Crane Data released its April Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of March 31, 2016, shows a sharp drop in holdings overall at quarter-end but increases in Repo and Treasuries. Other (Time Deposits) holdings plunged, while CDs, CP and Agencies were all down. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $75.5 billion in March to $2.601 trillion. (Note: the decline includes the removal of the $43 billion Prudential Core MMF, which converted to an ultra-short bond fund.) MMF holdings increased by $64.2 billion in February, increased by $6.0 billion in January, and decreased by $2.2 billion in December. 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 plunged to 20.3% of holdings, down from the previous month's 27.6%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) increased $49.3 billion (8.8%) to $607.5 billion, or 20.9%, after increasing $4.4 billion in February, and decreasing $182.2 billion in January. Treasury securities jumped $37.5 billion (7.0%) in March to $575.6 billion, or 20.1% of holdings, after rising $40.9 billion in February, and falling $3.4 billion in January. Government Agency Debt decreased $14.7 billion (3.0%) to $482.1 billion, or 18.6% of holdings, after increasing $5.5 billion in February, and jumping $7.5 billion in January. The steady rise in Treasuries and Agencies has been driven by the conversion of about $212.3 billion (so far) of Prime fund assets into Government funds.
Certificates of Deposit (CDs) were down $41.8 billion (8.8%) to $430.8 billion, or 17.1%, after climbing $7.6 billion in February, and rising $33.0 billion in January. Commercial Paper (CP) was down $23.1 billion (6.5%) to $332.7 billion, or 13.3% of taxable assets, while Other holdings, primarily Time Deposits, dropped $85.8 billion (35.7%) to $153.9 billion, or 5.9% of holdings. VRDNs held by taxable funds increased by $2.8 billion (18.3%) to $17.9 billion (0.6% of assets).
Among Prime money funds, CDs represent just under one-third of holdings at 32.0% (down from 32.9% a month ago), followed by Commercial Paper at 24.7% (unchanged). The CP totals are primarily Financial Company CP (14.8% of total holdings), with Asset-Backed CP making up 6.7% and Other CP (non-financial) making up 3.2%. Prime funds also hold 5.7% in Agencies (down from 6.4%), 7.1% in Treasury Debt (up from 5.9%), 9.3% in Treasury Repo (up from 3.3%), 4.0% in Other Instruments, 2.8% in Other Instruments (Time Deposits), and 4.5% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.348 trillion (down from $1.439 trillion last month), or 51.8% of taxable money fund holdings' total of $2.601 trillion.
Government fund portfolio assets totaled $716 billion, up from $704 billion in February, while Treasury money fund assets totaled $536 billion, up from $533 billion in February. Government money fund portfolios were made up of 56.7% Agency Debt, 15.8% Government Agency Repo, 10.3% Treasury debt, and 17.0% in Treasury Repo. Treasury money funds were comprised of 75.8% Treasury debt, 23.9% in Treasury Repo, and 0.3% in Government agency, repo and investment company shares. Government and Treasury funds combined total $1.252 trillion, or 48.1% of all taxable money fund assets.
European-affiliated holdings decreased $211.3 billion in March to $527.7 billion among all taxable funds (and including repos); their share of holdings decreased to 20.3% from 27.6% the previous month. Eurozone-affiliated holdings decreased $131.5 billion to $304.9 billion in March; they now account for 11.7% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $15.1 billion to $259.5 billion (10.0% of the total). Americas related holdings increased $148.7 billion to $1.807 trillion and now represent 69.5% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements, which increased $99.5 billion, or 36.1%, to $374.7 billion, or 14.4% of assets; Government Agency Repurchase Agreements (down $42.9 billion to $168.2 billion, or 7.9% of total holdings), and Other Repurchase Agreements ($64.7 billion, or 2.5% of holdings, down $7.2 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.9 billion to $199.2 billion, or 7.7% of assets), Asset Backed Commercial Paper (up $800 million to $90.4 billion, or 3.5%), and Other Commercial Paper (down $14.0 billion to $43.0 billion, or 1.7%).
The 20 largest Issuers to taxable money market funds as of March 31, 2016, include: the US Treasury ($576.8 billion, or 23.8%), Federal Home Loan Bank ($342.8B, 14.1%), Federal Reserve Bank of New York ($247.0B, 10.2%), Wells Fargo ($83.6B, 3.4%), BNP Paribas ($69.4B, 2.9%), Bank of Tokyo-Mitsubishi UFJ Ltd ($57.9B, 2.4%), RBC ($54.8B, 2.3%), Federal Home Loan Mortgage Co. ($54.1B, 2.2%), Bank of Nova Scotia ($51.8B, 2.1%), Federal Farm Credit Bank ($51.5B, 2.1%), Bank of America ($43.7B, 1.8%), Credit Agricole ($39.0B, 1.6%), JP Morgan ($38.6B, 1.6%), HSBC ($37.1B, 1.5%), Sumitomo Mitsui Banking Co ($36.8B, 1.5%), Citi ($35.1B, 1.4%), Bank of Montreal ($33.3, 1.4%), Svenska Handelbanken ($31.2, 1.3%), Mizuho Corporate Bank ($30.5B, 1.3%), and Toronto-Dominion Bank ($30.2B, 1.2%).
In the repo space, the Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest repo program with $247.0B, or 40.7% of money fund repo. The 10 largest Fed Repo positions among MMFs on 3/31 include: BlackRock Cash Inst MMkt ($11.2B in Fed RRP), Northern Trust Treas MMkt ($10.2B), Fidelity Cash Central ($9.7B), JP Morgan US Govt ($9.2B), Goldman Sachs FS MMkt ($8.0B), BlackRock Liq TempFund ($7.3B), Fidelity Inst MM Prime ($6.9B), Dreyfus Treas & Agency Cash Mgmt ($6.6B), Federated Govt Obligs ($6.6B), and Federated Inst MM MMkt ($6.5B).
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 ($247.0B, 40.7%), Wells Fargo ($52.5B, 8.6%), BNP Paribas ($36.0B, 5.9%), Bank of America ($34.0B, 5.6%), RBC ($24.5B, 4.0%), Citi ($21.4B, 3.5%), Bank of Nova Scotia ($20.5B, 3.4%), JP Morgan ($20.4B, 3.4%), Societe Generale ($16.0B, 2.6%), and HSBC ($15.8B, 2.6%).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($47.2B, 5.8%), Sumitomo Mitsui Banking Co ($36.8B, 4.5%), BNP Paribas ($33.5B, 4.1%), Bank of Nova Scotia ($31.2B, 3.9%), Svenska Handelsbanken ($31.2B, 3.8%), Wells Fargo ($31.2B, 3.8%), RBC ($30.3B, 3.7%), Credit Agricole ($28.8B, 3.5%), Canadian Imperial Bank of Commerce ($25.4B, 3.1%), and Swedbank AB ($24.5B, 3.0%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($31.2B, 7.3%), Sumitomo Mitsui Banking Co ($28.4B, 6.7%), Wells Fargo ($24.4B, 5.7%), Bank of Montreal ($21.3B, 5.0%), Canadian Imperial Bank of Commerce ($21.2B, 5.0%), Toronto-Dominion Bank ($20.3B, 4.8%), Bank of Nova Scotia ($20.1B, 4.7%), Mizuho Corporate Bank Ltd ($19.1B, 4.5%), Sumitomo Mitsui Trust Bank ($19.1B, 4.5%), and Norinchukin Bank ($14.9B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($20.1B, 7.0%), Commonwealth Bank of Australia ($14.9B, 5.2%), JP Morgan ($13.7B, 4.8%), RBC ($13.5B, 4.7%), Bank of Tokyo-Mitsubishi UFJ Ltd ($12.5B, 4.4%), HSBC ($11.1B, 3.9%), Bank of Nova Scotia ($10.1B, 3.5%), Societe Generale ($9.7B, 3.4%), Credit Agricole ($9.2B, 3.2%), and ING Bank ($9.0B, 3.1%).
The largest increases among Issuers include: Federal Reserve Bank of NY (up $178.4B to $247.0B), US Treasury (up $38.7B to $576.8B), Svenska Handelsbanken (up $4.2B to $31.2B), Bank of Tokyo-Mitsubishi UFJ Ltd (up $1.3B to $57.9B), Norinchukin Bank (up $1.1B to $15.0B), Federal Farm Credit Bank (up $800M to $51.5B), Bank of NY Mellon (up $800M to $13.6B), Sumitomo Mitsui Trust Bank (up $600M to $26.1B), Bank of Montreal (up $600M to $33.3B), and Sumitomo Mitsui Banking Co. (up $300M to $36.8B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Credit Agricole (down $41.4B to $39.6B), Societe Generale (down $30.9B to $29.1B), DnB NOR Bank ASA (down $29.8B to $9.2B), Skandinaviska Enskilda Bank (down $19.1B to $11.5B), Natixis (down $17.3B to $27.5B), Credit Suisse (down $16.1B to $29.5B), BNP Paribas (down $13.5B to $69.4B), JP Morgan (down $12.0B to $38.6B), Credit Mutuel (down $12.0B to $8.0B), and Federal Home Loan Mortgage (down $7.9B to $54.1B).
The United States remained the largest segment of country-affiliations; it represents 61.3% of holdings, or $1.595 trillion (up $171.0B). Canada (8.1%, $210.5B) moved up a spot to second, displacing France (7.1%, $184.2B), which fell to third. Japan (6.7%, $173.6B) stayed in fourth, while Sweden (3.3%, $85.5B) held fifth. The United Kingdom (3.0%, $78.5B) remained sixth, while Australia (2.4%, $63.4B) stayed in seventh. The Netherlands (2.3%, $59.7B), Germany (2.0%, $52.4B), and Switzerland (1.7%, $44.8B), and round out the top 10 among country affiliations. Germany moved ahead of Switzerland into ninth place. (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 March 31, 2016, Taxable money funds held 29.7% (up from 29.4%) of their assets in securities maturing Overnight, and another 9.1% maturing in 2-7 days (down from 12.0%). Thus, 38.8% in total matures in 1-7 days. Another 21.6% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that alnost three-quarters, or 71.7% 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 11.9% of taxable securities, while 13.3% matures in 91-180 days, and just 3.0% matures beyond 180 days.
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 Wednesday and Thursday, 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.
