Crane Data released its January Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Dec. 31, 2016, shows a big jump in Fed repo, with Repo, Treasuries and Agencies holding a record 86.9% of all holdings. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $34.7 billion to $2.658 trillion last month, after increasing by $106.5 billion in November and $32.0 billion in Oct., but decreasing by $123 billion in Sept. Repo jumped back over Treasuries as the largest portfolio segment, as quarter-end drove a spike in usage of the Fed's RRP "reverse repo" program, followed by Agencies. CDs were in fourth place, followed by Commercial Paper, Other/Time Deposits and VRDNs. Money funds' European-affiliated securities fell to 9.7% of holdings, down from the previous month's 16.4% and the lowest level since the SEC began requiring monthly money fund portfolio disclosures in November 2010. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Treasury securities fell $59.4 billion (-6.7%) to $822.7 billion, or 31.0% of holdings, after rising $101.6 billion in November, $112.2 billion in Oct. and $27.7 billion in Sept. Repurchase Agreements (repo) jumped $56.3 billion (7.3%) to $832.4 billion, or 31.3% of holdings, after falling $21.1 billion in Nov., $65.2 billion in Oct., and rising $127 billion in Sept. Government Agency Debt decreased $7.7 billion (-1.2%) to $652.5 billion, or 24.6% of all holdings, after increasing $20.3 billion in Nov., $32.3 billion in Oct. and $11.8 billion in Sept. The record levels in Repo, Treasuries and Agencies 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 numbers saw a retreat in Govt and Treasury MMF assets and an increase in Prime MMFs.
CDs and Other (Time Deposits) inched lower again, hitting their lowest levels since Crane Data began tracking these in early 2011, while CP also fell. Certificates of Deposit (CDs) were down $0.2 billion (-0.2%) to $147.6 billion, or 5.6% of taxable assets, after declining $1.0 billion in Nov., $13.6 billion in Oct., and $100.1 billion in Sept. Commercial Paper (CP) was down $9.5 billion (-7.1%) to $123.6 billion, or 4.7% of holdings (after increasing $5.8B last month), while Other holdings, primarily Time Deposits, fell $13.8 billion (-23.9%) to $44.0 billion, or 1.7% of holdings. (Time Deposits normally drop at quarter-end and Repo spikes.) VRDNs held by taxable funds decreased by $0.5 billion (-1.3%) to $34.9 billion (1.3% of assets).
Prime money fund assets tracked by Crane Data (in our holdings collection) rose to $501 billion (up from $491 billion last month), or 18.2% (down from 18.8%) of taxable money fund holdings' total of $2.692 trillion. (Note that we added the $23.0 billion internal DFA Short Term Investment Fund, which inflated these numbers, to our collections this month.) Among Prime money funds, CDs represent less than a third of holdings at 29.4% (down from 30.1% a month ago), followed by Commercial Paper at 24.7% (down from 27.1%). The CP totals are comprised of: Financial Company CP, which makes up 13.4% of total holdings, Asset-Backed CP, which accounts for 6.4%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 1.5% in US Govt Agency Debt (up from last month), 9.8% in US Treasury Debt (up from 13.3%), 10.5% in US Treasury Repo, 3% in Other Instruments, 2.3% in Non-Negotiable Time Deposits, 8.3% in Other Repo, 2.3% in US Government Agency Repo, and 5.1% in VRDNs.
Government money fund portfolios totaled $1.531 trillion (57.6% of all MMF assets), down from $1.552 trillion in November, while Treasury money fund assets totaled another $625 billion (23.5%) in November, down from $649 billion the prior month. Government money fund portfolios were made up of 42.1% US Govt Agency Debt, 13.3% US Government Agency Repo, 20.4% US Treasury debt, and 23.4% in US Treasury Repo. Treasury money funds were comprised of 73.8% US Treasury debt, 26.0% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.156 trillion, or over 80% (81.1%) of all taxable money fund assets, down from 81.8% last month.
European-affiliated holdings decreased $184.6 billion in December to $257.9 billion among all taxable funds (and including repos); their share of holdings decreased to 9.7% from 16.4% the previous month. Eurozone-affiliated holdings decreased $130 billion to $176.4 billion in Dec.; they now account for 6.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $0.5 billion to $159.8 billion (6.0% of the total). Americas related holdings increased $150 billion to $2.240 trillion and now represent 84.3% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $127.0 billion, or 28.4%, to $573.9 billion, or 21.6% of assets; US Government Agency Repurchase Agreements (down $84.0 billion to $216.9 billion, or 8.2% of total holdings), and Other Repurchase Agreements ($41.6 billion, or 1.6% of holdings, up $13.3 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $11.7 billion to $67.0 billion, or 2.5% of assets), Asset Backed Commercial Paper (up $0.3 billion to $32.1 billion, or 1.2%), and Non-Financial Company Commercial Paper (up $1.9 billion to $24.5 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2016, include: the US Treasury ($822.7billion, or 31.0%), Federal Home Loan Bank ($483.3B, 18.2%), Federal Reserve Bank of New York ($389.9B, 14.7%), Federal Home Loan Mortgage Co. ($67.8B, 2.6%), Federal Farm Credit Bank ($66.2B, 2.5%), BNP Paribas ($55.7B, 2.1%), RBC ($55.4B, 2.1%), Wells Fargo ($50.3B, 1.9%), Nomura ($34.7B, 1.3%), Bank of America ($33.1B, 1.2%), Mitsubishi UFJ Financial Group Inc. ($32.6B, 1.2%), Federal National Mortgage Association ($32.1B, 1.2%), Bank of Nova Scotia ($31.1B, 1.2%), Citi ($28.0B, 1.1%), Bank of Montreal ($27.9B, 1.1%), Societe Generale ($23.0B, 0.9%), Toronto-Dominion Bank ($22.8B, 0.9%), JP Morgan ($22.1B, 0.8%), HSBC ($21.4B, 0.8%), and Natixis ($18.6B, 0.7%).
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 ($389.9B, 46.8%), BNP Paribas ($48.2B, 5.8%), RBC ($41.8B, 5.0%), Wells Fargo ($39.6B, 4.8%), Nomura ($34.7B, 4.2%), Bank of America ($30.2B, 3.6%), Bank of Nova Scotia ($21.1B, 2.5%), Citi ($20.4B, 2.4%), Societe Generale ($17.8B, 2.1%), and JP Morgan ($17.6B, 2.1%). The 10 largest Fed Repo positions among MMFs on 12/31 include: JP Morgan US Govt ($25.0B), Goldman Sachs FS Gvt ($20.0B), Northern Trust Trs MMkt ($18.5B), Dreyfus Govt Cash Mngt ($18.3B), Vanguard Prime MMkt Fund ($14.0B), Federated Gvt Oblg ($13.5B), Vanguard Fed MMkt ($13.4B), Fidelity Govt Cash Reserves ($12.8B), Fidelity Inv MM: Govt Port ($12.5B), and State Street Inst US Gvt ($12.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($15.7B, 5.6%), RBC ($13.6B, 4.9%), Toronto-Dominion Bank ($13.0B, 4.7%), Bank of Montreal ($11.1B, 4.0%), Wells Fargo ($10.7B, 3.8%), Canadian Imperial Bank of Commerce ($10.2B, 3.7%), Bank of Nova Scotia ($10.0B, 3.6%), Sumitomo Mitsui Banking Co ($9.8B, 3.5%), Australia & New Zealand Banking Group Ltd ($9.8B, 3.5%), and Credit Agricole ($9.5B, 3.4%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($11.8B, 8.1%), Toronto-Dominion Bank ($11.4B, 7.8%), Bank of Montreal ($10.6B, 7.2%), Wells Fargo ($10.6B, 7.2%), Bank of Nova Scotia ($7.1B, 4.8%), Svenska Handelsbanken ($7.0B, 4.8%), RBC ($6.5B, 4.5%), Canadian Imperial Bank of Commerce ($6.1B, 4.2%), Sumitomo Mitsui Banking Co ($5.9B, 4.0%), and Sumitomo Mitsui Trust Bank ($5.6B, 3.8%). The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($5.9B, 5.4%), Societe Generale ($4.9B, 4.4%), Microsoft Co. ($4.9B, 4.4%), Credit Agricole ($4.2B, 3.9%), Westpac Banking Co ($4.0B, 3.7%), JP Morgan ($3.9B, 3.6%), Australia & New Zealand Banking Group Ltd ($3.7B, 3.4%), RBC ($3.7B, 3.4%), FMS Wertmanagement ($3.7B, 3.3%), and BNP Paribas ($3.6B, 3.3%),
The largest increases among Issuers include: Federal Reserve Bank of New York (up $216.5B to $389.9B), Federal Home Loan Bank (up $9.4B to $483.3B), RBC (up $6.0B to $55.4B), Bank of Montreal (up $5.3B to $27.9B), Australia & New Zealand Banking Group Ltd (up $3.1B to $9.9B), Toronto-Dominion Bank (up $2.1B to $22.8B), Citi (up $1.9B to $28.0B), Westpac Banking Co (up $1.6B to $7.0B), Mitsubishi UFJ Financial Group Inc (up $1.5B to $32.6B), and Canadian Imperial Bank of Commerce (up $1.2B to $16.9B).
The largest decreases among Issuers of money market securities (including Repo) in Dec. were shown by: the US Treasury (down $59.3B to $822.7B), Credit Agricole (-$40.9B to $16.2B), BNP Paribas (-$33.6B to $55.7B), Societe Generale (-$16.3B to $23.0B), Credit Suisse (-$15.5B to $8.7B), Barclays PLC (-$15.3B to $8.0B), Deutsche Bank AG (-$12.7B to $12.0B), Federal Home Loan Mortgage Co (-$10.2B to $67.8B), Wells Fargo (-$9.8B to $50.3B), and JP Morgan (-$9.7B to $22.1B).
The United States remained the largest segment of country-affiliations; it represents 78.1% of holdings, or $2.075 trillion. Canada (6.2%, $163.6B) moved up to second place ahead of France (4.5%, $120.2B), now in 3rd. Japan (4.3%, $114.9B) stayed in fourth, while the United Kingdom (1.5%, $39.9B) remained in fifth place. Australia (1.3%, $35.6B) moved up to sixth, ahead of Germany (1.0%, $27.4B) in seventh. The Netherlands (0.9%, $24.2B) and Sweden (0.9%, $23.0B) were eighth and ninth, respectively. Switzerland (0.5%, $12.8B) 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 Dec. 31, 2016, Taxable money funds held 35.5% (down from 28.8%) of their assets in securities maturing Overnight, and another 10.0% maturing in 2-7 days (down from 14.0%). (Note that due to the weekend at month-end and New Year's Day Holiday on 1/2/17, our "1-day" maturity was actually 3 days.) Thus, 45.5% in total matures in 1-7 days. Another 12.5% matures in 8-30 days, while 11.7% matures in 31-60 days. Note that almost three-quarters, or 69.7% 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 11.7% of taxable securities, while 11.4% matures in 91-180 days, and just 7.2% 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.
