shift to Govt MMFs. Holdings of "credit" instruments declined slightly as the final shift from Prime to Government money funds took place, primarily in the first half of October. CDs were in fourth place, followed by Commercial Paper, Other/Time Deposits and VRDNs. Money funds' European-affiliated securities rebounded to 18.3% of holdings, up from the previous month's 15%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) fell by $65.2 billion (-7.6%) to $797.3 billion, or 30.8% of holdings, after rising $127 billion in Sept. and $102 billion in August. Treasury securities rose $112.2 billion (26.2%) to $780.4 billion, or 30.2% of holdings, after rising $28 billion in Sept., $79 billion in August and $39 billion in July. Government Agency Debt increased $32.3 billion (23.8%) to $639.8 billion, or 24.7% of all holdings, after increasing $12 billion in Sept., $24 billion in August, $27.0B in July and $37.4B in June. The rise in Treasuries and Agencies (and Repo prior to this month) has been driven by the shift of almost $1.1 trillion of Prime MMF assets and another $100 billion in Tax Exempt MMF assets (since late 2015) into Government MMFs.
CDs and Other (Time Deposits) moved lower, falling to their lowest levels since Crane Data began tracking these in early 2011, while CP inched higher. Certificates of Deposit (CDs) were down $13.6 billion (-6.4%) to $148.9 billion, or 5.8% of taxable assets, after declining $100 billion in Sept., $55 billion in August and $37.6 billion in July. Commercial Paper (CP) was up $1.0 billion (4.9%) to $127.3 billion, or 4.9% of holdings (after declining $76B last month), while Other holdings, primarily Time Deposits, fell $32.5 billion (-3.5%) to $57.9 billion, or 2.2% of holdings. VRDNs held by taxable funds decreased by $2.2 billion (-1.4%) to $34.3 billion (1.3% of assets).
Prime money fund assets tracked by Crane Data (in our holdings collection) fell to $486 billion (down from $605 billion last month and $913 the prior month), or 18.8% (down from 24%) of taxable money fund holdings' total of $2.586 trillion. Among Prime money funds, CDs represent under one-third of holdings at 30.6% (up from 27% a month ago), followed by Commercial Paper at 26.2% (up from 21%). The CP totals are comprised of: Financial Company CP, which makes up 15.9% of total holdings, Asset-Backed CP, which accounts for 6.3%, and Non-Financial Company CP, which makes up 4.0%. Prime funds also hold 0.2% in US Govt Agency Debt (down from last month), 12.0% in US Treasury Debt (up from 9%), 4.9% in US Treasury Repo, 4% in Other Instruments, 2.5% in Non-Negotiable Time Deposits, 5.5% in Other Repo, 2.5% in US Government Agency Repo, and 5.8% in VRDNs.
Government money fund portfolios totaled $1.483 trillion, up from $1.337 trillion in September, while Treasury money fund assets totaled another $617 billion, up slightly from the $611 billion from the prior month. Government money fund portfolios were made up of 42.8% US Govt Agency Debt, 16.3% US Government Agency Repo, 18.2% US Treasury debt, and 22.1% in US Treasury Repo. Treasury money funds were comprised of 73.4% US Treasury debt, 26.4% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.100 trillion, or over 80% (81.2%) of all taxable money fund assets, up from 76% last month.
European-affiliated holdings increased $85.7 billion in October to $473.7 billion among all taxable funds (and including repos); their share of holdings increased to 18.3% from 15% the previous month. Eurozone-affiliated holdings increased $90.4 billion to $325.4 billion in Oct.; they now account for 12.6% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $2.3 billion to $148.7 billion (5.8% of the total). Americas related holdings decreased $51 billion to $1.963 trillion and now represent 75.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $93.0 billion, or 23.8%, to $514 billion, or 19.9% of assets; US Government Agency Repurchase Agreements (up $39.2 billion to $254 billion, or 9.8% of total holdings), and Other Repurchase Agreements ($29.2 billion, or 1.1% of holdings, down $11.4 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.8 billion to $77 billion, or 3.0% of assets), Asset Backed Commercial Paper (down $0.6 billion to $30.6 billion, or 1.2%), and Non-Financial Company Commercial Paper (up $2.4 billion to $19.7 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2016, include: the US Treasury ($780.4 billion, or 31.4%), Federal Home Loan Bank ($465.3B, 18.7%), Federal Reserve Bank of New York ($193.9B, 7.8%), BNP Paribas ($96.3B, 3.9%), Federal Home Loan Mortgage Co. ($72.4B, 2.9%), Wells Fargo ($71.5B, 2.9%), Federal Farm Credit Bank ($61.4B, 2.5%), Credit Agricole ($55.8B, 2.2%), RBC ($43.1B, 1.7%), Societe Generale ($43.0B, 1.7%), Federal National Mortgage Association ($37.4B, 1.5%), Deutsche Bank AG ($33.6B, 1.4%), Nomura ($32.7B, 1.3%), Bank of America ($32.3B, 1.3%), Mitsubishi UFJ Financial Group Inc. ($29.6B, 1.2%), HSBC ($29.2B, 1.2%), Bank of Nova Scotia ($28.8B, 1.2%), Credit Suisse ($27.9B, 1.1%), Citi ($26.2B, 1.1%), and Barclays PLC ($26.1B, 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 ($193.9B, 24.3%), BNP Paribas ($85.3B, 10.7%), Wells Fargo ($60.3B, 7.6%), Credit Agricole ($43.3B, 5.4%), Societe Generale ($37.6B, 4.7%), RBC ($33.7B, 4.2%), Deutsche Bank AG ($33.3B, 4.2%), Nomura ($32.7B, 4.1%), Bank of America ($28.5B, 3.6%), and Credit Suisse ($23.6B, 3.0%). The 10 largest Fed Repo positions among MMFs on 10/31 include: Northern Trust Trs MMkt ($13.7B), JP Morgan US Govt ($13.0B), BlackRock Lq FedFund ($11.0B), Goldman Sachs FS Gvt ($10.0B), Morgan Stanley Inst Lq Gvt ($9.5B), First American Gvt Oblg ($8.5B), Vanguard Fed MMkt ($8.5B), BlackRock Lq T-Fund ($8.2B), Fidelity Cash Central Fund ($8.0B) and Wells Fargo Gvt MMkt ($7.5B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($14.6B, 4.9%), Credit Agricole ($12.4B, 4.2%), Wells Fargo ($11.2B, 3.8%), Sumitomo Mitsui Banking Co ($11.1B, 3.8%), BNP Paribas ($11.1B, 3.7%), Svenska Handelsbanken ($10.4B, 3.5%), Bank of Nova Scotia ($9.5B, 3.2%), RBC ($9.4B, 3.2%), Toronto-Dominion Bank ($9.0B, 3.0%), and Skandinaviska Enskilda Banken AB ($8.7B, 2.9%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($10.9B, 7.4%), Wells Fargo ($10.4B, 7.1%), Toronto-Dominion Bank ($8.3B, 5.6%), Canadian Imperial Bank of Commerce ($8.2B, 5.6%), Sumitomo Mitsui Banking Co ($7.7B, 5.2%), Bank of Montreal ($7.3B, 4.9%), Svenska Handelsbanken ($6.5B, 4.4%), RBC ($6.0B, 4.1%), Bank of Nova Scotia ($5.9B, 4.0%), and BNP Paribas ($4.7B, 3.2%). The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($6.1B, 5.3%), BNP Paribas ($5.7B, 5.0%), Credit Agricole ($5.7B, 4.9%), Societe Generale ($4.9B, 4.2%), JP Morgan ($3.9B, 3.4%), Toyota ($3.9B, 3.4%), Westpac Banking Co ($3.7B, 3.3%), Bank of Nova Scotia ($3.6B, 3.1%), Australia and New Zealand Banking Group Ltd ($3.5B, 3.0%) and Nordea ($3.5B, 3.0%).
The largest increases among Issuers include: US Treasury (up $112.2B to $780.4B), Credit Agricole (up $32.4B to $55.8B), Federal Home Loan Bank (up $22.6B to $465.3B), BNP Paribas (up $18.8B to $96.3B), Credit Suisse (up $18.4B to $27.9B), Deutsche Bank AG (up $16.5B to $33.6B), Societe Generale (up $16.1B to $43.0B), Federal Home Loan Mortgage Co (up $9.3B to $72.4B), and Natixis (up $5.8B to $23.1B).
The largest decreases among Issuers of money market securities (including Repo) in Oct. were shown by: Federal Reserve Bank of New York (down $172.5B to $193.9B), HSBC (-$11.1B to $29.2B), Canadian Imperial Bank of Commerce (-$11.0B to $10.5B), Bank of Montreal (-$8.5B to $12.9B), Nordea Bank (-$7.2B to $8.4B), Svenska Handelsbanken (-$5.4B to $10.4B), Federal National Mortgage Association (-$4.5B to $37.4B), National Australia Bank Ltd (-$4.3B to $6.1B), Swedbank AB (-$4.3B to $8.6B), and ABN Amro Bank (-$2.5B to $10.3B).
The United States remained the largest segment of country-affiliations; it represents 71.3% of holdings, or $1.843 trillion. France (8.9%, $229.0B) remained in second and Canada (4.6%, $119.5B) remained in 3rd. Japan (4.4%, $113.8B) stayed in fourth, while the United Kingdom (2.7%, $69.5B) moved up to fifth. Germany (2.1%, $55.1B) moved up to sixth, while The Netherlands (1.4%, $36.3B) and Sweden (1.4%, $36.3B) fell to seventh and eighth. Switzerland (1.3%, $32.4B) moved up to ninth, and Australia (1.1%, $27.1B) dipped to tenth. (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 Oct. 31, 2016, Taxable money funds held 31.2% (down from 36%) of their assets in securities maturing Overnight, and another 12.4% maturing in 2-7 days (down from 13%). Thus, 43.6% in total matures in 1-7 days. Another 17.3% matures in 8-30 days, while 11.8% matures in 31-60 days. Note that almost three-quarters, or 72.7% of securities, mature in 60 days or less (down from 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% of taxable securities, while 11.8% matures in 91-180 days, and just 4.5% 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 late this week and early next week, 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.
