Crane Data released its January Money Fund Portfolio Holdings late yesterday, and our most recent collection of taxable money market securities, with data as of Dec. 31, 2017, shows a huge increase in Repo, a jump in Agencies, but big drops in Time Deposits (Other) and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $37.2 billion to $2.893 trillion last month, after increasing $18.4 billion in November, $77.7 billion in October, $8.5 billion in September, and $58.6 billion in August. Repo remained the largest portfolio segment and broke over $1.0 trillion for the first time ever, followed by Treasuries and Agencies. CP remained in fourth place ahead of CDs, 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) jumped $70.5 billion (7.5%) to $1009.7 billion, or 34.9% of holdings, after decreasing $16.4 billion in November, $3.9 billion in October and $4.4 billion in September (but increasing $65.1 billion in August). Treasury securities rose $3.8 billion (0.5%) to $740.1 billion, or 25.6% of holdings, after falling $3.0 billion in November, but rising $66.0 billion in October and $27.8 billion in September. Government Agency Debt surged $21.5 billion (3.2%) to $696.8 billion, or 24.1% of all holdings, after rising $10.5 billion in November, falling $2.2 billion in October, and rising $1.2 billion in September. Repo, Treasuries and Agencies total $2.447 trillion, representing a massive 84.6% of all taxable holdings.
CP, CDs and Other (mainly Time Deposits) securities fell in the last month of the year. Commercial Paper (CP) was down $8.1 billion (-4.1%) to $188.6 billion, or 6.5% of holdings (after increasing $14.9 billion in November and $3.3 billion in October, but decreasing $4.4 in September). Certificates of Deposits (CDs) fell by $23.4 billion (-12.1%) to $170.1 billion, or 5.9% of taxable assets (after increasing $8.9 billion in November and $14.1 billion in October, but decreasing $7.3 billion in September). Other holdings, primarily Time Deposits, fell by $31.2 billion (-29.3%) to $75.3 billion, or 2.6% of holdings. VRDNs held by taxable funds increased by $4.1 billion (49.4%) to $12.3 billion (0.4% of assets).
Prime money fund assets tracked by Crane Data fell to $637 billion (down from $655 billion last month), or 22.0% (down from 22.9%) of taxable money fund holdings' total of $2.893 trillion. Among Prime money funds, CDs represent under a third of holdings at 26.7% (up from 29.5% a month ago), followed by Commercial Paper at 29.6% (down from 29.9%). The CP totals are comprised of: Financial Company CP, which makes up 19.1% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 4.0%. Prime funds also hold 4.4% in US Govt Agency Debt, 10.8% in US Treasury Debt, 10.8% in US Treasury Repo, 2.3% in Other Instruments, 8.9% in Non-Negotiable Time Deposits, 6.1% in Other Repo, 2.0% in US Government Agency Repo, and 1.4% in VRDNs.
Government money fund portfolios totaled $1.583 trillion (54.7% of all MMF assets), up from $1.549 trillion in November, while Treasury money fund assets totaled another $673 billion (23.2%), up from $651 billion the prior month. Government money fund portfolios were made up of 42.3% US Govt Agency Debt, 17.9% US Government Agency Repo, 15.4% US Treasury debt, and 24.1% in US Treasury Repo. Treasury money funds were comprised of 66.7% US Treasury debt, 33.2% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.256 trillion, or 78.0% of all taxable money fund assets, up from 77.0% last month.
European-affiliated holdings plunged $238.3 billion in December to $415.8 billion among all taxable funds (and including repos); their share of holdings crashed to 14.4% from 22.9% the previous month. Eurozone-affiliated holdings fell $199.3 billion to $248.4 billion in December; they account for 8.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $9.8 billion to $237.7 billion (8.2% of the total). Americas related holdings jumped $265.5 billion to $2.238 trillion and now represent 77.4% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $78.5 billion, or 13.2%, to $673.9 billion, or 23.3% of assets; US Government Agency Repurchase Agreements (down $17.1 billion to $296.6 billion, or 10.3% of total holdings), and Other Repurchase Agreements ($39.3 billion, or 1.4% of holdings, up $9.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $2.3 billion to $121.6 billion, or 4.2% of assets), Asset Backed Commercial Paper (up $1.1 billion to $41.4 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $6.9 billion to $25.6 billion, or 0.9%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2017, include: the US Treasury ($740.1 billion, or 25.6%), Federal Home Loan Bank ($541.4B, 18.7%), Federal Reserve Bank of New York ($286.0B, 9.9%), RBC ($97.7B, 3.4%), Federal Farm Credit Bank ($73.4B, 2.5%), BNP Paribas ($70.7B, 2.4%), Wells Fargo ($62.9B, 2.2%), Federal Home Loan Mortgage Co ($52.4B, 1.8%), Nomura ($45.0B, 1.6%), Barclays PLC ($43.8B, 1.5%), Bank of Nova Scotia ($39.2B, 1.4%), Mitsubishi UFJ Financial Group Inc ($38.9B, 1.3%), Toronto-Dominion Bank ($37.9B, 1.3%), Canadian Imperial Bank of Commerce ( $35.0B, 1.2%), Bank of America ($34.9B, 1.2%), HSBC ($34.2B, 1.2%), Fixed Income Clearing Co ($33.9B, 1.2%), Sumitomo Mitsui Banking Co ($31.9B, 1.1%), Societe Generale ($31.5B, 1.1%), and Citi ($31.3B, 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 ($286.0B, 28.3%), RBC ($74.8B, 7.4%), BNP Paribas ($62.9B, 6.2%), Wells Fargo ($49.4B, 4.9%), Nomura ($45.0B, 4.5%), Barclays PLC ($34.6B, 3.4%), Fixed Income Clearing Co ($33.9B, 3.4%), Bank of America ($29.8B, 2.9%), HSBC ($28.2B, 2.8%), and Deutsche Bank AG ($27.5B, 2.7%).
The 10 largest Fed Repo positions among MMFs on 12/31 include: JP Morgan US Govt ($18.0B in Fed Repo), Northern Trust Trs MMkt ($17.2B), BlackRock Lq T-Fund ($16.3B), Fidelity Cash Central Fund ($15.1B), Federated Govt Oblg ($13.0B), Morgan Stanley Inst Liq Govt Sec ($10.4B), Vanguard Market Liquidity Fund ($10.3B), Goldman Sachs FS Govt ($10.1B), Fidelity Inv MM: Treasury Port ($9.8B), and BlackRock Lq FedFund ($9.6B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($23.0B, 6.1%), Toronto-Dominion Bank ($17.7B, 4.7%), Canadian Imperial Bank of Commerce ($16.0B, 4.2%), Mitsubishi UFJ Financial Group Inc. ($15.9B, 4.2%), Bank of Nova Scotia ($15.8B, 4.2%), Australia & New Zealand Banking Group Ltd ($15.6, 4.1%), Wells Fargo ($13.5B, 3.6%), Bank of Montreal ($13.0, 3.4%), Sumitomo Mitsui Banking Co ($12.1B, 3.2%), and Credit Agricole ($12.0, 3.2%).
The 10 largest CD issuers include: Wells Fargo ($13.4, 7.9%B), Bank of Montreal ($12.3B, 7.3%), RBC ($11.4, 6.7%), Sumitomo Mitsui Banking Co ($10.2B, 6.0%), Mitsubishi UFJ Financial Group Inc ($9.8B, 5.8%), Toronto-Dominion Bank ($8.1B, 4.8%), Mizuho Corporate Bank Ltd ($7.9B, 4.7%), Sumitomo Mitsui Trust Bank ($7.7B, 4.6%), Svenska Handelsbanken ($6.9B, 4.1%), and Canadian Imperial Bank of Commerce ($6.8B, 4.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($9.2B, 5.6%), Toronto-Dominion Bank ($8.0B, 4.8%), Westpac Banking Co ($7.8B, 4.8%), Bank of Nova Scotia ($7.7B, 4.7%), JP Morgan ($7.5B, 4.6%), National Australia Bank Ltd ($6.5B, 3.9%), Australia & New Zealand Banking Group Ltd ($6.1B, 3.7%), RBC ($5.7B, 3.5%), Canadian Imperial Bank of Commerce ($5.7B, 3.5%), Credit Agricole ($5.7B, 3.4%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $189.8B to $286.0B, RBC (up $22.0B to $97.7B), Fixed Income Clearing Co (up $20.8B to $33.9B), Federal Home Loan Bank (up $17.1B to $541.4B), Federal Farm Credit Bank (up $5.1B to $73.4B), Canadian Imperial Bank of Commerce (up $4.2B to $35.0B), US Treasury (up $3.8B to $740.1B), Deutsche Bank AG (up $3.3B to $29.1B), Citi (up $2.9B to $31.3B), and Toronto-Dominion Bank (up $2.7B to $37.9B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Federal Reserve Bank of New York (down $66.0B to $96.2B), ING Bank (down $8.5B to $27.8B), Societe Generale (down $3.5B to $44.6B), US Treasury (down $3.0B to $736.3B), Skandinaviska Enskilda Banken AB (down $2.2B to 10.6B), Canadian Imperial Bank of Commerce (down $2.5B to $23.8B), Skandinaviska Enskilda Banken AB (down $2.5B to $12.8B), Goldman Sachs (down $1.5B to $17.9B), KBC Group NV (down $1.3B to $10.0B), and Federal National Mortgage Association (down $1.1B to $21.7B).
The United States remained the largest segment of country-affiliations; it represents 68.7% of holdings, or $1.987 trillion. Canada (8.6%, $249.9B) moved into the No. 2 spot and Japan (6.0%, $172.5B) moved up to No. 3. France (5.3%, $154.2B) saw holdings plunge, dropping it down to fourth place, while the United Kingdom (3.6%, $105.3B) remained in fifth place. Germany (1.8%, $51.4B) remained in sixth place ahead, but Australia (1.7%, $50.5B) moved ahead of The Netherlands (1.2%, $34.3B) to take seventh place. Sweden (1.0%, $28.0B) was still No. 9 and Switzerland (0.8%, $22.1B) remained in tenth place. (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 Dec. 31, 2017, Taxable money funds held 36.1% (up from 31.2%) of their assets in securities maturing Overnight, and another 12.1% maturing in 2-7 days (down from 17.3%). Thus, 48.2% in total matures in 1-7 days. Another 23.5% matures in 8-30 days, while 10.1% matures in 31-60 days. Note that over three-quarters, or 81.8% 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 8.3% of taxable securities, while 7.8% matures in 91-180 days, and just 1.9% matures beyond 181 days.
