Crane Data released its June Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of May 31, 2017, shows yet another jump in Repo (and Time Deposits) and a sharp decline in Treasuries. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $59.8 billion to $2.692 trillion last month, after decreasing $3.2 billion in April, $11.8 billion in March and $18.1 billion in February. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were flat and 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, Repurchase Agreements (repo) rose $83.7 billion (9.8%) to $942.0 billion, or 35.0% of holdings, after rising $24.6 billion in April, $41.6 billion in March, and $3.3 billion in February. Treasury securities fell $27.5 billion (-3.9%) to $672.9 billion, or 25.0% of holdings, after falling $53.5 billion in April, $1.6 billion in March, and $29.3 billion in February. Government Agency Debt decreased $1.4 billion (-0.2%) to $630.3 billion, or 23.4% of all holdings, after rising $4.0 billion in April, decreasing $49.3 billion in March and $10.7 billion in February. Repo, Treasuries and Agencies total $2.245 trillion and still represent a massive 83.4% of all taxable holdings.

CDs remained unchanged and CP decreased slightly last month, while Other (Time Deposits) securities increased. Certificates of Deposit (CDs) were unchanged (0.00%) at $180.3 billion, or 6.7% of taxable assets, after increasing $8.1 billion in April, decreasing $3.3 billion in March, and rising $5.5 billion in February. Commercial Paper (CP) was down $0.9 billion (-0.5%) to $159.2 billion, or 5.9% of holdings (after increasing $10.4 billion in April, declining $1.3 billion in March, and rising $10.4 billion in February). Other holdings, primarily Time Deposits, rose $9.9 billion (13.2%) to $84.9 billion, or 3.2% of holdings. VRDNs held by taxable funds decreased by $4.0 billion (-15.4%) to $21.9 billion (0.8% of assets).

Prime money fund assets tracked by Crane Data rose to $578 billion (up from $548 billion last month), or 21.5% (up from 20.8%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent just under a third of holdings at 31.2% (down from 32.9% a month ago), followed by Commercial Paper at 27.5% (down from 29.2%). The CP totals are comprised of: Financial Company CP, which makes up 17.1% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 1.7% in US Govt Agency Debt, 6.0% in US Treasury Debt, 10.1% in US Treasury Repo, 2.5% in Other Instruments, 11.9% in Non-Negotiable Time Deposits, 5.0% in Other Repo, 2.0% in US Government Agency Repo, and 2.1% in VRDNs.

Government money fund portfolios totaled $1.477 trillion (54.9% of all MMF assets), down from $1.481 trillion in April, while Treasury money fund assets totaled another $637 billion (23.7%), up from $603 billion the prior month. Government money fund portfolios were made up of 42.0% US Govt Agency Debt, 17.9% US Government Agency Repo, 13.7% US Treasury debt, and 25.6% in US Treasury Repo. Treasury money funds were comprised of 68.5% US Treasury debt, 31.2% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.114 trillion, or 78.5% of all taxable money fund assets, down from 79.2% last month.

European-affiliated holdings increased $15.7 billion in May to $535.5 billion among all taxable funds (and including repos); their share of holdings increased to 19.9% from 19.8% the previous month. Eurozone-affiliated holdings increased $9.5 billion to $353.1 billion in May; they account for 13.1% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $1.6 billion to $199.9 billion (7.4% of the total). Americas related holdings increased $42 billion to $1.956 trillion and now represent 72.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $88.0 billion, or 16.1%, to $635.2 billion, or 23.6% of assets; US Government Agency Repurchase Agreements (down $2.3 billion to $277.7 billion, or 10.3% of total holdings), and Other Repurchase Agreements ($29.1 billion, or 1.1% of holdings, down $2.0 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.7 billion to $98.9 billion, or 3.7% of assets), Asset Backed Commercial Paper (up $0.6 billion to $33.7 billion, or 1.3%), and Non-Financial Company Commercial Paper (down $0.7 billion to $26.7 billion, or 1.0%).

The 20 largest Issuers to taxable money market funds as of May 31, 2017, include: the US Treasury ($672.9 billion, or 25.0%), Federal Home Loan Bank ($478.9B, 17.8%), Federal Reserve Bank of New York ($241.8B, 9.0%), BNP Paribas ($101.7B, 3.8%), Federal Farm Credit Bank ($64.2B, 2.4%), Credit Agricole ($62.8B, 2.3%), RBC ($59.8B, 2.2%), Federal Home Loan Mortgage Co. ($52.7B, 2.0%), Nomura ($50.8B, 1.9%), Wells Fargo ($50.0B, 1.9%), HSBC ($45.6B, 1.7%), Societe Generale ($43.3B, 1.7%), Mitsubishi UFJ Financial Group Inc. ($42.3B, 1.6%), Bank of America ($37.1B, 1.4%), Bank of Montreal ($34.7B, 1.4%), JP Morgan ($34.5B, 1.3%), Federal National Mortgage Association ($33.2B, 1.2%), Citi ($31.6B, 1.2%), Toronto-Dominion Bank ($31.5B, 1.2%), and Bank of Nova Scotia ($31.2B, 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 ($241.8B, 25.7%), BNP Paribas ($89.1B, 9.5%), Nomura ($50.8B, 5.4%), RBC ($47.4B, 5.0%), Credit Agricole ($47.1B, 5.0%), HSBC ($40.3B, 4.3%), Wells Fargo ($39.4B, 4.2%), Societe Generale ($36.5B, 3.9%), Bank of America ($32.1B, 3.4%), and JP Morgan ($27.8B, 2.9%).

The 10 largest Fed Repo positions among MMFs on 5/31 include: Fidelity Cash Central Fund ($19.0B), Northern Trust Trs MMkt ($16.5B), Fidelity Inv MM: Govt Port ($14.9B), Fidelity Govt Cash Reserves ($14.2B), Fidelity Sec Lending Cash Central ($11.8B), Morgan Stanley Inst Lq Gvt Sec ($11.6B), Fidelity Govt Money Market ($10.5B), BlackRock Lq FedFund ($10.0B), Vanguard Market Liquidity Fund ($9.3B), and Fidelity Inv MM: Treasury Port ($8.4B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($18.5B, 5.0%), Credit Agricole ($15.6B, 4.2%), Toronto-Dominion Bank ($13.9B, 3.7%), BNP Paribas ($12.6B, 3.4%), RBC ($12.4B, 3.3%), Bank of Montreal ($12.3B, 3.3%), Svenska Handelsbanken ($12.3B, 3.3%), DnB NOR Bank ASA ($10.8B, 2.9%), Swedbank AB ($10.7B, 2.9%), and Wells Fargo ($10.6B, 2.8%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($13.3B, 7.5%), Toronto-Dominion Bank ($12.3B, 6.9%), Bank of Montreal ($11.9B, 6.6%), Wells Fargo ($10.3B, 5.7%), Sumitomo Mitsui Banking Co ($9.1B, 5.1%), RBC ($8.3B, 4.7%), Sumitomo Mitsui Trust Bank ($6.7B, 3.7%), Citi ($6.6B, 3.7%), Landesbank Baden-Wurttemberg ($6.5B, 3.6%), and UBS AG ($6.5B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.8B, 5.5%), Bank of Nova Scotia ($6.8B, 4.8%), Credit Agricole ($6.6B, 4.7%), Societe Generale ($6.5B, 4.6%), JP Morgan ($6.1B, 4.4%), National Australia Bank Ltd ($6.0B, 4.2%), Westpac Banking Co ($5.9B, 4.2%), Canadian Imperial Bank of Commerce ($5.7B, 4.1%), BNP Paribas ($4.7B, 3.3%), and Swedbank AB ($4.6B, 3.2%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $80.6B to $241.8B), HSBC (up $11.7B to $45.6B), Nomura (up $7.3B to $50.8B), Federal Home Loan Bank (up $5.8B to $478.9B), Bank of Montreal (up $4.1B to $34.7B), Toronto-Dominion Bank (up $3.8B to $31.5B), Credit Agricole (up $2.9B to $62.8B), Skandinaviska Enskilda Banken AB (up $2.6B to $12.3B), and ING Bank (up $2.2B to $23.2B).

The largest decreases among Issuers of money market securities (including Repo) in May were shown by: US Treasury (down $27.5B to $672.9B), Societe Generale (down $7.7 to $43.3B), Mizuho Corporate Bank Ltd (down $5.7B to $17.6B), Barclays PLC (down $5.0B to $29.7B), Credit Suisse (down $3.3B to $23.1B), Goldman Sachs (down $3.2B to $20.2B), Federal Home Loan Mortgage Co (down $3.1B to $52.7B), Svenska Handelsbanken (down $2.4B to $10.6B), Citi (down $2.4B to $31.6B), and Deutsche Bank AG (down $2.0B to $15.8B.

The United States remained the largest segment of country-affiliations; it represents 65.8% of holdings, or $1.772 trillion. France (9.4%, $251.9B) remained in second place ahead of Canada (6.8%, $183.3B) in 3rd. Japan (5.6%, $151.8B) stayed in fourth, while the United Kingdom (3.5%, $95.3B) remained in fifth place. Germany (1.7%, $45.9B) was in sixth place, while The Netherlands (1.6%, $42.7B) moved ahead of Sweden (1.6%, $42.0B) and Australia (1.4%, $38.0B). Switzerland (1.2%, $31.1B) ranked 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 May 31, 2017, Taxable money funds held 35.8% (up from 31.2%) of their assets in securities maturing Overnight, and another 14.7% maturing in 2-7 days (down from 17.0%). Thus, 50.5% in total matures in 1-7 days. Another 21.2% matures in 8-30 days, while 8.3% matures in 31-60 days. Note that over three-quarters, or 80.0% of securities, mature in 60 days or less (down slightly 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 8.3% of taxable securities, while 9.3% matures in 91-180 days, and just 2.4% matures beyond 180 days.

Email This Article

Use a comma or a semicolon to separate

captcha image