Crane Data released its August Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of July 31, 2016, shows big increases in Other (Time Deposits), Treasuries and Agencies, and decreases in CD, CP and Repo in July. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $47.9 billion to $2.592 trillion, after decreasing by $59.7 billion in June, increasing by $24.6 billion in May, and decreasing $21.0 billion in April. Repos remained the largest portfolio segment, followed by Agencies and Treasuries. CDs were in fourth place, followed by Commercial Paper, Time Deposits and VRDNs. Money funds' European-affiliated securities rose to 26.7% of holdings, up from the previous month's 19.6%. (U.K.-affiliated holdings increased by $7.5 billion to $88.4 billion, or 3.4% of assets.) Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) fell by $13.3 billion (-2.1%) to $632.9 billion, or 24.4% of holdings, after increasing $71.4 billion in June, $32.6 billion in May and decreasing $65.3 billion in April. Government Agency Debt increased $27.0 billion (5.0%) to $571.9 billion, or 22.1% of all holdings, after increasing $37.4 billion in June, $34.4 billion in May and decreasing $9.0 billion in April. Treasury securities rose $38.8 billion (7.4%) to $561.1 billion, or 21.6% of holdings, after falling $12.8 billion in June, $3.8 billion in May and dropping $36.8 billion in April. `The rise in Agencies is in large part due to a shift of almost $500 billion (since late 2015) of Prime MMF asset into Government MMFs (so far).
Certificates of Deposit (CDs) were down $37.6 billion (-10.6%) to $318.0 billion, or 12.3%, after declining $53.6 billion in June, $4.6 billion in May and falling $17.0 billion in April. Commercial Paper (CP) was down $23.3 billion (-7.8%) to $273.9 billion, or 10.6% of holdings, while Other holdings, primarily Time Deposits, jumped $55.8 billion (37.1%) to $205.9 billion, or 7.9% of holdings. VRDNs held by taxable funds increased by $0.5 billion (1.7%) to $28.6 billion (1.1% of assets).
Prime money fund holdings tracked by Crane Data totaled $1.074 trillion (down from $1.123 trillion last month), or 41.4% (down from 44.1%) of taxable money fund holdings' total of $2.592 trillion. Among Prime money funds, CDs represent under one-third of holdings at 29.6% (down from 31.7% a month ago), followed by Commercial Paper at 25.5% (down from 26.5%). The CP totals are comprised of: Financial Company CP, which makes up 15.2% of total holdings, Asset-Backed CP, which accounts for 6.6%, and Non-Financial Company CP, which makes up 3.7%. Prime funds also hold 3.9% in US Govt Agency Debt (down from 4.7%), 5.3% in US Treasury Debt (up from 4.5%), 4.6% in US Treasury Repo (down from 7.9%), 3.9% in Other Instruments, 16.8% in Non-Negotiable Time Deposits, 5.6% in Other Repo, 4.6% in US Government Agency Repo, and 2.2% in VRDNs.
Government money fund portfolios totaled $962 billion, up from $875 billion in June, while Treasury money fund assets totaled another $556 billion, up from $546 billion the prior month. Government money fund portfolios were made up of 55.1% US Govt Agency Debt, 18.1% US Government Agency Repo, 9.5% US Treasury debt, and 17.0% in US Treasury Repo. Treasury money funds were comprised of 74.3% US Treasury debt, 25.3% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined total $1.518 trillion, or 58.6% of all taxable money fund assets, up from 55.9%.
European-affiliated holdings increased $191.9 billion in July to $691.2 billion among all taxable funds (and including repos); their share of holdings increased to 26.7% from 19.6% the previous month. Eurozone-affiliated holdings increased $135.9 billion to $424.3 billion in July; they now account for 16.4% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $39.9 billion to $248.5 billion (9.6% of the total). Americas related holdings decreased $129.9 billion to $1.650 trillion and now represent 63.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $56.8 billion, or 14.1%, to $347.0 billion, or 13.4% of assets; US Government Agency Repurchase Agreements (up $41.1 billion to $225.3 billion, or 8.7% of total holdings), and Other Repurchase Agreements ($60.6 billion, or 2.3% of holdings, up $2.4 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.2 billion to $163.6 billion, or 6.3% of assets), Asset Backed Commercial Paper (down $8.9 billion to $70.6 billion, or 2.7%), and Non-Financial Company Commercial Paper (down $5.2 billion to $39.7 billion, or 1.5%).
The 20 largest Issuers to taxable money market funds as of July 31, 2016, include: the US Treasury ($561.1 billion, or 21.6%), Federal Home Loan Bank ($407.7B, 15.7%),`BNP Paribas <b:>`_ ($89.2B, 3.4%), Federal Reserve Bank of New York ($80.7B, 3.1%),`Credit Agricole <b:>`_ ($79.2B, 3.1%), Wells Fargo ($76.0B, 2.9%), Federal Home Loan Mortgage Co. ($66.9B, 2.6%), Societe Generale ($59.3B, 2.3%), Federal Farm Credit Bank ($53.6B, 2.1%), Mitsubishi UFJ Financial Group Inc. ($52.0B, 2.0%),`RBC <b:>`_ ($51.5B, 2.0%), Federal National Mortgage Association ($40.6B, 1.6%), Natixis ($39.6B, 1.5%), Credit Suisse ($39.6B, 1.5%), Bank of Nova Scotia ($38.9B, 1.5%), Bank of America ($38.7B, 1.5%), Citi ($36.1B, 1.4%), HSBC ($34.8B, 1.3%),`JP Morgan <b:>`_ ($31.0B, 1.2%), and Mizuho Corporate Bank Ltd ($30.7B, 1.2%).
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 ($80.7B, 12.8%), BNP Paribas ($63.5B, 10.0%), Wells Fargo ($56.2B, 8.9%), Credit Agricole ($46.2B, 7.3%), Societe Generale ($45.3B, 7.2%), RBC ($34.9B, 5.5%), Bank of America ($30.8B, 4.9%), Credit Suisse ($27.1B, 4.3%), JP Morgan ($22.9B, 3.6%), and HSBC ($22.7B, 3.6%). The `10 largest Fed Repo positions among MMFs on 7/31 include: JP Morgan US Govt ($10.2B), Fidelity Cash Central Fund ($3.9B), Wells Fargo Govt MMkt ($3.9B), Goldman Sachs FS Treas Sol ($3.3B), Dreyfus Cash Mgmt ($3.0B), Northern Trust Trs MMkt ($3.0B), UBS RMA Govt MM ($2.9B), Western Asset Inst Gvt ($2.5B), Schwab Gvt MMkt ($2.4B), and Morgan Stanley Inst Lq Gvt ($2.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($38.8B, 5.5%), Credit Agricole ($33.0B, 4.7%), Sumitomo Mitsui Banking Co. ($28.6B, 4.0%), DnB NOR Bank ASA ($27.9B, 3.9%), Svenska Handelsbanken ($27.1B, 3.8%), Natixis ($25.8B, 3.6%), BNP Paribas ($25.6B, 3.6%), Swedbank AB ($24.0B, 3.4%), Skandinaviska Enskilda Banken AB ($23.1B, 3.3%), and Nordean Bank ($23.0B, 3.3%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($23.9B, 7.6%), Sumitomo Mitsui Banking Co ($23.3B, 7.4%), Bank of Montreal ($18.4B, 5.9%), Wells Fargo ($15.5B, 4.9%), Canadian Imperial Bank of Commerce ($13.1B, 4.2%), Sumitomo Mitsui Trust Bank ($13.1B, 4.2%), Mizuho Corporate Bank Ltd ($12.6B, 4.0%), Citi ($11.3B, 3.6%), Toronto-Dominion Bank ($10.9B, 3.5%), and Credit Mutuel ($10.4B, 3.3%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($15.2B, 6.6%), Societe Generale ($11.9B, 5.1%), Mitsubishi UFJ Financial Group Inc. ($11.6B, 5.0%), Credit Agricole ($9.4B, 4.1%), Bank of Nova Scotia ($8.9B, 3.9%), Commonwealth Bank of Australia ($8.4B, 3.6%), Australia and New Zealand Banking Group Ltd. ($8.3B, 3.6%), ING Bank ($7.0B, 3.0%), Natixis ($7.0B, 3.0%), and JP Morgan ($6.8B, 3.0%).
The largest increases among Issuers include: Credit Agricole (up $45.0B to $79.2B), US Treasury (up $38.8B to $561.1B), Societe Generale (up $28.4B to $59.3B), DnB NOR Bank ASA (up $22.2B to $27.9B), Credit Suisse (up $19.9B to $39.6B), Natixis (up $17.6B to $39.6B), BNP Paribas (up $15.0B to $89.2B), Skandinaviska Enskilda Banken AB (up $13.2B to $23.1B), Federal Home Loan Bank (up $12.5B to $407.7B), and Barclays PLC (up $11.7B to $28.9B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Federal Reserve Bank of New York (down $145.0B to $80.7B), RBC (down $9.7B to $51.5B), Toronto-Dominion Bank (down $7.9B to $23.8B), Wells Fargo (down $7.6B to $76.0B), Svenska Handelsbanken (down $6.5B to $27.1B), Canadian Imperial Bank of Commerce (down $6.0B to $15.2B), Bank of Nova Scotio (down $5.9B to $38.9B), Sumitomo Mitsui Banking Co (down $5.5B to $28.6B), Bank of Montreal (down $5.3B to $26.4B), and Sumitomo Mitsui Trust Bank (down $4.1B to $17.7B).
The United States remained the largest segment of country-affiliations; it represents 57.1% of holdings, or $1.480 trillion (down 92.0BB). France (11.6%, $300.0B) moved to second while Canada (6.5%, $168.1B) dropped one spot to 3rd. Japan (6.3%, $163.6B) stayed in fourth, while Sweden (3.8%, $97.8B) held fifth. The United Kingdom (3.4%, $88.4B) remained sixth, while Germany (2.3%, $59.2B) jumped two spots to seventh, while Australia (2.2%, $57.3B) fell one spot to eighth and The Netherlands (2.0%, $50.7B) fell to ninth, lastly Switzerland (1.9%, $48.9B) 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 July 31, 2016, Taxable money funds held 31.1% (up from 30.9%) of their assets in securities maturing Overnight, and another 15.2% maturing in 2-7 days (up from 13.1%). Thus, 46.3% in total matures in 1-7 days. Another 20.0% matures in 8-30 days, while 13.8% matures in 31-60 days. Note that more than three-quarters, or 80.1% 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 9.0% (down from 10.9%) of taxable securities, while 8.7% matures in 91-180 days (down from 9.4%), and just 2.2% matures beyond 180 days (down from 2.3%).
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Tuesday, 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.
