Crane Data released its December Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of Nov. 30, 2016, shows yet another big increase in Treasuries and Agencies, but a decrease in Repo. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $106.5 billion to $2.692 trillion last month, after increasing by $32.0 billion in Oct., decreasing by $123 billion in Sept., and increasing by $75.9 billion in August. Treasuries surpasses Repo as the largest portfolio segment, as Treasuries and Agencies continued their growth spurt. (Growth in Govt funds though was driven by new money, not by asset shifts last month though.) Holdings of "credit" instruments were flat on the month. CDs were in fourth place, followed by Commercial Paper, Other/Time Deposits and VRDNs. Money funds' European-affiliated securities fell to 16.4% of holdings, down from the previous month's 18.3%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Treasury securities rose $101.6 billion (13.2%) to $882.0 billion, or 32.8% of holdings, after rising $112.2 billion in Oct. and $27.7 billion in Sept. Repurchase Agreements (repo) fell by $21.1 billion (-2.7%) to $776.2 billion, or 28.8% of holdings, after falling $65.2 billion in Oct., and rising $127 billion in Sept. and $102 billion in August. Government Agency Debt increased $20.3 billion (3.2%) to $660.1 billion, or 24.5% of all holdings, after increasing $32.3 billion in Oct. and $11.8 billion in Sept. The rise in Treasuries and Agencies (and Repo prior to last month) had 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, though this month's increase appears to be driven by new money coming into MMFs.
CDs and Other (Time Deposits) inched lower, again falling to their lowest levels since Crane Data began tracking these in early 2011, while CP inched higher. Certificates of Deposit (CDs) were down $1.0 billion (-0.7%) to $147.8 billion, or 5.5% of taxable assets, after declining $13.6 billion in Oct., and $100.1 billion in Sept. Commercial Paper (CP) was up $5.8 billion (4.5%) to $133.1 billion, or 4.9% of holdings (after increasing $1.0B last month), while Other holdings, primarily Time Deposits, fell $0.1 billion (-0.2%) to $57.8 billion, or 2.1% of holdings. VRDNs held by taxable funds increased by $1.1 billion (3.3%) to $35.4 billion (1.3% of assets).
Prime money fund assets tracked by Crane Data (in our holdings collection) rose to $491 billion (up from $486 billion last month), or 18.2% (down from 18.8%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent under one-third of holdings at 30.1% (down from 30.6% a month ago), followed by Commercial Paper at 27.1% (up from 26.2%). The CP totals are comprised of: Financial Company CP, which makes up 16.0% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 0.8% in US Govt Agency Debt (down from last month), 13.3% in US Treasury Debt (up from 12%), 4.0% in US Treasury Repo, 1% in Other Instruments, 9.7% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 2.1% in US Government Agency Repo, and 5.4% in VRDNs.
Government money fund portfolios totaled $1.552 trillion (57.7% of all MMF assets), up from $1.483 trillion in October, while Treasury money fund assets totaled another $649 billion (24.1%) in November, up from $617 billion the prior month. Government money fund portfolios were made up of 42.3% US Govt Agency Debt, 18.6% US Government Agency Repo, 21.1% US Treasury debt, and 17.3% in US Treasury Repo. Treasury money funds were comprised of 75.4% US Treasury debt, 24.4% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.201 trillion, or over 80% (81.8%) of all taxable money fund assets, up from 81.2% last month.
European-affiliated holdings decreased $31.2 billion in November to $442.5 billion among all taxable funds (and including repos); their share of holdings decreased to 16.4% from 18.3% the previous month. Eurozone-affiliated holdings decreased $19 billion to $306.4 billion in Nov.; they now account for 11.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $10.6 billion to $159.3 billion (5.9% of the total). Americas related holdings increased $127 billion to $2.090 trillion and now represent 77.6% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $67.1 billion, or 13.0%, to $446.9 billion, or 16.6% of assets; US Government Agency Repurchase Agreements (up $46.8 billion to $300.9 billion, or 11.2% of total holdings), and Other Repurchase Agreements ($28.3 billion, or 1.1% of holdings, down $0.8 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.6 billion to $78.6 billion, or 2.9% of assets), Asset Backed Commercial Paper (up $1.2 billion to $31.8 billion, or 1.2%), and Non-Financial Company Commercial Paper (up $3.0 billion to $22.6 billion, or 0.8%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2016, include: the US Treasury ($882.0 billion, or 32.8%), Federal Home Loan Bank ($473.9B, 17.6%), Federal Reserve Bank of New York ($173.4B, 6.4%), BNP Paribas ($89.3B, 3.3%), Federal Home Loan Mortgage Co. ($77.9B, 2.9%), Federal Farm Credit Bank ($65.2B, 2.4%), Wells Fargo ($60.1B, 2.2%), Credit Agricole ($57.1B, 2.1%), RBC ($49.4B, 1.8%), Societe Generale ($39.3B, 1.5%), Federal National Mortgage Association ($38.8B, 1.4%), Nomura ($38.7B, 1.4%), Bank of America ($33.7B, 1.3%), JP Morgan ($31.8B, 1.2%), Mitsubishi UFJ Financial Group Inc. ($31.2B, 1.2%), Bank of Nova Scotia ($31.1B, 1.2%), HSBC ($26.1B, 1.0%), Citi ($26.1B, 1.0%), Deutsche Bank AG ($24.7B, 0.9%), and Credit Suisse ($24.1B, 0.9%).
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 ($173.4B, 22.3%), BNP Paribas ($77.1B, 9.9%), Wells Fargo ($49.8B, 6.4%), Credit Agricole ($43.0B, 5.5%), RBC ($38.9B, 5.0%), Nomura ($38.7B, 5.0%), Societe Generale ($33.3B, 4.3%), Bank of America ($30.4B, 3.9%), JP Morgan ($27.0B, 3.5%), and Deutsche Bank AG ($24.5B, 3.2%). The 10 largest Fed Repo positions among MMFs on 11/30 include: Northern Trust Trs MMkt ($16.5B), JP Morgan US Govt ($15.6B), Goldman Sachs FS Gvt ($13.2B), Morgan Stanley Inst Lq Gvt ($8.8B), First American Gvt Oblg ($8.7B), Vanguard Fed MMkt ($6.6B), Northern Inst Government Select ($6.4B), JP Morgan US Treasury Plus ($6.0B), Fidelity Inv Money Market: Govt Port ($5.6B), and BlackRock Lq FedFund ($5.6B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($15.0B, 5.0%), Credit Agricole ($14.1B, 4.7%), BNP Paribas ($12.2B, 4.0%), RBC ($10.5B, 3.5%), Wells Fargo ($10.3B, 3.4%), Sumitomo Mitsui Banking Co ($10.1B, 3.3%), Svenska Handelsbanken ($9.8B, 3.2%), Bank of Montreal ($9.6B, 3.2%), Bank of Nova Scotia ($9.5B, 3.1%), and Canadian Imperial Bank of Commerce ($9.5B, 3.1%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($11.4B, 7.8%), Wells Fargo ($10.0B, 6.8%), Bank of Montreal ($9.0B, 6.1%), Canadian Imperial Bank of Commerce ($7.6B, 5.2%), Toronto-Dominion Bank ($7.6B, 5.1%), Svenska Handelsbanken ($6.8B, 4.6%), Sumitomo Mitsui Banking Co ($6.4B, 4.3%), RBC ($5.6B, 3.8%), Bank of Nova Scotia ($5.5B, 3.7%), and BNP Paribas ($5.0B, 3.4%). The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($6.8B, 5.6%), Credit Agricole ($6.7B, 5.5%), Commonwealth Bank of Australia ($6.0B, 5.0%), Societe Generale ($5.6B, 4.6%), Microsoft Co. ($4.3B, 3.5%), JP Morgan ($4.2B, 3.5%), National Australia Bank Ltd. ($4.1B, 3.4%), Bank of Nova Scotia ($4.0B, 3.3%), DnB NOR Bank ASA ($3.8B, 3.1%), and Toyota ($3.8B, 3.1%).
The largest increases among Issuers include: US Treasury (up $101.6B to $882.0B), JP Morgan (up $10.1B to $31.8B), Bank of Montreal (up $9.7B to $22.6B), Federal Home Loan Bank (up $8.7B to $473.9B), RBC (up $6.3B to $49.4B), Nomura (up $6.0B to $38.7B), Federal Home Loan Mortgage Co, (up $5.6B to $77.9B), Canadian Imperial Bank of Commerce (up $5.1B to $15.7B), Federal Farm Credit Bank (up $3.9B to $65.2B), and National Australia Bank Ltd. (up $3.1B to $9.1B).
The largest decreases among Issuers of money market securities (including Repo) in Nov. were shown by: Federal Reserve Bank of New York (down $20.5B to $173.4B), Wells Fargo (-$11.5B to $60.1B), Deutsche Bank AG (-$9.0B to $24.7B), BNP Paribas (-$7.1B to $89.3B), Societe Generale (-$3.7B to $39.3B), Credit Suisse (-$3.7B to $24.1B), HSBC (-$3.1B to $26.1B), Barclays PLC (-$2.8B to $23.3B), Goldman Sachs AB (-$1.7B to $11.7B), and Credit Mutuel (-$1.1B to $4.9B).
The United States remained the largest segment of country-affiliations; it represents 72.2% of holdings, or $1.943 trillion. France (8.1%, $219.3B) remained in second and Canada (5.4%, $146.2B) remained in 3rd. Japan (4.5%, $121.4B) stayed in fourth, while the United Kingdom (2.3%, $62.3B) was the fifth largest. Germany (1.7%, $46.0B) was sixth, while Sweden (1.3%, $35.9B) and The Netherlands (1.3%, $35.5B) were seventh and eighth, respectively. Australia (1.1%, $30.3B) was ninth, and Switzerland (1.1%, $28.2B) was 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 Nov. 30, 2016, Taxable money funds held 28.8% (down from 31.2%) of their assets in securities maturing Overnight, and another 14.0% maturing in 2-7 days (up from 12.4%). Thus, 42.8% in total matures in 1-7 days. Another 19.2% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that almost three-quarters, or 73.3% 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 11.7% matures in 91-180 days, and just 4.2% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, 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 our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports.
