Crane Data released its February Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Jan. 31, 2016, shows a huge drop in (primarily Fed RRP) repo, and gains in Other (Time Deposits), CP, CDs, and Agencies. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $6.0 billion in January to $2.612 trillion. MMF holdings decreased by $2.2 billion in December and $7.8 in November, increased by $61.8 billion in October, and decreased by $30.1 billion in September. Repos remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were in fourth place, followed by Commercial Paper, Other (mainly Time Deposits) securities and VRDNs. Money funds' European-affiliated securities represented 27.0% of holdings, up dramatically from the previous month's 15.1%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) plummeted at quarter-end, as they normally do, decreasing $182.2 billion (24.8%) to $553.2 trillion, or 21.2%, after increasing $176.6 billion in December, decreasing $49.9 billion in November, and falling $119.8 billion in October. (Treasury Repo decreased by a massive $222.0 billion to $283.6 billion.) Treasury securities fell $3.4 billion (0.7%) to $497.3 billion, or 19.0% of holdings, after dropping $33.2 billion in December and climbing $110.2 billion in November. Government Agency Debt increased $7.5 billion (1.65) to $491.3 billion, or 18.8% of holdings, after increasing $35 billion in December, decreasing $3.6 billion in November, and increasing $34.1 billion in October. The steady rise by Treasuries and Agencies reflects the shift of about $190 billion (so far) of Prime fund to Govt fund assets.
Certificates of Deposit (CDs) were up $33.0 billion (8.1%) to $442.9 billion, or 17.0% of holdings, after decreasing $51.8 billion in December, dropping $36.1 billion in November, and increasing $15.8 billion in October. Commercial Paper (CP) increased $36.3 billion (10.6%) to $379.7 billion, or 14.5%, while Other holdings, primarily Time Deposits, jumped $115.5 billion (99.2%) to $231.9 billion, or 8.9% of holdings. VRDNs held by taxable funds decreased by $600 million (3.6%) to $15.7 billion (0.6% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 31.0% (up from 29.1% a month ago), followed by Commercial Paper at 26.6% (up from 24.4%). The CP totals are primarily Financial Company CP (14.6% of total holdings), with Asset-Backed CP making up 8.1% and Other CP (non-financial) making up 3.9%. Prime funds also hold 7.2% in Agencies (down from 7.7%), 5.2% in Treasury Debt (down from 6.4%), 3.6% in Treasury Repo (down from 5.4%), 4.8% in Other Instruments, 4.9% in Other Instruments (Time Deposits), and 6.1% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.427 trillion (down from $1.409 trillion last month), or 54.6% of taxable money fund holdings' total of $2.612 trillion.
Government fund portfolio assets totaled $683 billion, down from $687 billion in December, while Treasury money fund assets totaled $502 billion, down from $510 billion in December. Government money fund portfolios were made up of 56.9% Agency Debt, 19.2% Government Agency Repo, 8.0% Treasury debt, and 14.9% in Treasury Repo. Treasury money funds were comprised of 73.5% Treasury debt, 26.1% in Treasury Repo, and 0.4% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.185 trillion, or 45.4% of all taxable money fund assets.
European-affiliated holdings rose $312.1 billion in January to $704.3 billion among all taxable funds (and including repos); their share of holdings jumped to 27.0% from 15.1% the previous month. Eurozone-affiliated holdings rocketed $181.6 billion to $412.2 billion in January; they now account for 15.8% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $1.0 billion to $285.9 billion (11.0% of the total). Americas related holdings decreased $306.0 billion to $1.619 trillion and now represent 62.0% of holdings. (The Americas drop and European jumps are both primarily the result of the reversal of a traditional quarter-end spike in Fed Repo and plunge in European bank debt.)
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which plummeted $222.0 billion, or 43.9%, to $283.6 billion, or 10.9% of assets; Government Agency Repurchase Agreements (up $40.8 billion to $201.6 billion, or 7.7% of total holdings), and Other Repurchase Agreements ($68.0 billion, or 2.6% of holdings, down $1.0 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $17.1 billion to $208.6 billion, or 8.0% of assets), Asset Backed Commercial Paper (up $16.9 billion to $115.5 billion, or 4.4%), and Other Commercial Paper (up $2.2 billion to $55.6 billion, or 2.1%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2016, include: the US Treasury ($497.3 billion, or 19.0%), Federal Home Loan Bank ($341.1B, 13.1%), Federal Reserve Bank of New York ($95.1B, 3.6%), BNP Paribas ($83.6B, 3.2%), Wells Fargo ($78.9B, 3.0%), Credit Agricole ($76.0B, 2.9%), Federal Home Loan Mortgage Co. ($67.1B, 2.6%), RBC ($60.4B, 2.3%), Bank of Tokyo-Mitsubishi UFJ Ltd ($56.4B, 2.2%), Societe Generale ($55.2, 2.1%), Federal Farm Credit Bank ($52.4B, 2.0%), Bank of Nova Scotia ($51.2B, 2.0%), JP Morgan ($48.8B, 1.9%), Bank of America ($47.0B, 1.8%), Credit Suisse ($43.9, 1.7%), Sumitomo Mitsui Banking Co ($40.4B, 1.5%), Toronto-Dominion Bank ($40.2B, 1.5%), Natixis ($36.1B, 1.4%), Citi ($36.0B, 1.4%), and HSBC ($35.3B, 1.4%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest repo program with $95.1B, or 17.2% of money fund repo. The 10 largest Fed Repo positions among MMFs on 1/31 include: Fidelity Cash Central Fund ($7.2B in Fed RRP), Northern Trust Trs MMkt ($7.0B), UBS Select Treas ($6.3B), State Street Inst Lq Res ($5.5B), Fidelity Govt Money Market ($5.4B), Schwab Govt MMkt ($5.0B), Fidelity Govt Cash Reserves ($4.7B), Dreyfus Tr&Ag Cash Mgmt ($4.2B), BlackRock Lq T-Fund ($3.5B), and Franklin IFT MMP ($2.8B).
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 ($95.1B, 17.2%), BNP Paribas ($51.3B, 9.3%), Wells Fargo ($45.8B, 8.3%), Societe Generale ($45.7B, 8.3%), Bank of America ($36.5B, 6.6%), Credit Agricole ($33.7B, 6.1%), Credit Suisse ($31.3B, 5.7%), JP Morgan ($26.2B, 4.7%), RBC ($21.9B, 4.0%), and Citi ($21.8B, 3.9%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($44.8B, 4.8%), Credit Agricole ($42.3B, 4.5%), Sumitomo Mitsui Banking Co ($40.4B, 4.3%), RBC ($38.5B, 4.1%), DnB NOR Bank ASA ($33.3B, 3.5%), Wells Fargo ($33.1B, 3.5%), Bank of Nova Scotia ($32.7B, 3.5%), BNP Paribas ($32.3B, 3.5%), Skandinaviska Enskilda Banken AB ($31.3B, 3.3%), and Svenska Handelsbanken ($30.2B, 3.2%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($29.1B, 6.6%), Sumitomo Mitsui Banking Co ($28.8B, 6.6%), Toronto-Dominion Bank ($25.7B, 5.9%), Wells Fargo ($25.0B, 5.7%), Bank of Nova Scotia ($20.0B, 4.7%), Mizuho Corporate Bank Ltd ($19.8B, 4.5%), Bank of Montreal ($19.4B, 4.4%), RBC ($17.9B, 4.1%), Sumitomo Mitsui Trust Bank ($17.6B, 4.0%), and Canadian Imperial Bank of Commerce ($17.1B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($18.2B, 5.7%), JP Morgan ($17.7B, 5.5%), Commonwealth Bank of Australia ($17.5B, 5.5%), RBC ($16.8B, 5.3%), Westpac Banking Co ($13.4B, 4.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($12.9B, 4.0%), Sumitomo Mitsui Banking Co. ($11.3B, 3.5%), Bank of Nova Scotia ($11.1B, 3.5%), HSBC ($10.4B, 3.2%), and Australia & New Zealand Banking Group Ltd ($9.7B, 3.0%).
The largest increases among Issuers include: Credit Agricole (up $38.7B to $76.0B), BNP Paribas (up $38.3B to $83.6B), Societe Generale (up $27.9B to $55.2B), DnB NOR Bank ASA (up $25.8B to $33.3B), Skandinaviska Enskilda Banken AB (up $23.0B to $31.3B), Natixis (up $21.5B to $36.1B), Credit Suisse (up $19.5B to $43.9B), Federal Home Loan Bank (up $18.1B to $341.1B), Swedbank AB (up $17.4B to $23.8B), and Svenska Handelsbanken (up $14.9B to $30.2B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Federal Reserve Bank of New York (down $313.4B to $95.1B), Bank of NY Mellon (down $11.7B to $10.1B), Federal National Mortgage Association (down $7.0B to $27.4B), Bank of Montreal (down $5.0B to $30.2B), Federal Home Loan Mortgage Co. (down $3.7B to $67.1B), US Treasury (down $3.4B to $497.3B), Canadian Imperial Bank of Commerce (down $2.8B to $20.7B), Goldman Sachs (down $2.7B to $12.4B), National Australia Bank Ltd. (down $1.9B to $15.2B), and DBS Bank Ltd. (down $1.4B to $7.4B).
The United States remained the largest segment of country-affiliations; it represents 53.5% of holdings, or $1.396 trillion (down $301.0B). France jumped to second from fourth (11.0%, $285.9B), while Canada (8.5%, $220.9B) fell to third. Japan (7.0%, $182.0B) dropped to fourth, while Sweden (4.2%, $110.1B) jumped to fifth from eighth. The United Kingdom (3.5%, $90.6B) remained sixth, while Australia (3.0%, $78.8B) dropped to seventh from fifth. The Netherlands (2.4%, $62.0B), Switzerland (2.1%, $54.7B), and Germany (1.9%, $48.4B) 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 Jan. 31, 2016, Taxable money funds held 27.9% (down from 33.9%) of their assets in securities maturing Overnight, and another 13.5% maturing in 2-7 days (up from 9.4%). Thus, 41.4% in total matures in 1-7 days. Another 23.7% matures in 8-30 days, while 12.0% matures in 31-60 days. Note that over three-quarters, or 75.1% 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 10.8% of taxable securities, while 9.8% matures in 91-180 days, and just 2.3% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Tuesday, 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.
