Crane Data released its May Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of April 30, 2017, shows an increase in Repo, CP and CDs, and a sharp decline in Treasuries. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $3.2 billion to $2.632 trillion last month, after decreasing $11.8 billion in March and $18.1 billion in Feb. (but increasing by $7.2 billion in Jan.). Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were higher 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. Note: We're also "beta" testing a new Bond Fund Portfolio Holdings data collection.)
Among all taxable money funds, Repurchase Agreements (repo) rose $24.6 billion (3.0%) to $858.3 billion, or 32.6% of holdings, after rising $41.6 billion in March, $3.3 billion in February, but falling $43.6 billion in January. Treasury securities fell $53.5 billion (-7.1%) to $700.5 billion, or 26.6% of holdings, after falling $1.6 billion in March, $29.3 billion in February, and $37.8 billion in January. Government Agency Debt increased $4.0 billion (0.6%) to $631.7 billion, or 24.0% of all holdings, after decreasing $49.3 billion in March and $10.7 billion in February, but rising $35.3 billion in January. Repo, Treasuries and Agencies in total continued to gradually retreat from December's record levels, but they still represent a massive 83.2% of all taxable holdings. Govt and Treasury MMFs lost assets and Prime MMFs increased slightly yet again last month.
CDs and CP increased last month, as did Other (Time Deposits) securities. Certificates of Deposit (CDs) were up $8.1 billion (4.7%) to $180.3 billion, or 6.9% of taxable assets, after decreasing $3.3 billion in March, and rising $5.5 billion in February and $22.4 in January. Commercial Paper (CP) was up $10.4 billion (7.0%) to $160.1 billion, or 6.1% of holdings (after declining $1.3 billion in March, but rising $10.4 billion in February and $16.9 billion in January). Other holdings, primarily Time Deposits, rose $3.7 billion (5.1%) to $75.0 billion, or 2.9% of holdings. VRDNs held by taxable funds decreased by $0.5 billion (-2.1%) to $25.9 billion (1.0% of assets).
Prime money fund assets tracked by Crane Data rose to $548 billion (up from $543 billion last month), or 20.8% (up from 20.6%) of taxable money fund holdings' total of $2.632 trillion. Among Prime money funds, CDs represent just under a third of holdings at 32.9% (up from 31.7% a month ago), followed by Commercial Paper at 29.2% (up from 27.5%). The CP totals are comprised of: Financial Company CP, which makes up 18.2% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 2.0% in US Govt Agency Debt, 1.6% in US Treasury Debt, 6.8% in US Treasury Repo, 0.4% in Other Instruments, 11.4% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 1.6% in US Government Agency Repo, and 3.0% in VRDNs.
Government money fund portfolios totaled $1.481 trillion (56.3% of all MMF assets), down from $1.486 trillion in March, while Treasury money fund assets totaled another $603 billion (22.9%), down from $606 billion the prior month. Government money fund portfolios were made up of 41.9% US Govt Agency Debt, 18.3% US Government Agency Repo, 15.9% US Treasury debt, and 23.1% in US Treasury Repo. Treasury money funds were comprised of 72.0% US Treasury debt, 27.8% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.084 trillion, or 79.2% of all taxable money fund assets, down from 79.4% last month.
European-affiliated holdings increased $156.8 billion in April to $519.8 billion among all taxable funds (and including repos); their share of holdings increased to 19.8% from 13.8% the previous month. Eurozone-affiliated holdings increased $96.5 billion to $343.6 billion in April; they now account for 13.1% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $13.5 billion to $198.3 billion (7.5% of the total). Americas related holdings decreased $174 billion to $1.913 trillion and now represent 72.7% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $8.4 billion, or -1.5%, to $547.2 billion, or 20.8% of assets; US Government Agency Repurchase Agreements (up $34.1 billion to $280.0 billion, or 10.6% of total holdings), and Other Repurchase Agreements ($31.1 billion, or 1.2% of holdings, down $1.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $4.8 billion to $99.6 billion, or 3.8% of assets), Asset Backed Commercial Paper (up $2.8 billion to $33.1 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $2.8 billion to $27.4 billion, or 1.0%).
The 20 largest Issuers to taxable money market funds as of April 30, 2017, include: the US Treasury ($700.5 billion, or 26.6%), Federal Home Loan Bank ($473.1B, 18.0%), Federal Reserve Bank of New York ($161.1B, 6.1%), BNP Paribas ($99.9B, 3.8%), Federal Farm Credit Bank ($66.1B, 2.5%), RBC ($61.4B, 2.3%), Credit Agricole ($59.9B, 2.3%), Federal Home Loan Mortgage Co. ($55.8B, 2.1%), Wells Fargo ($51.7B, 2.0%), Societe Generale ($50.9B, 1.9%), Nomura ($43.6B, 1.7%), Mitsubishi UFJ Financial Group Inc. ($40.7B, 1.5%), Bank of America ($38.2B, 1.5%), JP Morgan ($34.7B, 1.3%), Barclays PLC ($34.7B, 1.3%), Federal National Mortgage Association ($34.4B, 1.3%), Citi ($33.9B, 1.3%), HSBC ($33.9B, 1.3%), Bank of Montreal ($30.6B, 1.2%), and Bank of Nova Scotia ($30.4B, 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 ($161.1B, 18.8%), BNP Paribas ($87.8B, 10.2%), RBC ($48.8B, 5.7%), Credit Agricole ($45.8B, 5.3%), Nomura ($43.6B, 5.1%), Societe Generale ($43.4B, 5.1%), Wells Fargo ($41.1B, 4.8%), Bank of America ($33.0B, 3.8%), HSBC ($28.4B, 3.3%), and Barclays PLC ($28.2B, 3.3%). The 10 largest Fed Repo positions among MMFs on 4/30 include: JP Morgan US Govt ($75.6B), Fidelity Govt Cash Reserves ($54.1B), Goldman Sachs FS Gvt ($54.8B), BlackRock Lq FedFund ($44.2B), Fidelity Govt Money Market ($42.1B), Dreyfus Govt Cash Mgmt ($40.6B), Fidelity Inv MM: Govt Port ($35.1B), BlackRock Lq T-Fund ($30.6B), Federated Gvt Oblg ($29.3B), and Morgan Stanley Inst Lq Gvt ($23.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($17.2B, 4.7%), Credit Agricole ($14.1B, 3.9%), Toronto-Dominion Bank ($13.6B, 3.7%), Svenska Handelsbanken ($12.9B, 3.6%), DnB NOR Bank ASA ($12.6B, 3.5%), RBC ($12.6B, 3.5%), Bank of Montreal ($12.2B, 3.3%), BNP Paribas ($12.1B, 3.3%), Wells Fargo ($10.6B, 2.9%), and Commonwealth Bank of Australia ($10.5B, 2.9%).
The 10 largest CD issuers include: Toronto-Dominion Bank ($12.7B, 7.1%), Mitsubishi UFJ Financial Group Inc. ($12.5B, 7.0%), Bank of Montreal ($11.7B, 6.6%), Wells Fargo ($10.4B, 5.8%), Sumitomo Mitsui Banking Co ($8.5B, 4.7%), RBC ($8.1B, 4.6%), Svenska Handelsbanken ($7.1B, 4.0%), Sumitomo Mitsui Trust Bank ($7.1B, 4.0%), KBC Group NV ($6.2B, 3.5%), and Mizuho Corporate Bank Ltd ($5.9B, 3.3%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.8B, 5.6%), Societe Generale ($7.2B, 5.1%), Credit Agricole ($6.8B, 4.9%), Bank of Nova Scotia ($6.7B, 4.8%), JP Morgan ($6.1B, 4.3%), Westpac Banking Co ($6.1B, 4.3%), Canadian Imperial Bank of Commerce ($6.0B, 4.3%), National Australia Bank Ltd ($5.8B, 4.1%), General Electric ($4.6B, 3.3%), and BNP Paribas ($4.3B, 3.1%).
The largest increases among Issuers include: Credit Agricole (up $39.2B to $59.9B), Barclays PLC (up $24.5B to $34.7B), Societe Generale (up $22.8B to $50.9B), Credit Suisse (up $19.9B to $26.4B), BNP Paribas (up $18.7B to $99.9B), Federal Home Loan Bank (up $16.9B to $473.1B), Goldman Sachs (up $10.3B to $23.4B), JP Morgan (up $10.2B to $34.7B), Mizuho Corporate Bank Ltd (up $8.9B to $23.3B) and HSBC (up $6.7B to $33.9B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: Federal Reserve Bank of New York (down $152.5B to $161.1B), US Treasury (down $53.5 to $700.5B), Federal Home Loan Mortgage Co (down $11.8B to $55.8B), Canadian Imperial Bank of Commerce (down $4.5B to $16.2B), Swedbank AB (down $3.0B to $10.2B), Bank of Montreal (down $2.2B to $30.6B), Federal Farm Credit Bank (down $1.4B to $66.1B), Toyota (down $1.0B to $5.1B) and Skandinaviska Enskilda Banken AB (down $1.0B to $9.7B).
The United States remained the largest segment of country-affiliations; it represents 66.0% of holdings, or $1.736 trillion. France (9.5%, $249.2B) moved back into second place ahead of Canada (6.7%, $176.4B) in 3rd. Japan (5.6%, $148.5B) stayed in fourth, while the United Kingdom (3.3%, $86.2B) remained in fifth place. Germany (1.6%, $41.7B) moved ahead of Sweden (1.6%, $40.9B) and Australia (1.5%, $39.1B). The Netherlands (1.5%, $40.1B) and Switzerland (1.3%, $33.3B) 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 April 30, 2017, Taxable money funds held 31.2% (down from 32.7%) of their assets in securities maturing Overnight, and another 17.0% maturing in 2-7 days (up from 12.8%). Thus, 48.2% in total matures in 1-7 days. Another 19.3% matures in 8-30 days, while 12.9% matures in 31-60 days. Note that over three-quarters, or 80.4% 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 8.2% of taxable securities, while 8.5% matures in 91-180 days, and just 2.9% matures beyond 180 days.
