Crane Data released its November Money Fund Portfolio Holdings late last week, and our most recent collection of taxable money market securities, with data as of Oct. 31, 2017, shows another jump in Treasuries and an increase in CDs, though most other segments were flat. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $77.7 billion to $2.837 trillion last month, after increasing $8.5 billion in September, $58.6 billion in August and $61.5 billion in July. Repo remained the largest portfolio segment, while Treasuries remained in the No. 2 spot, followed by Agencies. 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 our latest Money Fund Portfolio Holdings reports.)
Among all taxable money funds, Repurchase Agreements (repo) decreased $3.9 billion (-0.4%) to $955.6 billion, or 33.7% of holdings, after decreasing $4.4 billion in September, increasing $65.1 billion in August, and falling $55.6 billion in July. Treasury securities rose $66.0 billion (9.8%) to $739.3 billion, or 26.1% of holdings, after rising $27.8 billion in September, and falling $32.7 billion in August. Government Agency Debt decreased $2.2 billion (-0.3%) to $664.8 billion, or 23.4% of all holdings, after rising $1.2 billion in September, and falling $11.2 billion in August. Repo, Treasuries and Agencies total $2.360 trillion, representing a massive 83.2% of all taxable holdings.
CDs jumped while CP and Other (mainly Time Deposits) securities increased slightly. Certificates of Deposits (CDs) increased $14.1 billion (8.3%) to $184.6 billion, or 6.5% of taxable assets, after decreasing $7.3 billion in September and increasing $3.4 billion in August, Commercial Paper (CP) was up $3.3 billion (1.8%) to $181.8 billion, or 6.4% of holdings (after decreasing $4.4 in September and increasing $16.2 billion in August. Other holdings, primarily Time Deposits, rose by $1.9 billion (1.9%) to $102.7 billion, or 3.6% of holdings. VRDNs held by taxable funds decreased by $1.4 billion (-14.2%) to $8.4 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data increased to $632 billion (up from $625 billion last month), or 22.3% (down from 22.7%) of taxable money fund holdings' total of $2.837 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.2% (up from 27.3% a month ago), followed by Commercial Paper at 28.7% (up from 28.6%). The CP totals are comprised of: Financial Company CP, which makes up 17.8% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 3.4% in US Govt Agency Debt, 7.5% in US Treasury Debt, 8.1% in US Treasury Repo, 2.4% in Other Instruments, 13.4% in Non-Negotiable Time Deposits, 7.5% in Other Repo, 1.3% in US Government Agency Repo, and 1.0% in VRDNs.
Government money fund portfolios totaled $1.541 trillion (54.3% of all MMF assets), up from $1.498 trillion in September, while Treasury money fund assets totaled another $664 billion (23.4%), up from $636 billion the prior month. Government money fund portfolios were made up of 41.8% US Govt Agency Debt, 19.9% US Government Agency Repo, 15.1% US Treasury debt, and 23.1% in US Treasury Repo. Treasury money funds were comprised of 69.1% US Treasury debt, 30.8% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.205 trillion, or 77.7% of all taxable money fund assets, up from 77.3% last month.
European-affiliated holdings increased $142.3 billion in October to $633.3 billion among all taxable funds (and including repos); their share of holdings increased to 22.3% from 17.8% the previous month. Eurozone-affiliated holdings increased $108.0 billion to $433.2 billion in October; they account for 15.3% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $4.8 billion to $214.8 billion (7.6% of the total). Americas related holdings decreased $67 billion to $1.988 trillion and now represent 70.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $16.5 billion, or -2.6%, to $612.2 billion, or 21.6% of assets; US Government Agency Repurchase Agreements (up $10.9 billion to $314.4 billion, or 11.1% of total holdings), and Other Repurchase Agreements ($29.1 billion, or 1.0% of holdings, up $1.7 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.8 billion to $112.8 billion, or 4.0% of assets), Asset Backed Commercial Paper (down $0.0 billion to $38.1 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $1.5 billion to $31.0 billion, or 1.1%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2017, include: the US Treasury ($739.3 billion, or 26.1%), Federal Home Loan Bank ($523.9B, 18.5%), Federal Reserve Bank of New York ($162.2B, 5.7%), BNP Paribas ($138.3B, 4.9%), Credit Agricole ($70.1B, 2.5%), RBC ($68.0B, 2.4%), Federal Farm Credit Bank ($66.3B, 2.3%), Wells Fargo ($61.7B, 2.2%), Barclays PLC ($53.8B, 1.9%), Societe Generale ($48.1B, 1.7%), Federal National Mortgage Association ($46.3B, 1.6%), Nomura ($44.4B, 1.6%), Mitsubishi UFJ Financial Group Inc ($39.0B, 1.4%), ING Bank ($36.3B, $1.3%), Bank of America ($35.3B, 1.2%), Natixis ($34.0B, 1.2%), Bank of Nova Scotia ($33.9B, 1.2%), Toronto-Dominion Bank ($33.1B, 1.2%), HSBC ($33.0B, 1.2%), and Citi ( $27.0B, 1.0%).
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 ($162.2B, 17.0%), BNP Paribas ($125.0B, 13.1%), Credit Agricole ($53.7B, 5.6%), RBC ($51.2B, 5.4%), Wells Fargo ($49.0B, 5.1%), Nomura ($44.4B, 4.6%), Barclays PLC ($43.6B, 4.6%), Societe Generale ($43.5B, 4.6%), Bank of America ($29.6B, 3.1%), and HSBC ($27.4B, 2.9%).
The 10 largest Fed Repo positions among MMFs on 10/31 include: JP Morgan US Govt ($20.0B in Fed Repo), Fidelity Cash Central Fund ($16.6B), Northern Trust Trs MMkt ($16.3B), Fidelity Sec Lending Cash Central ($10.8B), Vanguard Market Liquidity Fund ($9.2B), Goldman Sachs FS Gvt ($8.0B), Goldman Sachs FS Treas Sol ($5.3B), Northern Inst Govt Select ($5.2B), BlackRock Lq T-Fund ($5.0B), and Wells Fargo Govt MMkt ($4.9B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($16.8B, 4.1%), Credit Agricole ($16.4, 4.0%), Toronto-Dominion Bank ($15.0B, 3.7%), Mitsubishi UFJ Financial Group Inc. ($14.6B, 3.6%), BNP Paribas ($13.4B, 3.3%), Skandinaviska Enskilda Banken AB ($12.8B, 3.1%), Wells Fargo ($12.6B, 3.1%), Bank of Montreal ($12.4, 3.0%), Swedbank AB ($12.0, 2.9%), and Bank of Nova Scotia ($11.8B, 2.9%).
The 10 largest CD issuers include: Wells Fargo ($12.6, 6.8%B), Bank of Montreal ($12.0B, 6.5%), Toronto-Dominion Bank ($11.2B, 6.1%), RBC ($10.7, 5.8%), Sumitomo Mitsui Banking Co ($10.3B, 5.6%),Mitsubishi UFJ Financial Group Inc ($9.9B, 5.4%), Mizuho Corporate Bank Ltd ($8.5B, 4.6%), KBC Group NV ($8.4B, 4.6%), Canadian Imperial Bank of Commerce ($7.2B, 3.9%), and Sumitomo Mitsui Trust Bank ($7.0 B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($8.3B, 5.3%), Westpac Banking Co ($7.7B, 4.9%), Bank Nederlandse Gemeenten ($6.9B, 4.4%), BNP Paribas ($6.8B, 4.3%), JP Morgan ($6.6B, 4.2%), Bank of Nova Scotia ($5.7B, 3.6%), RBC ($5.4B, 3.5%), UBS AG ($5.4B, 3.4%), National Australia Bank Ltd ($5.4B, 3.4%), and Toyota ($5.3B, 3.4%).
The largest increases among Issuers include: US Treasury (up $66.0B to $739.3B), Credit Agricole (up $37.7B to $70.1B), Barclays PLC (up $24.5B to $53.8B), BNP Paribas (up $22.7B to $138.3B), Natixis(up $12.8 B to $34.0), Credit Suisse (up $12.1B to $21.5B), ING Bank (up $11.2B to $36.3B), Societe Generale (up $9.9B to $48.1B), Wells Fargo (up $7.2B to $61.7), and Deutsche Bank (up $6.4B to $21.3).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of New York (down $132.1B to $162.2B), Bank of Montreal (down $10.4B to $22.4B), Federal National Mortgage Association (down $5.0B to $22.8B), Svenska Handelsbanken (down $4.4B to $8.9B), Fixed Income Clearing Co (down $3.2B to 12.5B), Canadian Imperial Bank of Commerce (down $2.5B to $23.8B), Skandinaviska Enskilda Banken AB (down $2.5B to $12.8B), Federal Home Loan Mortgage Co (down $1.8B to $46.3B), Sumitomo Mitsui Trust Bank (down $1.7B to $7.5B), and DnB NOR Bank ASA (down $1.6B to $9.2B).
The United States remained the largest segment of country-affiliations; it represents 63.4% of holdings, or $1.798 trillion. France (10.7%, $303.1B) remained in second place ahead of Canada (6.7%, $189.3B) in third. Japan (5.6%, $159.3B) stayed in fourth, while the United Kingdom (3.9%, $110.7B) remained in fifth place. The Netherlands (2.3%, $66.2B) remained in sixth place ahead of Germany (1.7%, $49.0B), while Sweden (1.6%, $45.7B) remained ahead of Australia (1.5%, $43.4B). Switzerland (1.2%, $32.5B) 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 Oct. 31, 2017, Taxable money funds held 32.2% (down from 35.3%) of their assets in securities maturing Overnight, and another 16.1% maturing in 2-7 days (up from 15.1%). Thus, 48.3% in total matures in 1-7 days. Another 23.8% matures in 8-30 days, while 10.6% matures in 31-60 days. Note that over three-quarters, or 82.7% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 8.2% of taxable securities, while 7.1% matures in 91-180 days, and just 2.0% matures beyond 181 days.
