Crane Data released its August Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of July 31, 2017, shows a sharp drop in Repo after quarter end but increases in most other composition segments. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $61.5 billion to $2.692 trillion last month, after decreasing $60.8 billion in June, increasing $59.8 billion in May, and decreasing $3.2 billion in April. Repo remained the largest portfolio segment, while `Treasuries and Agencies were neck and neck for the number two spot. CDs increased 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) decreased $55.6 billion (-5.8%) to $898.7 billion, or 33.4% of holdings, after rising $12.4 billion in June, $83.7 billion in May, and $24.6 billion in April. Treasury securities rose $36.7 billion (5.7%) to $678.2 billion, or 25.2% of holdings, after falling $31.4 billion in June, $27.5 billion in May, and $53.5 billion in April. Government Agency Debt increased $48.4 billion (7.7%) to $677.0 billion, or 25.1% of all holdings, after decreasing $1.7 billion in June, $1.4 billion in May, and rising $4.0 billion in April. Repo, Treasuries and Agencies total $2.254 trillion, representing a massive 83.7% of all taxable holdings.
CDs and CPs increased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposit (CDs) increased $13.6 billion (8.5%) to $174.5 billion, or 6.5% of taxable assets, after decreasing $19.5 billion in June, remaining unchanged in May, and increasing $8.1 billion in April. Commercial Paper (CP) was up $8.0 billion (5.0%) to $166.7 billion, or 6.2% of holdings (after decreasing $0.5 billion in June, $0.9 billion in May, and increasing $10.4 billion in April). Other holdings, primarily Time Deposits, rose by $14.7 billion (20.1%) to $87.8 billion, or 3.3% of holdings. VRDNs held by taxable funds decreased by $4.2 billion (-31.1%) to $9.4 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data increased to $593 billion (up from $575 billion last month), or 22.0% (up from 21.3%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.4% (up from 28.0% a month ago), followed by Commercial Paper at 28.1% (up from 27.6%). The CP totals are comprised of: Financial Company CP, which makes up 16.9% of total holdings, Asset-Backed CP, which accounts for 6.2%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 3.6% in US Govt Agency Debt, 8.2% in US Treasury Debt, 8.5% in US Treasury Repo, 0.4% in Other Instruments, 12.2% in Non-Negotiable Time Deposits, 1.6% in Other Repo, 1.6% in US Government Agency Repo, and 1.2% in VRDNs.
Government money fund portfolios totaled $1.468 trillion (54.5% of all MMF assets), up from $1.451 trillion in June, while Treasury money fund assets totaled another $631 billion (23.4%), up from $605 billion the prior month. Government money fund portfolios were made up of 44.6% US Govt Agency Debt, 18.0% US Government Agency Repo, 13.9% US Treasury debt, and 23.2% in US Treasury Repo. Treasury money funds were comprised of 67.4% US Treasury debt, 32.3% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.099 trillion, or 78.0% of all taxable money fund assets, up from 76.3% last month.
European-affiliated holdings increased $13.7 billion in July to $543.2 billion among all taxable funds (and including repos); their share of holdings increased to 20.2% from 15.4% the previous month. Eurozone-affiliated holdings increased $11.6 billion to $368.6 billion in July; they account for 13.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $4.4 billion to $206.4 billion (7.7% of the total). Americas related holdings decreased $80.6 billion to $1.942 trillion and now represent 72.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $71.9 billion, or -10.8%, to $595.0 billion, or 22.1% of assets; US Government Agency Repurchase Agreements (up $19.1 billion to $275.6 billion, or 10.2% of total holdings), and Other Repurchase Agreements ($28.2 billion, or 1.0% of holdings, down $2.8 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.5 billion to $100.5 billion, or 3.7% of assets), Asset Backed Commercial Paper (down $0.7 billion to $36.7 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $5.2 billion to $29.5 billion, or 1.1%).
The 20 largest Issuers to taxable money market funds as of July 31, 2017, include: the US Treasury ($678.2 billion, or 25.2%), Federal Home Loan Bank ($529.1B, 19.7%), Federal Reserve Bank of New York ($184.1B, 6.8%), BNP Paribas ($109.1B, 4.1%), Federal Farm Credit Bank ($63.4B, 2.4%), RBC ($62.5B, 2.3%), Credit Agricole ($60.7B, 2.3%), Wells Fargo ($53.4B, 2.0%), Nomura ($50.5B, 1.9%), Federal Home Loan Mortgage Co. ($49.2B, 1.8%), HSBC ($45.7B, 1.7%), Societe Generale ($44.3B, 1.6%), Mitsubishi UFJ Financial Group Inc. ($38.4B, 1.4%), JP Morgan ($35.8B, 1.3%), Citi ($33.0B, 1.2%), Barclays PLC ($33.0B, 1.2%), Bank of America ($32.4B, 1.2%), Bank of Nova Scotia ($32.0B, 1.2%), Natixis ($31.4B, 1.2%), and Toronto-Dominion Bank ($30.7B, 1.1%).
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 ($184.1B, 20.5%), BNP Paribas ($95.4B, 10.6%), Nomura ($50.5B, 5.6%), Credit Agricole ($48.0B, 5.3%), RBC ($44.7B, 5.0%), Wells Fargo ($40.8B, 4.5%), HSBC ($40.5B, 4.5%), Societe Generale ($39.4B, 4.4%), JP Morgan ($28.9B, 3.2%), and Bank of America ($27.5B, 3.1%).
The 10 largest Fed Repo positions among MMFs on 7/31 include: Northern Trust Trs MMkt ($16.5B in Fed Repo), Fidelity Cash Central Fund ($13.2B), JP Morgan US Govt ($11.9B), Vanguard Market Liquidity Fund ($11.2B), Fidelity Sec Lending Cash Central ($8.7B), Morgan Stanley Inst Lq Gvt Sec ($8.4B), Fidelity Inv MM: Treasury Port ($8.2B), Northern Inst Gvt Select ($6.6B), Goldman Sachs FS Gvt ($6.5B), and Vanguard Prime MMkt Fund ($6.4B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($17.8B, 4.8%), Mitsubishi UFJ Financial Group Inc. ($15.5B, 4.1%), Toronto-Dominion Bank ($14.2B, 3.8%), BNP Paribas ($13.7B, 3.7%), Bank of Montreal ($12.8, 3.4%), Credit Agricole ($12.6B, 3.4%), Wells Fargo ($12.5B, 3.4%), Canadian Imperial Bank of Commerce ($11.8B, 3.1%), Bank of Nova Scotia ($11.5B, 3.1%), and Citi ($10.7B, 2.9%).
The 10 largest CD issuers include: Toronto-Dominion Bank ($12.9B, 7.4%), Wells Fargo ($12.4B, 7.2%), Bank of Montreal ($12.4B, 7.1%), Mitsubishi UFJ Financial Group Inc ($11.0B, 6.3%), Sumitomo Mitsui Banking Co ($9.7B, 5.6%), RBC ($9.7B, 5.6%), Citi ($7.8B, 4.5%), Sumitomo Mitsui Trust Bank ($7.4B, 4.3%), Landesbank Baden-Wurttemberg ($7.0B, 4.0%), and Svenska Handelsbanken ($6.3B, 3.6%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($8.0B, 5.6%), Commonwealth Bank of Australia ($7.3B, 5.1%), Westpac Banking Co ($6.8B, 4.8%), JP Morgan ($6.3B, 4.4%), BNP Paribas ($6.1B, 4.3%), National Australia Bank Ltd ($5.1B, 3.5%), RBC ($4.6B, 3.2%) Canadian Imperial Bank of Commerce ($4.3B, 3.0%), Toyota ($4.2B, 2.9%), and Mitsubishi UFJ Financial Group Inc ($4.1B, 2.9%).
The largest increases among Issuers include: Federal Home Loan Bank (up $48.3B to $529.1B), Credit Agricole (up $38.3B to $60.7B), US Treasury (up $36.7B to $678.2B), Barclays PLC (up $18.0B to $109.1B), Societe Generale (up $15.1B to $44.3B), JP Morgan (up $12.0B to $35.8B), Natixis (up $11.8B to $31.4B), Credit Suisse (up $10.9B to $19.7B), and ING Bank (up $5.4B to $28.4B).
The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Federal Reserve Bank of New York (down $173.5B to $184.1B), Bank of America (down $6.6B to $32.4B), Svenska Handelsbanken (down $5.0B to $10.5B), Federal Home Loan Mortgage Co (down $4.6B to $49.2B), Bank of Montreal (down $3.9B to $27.9B), UBS AG (down $3.3B to $4.8B), RBC (down $3.1B to $62.5B), HSBC (down $1.2B to $45.7B), Nordea Bank (down $1.1B to $10.4B), and Swedbank AB (down $1.1B to $7.0B).
The United States remained the largest segment of country-affiliations; it represents 65.5% of holdings, or $1.762 trillion. France (9.6%, $257.3B) moved up to second place ahead of Canada (6.7%, $179.6B) in 3rd. Japan (5.7%, $154.3B) stayed in fourth, while the United Kingdom (3.6%, $97.3B) remained in fifth place. The Netherlands (1.8%, $49.4B) moved into sixth place ahead of Germany (1.8%, $49.1B) and Australia (1.4%, $38.5B), Sweden (1.4%, $38.0B). Switzerland (1.0%, $26.9B) 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 July 31, 2017, Taxable money funds held 31.4% (down from 36.5%) of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (up from 13.5%). Thus, 45.6% in total matures in 1-7 days. Another 18.6% matures in 8-30 days, while 12.3% matures in 31-60 days. Note that over three-quarters, or 76.4% 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 8.5% of taxable securities, while 11.4% matures in 91-180 days, and just 3.7% matures beyond 181 days.
