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, 2017, shows a decline in Agencies, and a jump in Repo; "credit" -- CDs and CP -- was flat. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $11.8 billion to $2.635 trillion last month, after decreasing $18.1 billion in Feb., but increasing by $7.2 billion in Jan. and $34.7 billion in Dec. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were slightly lower but remained 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 $1.6 billion (-0.2%) to $753.9 billion, or 28.6% of holdings, after falling $29.3 billion in February, $37.8 billion in January, and $59.4 billion in Dec. Repurchase Agreements (repo) rose $41.6 billion (5.3%) to $833.7 billion, or 31.6% of holdings, after rising $3.3 billion in February, falling $43.6 billion in January, and rising $56.3 billion in Dec. Government Agency Debt decreased $49.3 billion (-7.3%) to $627.8 billion, or 23.8% of all holdings, after decreasing $10.7 billion in February, rising $35.3 billion in January, and falling $7.7 billion in Dec. Repo, Treasuries and Agencies in total continued to gradually retreat from December's record levels, but they still represent a massive 84.1% of all taxable holdings. Govt and Treasury MMFs lost assets and Prime MMFs increased slightly yet again last month.

CDs and CP decreased last month while Other (Time Deposits) increased slightly again. Certificates of Deposit (CDs) were down $3.3 billion (-1.9%) to $172.2 billion, or 6.5% of taxable assets, after rising $5.5 billion in February and $22.4 in January (but declining $0.2 billion in Dec). Commercial Paper (CP) was down $1.3 billion (-0.8%) to $149.7 billion, or 5.7% of holdings (after rising $10.4 billion in February and $16.9 billion in January), while Other holdings, primarily Time Deposits, rose $7.7 billion (12.1%) to $71.4 billion, or 2.7% of holdings. VRDNs held by taxable funds decreased by $5.5 billion (-17.3%) to $26.4 billion (1.0% of assets).

Prime money fund assets tracked by Crane Data rose to $543 billion (up from $532 billion last month), or 20.6% (up from 20.1%) of taxable money fund holdings' total of $2.635 trillion. Among Prime money funds, CDs represent just under a third of holdings at 31.7% (down from 33.0% a month ago), followed by Commercial Paper at 27.5% (down from 28.2%). The CP totals are comprised of: Financial Company CP, which makes up 17.4% of total holdings, Asset-Backed CP, which accounts for 5.6%, and Non-Financial Company CP, which makes up 4.5%. Prime funds also hold 1.7% in US Govt Agency Debt, 7.5% in US Treasury Debt, 8.6% in US Treasury Repo, 3.2% in Other Instruments, 10.9% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 1.5% in US Government Agency Repo, and 3.0% in VRDNs.

Government money fund portfolios totaled $1.486 trillion (56.3% of all MMF assets), down from $1.496 trillion in February, while Treasury money fund assets totaled another $606 billion (23.0%) in March, down from $618 billion the prior month. Government money fund portfolios were made up of 41.6% US Govt Agency Debt, 16.0% US Government Agency Repo, 18.3% US Treasury debt, and 23.3% in US Treasury Repo. Treasury money funds were comprised of 73.0% US Treasury debt, 26.8% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.092 trillion, or almost 80% (79.4%) of all taxable money fund assets, down from 79.9% last month.

European-affiliated holdings plunged $106.5 billion in March to $363.0 billion among all taxable funds (and including repos); their share of holdings decreased to 13.8% from 17.7% the previous month. Eurozone-affiliated holdings decreased $83.8 billion to $247.1 billion in March; they now account for 9.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $11.2 billion to $184.8 billion (7.0% of the total). Americas related holdings increased $83.8 billion to $2.087 trillion and now represent 79.2% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $42.5 billion, or 8.3%, to $555.6 billion, or 21.1% of assets; US Government Agency Repurchase Agreements (down $3.1 billion to $245.9 billion, or 9.3% of total holdings), and Other Repurchase Agreements ($32.2 billion, or 1.2% of holdings, up $2.2 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.4 billion to $94.8 billion, or 3.6% of assets), Asset Backed Commercial Paper (down $0.6 billion to $30.3 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $6.0 billion to $24.6 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of March 31, 2017, include: the US Treasury ($753.9 billion, or 28.6%), Federal Home Loan Bank ($456.2B, 17.3%), Federal Reserve Bank of New York ($313.6B, 11.9%), BNP Paribas ($81.2B, 3.1%), Federal Home Loan Mortgage Co. ($67.6B, 2.6%), Federal Farm Credit Bank ($67.6B, 2.6%), RBC ($62.3B, 2.4%), Wells Fargo ($52.0B, 2.0%), Nomura ($40.7B, 1.5%), Bank of America ($38.3B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($37.2B, 1.4%), Federal National Mortgage Association ($35.0B, 1.3%), Bank of Montreal ($32.7B, 1.2%), Bank of Nova Scotia ($31.4B, 1.2%), Citi ($30.6B, 1.2%), Societe Generale ($28.2B, 1.1%), HSBC ($27.2B, 1.0%), JP Morgan ($24.5B, 0.9%), Toronto-Dominion Bank ($23.9B, 0.9%), and Natixis ($22.9B, 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 ($313.6B, 37.6%), BNP Paribas ($69.3B, 8.3%), RBC ($47.9B, 5.7%), Nomura ($40.7B, 4.9%), Wells Fargo ($40.6B, 4.9%), Bank of America ($33.7B, 4.0%), Societe Generale ($23.5B, 2.8%), Citi ($22.8B, 2.7%), Mitsubishi UFJ Financial Group Inc ($22.6B, 2.7%), and HSBC ($21.6B, 2.6%). The 10 largest Fed Repo positions among MMFs on 3/31 include: JP Morgan US Govt ($75.2B), Goldman Sachs FS Gvt ($51.9B), Fidelity Govt Cash Reserves ($48.0B), Fidelity Govt Money Market ($35.2B), Dreyfus Govt Cash Mngt ($34.9B), BlackRock Lq FedFund ($33.1B), Federated Gvt Oblg ($29.0B), Fidelity Inv MM: Govt Port ($25.7B), BlackRock Lq T-Fund ($24.3B), and Wells Fargo Gvt MMkt ($24.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($14.6B, 4.2%), Canadian Imperial Bank of Commerce ($14.6B, 4.2%), Toronto-Dominion Bank ($14.5B, 4.1%), RBC ($14.4B, 4.1%), Swedbank ($13.2B, 3.8%), Svenska Handelsbanken ($13.1B, 3.7%), Bank of Montreal ($12.6B, 3.6%), BNP Paribas ($11.9B, 3.4%), Wells Fargo ($11.4B, 3.2%), and Bank of Nova Scotia ($11.0B, 3.1%).

The 10 largest CD issuers include: Toronto-Dominion Bank ($12.9B, 7.5%), Bank of Montreal ($12.2B, 7.1%), Mitsubishi UFJ Financial Group Inc. ($11.6B, 6.8%), Wells Fargo ($10.8B, 6.3%), RBC ($8.8B, 5.1%), Sumitomo Mitsui Banking Co ($8.3B, 4.9%), Sumitomo Mitsui Trust Bank ($7.8B, 4.5%), Svenska Handelsbanken ($7.5B, 4.4%), Mizuho Corporate Bank Ltd ($6.0B, 3.5%), and Citi ($5.6B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.7B, 5.8%), Canadian Imperial Bank of Commerce ($6.5B, 4.8%), Westpac Banking Co ($6.2B, 4.6%), Bank of Nova Scotia ($6.0B, 4.5%), National Australia Bank Ltd ($5.6B, 4.2%), Credit Agricole ($5.5B, 4.1%), JP Morgan ($5.4B, 4.0%), Natixis ($5.3B, 4.0%), BNP Paribas ($4.9B, 3.7%), and RBC ($4.4B, 3.3%).

The largest increases among Issuers include: The Federal Reserve Bank of New York (up $138.0B to $313.6B), RBC (up $9.3B to $62.3B), Canadian Imperial Bank of Commerce (up $4.4B to $20.6B), Nomura (up $3.9B to $40.7B), Federal Home Loan Mortgage Co (up $3.4B to $67.6B), Svenska Handelsbanken (up $3.4B to $13.1B), Swedbank AB (up $3.0B to $13.2B), Mitsubishi UFJ Financial Group Inc (up $3.0B to $37.2B), ABN Amro Bank (up $1.9B to $11.8B), and Bank of Montreal (up $1.8B to $32.7B).

The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Federal Home Loan Bank (down $49.1B to $456.2B), Credit Agricole (down $38.3B to $20.7B), BNP Paribas (down $20.1B to $81.2B), Barclays PLC (down $16.2B to $10.2B), Societe Generale (down $12.4B to $28.2B), Credit Suisse (down $7.8B to $6.5B), JP Morgan (down $6.7B to $24.5B), Deutsche Bank AG (down $4.8B to $14.8B), and Natixis (down $4.2B to $22.9B).

The United States remained the largest segment of country-affiliations; it represents 72.3% of holdings, or $1.905 trillion. Canada (6.9%, $180.5B) moved into second place ahead of France (6.1%, $161.0B) in 3rd. Japan (5.1%, $134.7B) stayed in fourth, while the United Kingdom (1.9%, $51.0B) remained in fifth place. Sweden (1.8%, $46.1B) and Australia (1.5%, $39.3B) moved ahead of Germany (1.5%, $38.3B) into sixth and seventh place. The Netherlands (1.3%, $34.8B) and Switzerland (0.5%, $13.5B) ranked ninth and tenth, respectively. (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, 2017, Taxable money funds held 32.7% (up from 29.9%) of their assets in securities maturing Overnight, and another 12.8% maturing in 2-7 days (up from 14.8%). (Note that our "Overnight" is 3 days due to the weekend this month.) Thus, 45.5% in total matures in 1-7 days. Another 21.2% matures in 8-30 days, while 10.7% matures in 31-60 days. Note that over three-quarters, or 77.3% of securities, mature in 60 days or less (up 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 10.7% of taxable securities, while 8.2% matures in 91-180 days, and just 3.8% matures beyond 180 days.

Email This Article

Use a comma or a semicolon to separate

captcha image