Crane Data released its July Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of June 30, 2015, shows a big jump in holdings of Repo and a sizable drop in Other (Time Deposits), par for the course for quarter-end. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $58.3 billion in June to $2.494 trillion (note: we added the huge internal Vanguard Market Liquidity Fund to our collection this month, which inflated the numbers by $51.7 billion). MMF holdings assets increased $31.6 billion in May, but dropped $49.3 billion in April, $19.2 billion in March, and $52.1 billion in February. Repos remained the largest portfolio segment, ahead of CDs. Treasuries stayed in third place, followed by Commercial Paper. Agencies were fifth, followed by Other (mainly Time Deposits) securities, then VRDNs. Money funds' European-affiliated securities represented 19.3% of holdings, down from 28.8% the previous month. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreements (repo) increased $140.5 billion (26.6%) to $667.9 billion, or 26.8% of assets, on the traditional quarter-end spike in Fed RRP usage, after increasing $10.7 billion in May, decreasing $113.6 billion in April and increasing $98.7 billion in March. Certificates of Deposit (CDs) were up $21.8 billion (4.2%) to $502.3 billion, or 20.1% of assets, after rising $10.8 billion in May, jumping $1.7 billion in April, and dropping $37.4 billion in March. Treasury holdings increased $12.5 billion (3.1%) to $421.3 billion, or 16.9% of assets, while Commercial Paper (CP) dropped $10.4 billion (2.7%) to $379.8 billion, or 15.2% of assets. Government Agency Debt increased $24.2 billion (7.3%) to $355.8 billion, or 14.3% of assets. Other holdings, primarily Time Deposits, fell $83.3 billion to $146.9 billion, or 5.9% of assets. VRDNs held by taxable funds decreased by $3.3 billion to $20.2 billion (0.8% of assets).
Among Prime money funds, CDs represent almost one-third of holdings at 32.8% (down from 34.5% a month ago), followed by Commercial Paper at 24.7%. The CP totals are primarily Financial Company CP (14.4% of total holdings), with Asset-Backed CP making up 5.6% and Other CP (non-financial) making up 4.7%. Prime funds also hold 7.6% in Agencies (up from 6.7%), 4.2% in Treasury Debt (unchanged), 11.1% in Treasury Repo, 2.1% in Other Instruments, and 5.0% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.541 trillion (up from $1.520 trillion last month), or 61.8% of taxable money fund holdings' total of $2.494 trillion.
Government fund portfolio assets totaled $458 billion, up from $441 billion in May, while Treasury money fund assets totaled $494 billion, up from $475 billion in May. Government money fund portfolios were made up of 52.2% Agency Debt, 18.7% Government Agency Repo, 3.7% Treasury debt, and 25.0% in Treasury Repo. Treasury money funds were comprised of 68.9% Treasury debt, 30.8% Treasury Repo, and 0.2% in Government agency, repo and investment company shares. Government and Treasury funds combined total $952 billion, or 38.2% of all taxable money fund assets.
European-affiliated holdings fell $222.1 billion in June to $480.1 billion on the quarter-end shift from time deposits to Fed repo (among all taxable funds and including repos); their share of holdings fell to 19.3% from 28.8% the previous month. Eurozone-affiliated holdings decreased $114.9 billion to $263.4 billion in June; they now account for 10.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $14.2 billion to $305.6 billion (12.3% of the total). Americas related holdings increased $264.0 billion to $1.704 trillion, and now represent 68.3% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $164.5 billion to $438.1 billion, or 17.6% of assets), Government Agency Repurchase Agreements (down $22.3 billion to $142.4 billion, or 5.7% of total holdings), and Other Repurchase Agreements ($87.4 billion, or 3.5% of holdings, down $1.7 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $6.9 billion to $221.9 billion, or 8.9% of assets), Asset Backed Commercial Paper (up $2.4 billion to $86.2 billion, or 3.5%), and Other Commercial Paper (down $6.0 billion to $71.8 billion, or 2.9%).
The 20 largest Issuers to taxable money market funds as of May 31, 2015, include: the US Treasury ($421.3 billion, or 16.9%), Federal Reserve Bank of New York ($361.4B, 14.5%), Federal Home Loan Bank ($234.8B, 9.4%), Wells Fargo ($70.7B, 2.8%), Bank of Nova Scotia ($61.0B, 2.4%), JP Morgan ($59.5B, 2.4%), RBC ($57.2B, 2.3%), Bank of Tokyo-Mitsubishi UFJ Ltd ($55.5B, 2.2%), Bank of America ($54.1B, 2.2%), BNP Paribas ($51.8B, 2.1%), Toronto-Dominion Bank ($47.7B, 1.9%), Sumitomo Mitsui Banking Co ($44.1B, 1.8%), Federal Farm Credit Bank ($42.6B, 1.7%), Federal Home Loan Mortgage Co. ($42.2B, 1.7%), Credit Suisse ($38.8B, 1.6%), Bank of Montreal ($37.9B, 1.5%), Mizuho Corporate Bank Ltd. ($37.4B, 1.7%), Credit Agricole ($33.3B, 1.3%), Federal National Mortgage Association, ($33.0B, 1.3%), and Svenska Handelsbanken ($32.4B, 1.3%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $361.4B, or 54.1%, up from $137.6B a month ago. The 10 largest Fed Repo positions among MMFs on 6/30 include: JP Morgan US Govt ($20.7B), Vanguard Prime MMkt Fund ($14.3B), Fidelity Inst MM MMkt ($14.0B), Fidelity Inst MM Prm ($14.0B), JP Morgan US Govt ($20.7B), Federated Trs Oblg ($13.4B), Morgan Stanley Inst Lq Gvt ($12.7B), JP Morgan Prime MM ($11.5B), Vanguard Market Liquidity Fund ($11.0B), Fidelity Cash Reserves ($10.4B), and Federated Gvt Oblg ($9.0B).
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 ($361.4B, 54.1%), Bank of America ($40.9B, 6.1%), Wells Fargo ($35.8B, 5.4%), JP Morgan ($27.1B, 4.1%), BNP Paribas ($24.2B, 3.6%), Citi ($21.1B, 3.2%), Bank of Nova Scotia ($18.9B, 2.8%), Credit Suisse ($17.3B, 2.6%), RBC ($17.0B, 2.5%), and Goldman Sachs ($12.1B, 1.8%),
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($49.7B, 5.5%), Sumitomo Mitsui Banking Co ($44.1B, 4.9%), Bank of Nova Scotia ($42.1B, 4.7%), RBC ($40.2B, 4.5%), Toronto Dominion Bank ($36.8B, 4.1%), Wells Fargo ($34.8B, 3.9%), Bank of Montreal ($32.6B, 3.6%), Skandinaviska Enskilda Banken AB ($32.4B, 3.2%), Mizuho Corporate Bank Ltd ($32.4B, 3.6%), and JP Morgan ($32.1B, 3.6%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($38.1B, 7.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($36.5B, 7.3%), Toronto-Dominion Bank ($32.9B, 6.6%), Mizuho Corporate Bank Ltd ($31.5B, 6.3%), Bank of Montreal ($30.3B, 6.1%), Bank of Nova Scotia ($30.0B, 6.0%), Wells Fargo ($25.8B, 5.2%), RBC ($20.1B, 4.0%), Canadian Imperial Bank of Commerce ($19.6B, 3.9%), and Sumitomo Mitsui Trust Bank ($18.4B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.6B, 7.4%), Westpac Banking Co ($18.0B, 5.7%), Commonwealth Bank of Australia ($17.4B, 5.5%), RBC ($15.7B, 5.0%), National Australia Bank Ltd ($13.4B, 4.2%), BNP Paribas ($13.1B, 4.2%), HSBC ($11.2B, 3.5%), Australia & New Zealand Banking Group Ltd ($11.2B, 3.5%), Bank of Nova Scotia ($10.9B, 3.4%), and Bank of Tokyo-Mitsubishi UFJ Ltd ($8.9B, 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $223.8B to $361.4B), Federal Home Loan Bank (up $25.9B to $234.8B), US Treasury (up $12.5B to $421.3B), Svenska Handelsbanken (up $9.7B to $32.4B), Toronto-Dominion Bank (up $3.8B to $47.7B), Bank of Nova Scotia (up $3.6B to $61.0B), Bank of Montreal (up $2.6B to $37.9B), Australia & New Zealand Banking Group Ltd (up $2.5B to $19.5B), Citi (up $2.0B to $31.5B), and Bank of America (up $1.9B to $54.1B). The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Credit Agricole (down $37.3B to $33.3B), Barclays PLC (down $31.2B to $11.7), DnB NOR Bank ASA (down $27.8B to $7.6B), Natixis (down $17.8B to $25.4B), Swedbank AB (down $16.3B to $15.9B), Skandinaviska Enskilda Banken AB (down $15.7B to $16.8B), Societe Generale (down $14.3B to $19.4B), BNP Paribas (down $12.1B to $51.8), ING Bank (down $3.6B to $24.1B) and General Electric (down $2.9B to $7.1B).
The United States remained the largest segment of country-affiliations; it represents 58.2% of holdings, or $1.450 trillion (up $252B). Canada (10.1%, $251.7B) moved up to second place followed by Japan (7.5%, $186.0B). France (5.8%, $145.2B) fell to fourth place, while Australia (3.6%, $90.6B) rose to fifth place and Sweden (3.2%, $80.4B) rose to sixth. The U.K. (2.9%, $71.9B) dropped down to seventh, while The Netherlands (2.6%, $65.5B), Switzerland (2.3%, $56.7B), and Germany (1.9%, $46.7B) 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 June 30, 2015, Taxable money funds held 26.3% of their assets in securities maturing Overnight, and another 15.5% maturing in 2-7 days (41.8% total matures in 1-7 days). Another 20.9% matures in 8-30 days, while 13.2% matures in 31-60 days. Note that three-quarters, or 75.9% 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 11.1% of taxable securities, while 10.2% matures in 91-180 days and just 2.9% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated late Friday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF 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 or our new "Holdings Reports Funds Module." The new file allows user to choose funds (pick a fund then click its ticker) and show Performance alongside Composition, Country breakout, Largest Holdings and Fund Information.
