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, 2017, shows declines in Repo and Treasuries, and increases in Agencies and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $7.2 billion to $2.665 trillion last month, after decreasing by $34.7 billion in Dec., and increasing by $106.5 billion in November and $32.0 billion in Oct. Repo edged out Treasuries as the largest portfolio segment, though both fell following quarter-end. Agencies, which jumped, remained the third largest segment. CDs also rose and were in fourth place, followed by Commercial Paper, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us if you'd like to see a sample of our latest Portfolio Holdings Reports.)

Among all taxable money funds, Treasury securities fell $37.8 billion (-4.6%) to $784.8 billion, or 29.5% of holdings, after falling $59.4 billion in Dec. and rising $101.6 billion in November and $112.2 billion in Oct. Repurchase Agreements (repo) dropped $43.6 billion (-5.2%) to $788.8 billion, or 29.6% of holdings, after rising $56.3 billion in Dec. and falling $21.1 billion in Nov. and $65.2 billion in Oct. Government Agency Debt increased $35.3 billion (5.4%) to $687.8 billion, or 25.8% of all holdings, after falling $7.7 billion in Dec., but increasing $20.3 billion in Nov. and $32.3 billion in Oct. Repo, Treasuries and Agencies in total retreated from last month's record levels, but they still represent a massive 84.9% of all taxable holdings. Govt and Treasury MMFs lost assets and Prime MMFs recovered slightly last month.

CDs, CP and Other (Time Deposits) segments all rebounded last month, climbing off of record low levels last month. Certificates of Deposit (CDs) were up $22.4 billion (15.8%) to $170.0 billion, or 6.4% of taxable assets, after declining $0.2 billion in Dec., $1.0 billion in Nov., and $13.6 billion in Oct. Commercial Paper (CP) was up $16.9 billion (13.7%) to $140.6 billion, or 5.3% of holdings (after decreasing $9.5 billion in Dec. and increasing $5.8B in Nov.), while Other holdings, primarily Time Deposits, rose $15.8 billion (35.9%) to $59.8 billion, or 2.2% of holdings. (Time Deposits normally rise after quarter-end as Repo falls.) VRDNs held by taxable funds decreased by $1.8 billion (-5.1%) to $33.1 billion (1.2% of assets).

Prime money fund assets tracked by Crane Data rose to $515 billion (up from $501 billion last month), or 19.3% (up from 18.2%) of taxable money fund holdings' total of $2.665 trillion. Among Prime money funds, CDs represent a third of holdings at 33.0% (up from 29.4% a month ago), followed by Commercial Paper at 27.3% (up from 27.1%). The CP totals are comprised of: Financial Company CP, which makes up 16.3% of total holdings, Asset-Backed CP, which accounts for 5.9%, and Non-Financial Company CP, which makes up 5.1%. Prime funds also hold 2.1% in US Govt Agency Debt, 7.9% in US Treasury Debt, 6.4% in US Treasury Repo, 3% in Other Instruments, 9.2% in Non-Negotiable Time Deposits, 6.3% in Other Repo, 2.1% in US Government Agency Repo, and 4.6% in VRDNs.

Government money fund portfolios totaled $1.517 trillion (56.9% of all MMF assets), down from $1.531 trillion in December, while Treasury money fund assets totaled another $633 billion (23.8%) in January, up from $625 billion the prior month. Government money fund portfolios were made up of 44.8% US Govt Agency Debt, 16.1% US Government Agency Repo, 18.7% US Treasury debt, and 19.5% in US Treasury Repo. Treasury money funds were comprised of 72.7% US Treasury debt, 26.9% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.150 trillion, or over 80% (80.7%) of all taxable money fund assets, down from 81.1% last month.

European-affiliated holdings increased $215.5 billion in January to $473.4 billion among all taxable funds (and including repos); their share of holdings increased to 17.8% from 9.7% the previous month. Eurozone-affiliated holdings increased $152.6 billion to $329.0 billion in Jan.; they now account for 12.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $11.8 billion to $171.6 billion (6.4% of the total). Americas related holdings decreased $220.2 billion to $2.020 trillion and now represent 75.8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $74.7 billion, or 13.0%, to $499.2 billion, or 18.7% of assets; US Government Agency Repurchase Agreements (up $39.4 billion to $256.2 billion, or 9.6% of total holdings), and Other Repurchase Agreements ($33.4 billion, or 1.3% of holdings, down $8.2 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $16.8 billion to $83.8 billion, or 3.1% of assets), Asset Backed Commercial Paper (down $1.9 billion to $30.2 billion, or 1.1%), and Non-Financial Company Commercial Paper (up $2.0 billion to $26.5 billion, or 1.0%).

The 20 largest Issuers to taxable money market funds as of Jan. 31, 2017, include: the US Treasury ($784.8 billion, or 29.5%), Federal Home Loan Bank ($516.4B, 19.4%), Federal Reserve Bank of New York ($155.7B, 5.8%), BNP Paribas ($103.1B, 3.9%), Federal Farm Credit Bank ($68.7B, 2.6%), Federal Home Loan Mortgage Co. ($66.2B, 2.5%), Credit Agricole ($58.4B, 2.2%), Wells Fargo ($53.7B, 2.0%), RBC ($51.9B, 1.9%), Societe Generale ($41.8B, 1.6%), JP Morgan ($39.7B, 1.5%), Nomura ($38.1B, 1.4%), Mitsubishi UFJ Financial Group Inc. ($37.0B, 1.4%), Bank of America ($35.1B, 1.3%), Federal National Mortgage Association ($33.1B, 1.2%), Bank of Nova Scotia ($32.4B, 1.2%), HSBC ($29.5B, 1.1%), Citi ($29.4B, 1.1%), ` Barclays PLC <b:>`_ ($29.2B, 1.1%), and Bank of Montreal ($26.5B, 1.0%).

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 ($155.7B, 19.7%), BNP Paribas ($92.4B, 11.7%), Credit Agricole ($44.1B, 5.6%), Wells Fargo ($41.9B, 5.3%), RBC ($40.4B, 5.3%), Nomura ($38.1B, 4.8%), Societe Generale ($35.3B, 4.5%), JP Morgan ($33.9B, 4.3%), Bank of America ($31.8B, 4.0%), and HSBC ($24.2B, 3.1%). The 10 largest Fed Repo positions among MMFs on 1/31 include: Northern Trust Trs MMkt ($14.8B), Fidelity Cash Central Fund ($12.9B), Federated Gvt Oblg ($9.3B), Vanguard Fed MMkt ($9.1B), JP Morgan US Govt ($8.5B), ` Morgan Stanley Inst Lq Gvt Sec <b:>`_ ($8.5B), Goldman Sachs FS Gvt ($7.0B), Vanguard Market Liquidity Fund ($6.4B), BlackRock Lq FedFund ($5.5B), and ` UBS Select Treas <b:>`_ ($5.4B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($16.6B, 5.1%), Credit Agricole ($14.3B, 4.4%), Toronto-Dominion Bank ($12.5B, 3.8%), Wells Fargo ($11.8B, 3.6%), Svenska Handelsbanken ($11.5B, 3.5%), RBC ($11.5B, 3.5%), BNP Paribas ($10.7B, 3.3%), Bank of Montreal ($10.7B, 3.3%), Bank of Nova Scotia ($10.7B, 3.3%), and Sumitomo Mitsui Banking Co ($9.6B, 2.9%).

The 10 largest CD issuers include: Toronto-Dominion Bank ($11.7B, 6.9%), Wells Fargo ($11.5B, 6.8%), Mitsubishi UFJ Financial Group Inc. ($11.5B, 6.8%), Bank of Montreal ($10.2B, 6.0%), Svenska Handelsbanken ($8.1B, 4.8%), Sumitomo Mitsui Banking Co ($7.9B, 4.6%), RBC ($7.6B, 4.5%), KBC Group NV ($7.0B, 4.1%), Bank of Nova Scotia ($6.2B, 3.7%), and Citi ($5.9B, 3.5%). The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.6B, 6.1%), Credit Agricole ($7.0B, 5.6%), Societe Generale ($5.9B, 4.7%), BNP Paribas ($5.1B, 4.1%), Westpac Banking Co ($4.9B, 3.9%), National Australia Bank Ltd ($4.8B, 3.9%), JP Morgan ($4.6B, 3.7%), Bank of Nova Scotia ($4.4B, 3.5%), NRW.Bank ($4.1B, 3.3%), and Canadian Imperial Bank of Commerce ($4.0B, 3.2%).

The largest increases among Issuers include: BNP Paribas (up $47.5B to $103.1B), Credit Agricole (up $42.3B to $58.4B), Federal Home Loan Bank (up $33.1B to $516.4B), Barclays PLC (up $21.2B to $29.2B), Societe Generale (up $18.8B to $41.8B), JP Morgan (up $17.5B to $39.7B), Credit Suisse (up $15.7B to $24.3B), Deutsche Bank AG (up $9.0B to $21.0B), HSBC (up $8.2B to $29.5B), and ING Bank (up $7.8B to $21.0B).

The largest decreases among Issuers of money market securities (including Repo) in Dec. were shown by: the Federal Reserve Bank of New York (down $234.2 to $155.7B), the US Treasury (down $37.9B to $784.8B), Canadian Imperial Bank of Commerce (down $3.8B to $13.1B), RBC (down $3.5B to $51.9B), Australia & New Zealand Banking Group Ltd (down $2.2B to $7.7B), Federal Home Loan Mortgage Co (down $1.6B to $66.2B), Bank of Montreal (down $1.4B to $26.5B), Toronto-Dominion Bank (down $1.0B to $21.8B), Sumitomo Mitsui Trust Bank (down $0.9B to $7.4B), and National Australia Bank Ltd (down $0.3B to $8.6B).

The United States remained the largest segment of country-affiliations; it represents 70.0% of holdings, or $1.866 trillion. France (8.9%, $236.2B) moved up to second place ahead of Canada (5.7%, $152.8B), now in 3rd. Japan (4.8%, $128.4B) stayed in fourth, while the United Kingdom (2.7%, $70.9B) remained in fifth place. Germany (1.7%, $45.3B) moved up to sixth, ahead of The Netherlands (1.4%, $37.2B). Sweden (1.4%, $37.2B) moved into eighth place ahead of Australia (1.3%, $33.9B). Switzerland (1.0%, $26.8B) 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 Jan. 31, 2017, Taxable money funds held 29.3% (down from 35.5%) of their assets in securities maturing Overnight, and another 14.2% maturing in 2-7 days (up from 10.0%). Thus, 43.5% in total matures in 1-7 days. Another 19.2% matures in 8-30 days, while 11.5% matures in 31-60 days. Note that almost three-quarters, or 74.3% 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 10.5% matures in 91-180 days, and just 4.4% matures beyond 180 days.

Email This Article

Use a comma or a semicolon to separate

captcha image