Crane Data released its July Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of June 30, 2017, shows yet another increase in Repo but declines in all other composition segments. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $60.8 billion to $2.631 trillion last month, after increasing $59.8 billion in May, decreasing $3.2 billion in April, and decreasing $11.8 billion in March. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs decreased 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 $12.4 billion (1.3%) to $954.4 billion, or 36.3% of holdings, after rising $83.7 billion in May, $24.6 billion in April, and $41.6 billion in March. Treasury securities fell $31.4 billion (-4.7%) to $641.6 billion, or 24.4% of holdings, after falling $27.5 billion in May, $53.5 billion in April, and $1.6 billion in March. Government Agency Debt decreased $1.7 billion (-0.3%) to $628.6 billion, or 23.9% of all holdings, after decreasing $1.4 billion in May, rising $4.0 billion in April, and decreasing again $49.3 billion in March. Repo, Treasuries and Agencies total $2.224 trillion and still represent a massive 84.6% of all taxable holdings.

CDs and CPs decreased slightly last month, along with Other (Time Deposits) securities. Certificates of Deposit (CDs) decreased $19.5 billion (-10.8%) to $160.8 billion, or 6.1% of taxable assets, after remaining unchanged in May, increasing $8.1 billion in April, and decreasing $3.3 billion in March. Commercial Paper (CP) was down $0.5 billion (-0.3%) to $158.8 billion, or 6.0% of holdings (after decreasing $0.9 billion in May, increasing $10.4 billion in April, and declining $1.3 billion in March). Other holdings, primarily Time Deposits, declined $11.8 billion (-13.9%) to $73.1 billion, or 2.8% of holdings. VRDNs held by taxable funds decreased by $8.3 billion (-37.7%) to $13.6 billion (0.5% of assets).

Prime money fund assets tracked by Crane Data decreased to $575 billion (down from $578 billion last month), or 21.3% (down from 21.5%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent just under a third of holdings at 28.0% (down from 31.2% a month ago), followed by Commercial Paper at 27.6% (up from 27.5%). The CP totals are comprised of: Financial Company CP, which makes up 16.9% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 4.2%. Prime funds also hold 1.7% in US Govt Agency Debt, 6.8% in US Treasury Debt, 14.3% in US Treasury Repo, 0.4% in Other Instruments, 10.3% in Non-Negotiable Time Deposits, 5.0% in Other Repo, 2.5% in US Government Agency Repo, and 1.5% in VRDNs.

Government money fund portfolios totaled $1.451 trillion (53.9% of all MMF assets), down from $1.477 trillion in May, while Treasury money fund assets totaled another $605 billion (22.4%), down from $637 billion the prior month. Government money fund portfolios were made up of 42.6% US Govt Agency Debt, 16.7% US Government Agency Repo, 13.0% US Treasury debt, and 27.2% in US Treasury Repo. Treasury money funds were comprised of 68.4% US Treasury debt, 31.5% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.056 trillion, or 76.3% of all taxable money fund assets, down from 78.5% last month.

European-affiliated holdings decreased $13.0 billion in June to $405.5 billion among all taxable funds (and including repos); their share of holdings decreased to 15.4% from 19.9% the previous month. Eurozone-affiliated holdings decreased $10.1 billion to $252.3 billion in June; they account for 9.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $2.1 billion to $202.0 billion (7.7% of the total). Americas related holdings increased $66 billion to $2.022 trillion and now represent 76.8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $31.7 billion, or 5.0%, to $666.9 billion, or 25.3% of assets; US Government Agency Repurchase Agreements (down $21.2 billion to $256.5 billion, or 9.7% of total holdings), and Other Repurchase Agreements ($31.0 billion, or 1.2% of holdings, up $1.9 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.8 billion to $97.0 billion, or 3.7% of assets), Asset Backed Commercial Paper (up $3.7 billion to $37.4 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $2.3 billion to $24.3 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of June 30, 2017, include: the US Treasury ($641.6 billion, or 25.4%), Federal Home Loan Bank ($480.8B, 19.0%), Federal Reserve Bank of New York ($357.6B, 14.1%), BNP Paribas ($91.1B, 3.6%), RBC ($65.6B, 2.6%), Federal Farm Credit Bank ($64.0B, 2.5%), Federal Home Loan Mortgage Co. ($53.8B, 2.1%), Wells Fargo ($50.9B, 2.0%), Nomura ($50.7B, 2.0%), HSBC ($46.9B, 1.9%), Bank of America ($39.0B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($38.4B, 1.5%), Citi ($32.4B, 1.3%), Bank of Nova Scotia ($32.1B, 1.3%), Bank of Montreal ($31.8B, 1.3%), Toronto-Dominion Bank ($30.6B, 1.2%), Societe Generale ($29.2B, 1.2%), Federal National Mortgage Association ($28.1B, 1.1%), JP Morgan ($23.8B, 0.9%), and ING Bank ($23.0B, 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 ($357.6B, 37.5%), BNP Paribas ($79.2B, 8.3%), Nomura ($50.7B, 5.3%), RBC ($50.5B, 5.3%), HSBC ($41.7B, 4.4%), Wells Fargo ($41.0B, 4.3%), Bank of America ($33.8B, 3.5%), Societe Generale ($23.5B, 2.5%), Citi ($22.0B, 2.3%), and Mitsubishi UFJ Financial Group Inc ($21.5B, 2.2%).

The 10 largest Fed Repo positions among MMFs on 6/30 include: Fidelity Cash Central Fund ($23.9B), JP Morgan US Govt ($22.0B), Federated Gvt Oblg ($17.0B), Fidelity Sec Lending Cash Central ($16.8B), Vanguard Market Liquidity Fund ($16.7B), Northern Trust Trs MMkt ($16.5B), Fidelity Inv MM: Govt Port ($15.8B), Dreyfus Govt Cash Mngt ($15.0B), Vanguard Prime MMkt Fund ($14.2B), and Goldman Sachs FS Gvt ($13.1B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($17.0B, 4.9%), Svenska Handelsbanken ($15.5B, 4.5%), RBC ($15.1B, 4.4%), Bank of Montreal ($14.0B, 4.1%), Toronto-Dominion Bank ($13.8B, 4.0%), Bank of Nova Scotia ($12.5B, 3.6%), Sumitomo Mitsui Banking Co ($12.0B, 3.5%), BNP Paribas ($11.9B, 3.4%), Nordea Bank ($11.5B, 3.3%), and Canadian Imperial Bank of Commerce ($11.2B, 3.3%).

The 10 largest CD issuers include: Bank of Montreal ($13.2B, 8.3%), Toronto-Dominion Bank ($13.0B, 8.1%), Mitsubishi UFJ Financial Group Inc ($12.5B, 7.8%), Sumitomo Mitsui Banking Co ($10.8B, 6.7%), RBC ($9.4B, 5.9%), Wells Fargo ($9.3B, 5.8%), Citi ($7.8B, 4.9%), Svenska Handelsbanken ($7.3B, 4.6%), Sumitomo Mitsui Trust Bank ($5.8B, 3.7%) and Mizuho Corporate Bank Ltd ($5.3B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($7.6B, 5.5%), Commonwealth Bank of Australia ($7.0B, 5.0%), Westpac Banking Co ($6.8B, 4.8%), JP Morgan ($6.2B, 4.5%), Canadian Imperial Bank of Commerce ($6.1B, 4.3%), National Australia Bank Ltd ($5.8B, 4.1%), Societe Generale ($5.3B, 3.8%), BNP Paribas ($4.8B, 3.5%), RBC ($4.8B, 3.4%) and Credit Agricole ($4.7B, 3.3%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $115.8B to $357.6B), RBC (up $5.8B to $65.6B), Sumitomo Mitsui Banking Co (up $4.9B to $22.5B), Svenska Handelsbanken (up $4.9B to $15.5B), Canadian Imperial Bank of Commerce (up $3.7B to $20.4B), Nordea Bank (up $3.4B to $11.5B), Bank of America (up $1.9B to $39.0B), Federal Home Loan Bank (up $1.9B to $480.8B), UBS AG (up $1.4B to $8.1B) and HSBC (up $1.3B to $46.9B).

The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Credit Agricole (down $40.4B to $22.4B), US Treasury (down $31.4 to $641.6B), Barclays PLC (down $15.5B to $14.2B), Credit Suisse (down $14.4B to $8.7B), Societe Generale (down $14.0B to $29.2B), JP Morgan (down $10.8B to $23.8B), BNP Paribas (down $10.6B to $91.1B), Natixis (down $9.9B to $19.6B), Goldman Sachs (down $6.1B to $14.2B), and Skandinaviska Enskilda Banken AB (down $6.0B to $6.3B.

The United States remained the largest segment of country-affiliations; it represents 69.7% of holdings, or $1.833 trillion. Canada (7.2%, $189.6B) moved up to second place ahead of France (6.5%, $171.1B) in 3rd. Japan (5.7%, $149.2B) stayed in fourth, while the United Kingdom (3.1%, $82.1B) remained in fifth place. Sweden (1.6%, $41.8B) moved into sixth place ahead of The Netherlands (1.5%, $40.3B), Australia (1.5%, $38.7B) and Germany (1.3%, $34.6B). Switzerland (0.7%, $19.0B) 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 June 30, 2017, Taxable money funds held 36.5% (up from 35.8%) of their assets in securities maturing Overnight, and another 13.5% maturing in 2-7 days (down from 14.7%). Thus, 50.0% in total matures in 1-7 days. Another 17.7% matures in 8-30 days, while 10.3% matures in 31-60 days. Note that over three-quarters, or 78.0% 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 10.6% of taxable securities, while 9.5% matures in 91-180 days, and just 2.0% matures beyond 181 days.

Email This Article




Use a comma or a semicolon to separate

captcha image