Crane Data released its September Money Fund Portfolio Holdings Tuesday, and our latest collection of taxable money market securities, with data as of August 31, 2017, shows a strong rebound in Repo (after a big drop last month), but a drop in Treasuries and Agencies. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $58.6 billion to $2.751 trillion last month, after increasing $61.5 billion in July and decreasing $60.8 billion in June. Repo remained the largest portfolio segment, while Agencies narrowly beat out Treasuries for the number two spot. CDs 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) increased $65.1 billion (7.3%) to $963.9 billion, or 35.0% of holdings, after falling $55.6 billion in July but rising $12.4 billion in June, $83.7 billion in May, and $24.6 billion in April. Treasury securities fell $32.7 billion (-4.8%) to $645.5 billion, or 23.5% of holdings, after rising $36.7 billion in July, and falling $31.4 billion in June. Government Agency Debt decreased $11.2 billion (-1.7%) to $665.8 billion, or 24.2% of all holdings, after increasing $48.4 billion in July and decreasing $1.7 billion in June. Repo, Treasuries and Agencies total $2.275 trillion, representing a massive 82.7% of all taxable holdings.

CDs and CPs increased slightly last month, along with Other (mainly Time Deposits) securities. Certificates of Deposit (CDs) increased $3.4 billion (2.0%) to $177.9 billion, or 6.5% of taxable assets, after increasing $13.6 billion in July, but decreasing $19.5 billion in June. Commercial Paper (CP) was up $16.2 billion (9.7%) to $182.9 billion, or 6.6% of holdings (after increasing $8.0 billion in July but decreasing $0.5 billion in June). Other holdings, primarily Time Deposits, rose by $18.5 billion (21.1%) to $106.3 billion, or 3.9% of holdings. VRDNs held by taxable funds decreased by $0.7 billion (-7.3%) to $8.7 billion (0.3% of assets).

Prime money fund assets tracked by Crane Data increased to $610 billion (up from $593 billion last month), or 22.2% (up from 22.0%) of taxable money fund holdings' total of $2.751 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.2% (down from 29.4% a month ago), followed by Commercial Paper at 29.9% (up from 28.1%). The CP totals are comprised of: Financial Company CP, which makes up 18.4% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 4.8%. Prime funds also hold 3.5% in US Govt Agency Debt, 7.4% in US Treasury Debt, 6.0% in US Treasury Repo, 1.5% in Other Instruments, 13.8% in Non-Negotiable Time Deposits, 4.5% in Other Repo, 0.9% in US Government Agency Repo, and 1.1% in VRDNs.

Government money fund portfolios totaled $1.497 trillion (54.4% of all MMF assets), up from $1.468 trillion in July, while Treasury money fund assets totaled another $644 billion (23.4%), up from $631 billion the prior month. Government money fund portfolios were made up of 43.1% US Govt Agency Debt, 19.2% US Government Agency Repo, 11.5% US Treasury debt, and 26.0% in US Treasury Repo. Treasury money funds were comprised of 66.6% US Treasury debt, 33.3% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.141 trillion, or 77.8% of all taxable money fund assets, down from 78.0% last month.

European-affiliated holdings increased $49.0 billion in August to $592.2 billion among all taxable funds (and including repos); their share of holdings increased to 21.5% from 20.2% the previous month. Eurozone-affiliated holdings increased $32.8 billion to $401.4 billion in August; they account for 14.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $11.4 billion to $217.8 billion (7.9% of the total). Americas related holdings decreased $1.8 billion to $1.940 trillion and now represent 70.5% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $46.3 billion, or 7.8%, to $641.2 billion, or 23.3% of assets; US Government Agency Repurchase Agreements (up $17.8 billion to $293.4 billion, or 10.7% of total holdings), and Other Repurchase Agreements ($29.3 billion, or 1.1% of holdings, up $1.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $11.9 billion to $112.4 billion, or 4.1% of assets), Asset Backed Commercial Paper (up $4.2 billion to $40.9 billion, or 1.5%), and Non-Financial Company Commercial Paper (up $0.1 billion to $29.6 billion, or 1.1%).

The 20 largest Issuers to taxable money market funds as of August 31, 2017, include: the US Treasury ($645.5 billion, or 23.5%), Federal Home Loan Bank ($524.5B, 19.1%), Federal Reserve Bank of New York ($201.0B, 7.3%), BNP Paribas ($119.1B, 4.3%), Credit Agricole ($69.3B, 2.5%), RBC ($63.5B, 2.3%), Federal Farm Credit Bank ($62.9B, 2.3%), Wells Fargo ($59.0B, 2.1%), Nomura ($55.3B, 2.0%), Societe Generale ($46.2B, 1.7%), Federal Home Loan Mortgage Co. ($45.4B, 1.6%), HSBC ($40.3B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($39.0B, 1.4%), Barclays PLC ($37.9B, 1.4%), JP Morgan ($34.9B, 1.3%), Bank of America ($33.9B, 1.2%), Bank of Nova Scotia ($33.8B, 1.2%), ING Bank ($32.9B, 1.2%), Natixis ($32.5B, 1.2%), and Citi ($32.1B, 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 ($201.0B, 20.9%), BNP Paribas ($103.8B, 10.8%), Nomura ($55.3B, 5.7%), Credit Agricole ($53.5B, 5.5%), RBC ($48.0B, 5.0%), Wells Fargo ($46.8B, 4.9%), Societe Generale ($42.0B, 4.4%), HSBC ($34.9B, 3.6%), Bank of America ($29.1B, 3.0%), and Barclays PLC ($28.6B, 3.0%).

The 10 largest Fed Repo positions among MMFs on 8/31 include: JP Morgan US Govt ($17.0B in Fed Repo), Fidelity Cash Central Fund ($13.9B), Northern Trust Trs MMkt ($13.0B), Goldman Sachs FS Gvt ($9.6B), Fidelity Inv MM: Govt Port ($8.9B), Fidelity Inv MM: Treasury Port ($8.9B), BlackRock Lq FedFund ($8.8B), Northern Inst Gvt Select ($8.3B), Vanguard Fed MMkt ($8.3B),and Wells Fargo Gvt MMkt ($7.9B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Credit Agricole ($15.9B, 3.9%), RBC ($15.5B, 3.8%), BNP Paribas ($15.4B, 3.8%), Mitsubishi UFJ Financial Group Inc. ($14.9B, 3.7%), Toronto-Dominion Bank ($14.5B, 3.6%), Bank of Montreal ($13.5, 3.3%), ING Bank ($13.1B, 3.2%), Canadian Imperial Bank of Commerce ($12.4B, 3.1%), Skandinaviska Enskilda Banken AB ($12.2B, 3.0%), and Wells Fargo ($12.2B, 3.0%).

The 10 largest CD issuers include: Bank of Montreal ($12.9B, 7.3%), Toronto-Dominion Bank ($12.5B, 7.1%), Wells Fargo ($12.1B, 6.8%), Mitsubishi UFJ Financial Group Inc ($10.8B, 6.1%), Sumitomo Mitsui Banking Co ($10.1B, 5.7%), RBC ($9.8B, 5.5%), Sumitomo Mitsui Trust Bank ($7.4B, 4.2%), Landesbank Baden-Wurttemberg ($7.4B, 4.2%), Canadian Imperial Bank of Commerce ($6.5B, 3.7%) and Citi ($6.1B, 3.4%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($7.4B, 4.7%), Commonwealth Bank of Australia ($7.4B, 4.7%), Westpac Banking Co ($7.1B, 4.5%), JP Morgan ($6.8B, 4.3%), BNP Paribas ($6.6B, 4.2%), Credit Agricole ($6.2B, 3.9%), National Australia Bank Ltd ($5.8B, 3.6%), RBC ($5.4B, 3.4%) Canadian Imperial Bank of Commerce ($5.1B, 3.2%), and DnB NOR Bank ASA ($4.9B, 3.1%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $16.9B to $201.0B), BNP Paribas (up $10.0B to $119.1B), Credit Agricole (up $8.7B to $69.3B), Wells Fargo (up $5.6B to $59.0B), Credit Suisse (up $5.0B to $24.6B), Nomura (up $4.9B to $55.3B), Barclays PLC (up $4.8B to $37.9B), Fixed Income Clearing Co (up $4.5B to $9.7B), ING Bank (up $4.5B to $32.9B), and UBS AG (up $4.3B to $9.1B).

The largest decreases among Issuers of money market securities (including Repo) in August were shown by: the US Treasury (down $32.7B to $645.5B), HSBC (down $5.4B to $40.3B), Deutsche Bank AG (down $4.7B to $12.5B), Federal Home Loan Bank (down $4.6B to $524.5B), Federal Home Loan Mortgage Co (down $3.9B to $45.4B), Goldman Sachs (down $2.1B to $16.1B), Toronto-Dominion Bank (down $2.0B to $28.7B), Federal National Mortgage Association (down $1.8B to $28.3B), Citi (down $0.9B to $32.1B), and JPMorgan (down $0.9B to $34.9B).

The United States remained the largest segment of country-affiliations; it represents 63.7% of holdings, or $1.752 trillion. France (10.3%, $284.4B) remained in second place ahead of Canada (6.8%, $187.4B) in 3rd. Japan (5.9%, $163.4B) stayed in fourth, while the United Kingdom (3.6%, $98.4B) remained in fifth place. The Netherlands (2.1%, $58.0B) remained in sixth place ahead of Germany (1.7%, $46.3B), while Sweden (1.5%, $42.3B) inched ahead of Australia (1.5%, $41.2B). Switzerland (1.3%, $36.0B) 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 August 31, 2017, Taxable money funds held 33.8% (up from 31.4%) of their assets in securities maturing Overnight, and another 16.2% maturing in 2-7 days (up from 14.1%). Thus, 50.0% in total matures in 1-7 days. Another 20.7% matures in 8-30 days, while 8.2% matures in 31-60 days. Note that over three-quarters, or 78.8% 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 9.8% of taxable securities, while 9.4% 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