MFI Daily Data

MFI Daily Data Sample

MFI Daily Data offers the largest and most competitive funds and investors a nightly look at dividend factors and daily yields. Available in Excel, RSS, or custom FTP, Money Fund Intelligence Daily contains:

  • Daily Dividend Factors - Factors or "mill rates" show the amount paid, or credited, by each fund.
  • Yields (1-day, 7-day, 30-day) - Daily 1-day, 7-day and 30-day yields are included, along with rankings.
  • Assets, AMs, Ratings, Cutoffs - Other data includes assets, average maturities, AAA ratings and trading deadlines.
  • Custom Sorts, Rankings - Sort by 1-day yield, or by 30-day, and select your own custom peer group.
  • Crane Money Fund Indexes - Our benchmark money market averages by fund type on every performance data point.

We've begun collecting funds on a daily basis and expect to go live with this product in April. E-mail us for a sample!

Product Summary
Price  $2000/yr ( Discount Policy )
News -
Ranks *D* ( Daily Data )
Funds dot dot ( Full Listing )
Archives -
Index *D* ( Daily Data )
Next Steps
Subscribe Now »
See a demo issue.
Request a trial issue.
Call 1-508-439-4419 for order or info.

MFI Daily Data News

May 17
 

This month, our Money Fund Intelligence newsletter speaks with Denise Latchford, Senior Portfolio Manager and Director of Money Markets for American Century. We discuss the return to "normalcy" in the money markets, as well as a number of other money fund related issues. Our Q&A follows. (This interview is reprinted from the May issue of our flagship Money Fund Intelligence newsletter; e-mail info@cranedata.com to request the full issue.)

MFI: How long have you run MMFs? Latchford: American Century has been investing money for almost 60 years. The company was founded by James Stowers Jr. in 1958 as Twentieth Century, which later merged with the California-based Benham Group in 1994. We then became American Century Investments.... As far as money market funds go, though, the firm has been involved in these since 1972. That was inception date of Capital Preservation, which I think makes it the oldest money market fund. I've been with the firm over 25 years now."

MFI: What is your biggest priority? Latchford: Right now, we're just really focused on the markets and our funds. We spent a lot of time over the last two years with reform, so it's kind of nice having that behind us.... We have ZIRP behind us as well, and finally have interest rates going up. So, it certainly makes it more fun investing when [gross] rates are above 1.0%. I am tired of zero interest rates. With things like this tax reform proposal coming out right now and the new Administration, and possibly a whole new Fed maybe next year ... we have a lot of actual investment-related [topics to focus on].

MFI: What's your biggest challenge? Latchford: It's nice that the credit markets are quiet at the moment.... It feels positive. We buy a lot of bank names, either directly in the form of CDs, indirectly as Letter of Credits on VRDNs, or as indirect exposure through asset-backed commercial paper. So we, credit analysts and portfolio managers, pay close attention to the banking sector. We have a few French banks on our approved list, and our analyst in London keeps us informed on what is happening internationally. So that is a huge advantage. Currently the French elections and how they are playing out has been our topic.

Another challenge is figuring out what the Fed is going to do going forward. What are they going to do with the balance sheet, and how is that going to impact us? Also, right now our big challenge is supply.... That's definitely been a challenge in the commercial paper market. It's also been a challenge in the VRDN market. (We use VRDNs to meet our daily and weekly liquidity needs.) The supply in this area is down as well. Many muni issuers have termed out their debt, decreasing the VRDN supply."

Latchford continues, "The MMF reforms, in general, have made investing more challenging. We have to combine affiliated issuers and combine credits for our issuer test, and that, [plus] the fact that banks and certain areas are not issuing as much paper [presents a challenge]. What is being issued, we pretty much have to count together. Banks that sponsor ABCP programs have to be tracked as a guarantor.... We were pretty big buyers in asset-backed commercial paper [but] now all the administrators, any J.P. Morgan program or any Citibank program, have to be combined at the guarantor. So it limits the amount that you can purchase in them. Our exposure has gone down from before the reforms.

MFI: What about your fund lineup? Latchford: We had two prime funds, but we converted one into a government fund, pretty much like everybody in the industry. So now we have: one prime fund, one government fund, one Treasury only fund, and then two tax-exempt funds, a national and a California.... As far as the cash for our equity and bond funds, it's probably at about $1.8 billion. We also have asset allocation funds, and there are little cash slices in those that we probably have another $500 million in."

MFI: What are you buying? Latchford: For the prime fund, we're definitely looking at floaters, a lot of CD floaters. We buy a lot of Canadian banks' CD floaters. That seems to be our 'go-to'. We still use VRDNs for our liquidity requirements, and Treasuries. We still invest in ABCP and add industrial commercial paper names when we can. Unfortunately, we're too small for the Fed RRP program.... We do a moderate amount of repo when managing the cash for the equity and bond funds, but it is not in a centralized money fund. We have a limited amounts of repo lines [now], because we aren't huge players in that market because of our size.

Our Capital Preservation fund at one point was close to $3 billion and I think we're $2.3B now. That fund probably has one of the most stable asset bases ever. I think we have some of the same shareholders from 1972.... We use the Treasury 2-year floaters when we can for Capital Preservation, but it is limited because of the WAL.

MFI: Has the removal of First Tier and Second Tier changed things? Latchford: For us, for the most part, it has been business as usual. I think the industry might have migrated a little bit into that area. The nice part of the removal of that is: our credit analysts don't have [as much] concern over an unexpected rating action.... So in that respect, it gives us a little bit more breathing room. But it doesn't really change the way we look at credits, as far as drifting down into A2/P2 paper.... It just gives us a little relief [so] we don't have to be concerned about [this cliff].

MFI: Any customer concerns these days? Latchford: As we start to see spreads start to widen ... suddenly yields will become a concern. If we get two more interest rate hikes, the environment will look different between a government fund and a prime fund.... Some of our customers now are suddenly now [asking for] a lot more control saying, "We want this as a separate account. We don't want fees and gates."

MFI: What about fee waivers? Latchford: We actually came out of waivers early. For the Prime fund, we were out [relatively] early just managing our way out of them. But the three hikes have helped a great deal. Overall for the company as a whole, money market funds [are only] around 3% of our total assets.... So the fee waivers didn't impact American Century perhaps as hard as they impacted other fund companies, where they are a lot heavier in money market funds. But I'm not going to say that the management company wasn't happy once we stopped them.

MFI: Any last comments on the MMF reforms? Latchford: I think I have one word for those reforms, and it's 'huge' <b:>`_. The thing that I noticed the most with reform was that unless people were directly involved I just don't think they realized how large of an undertaking it was, how many areas it impacted, and how many people actually needed to be involved. 'Money market reform' sounded kind of neat and clean and easy, until you had to spend two years with it. It impacted every area of a mutual fund company.

MFI: Do you guys manage ultra-short bond funds? Latchford: With the ultra-short bond funds or ultra-, ultra-short just outside of money markets, some of our clients are looking at those. So I have a feeling we will be opening [some of] those up in separate accounts as one-offs.... Another thing that I think might be coming in the future is a lot more automation, because with the way that these reforms worked out and then people having to shift around and we're starting to see more separate accounts. American Century as a whole manages a fair amount in separate accounts for those types of clients. We didn't have as many in the money market area, because that normally wasn't a sector to bring over separate account money to. But it's starting to be, so that is now flowing into the money market world.

MFI: Any thoughts on the future? Latchford: When I started, interest rates were around 8%. I remember when they dropped to 6%, saying, 'Woah, look how low that is'.... In general, it feels positive at the moment for money market funds. Our flows are pretty steady right now. We are getting geared up for still some movements and anticipating at some point to see money move back into prime funds as spreads widen between agencies and prime as we continue to get these hikes.

May 10
 

Crane Data released its May Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of April 30, 2017, shows an increase in Repo, CP and CDs, and a sharp decline in Treasuries. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $3.2 billion to $2.632 trillion last month, after decreasing $11.8 billion in March and $18.1 billion in Feb. (but increasing by $7.2 billion in Jan.). Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were higher but 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. Note: We're also "beta" testing a new Bond Fund Portfolio Holdings data collection.)

Among all taxable money funds, Repurchase Agreements (repo) rose $24.6 billion (3.0%) to $858.3 billion, or 32.6% of holdings, after rising $41.6 billion in March, $3.3 billion in February, but falling $43.6 billion in January. Treasury securities fell $53.5 billion (-7.1%) to $700.5 billion, or 26.6% of holdings, after falling $1.6 billion in March, $29.3 billion in February, and $37.8 billion in January. Government Agency Debt increased $4.0 billion (0.6%) to $631.7 billion, or 24.0% of all holdings, after decreasing $49.3 billion in March and $10.7 billion in February, but rising $35.3 billion in January. Repo, Treasuries and Agencies in total continued to gradually retreat from December's record levels, but they still represent a massive 83.2% of all taxable holdings. Govt and Treasury MMFs lost assets and Prime MMFs increased slightly yet again last month.

CDs and CP increased last month, as did Other (Time Deposits) securities. Certificates of Deposit (CDs) were up $8.1 billion (4.7%) to $180.3 billion, or 6.9% of taxable assets, after decreasing $3.3 billion in March, and rising $5.5 billion in February and $22.4 in January. Commercial Paper (CP) was up $10.4 billion (7.0%) to $160.1 billion, or 6.1% of holdings (after declining $1.3 billion in March, but rising $10.4 billion in February and $16.9 billion in January). Other holdings, primarily Time Deposits, rose $3.7 billion (5.1%) to $75.0 billion, or 2.9% of holdings. VRDNs held by taxable funds decreased by $0.5 billion (-2.1%) to $25.9 billion (1.0% of assets).

Prime money fund assets tracked by Crane Data rose to $548 billion (up from $543 billion last month), or 20.8% (up from 20.6%) of taxable money fund holdings' total of $2.632 trillion. Among Prime money funds, CDs represent just under a third of holdings at 32.9% (up from 31.7% a month ago), followed by Commercial Paper at 29.2% (up from 27.5%). The CP totals are comprised of: Financial Company CP, which makes up 18.2% of total holdings, Asset-Backed CP, which accounts for 6.0%, and Non-Financial Company CP, which makes up 5.0%. Prime funds also hold 2.0% in US Govt Agency Debt, 1.6% in US Treasury Debt, 6.8% in US Treasury Repo, 0.4% in Other Instruments, 11.4% in Non-Negotiable Time Deposits, 5.7% in Other Repo, 1.6% in US Government Agency Repo, and 3.0% in VRDNs.

Government money fund portfolios totaled $1.481 trillion (56.3% of all MMF assets), down from $1.486 trillion in March, while Treasury money fund assets totaled another $603 billion (22.9%), down from $606 billion the prior month. Government money fund portfolios were made up of 41.9% US Govt Agency Debt, 18.3% US Government Agency Repo, 15.9% US Treasury debt, and 23.1% in US Treasury Repo. Treasury money funds were comprised of 72.0% US Treasury debt, 27.8% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.084 trillion, or 79.2% of all taxable money fund assets, down from 79.4% last month.

European-affiliated holdings increased $156.8 billion in April to $519.8 billion among all taxable funds (and including repos); their share of holdings increased to 19.8% from 13.8% the previous month. Eurozone-affiliated holdings increased $96.5 billion to $343.6 billion in April; they now account for 13.1% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $13.5 billion to $198.3 billion (7.5% of the total). Americas related holdings decreased $174 billion to $1.913 trillion and now represent 72.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $8.4 billion, or -1.5%, to $547.2 billion, or 20.8% of assets; US Government Agency Repurchase Agreements (up $34.1 billion to $280.0 billion, or 10.6% of total holdings), and Other Repurchase Agreements ($31.1 billion, or 1.2% of holdings, down $1.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $4.8 billion to $99.6 billion, or 3.8% of assets), Asset Backed Commercial Paper (up $2.8 billion to $33.1 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $2.8 billion to $27.4 billion, or 1.0%).

The 20 largest Issuers to taxable money market funds as of April 30, 2017, include: the US Treasury ($700.5 billion, or 26.6%), Federal Home Loan Bank ($473.1B, 18.0%), Federal Reserve Bank of New York ($161.1B, 6.1%), BNP Paribas ($99.9B, 3.8%), Federal Farm Credit Bank ($66.1B, 2.5%), RBC ($61.4B, 2.3%), Credit Agricole ($59.9B, 2.3%), Federal Home Loan Mortgage Co. ($55.8B, 2.1%), Wells Fargo ($51.7B, 2.0%), Societe Generale ($50.9B, 1.9%), Nomura ($43.6B, 1.7%), Mitsubishi UFJ Financial Group Inc. ($40.7B, 1.5%), Bank of America ($38.2B, 1.5%), JP Morgan ($34.7B, 1.3%), Barclays PLC ($34.7B, 1.3%), Federal National Mortgage Association ($34.4B, 1.3%), Citi ($33.9B, 1.3%), HSBC ($33.9B, 1.3%), Bank of Montreal ($30.6B, 1.2%), and Bank of Nova Scotia ($30.4B, 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 ($161.1B, 18.8%), BNP Paribas ($87.8B, 10.2%), RBC ($48.8B, 5.7%), Credit Agricole ($45.8B, 5.3%), Nomura ($43.6B, 5.1%), Societe Generale ($43.4B, 5.1%), Wells Fargo ($41.1B, 4.8%), Bank of America ($33.0B, 3.8%), HSBC ($28.4B, 3.3%), and Barclays PLC ($28.2B, 3.3%). The 10 largest Fed Repo positions among MMFs on 4/30 include: JP Morgan US Govt ($75.6B), Fidelity Govt Cash Reserves ($54.1B), Goldman Sachs FS Gvt ($54.8B), BlackRock Lq FedFund ($44.2B), Fidelity Govt Money Market ($42.1B), Dreyfus Govt Cash Mgmt ($40.6B), Fidelity Inv MM: Govt Port ($35.1B), BlackRock Lq T-Fund ($30.6B), Federated Gvt Oblg ($29.3B), and Morgan Stanley Inst Lq Gvt ($23.1B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($17.2B, 4.7%), Credit Agricole ($14.1B, 3.9%), Toronto-Dominion Bank ($13.6B, 3.7%), Svenska Handelsbanken ($12.9B, 3.6%), DnB NOR Bank ASA ($12.6B, 3.5%), RBC ($12.6B, 3.5%), Bank of Montreal ($12.2B, 3.3%), BNP Paribas ($12.1B, 3.3%), Wells Fargo ($10.6B, 2.9%), and Commonwealth Bank of Australia ($10.5B, 2.9%).

The 10 largest CD issuers include: Toronto-Dominion Bank ($12.7B, 7.1%), Mitsubishi UFJ Financial Group Inc. ($12.5B, 7.0%), Bank of Montreal ($11.7B, 6.6%), Wells Fargo ($10.4B, 5.8%), Sumitomo Mitsui Banking Co ($8.5B, 4.7%), RBC ($8.1B, 4.6%), Svenska Handelsbanken ($7.1B, 4.0%), Sumitomo Mitsui Trust Bank ($7.1B, 4.0%), KBC Group NV ($6.2B, 3.5%), and Mizuho Corporate Bank Ltd ($5.9B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.8B, 5.6%), Societe Generale ($7.2B, 5.1%), Credit Agricole ($6.8B, 4.9%), Bank of Nova Scotia ($6.7B, 4.8%), JP Morgan ($6.1B, 4.3%), Westpac Banking Co ($6.1B, 4.3%), Canadian Imperial Bank of Commerce ($6.0B, 4.3%), National Australia Bank Ltd ($5.8B, 4.1%), General Electric ($4.6B, 3.3%), and BNP Paribas ($4.3B, 3.1%).

The largest increases among Issuers include: Credit Agricole (up $39.2B to $59.9B), Barclays PLC (up $24.5B to $34.7B), Societe Generale (up $22.8B to $50.9B), Credit Suisse (up $19.9B to $26.4B), BNP Paribas (up $18.7B to $99.9B), Federal Home Loan Bank (up $16.9B to $473.1B), Goldman Sachs (up $10.3B to $23.4B), JP Morgan (up $10.2B to $34.7B), Mizuho Corporate Bank Ltd (up $8.9B to $23.3B) and HSBC (up $6.7B to $33.9B).

The largest decreases among Issuers of money market securities (including Repo) in April were shown by: Federal Reserve Bank of New York (down $152.5B to $161.1B), US Treasury (down $53.5 to $700.5B), Federal Home Loan Mortgage Co (down $11.8B to $55.8B), Canadian Imperial Bank of Commerce (down $4.5B to $16.2B), Swedbank AB (down $3.0B to $10.2B), Bank of Montreal (down $2.2B to $30.6B), Federal Farm Credit Bank (down $1.4B to $66.1B), Toyota (down $1.0B to $5.1B) and Skandinaviska Enskilda Banken AB (down $1.0B to $9.7B).

The United States remained the largest segment of country-affiliations; it represents 66.0% of holdings, or $1.736 trillion. France (9.5%, $249.2B) moved back into second place ahead of Canada (6.7%, $176.4B) in 3rd. Japan (5.6%, $148.5B) stayed in fourth, while the United Kingdom (3.3%, $86.2B) remained in fifth place. Germany (1.6%, $41.7B) moved ahead of Sweden (1.6%, $40.9B) and Australia (1.5%, $39.1B). The Netherlands (1.5%, $40.1B) and Switzerland (1.3%, $33.3B) ranked ninth and tenth, respectively. (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 April 30, 2017, Taxable money funds held 31.2% (down from 32.7%) of their assets in securities maturing Overnight, and another 17.0% maturing in 2-7 days (up from 12.8%). Thus, 48.2% in total matures in 1-7 days. Another 19.3% matures in 8-30 days, while 12.9% matures in 31-60 days. Note that over three-quarters, or 80.4% of securities, mature in 60 days or less (up 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 8.2% of taxable securities, while 8.5% matures in 91-180 days, and just 2.9% matures beyond 180 days.

May 05
 

The May issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "Crane Data Turns 11; Money Fund Comeback; Bond Push," which talks about Crane Data's 11th Birthday this month, "Still Preserving Capital: American Century's Latchford," which "profiles" ACI's Senior Portfolio Manager and Director of Money Markets, and, "ICI 2017 Fact Book Shows Money Fund Trends in '16," which reviews ICI's latest annual statistics. We have also updated our Money Fund Wisdom database with April 30, 2017, statistics, and sent out our MFI XLS spreadsheet Friday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our May Money Fund Portfolio Holdings are scheduled to ship Tuesday, May 9, and our May Bond Fund Intelligence is scheduled to go out Friday, May 12.

MFI's "Crane Data Turns 11" article says, "Crane Data & Money Fund Intelligence celebrate their 11th birthday this month. As we've done in years past, we'd like to take a moment to take a look back and to update you on our efforts. We continue to gradually expand our collections and product lineup, most recently pushing further into the bond fund space with the launch of our Bond Fund Symposium conference. We'll also soon release a Bond Fund Portfolio Holdings data set."

The piece continues, "Our company, run by money fund expert Peter Crane and technology guru Shaun Cutts, was launched in May 2006 to bring faster, cheaper and cleaner information to the money fund space. We began by publishing our flagship Money Fund Intelligence newsletter, and we've grown to offer a full range of daily and monthly spreadsheets, news, database query systems and reports on U.S. and "offshore" money funds."

Our American Century profile reads, "This month, Money Fund Intelligence profiles American Century Senior Portfolio Manager and Director of Money Markets Denise Latchford, who runs almost $5.7 billion in money funds and even more separately managed cash for the company’s stock and bond funds. We discuss the return to "normalcy" in the money markets, as well as a number of other money fund related issues. Our Q&A follows."

MFI asks, "How long have you managed money funds? Latchford comments, "American Century has been investing money for almost 60 years. The company was founded by James Stowers Jr. in 1958 as Twentieth Century, which later merged with the California-based Benham Group in 1994. We then became American Century Investments.... As far as money market funds go, though, the firm has been involved in these since 1972. That was inception date of Capital Preservation, which I think makes it the oldest money market fund. I've been with the firm over 25 years now."

We also ask, "What is your biggest priority?" Latchford answers, "Right now, we're just really focused on the markets and our funds. We spent a lot of time over the last two years with reform, so it's kind of nice having that behind us.... We have ZIRP behind us as well, and finally have interest rates going up. So, it certainly makes it more fun investing when rates are above 1.0%. I am tired of zero interest rates. With things like this tax reform proposal coming out right now and the new Administration, and possibly a whole new Fed maybe next year ... we have a lot of actual investment-related [topics to focus on]."

Our "ICI 2017 Fact Book Shows" update explains, "ICI's new "2017 Investment Company Fact Book" looks at institutional and retail MMF demand and recent reforms and the shift to Government MMFs. Overall, money funds assets were $2.728 trillion at year-end 2016, making up 16.7% of the $16.3 trillion in overall mutual fund assets. Retail investors held $986 billion, while institutional investors held $1.742 trillion. ICI tells us, "Businesses and other institutional investors also rely on funds. Many institutions use money market funds to manage some of their cash and other short-term assets. Nonfinancial businesses held 22 percent of their short-term assets in money market funds at year-end 2016."

It continues, "On "Demand for Money Market Funds," the Fact Book says, "In 2016, investors redeemed, on net, $30 billion from money market funds. This modest topline net outflow for the year, however, masks significant shifts in flows for different types of money market funds that was spurred by the final implementation of new rules governing money market funds. In 2016, government money market funds received $851 billion in net inflows, while prime and tax-exempt money market funds saw net redemptions of $765 billion and $116 billion."

In a sidebar, we discuss, "Lower Waivers in Q1 Earnings," saying, "Northern Trust, Schwab, and BNY Mellon all mentioned money funds in their Q1 earnings reports earlier this month. Northern Trust's Q1'17 earnings said, "Trust, investment and other servicing fees increased primarily due to favorable equity markets, new business, and lower money market mutual fund fee waivers." Fee waivers here decreased from $1.7 million a year ago to nothing in Q1'17."

Our May MFI XLS, with April 30, 2017, data, shows total assets increased $68.9 billion in April to $2.676 trillion after decreasing $25.2 billion in March, and increasing $51.5 billion in February. (Note that we added $67.3 billion in new funds, though, so assets were roughly flat on the month.) Our broad Crane Money Fund Average 7-Day Yield was up 5 bps to 0.46% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 4 bps to 0.65% (7-day).

On a Gross Yield Basis (7-Day) (before expenses were taken out), the Crane MFA rose 0.07% to 0.88% and the Crane 100 rose 5 bps to 0.93%. Charged Expenses averaged 0.43% and 0.28% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 32 days (down 1 day from last month) and for the Crane 100 was 33 days (down 2 days from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Apr 12
 

Crane Data released its April Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of March 31, 2017, shows a decline in Agencies, and a jump in Repo; "credit" -- CDs and CP -- was flat. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $11.8 billion to $2.635 trillion last month, after decreasing $18.1 billion in Feb., but increasing by $7.2 billion in Jan. and $34.7 billion in Dec. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were slightly lower but 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, Treasury securities fell $1.6 billion (-0.2%) to $753.9 billion, or 28.6% of holdings, after falling $29.3 billion in February, $37.8 billion in January, and $59.4 billion in Dec. Repurchase Agreements (repo) rose $41.6 billion (5.3%) to $833.7 billion, or 31.6% of holdings, after rising $3.3 billion in February, falling $43.6 billion in January, and rising $56.3 billion in Dec. Government Agency Debt decreased $49.3 billion (-7.3%) to $627.8 billion, or 23.8% of all holdings, after decreasing $10.7 billion in February, rising $35.3 billion in January, and falling $7.7 billion in Dec. Repo, Treasuries and Agencies in total continued to gradually retreat from December's record levels, but they still represent a massive 84.1% of all taxable holdings. Govt and Treasury MMFs lost assets and Prime MMFs increased slightly yet again last month.

CDs and CP decreased last month while Other (Time Deposits) increased slightly again. Certificates of Deposit (CDs) were down $3.3 billion (-1.9%) to $172.2 billion, or 6.5% of taxable assets, after rising $5.5 billion in February and $22.4 in January (but declining $0.2 billion in Dec). Commercial Paper (CP) was down $1.3 billion (-0.8%) to $149.7 billion, or 5.7% of holdings (after rising $10.4 billion in February and $16.9 billion in January), while Other holdings, primarily Time Deposits, rose $7.7 billion (12.1%) to $71.4 billion, or 2.7% of holdings. VRDNs held by taxable funds decreased by $5.5 billion (-17.3%) to $26.4 billion (1.0% of assets).

Prime money fund assets tracked by Crane Data rose to $543 billion (up from $532 billion last month), or 20.6% (up from 20.1%) of taxable money fund holdings' total of $2.635 trillion. Among Prime money funds, CDs represent just under a third of holdings at 31.7% (down from 33.0% a month ago), followed by Commercial Paper at 27.5% (down from 28.2%). The CP totals are comprised of: Financial Company CP, which makes up 17.4% of total holdings, Asset-Backed CP, which accounts for 5.6%, and Non-Financial Company CP, which makes up 4.5%. Prime funds also hold 1.7% in US Govt Agency Debt, 7.5% in US Treasury Debt, 8.6% in US Treasury Repo, 3.2% in Other Instruments, 10.9% in Non-Negotiable Time Deposits, 5.8% in Other Repo, 1.5% in US Government Agency Repo, and 3.0% in VRDNs.

Government money fund portfolios totaled $1.486 trillion (56.3% of all MMF assets), down from $1.496 trillion in February, while Treasury money fund assets totaled another $606 billion (23.0%) in March, down from $618 billion the prior month. Government money fund portfolios were made up of 41.6% US Govt Agency Debt, 16.0% US Government Agency Repo, 18.3% US Treasury debt, and 23.3% in US Treasury Repo. Treasury money funds were comprised of 73.0% US Treasury debt, 26.8% in US Treasury Repo, and 0.2% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.092 trillion, or almost 80% (79.4%) of all taxable money fund assets, down from 79.9% last month.

European-affiliated holdings plunged $106.5 billion in March to $363.0 billion among all taxable funds (and including repos); their share of holdings decreased to 13.8% from 17.7% the previous month. Eurozone-affiliated holdings decreased $83.8 billion to $247.1 billion in March; they now account for 9.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $11.2 billion to $184.8 billion (7.0% of the total). Americas related holdings increased $83.8 billion to $2.087 trillion and now represent 79.2% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $42.5 billion, or 8.3%, to $555.6 billion, or 21.1% of assets; US Government Agency Repurchase Agreements (down $3.1 billion to $245.9 billion, or 9.3% of total holdings), and Other Repurchase Agreements ($32.2 billion, or 1.2% of holdings, up $2.2 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.4 billion to $94.8 billion, or 3.6% of assets), Asset Backed Commercial Paper (down $0.6 billion to $30.3 billion, or 1.2%), and Non-Financial Company Commercial Paper (down $6.0 billion to $24.6 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of March 31, 2017, include: the US Treasury ($753.9 billion, or 28.6%), Federal Home Loan Bank ($456.2B, 17.3%), Federal Reserve Bank of New York ($313.6B, 11.9%), BNP Paribas ($81.2B, 3.1%), Federal Home Loan Mortgage Co. ($67.6B, 2.6%), Federal Farm Credit Bank ($67.6B, 2.6%), RBC ($62.3B, 2.4%), Wells Fargo ($52.0B, 2.0%), Nomura ($40.7B, 1.5%), Bank of America ($38.3B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($37.2B, 1.4%), Federal National Mortgage Association ($35.0B, 1.3%), Bank of Montreal ($32.7B, 1.2%), Bank of Nova Scotia ($31.4B, 1.2%), Citi ($30.6B, 1.2%), Societe Generale ($28.2B, 1.1%), HSBC ($27.2B, 1.0%), JP Morgan ($24.5B, 0.9%), Toronto-Dominion Bank ($23.9B, 0.9%), and Natixis ($22.9B, 0.9%).

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 ($313.6B, 37.6%), BNP Paribas ($69.3B, 8.3%), RBC ($47.9B, 5.7%), Nomura ($40.7B, 4.9%), Wells Fargo ($40.6B, 4.9%), Bank of America ($33.7B, 4.0%), Societe Generale ($23.5B, 2.8%), Citi ($22.8B, 2.7%), Mitsubishi UFJ Financial Group Inc ($22.6B, 2.7%), and HSBC ($21.6B, 2.6%). The 10 largest Fed Repo positions among MMFs on 3/31 include: JP Morgan US Govt ($75.2B), Goldman Sachs FS Gvt ($51.9B), Fidelity Govt Cash Reserves ($48.0B), Fidelity Govt Money Market ($35.2B), Dreyfus Govt Cash Mngt ($34.9B), BlackRock Lq FedFund ($33.1B), Federated Gvt Oblg ($29.0B), Fidelity Inv MM: Govt Port ($25.7B), BlackRock Lq T-Fund ($24.3B), and Wells Fargo Gvt MMkt ($24.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($14.6B, 4.2%), Canadian Imperial Bank of Commerce ($14.6B, 4.2%), Toronto-Dominion Bank ($14.5B, 4.1%), RBC ($14.4B, 4.1%), Swedbank ($13.2B, 3.8%), Svenska Handelsbanken ($13.1B, 3.7%), Bank of Montreal ($12.6B, 3.6%), BNP Paribas ($11.9B, 3.4%), Wells Fargo ($11.4B, 3.2%), and Bank of Nova Scotia ($11.0B, 3.1%).

The 10 largest CD issuers include: Toronto-Dominion Bank ($12.9B, 7.5%), Bank of Montreal ($12.2B, 7.1%), Mitsubishi UFJ Financial Group Inc. ($11.6B, 6.8%), Wells Fargo ($10.8B, 6.3%), RBC ($8.8B, 5.1%), Sumitomo Mitsui Banking Co ($8.3B, 4.9%), Sumitomo Mitsui Trust Bank ($7.8B, 4.5%), Svenska Handelsbanken ($7.5B, 4.4%), Mizuho Corporate Bank Ltd ($6.0B, 3.5%), and Citi ($5.6B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.7B, 5.8%), Canadian Imperial Bank of Commerce ($6.5B, 4.8%), Westpac Banking Co ($6.2B, 4.6%), Bank of Nova Scotia ($6.0B, 4.5%), National Australia Bank Ltd ($5.6B, 4.2%), Credit Agricole ($5.5B, 4.1%), JP Morgan ($5.4B, 4.0%), Natixis ($5.3B, 4.0%), BNP Paribas ($4.9B, 3.7%), and RBC ($4.4B, 3.3%).

The largest increases among Issuers include: The Federal Reserve Bank of New York (up $138.0B to $313.6B), RBC (up $9.3B to $62.3B), Canadian Imperial Bank of Commerce (up $4.4B to $20.6B), Nomura (up $3.9B to $40.7B), Federal Home Loan Mortgage Co (up $3.4B to $67.6B), Svenska Handelsbanken (up $3.4B to $13.1B), Swedbank AB (up $3.0B to $13.2B), Mitsubishi UFJ Financial Group Inc (up $3.0B to $37.2B), ABN Amro Bank (up $1.9B to $11.8B), and Bank of Montreal (up $1.8B to $32.7B).

The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Federal Home Loan Bank (down $49.1B to $456.2B), Credit Agricole (down $38.3B to $20.7B), BNP Paribas (down $20.1B to $81.2B), Barclays PLC (down $16.2B to $10.2B), Societe Generale (down $12.4B to $28.2B), Credit Suisse (down $7.8B to $6.5B), JP Morgan (down $6.7B to $24.5B), Deutsche Bank AG (down $4.8B to $14.8B), and Natixis (down $4.2B to $22.9B).

The United States remained the largest segment of country-affiliations; it represents 72.3% of holdings, or $1.905 trillion. Canada (6.9%, $180.5B) moved into second place ahead of France (6.1%, $161.0B) in 3rd. Japan (5.1%, $134.7B) stayed in fourth, while the United Kingdom (1.9%, $51.0B) remained in fifth place. Sweden (1.8%, $46.1B) and Australia (1.5%, $39.3B) moved ahead of Germany (1.5%, $38.3B) into sixth and seventh place. The Netherlands (1.3%, $34.8B) and Switzerland (0.5%, $13.5B) ranked ninth and tenth, respectively. (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 March 31, 2017, Taxable money funds held 32.7% (up from 29.9%) of their assets in securities maturing Overnight, and another 12.8% maturing in 2-7 days (up from 14.8%). (Note that our "Overnight" is 3 days due to the weekend this month.) Thus, 45.5% in total matures in 1-7 days. Another 21.2% matures in 8-30 days, while 10.7% matures in 31-60 days. Note that over three-quarters, or 77.3% of securities, mature in 60 days or less (up 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 10.7% of taxable securities, while 8.2% matures in 91-180 days, and just 3.8% matures beyond 180 days.