Crane Data released its February Money Fund Portfolio Holdings Friday, and our most recent collection of taxable money market securities, with data as of Jan. 31, 2018, shows a huge drop in Repo, and a jump in Time Deposits (Other), CP and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $3.2 billion to $2.896 trillion last month, after increasing $37.2 billion in December, $18.4 billion in November, and $77.7 billion in October. Repo remained the largest portfolio segment, though it plummeted following its quarter-end spike to over $1.0 trillion. It was followed by Treasuries and Agencies. CP remained a distant fourth 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 to see our latest Money Fund Portfolio Holdings reports.)
Among all taxable money funds, Repurchase Agreements (repo) plunged $80.9 billion (-8.0%) to $928.8 billion, or 32.1% of holdings, after jumping $70.5 billion in December, but decreasing $16.4 billion in November and $3.9 billion in October. Treasury securities fell $1.5 billion (-0.2%) to $738.6 billion, or 25.5% of holdings, after rising $3.8 billion in December, falling $3.0 billion in November, and rising $66.0 billion in October. Government Agency Debt jumped $25.3 billion (3.6%) to $722.1 billion, or 24.9% of all holdings, after rising $21.5 billion in December and $10.5 billion in November, but falling $2.2 billion in October. Repo, Treasuries and Agencies total $2.390 trillion, representing a massive 82.5% of all taxable holdings.
CP, CDs and Other (mainly Time Deposits) securities all jumped in the first month of the year. Commercial Paper (CP) was up $23.1 billion (12.3%) to $211.7 billion, or 7.3% of holdings (after decreasing $8.1 billion in December, and increasing $14.9 billion in November and $3.3 billion in October). Certificates of Deposits (CDs) rose by $13.3 billion (7.8%) to $183.5 billion, or 6.3% of taxable assets (after decreasing $23.4 billion in December, and increasing $8.9 billion in November and $14.1 billion in October). Other holdings, primarily Time Deposits, jumped $27.6 billion (36.7%) to $102.8 billion, or 3.6% of holdings. VRDNs held by taxable funds decreased by $3.8 billion (-30.6%) to $8.5 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data rose to $650 billion (up from $637 billion last month), or 22.4% (up from 22.0%) of taxable money fund holdings' total of $2.896 trillion. Among Prime money funds, CDs represent under a third of holdings at 28.2% (up from 26.7% a month ago), followed by Commercial Paper at 32.5% (up from 29.6%). The CP totals are comprised of: Financial Company CP, which makes up 21.2% of total holdings, Asset-Backed CP, which accounts for 6.3%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 6.3% in US Govt Agency Debt, 5.7% in US Treasury Debt, 3.2% in US Treasury Repo, 2.0% in Other Instruments, 12.2% in Non-Negotiable Time Deposits, 5.2% in Other Repo, 2.4% in US Government Agency Repo, and 1.1% in VRDNs.
Government money fund portfolios totaled $1.546 trillion (53.7% of all MMF assets), down from $1.583 trillion in December, while Treasury money fund assets totaled another $700 billion (24.2%), up from $673 billion the prior month. Government money fund portfolios were made up of 44.1% US Govt Agency Debt, 20.0% US Government Agency Repo, 15.3% US Treasury debt, and 20.3% in US Treasury Repo. Treasury money funds were comprised of 66.4% US Treasury debt, 33.5% in US Treasury Repo, and 0.0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.246 trillion, or 77.6% of all taxable money fund assets, down from 78.0% last month.
European-affiliated holdings jumped $238.2 billion in January to $654.0 billion among all taxable funds (and including repos); their share of holdings soared to 22.6% from 14.4% the previous month. Eurozone-affiliated holdings jumped $180.0 billion to $428.4 billion in January; they account for 14.8% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $10.1 billion to $227.6 billion (7.9% of the total). Americas related holdings fell $224.8 billion to $2.013 trillion and now represent 69.5% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $104.2 billion, or -15.5%, to $569.6 billion, or 19.7% of assets; US Government Agency Repurchase Agreements (up $28.6 billion to $325.2 billion, or 11.2% of total holdings), and Other Repurchase Agreements ($33.9 billion, or 1.2% of holdings, down $5.3 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $16.2 billion to $137.8 billion, or 4.8% of assets), Asset Backed Commercial Paper (down $0.4 billion to $41.0 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $7.3 billion to $32.8 billion, or 1.1%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2018, include: the US Treasury ($738.6 billion, or 25.5%), Federal Home Loan Bank ($579.5B, 20.0%), BNP Paribas ($122.8B, 4.2%), RBC ($85.6B, 3.0%), Federal Farm Credit Bank ($74.2B, 2.6%), Credit Agricole ($62.4B, 2.2%), Wells Fargo ($61.8B, 2.1%), Barclays PLC ($55.8B, 1.9%), Federal Reserve Bank of New York ($55.0B, 1.9%), Societe Generale ($47.9B, 1.7%), HSBC ($45.0B, 1.6%), Nomura ($44.3B, 1.5%), Federal Home Loan Mortgage Co ($42.6B, 1.5%), JP Morgan ($40.3B, 1.4%), Natixis ($39.2B, 1.4%), Mitsubishi UFJ Financial Group Inc ($36.7B, 1.3%), Deutsche Bank AG ( $34.2B, 1.2%), Bank of Nova Scotia ($34.1B, 1.2%), Bank of America ($33.9B, 1.2%), and Citi ($33.4B, 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 ($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 1/31/18 include: Northern Trust Trs MMkt ($5.0B), Fidelity Cash Central Fund ($4.9B), ` Franklin IFT US Govt MM <b:>`_ ($4.8B), JP Morgan US Govt ($4.8B in Fed Repo), Goldman Sachs FS Treas Sol ($4.7B), BlackRock Lq T-Fund ($4.6B), Morgan Stanley Inst Liq Govt Sec ($4.0B), UBS Select Treas ($3.2B), Fidelity Sec Lending Cash Central ($3.1B), and Northern Inst Govt Select ($3.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($20.4B, 4.7%), Toronto-Dominion Bank ($16.7B, 3.9%), Credit Agricole ($15.6, 3.6%), Wells Fargo ($14.7B, 3.4%), BNP Paribas ($14.7B, 3.4%), Mitsubishi UFJ Financial Group Inc. ($14.3B, 3.3%), Australia & New Zealand Banking Group Ltd ($13.7, 3.2%), Bank of Nova Scotia ($13.7B, 3.2%), Canadian Imperial Bank of Commerce ($12.8B, 3.0%), and Swedbank AB ($12.7B, 3.0%).
The 10 largest CD issuers include: Wells Fargo ($14.6B, 4.0%), RBC ($12.2, 6.7%), Bank of Montreal ($12.1B, 6.7%), Sumitomo Mitsui Banking Co ($9.5B, 5.2%), Mitsubishi UFJ Financial Group Inc ($8.3B, 4.6%), Mizuho Corporate Bank Ltd ($7.8B, 4.3%), Toronto-Dominion Bank ($7.4B, 4.1%), Sumitomo Mitsui Trust Bank ($7.2B, 4.0%), Svenska Handelsbanken ($6.9B, 3.8%), and KBC Group NV ($6.7B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Toronto-Dominion Bank ($8.6B, 4.7%), Commonwealth Bank of Australia ($8.5B, 4.7%), Bank of Nova Scotia ($7.8B, 4.3%), Westpac Banking Co ($7.7B, 4.2%), Bank Nederlandse Gemeenten ($7.6B, 4.2%), BNP Paribas ($7.5B, 4.2%), JP Morgan ($7.3B, 4.0%), Credit Agricole ($6.2B, 3.4%), UBS AG ($6.0B, 3.3%), RBC ($5.6B, 3.1%).
The largest increases among Issuers include: BNP Paribas (up $52.0B to $122.8B, Credit Agricole (up $38.4B to $62.4B), Federal Home Loan Bank (up $38.1B to $579.5B), Credit Suisse (up $21.1B to $31.7B), Natixis (up $19.3B to $39.2B), Societe Generale (up $16.3B to $47.9B), ING Bank (up $14.4B to $33.0B), Barclays PLC (up $12.0B to $55.8B), JP Morgan (up $11.5B to $40.3B), and HSBC (up $10.8B to $45.0B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Federal Reserve Bank of New York (down $231.0B to $55.0B), Fixed Income Clearing Co (down $12.5B to $21.4B), RBC (down $12.2B to $85.6B), Federal Home Loan Mortgage Co (down $9.8B to $42.6B), Toronto-Dominion Bank (down $7.2B to 30.7B), Canadian Imperial Bank of Commerce (down $6.6B to $28.4B), Bank of Nova Scotia (down $5.1B to $34.1B), Federal National Mortgage Association (down $3.8B to $19.5B), Mitsubishi UFJ Financial Group Inc (down $2.2B to $36.7B), and Australia & New Zealand Banking Group Ltd (down $1.9B to $13.7B).
The United States remained the largest segment of country-affiliations; it represents 62.0% of holdings, or $1.795 trillion. France (9.9%, $285.7B) moved into the No. 2 spot and Canada (7.5%, $218.0B) dropped down to No. 3. Japan (5.9%, $171.0B) dropped down to fourth place, while the United Kingdom (4.4%, $127.2B) remained in fifth place. Germany (2.3%, $66.6B) remained in sixth place, and The Netherlands (2.2%, $63.6B) moved ahead of Australia (1.6%, $45.5B) to take seventh place. Switzerland (1.4%, $39.0B) moved up to No. 9 ahead of Sweden (1.4%, $39.0B) 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 Jan. 31, 2017, Taxable money funds held 32.1% (down from 36.1%) of their assets in securities maturing Overnight, and another 15.1% maturing in 2-7 days (up from 12.1%). Thus, 47.2% in total matures in 1-7 days. Another 25.2% matures in 8-30 days, while 11.3% matures in 31-60 days. Note that over three-quarters, or 83.7% 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 6.2% of taxable securities, while 7.9% matures in 91-180 days, and just 2.2% matures beyond 181 days.
