Money Fund Intelligence XLS

Money Fund Intelligence XLS Sample

Money Fund Intelligence XLS has all the numbers a money market mutual fund or cash investment professional will ever need. The monthly Excel workbook, a complement to our flagship Money Fund Intelligence, contains:

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Money Fund Intelligence XLS News

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.

Apr 07
 

The April issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Friday morning, features the articles: "Conservative Ultra-Shorts Big Draw at Bond Symposium," which recaps our recent Bond Fund Symposium conference in Boston, "J.P. Morgan's Przybylski on Prime, Rates, Repatriation," which "profiles" the Executive Director, Head of Global Liquidity Product Development & Strategy for J.P. Morgan Asset Management and, "Private Liquidity Funds Focus of SEC Paper, CAG's Pan," which reviews recent papers on this little noticed segment of the money markets. We have also updated our Money Fund Wisdom database query system with March 31, 2017, performance 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 April Money Fund Portfolio Holdings are scheduled to ship Tuesday, April 11, and our April Bond Fund Intelligence is scheduled to go out Friday, April 14.

MFI's "Conservative Ultra-Shorts" lead article says, "Crane Data recently hosted its first Bond Fund Symposium conference in Boston, and the turnout and enthusiasm of attendees confirmed what many had thought, that the ultra-, ultra short or "conservative" ultra-short bond fund sector is one of the hottest and fastest-​growing in the mutual fund industry. We briefly review some of the highlights from the sessions and recent news on this growing segment below."

The piece continues, "Bond Fund Symposium'​s Keynote, "The Time Is Now for Short‐​Term Strategies," featured PIMCO's Jerome Schneider, who gave an excellent overview of the short-​term space and PIMCO's dramatic growth in this area. (Assets in their ultra-shorts have increased from under $4 billion before the crisis to over $18 billion currently.) He urged attendees to redouble efforts to educate investors on the benefits of ultra-short bond funds."

Our JPMAM profile reads, "This month, Money Fund Intelligence spoke with Paul Przybylski, Executive Director, Head of Global Liquidity Product Development & Strategy for J.P. Morgan Asset Management, and we also include a couple of comments from some other members of the JPMAM team. We discussed recent trends in the global money markets, including the gradual shift back into Prime money funds in 2017 and how the pending European money fund reforms will affect how you should think about cash investments. JPMAM is the 3rd largest U.S. money fund manager and the 2nd largest MMF manager globally with over $250 billion in US assets and another $150+ billion in Europe and elsewhere. Our Q&A follows."

MFI says, "Tell us about your history and the current team at JPMAM. Przybylski comments, "I started working in the space as Chief Operating Officer and Chief Financial Officer for the J.P. Morgan Global Liquidity business around three years ago. Prior to that, I was CFO for the Global Fixed Income & Liquidity business for four years. Over the past three years, I was involved in various strategic projects, which included, among other things, product development and working directly with JD [John Donohue, CEO, Asset Management Americas and Head of Global Liquidity] and the team."

He adds, "The current Liquidity team includes: John Tobin, Global Head of Liquidity Portfolio Management; Dave Martucci, Global Head of Managed Reserves Strategy; Paula Stibbe, Global Head of Sales across Money Market Funds, Managed Reserves, and Short Duration Strategies; Jimmie Irby, Heads of Credit Risk Administration; and, Ted Ufferfilge, Head of Global Short-Term Fixed-Income Client Portfolio Managers."

Our "Private Liquidity Funds" update explains, "Two new papers review "Private Liquidity Funds," a little noticed segment of the money markets which recent SEC Statistics estimate at over $500 billion. The SEC's paper, "Private Liquidity Funds: Characteristics and Risk Indicators," says in its "Abstract," "At the end of 2015, $534 billion in assets were held by private liquidity funds or managed in their parallel accounts that follow similar investment mandates as money market mutual funds (MMFs), but are unregistered. Limited information is publically available about these funds that are in AUM terms roughly a quarter of the size of institutional MMFs. This white paper characterizes these private liquidity funds using data from Form PF and compares them to MMFs."

It continues, "The SEC also published, "Private Funds Statistics, Second Calendar Quarter 2016," which says, "This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings. Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers." (Note: Crane Data believes that the majority of these funds are securities lending reinvestment cash, and these "private liquidity funds" are not the same as some new ones that are being marketed to corporate investors.)"

In a sidebar, we discuss, "JP Morgan, BlackRock Say Time to Come Back to Prime," saying, "J.​P. Morgan Asset Management and BlackRock published briefs urging investors to reconsider Prime money market funds. JPM's lead piece, entitled, "Capitalizing on the prime opportunity," and subtitled, "A fresh look at the case for prime money market funds (MMFs)," explains, "​SEC amendments to Rule 2a-7 have spurred growing demand for government MMFs, resulting in a move away from prime MMFs. However, growing confidence in the operational stability of prime funds -- along with increasingly attractive spreads — is gearing up to entice investors back again."

Our April MFI XLS, with March 31, 2017, data, shows total assets decreased $25.2 billion in March to $2.741 trillion after increasing $51.5 billion in February, and decreasing $38.6 billion in January. Our broad Crane Money Fund Average 7-Day Yield was up 12 bps to 0.41% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 13 bps to 0.61% (7-day).

On a Gross Yield Basis (before expenses were taken out), the Crane MFA rose 0.11% to 0.81% and the Crane 100 rose 12 bps to 0.88%. Charged Expenses averaged 0.40% and 0.27% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 33 days (down 2 days from last month) and for the Crane 100 was 35 days (down 2 days from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Mar 14
 

The March issue of Crane Data's Bond Fund Intelligence, which was sent out to subscribers Tuesday, features the lead story, "Bond Fund Inflows Back w/a Vengeance in 2017 After Dip," which tells readers that, "Inflows into bond funds ... are running at one of their strongest paces ever." It also includes the interview, "Northern Trust's Morten Olsen Talks Ultra-Shorts." In addition, we recap the latest Bond Fund News, including briefs such as, "Bond Fund Returns Up Again in Feb.; Yields Flat, Down." BFI also includes our Crane BFI Indexes, averages and summaries of major bond fund categories. We excerpt from the latest issue below. (Contact us if you'd like to see a copy of our latest Bond Fund Intelligence and BFI XLS data spreadsheet.) Finally, we look forward to seeing those of you attending the inaugural Crane's Bond Fund Symposium next week (March 23-24) in Boston!

Our lead Bond Fund Intelligence story says, "Inflows into bond funds in the first 2 months of 2017 are running at one of their strongest paces ever. Based on the Investment Company Institute's numbers, bond funds have attracted over $72 billion YTD. This represents a stark contrast to the end of 2016, where we experienced a rare 2-month stretch of outflows. We take a more detailed look at the most recent flow data, as well as historical flows and asset trends, below.

It continues, "ICI's monthly "Trends" shows bond fund assets rising by $43.6 billion to $3.693 trillion in January. During 2016, bond fund assets rose by $235.9 billion, or 6.9%. The monthly ICI release says, "Bond funds had an inflow of $21.55 billion in January, compared with an outflow of $10.19 billion in December. Taxable bond funds had an inflow of $17.43 billion in January, versus an inflow of $7.46 billion in December. Municipal bond funds had an inflow of $4.13 billion in January, compared with an outflow of $17.64 billion in December."

Our latest fund "Profile" says, "This month, Bond Fund Intelligence speaks with Morten Olsen, Director of Ultra-Short Fixed Income at Northern Trust Asset Management. Olsen oversees Northern's ultra-short bond fund lineup, including the $2.1 billion Northern Ultra Short Fixed-Income (NUSFX) and the $3.5 billion Northern Tax-Advantaged Ultra-Short Fixed-Income (NTAUX). We discuss fund strategies, rates, risks and the future of ultra-short bond funds below. Olsen expects a very busy 2017 for the sector."

BFI asks, "How long have you been running ultra-shorts?" Olsen answers, "Northern Trust has been running ultra-short strategies since the late 1980's. Ultra-short is part of our broader liquidity management capabilities at Northern Trust Asset Management, which currently total approximately $225 billion in AUM. Our liquidity management capabilities include government and prime money market funds, as well as ultra-short strategies. Common across all these strategies is our conservative investment approach, which focuses on credit research and risk management. I have 13 years of experience in the fixed income industry. I joined Northern Trust back in 2009 in the London office, and in May of 2016 I took over as director of ultra-short based here in Chicago."

The piece also says, "Tell us about the funds. Olsen explains, "We have two mutual funds. They were started back in 2009 and have a combined AUM of $5.5 billion. The two funds differ in their strategies, and therefore attract a different client base. The taxable mutual fund focuses on corporate bonds and on Treasury securities, and the tax-advantaged fund focuses mainly on municipal securities but will also add corporate bonds. The tax-advantaged strategies will only add corporate bonds when the after-tax yields of these are favorable compared to a tax-free municipal bond."

He adds, "Ultra-short falls under our cash segmentation strategy, which is a way for our clients to bucket their cash. The three buckets are: operational cash, which is for day-to-day needs -- a client should typically be investing into a government fund for this portion; reserve cash, which is for intermediate needs -- this portion should be invested into a prime money market fund; then the last bucket, strategic cash. That's where ultra-short really becomes interesting. Strategic cash has a horizon of up to 6 to 18 months, and using an ultra-short strategy is a way for our clients to earn a bit higher yield while only taking limited additional risk. I think the important point here is we don't view ultra-short as a substitute for a money fund. We look at it as a complementary product."

Our Bond Fund News brief on "Bond Fund Returns" explains, "Returns rose across all of the Crane BFI Indexes. Our BFI Total Index averaged a 1-month return of 0.61% and gained 4.29% over 12 months. The BFI 100 had a return of 0.73% in Feb. and rose 5.15% over 1 year. The BFI Conservative Ultra-Short Index returned 0.02% and was up 1.17% over 1-year; the BFI Ultra-Short Index had a 1-month return of 0.13% and 1.81% for 12 mos. Our BFI Short-Term Index returned 0.24% and 2.99% for the month and past year. The BFI High Yield Index increased 1.06% in Feb. and is up 15.86% over 1 year."

Another brief, "ICI Says 46% Own Bond Funds," says, "The Investment Company Institute published, "Profile of Mutual Fund Shareholders, 2016," which shows that 43.6% of the 125.8 million U.S. households own mutual funds (54.8 million). Of these, 86% own equity funds, 35% own balanced funds, 46% own bond funds (up from 42% the previous year), and 55% own money funds. This means 25.2 million households own bond funds."

Finally, a sidebar entitled, "MStar on Low Risk Funds," explains, "Morningstar keeps the bond fund commentary coming with "8 Incredibly Low-Risk Bond Funds." This piece explains, "Low-risk bond funds are a handy thing. If you are putting away money for a near-term expenditure like tuition in a couple of years or a house in three years, low-risk bond funds, along with money markets and certificates of deposit, can serve a valuable purpose.... But you don't want to make them a big part of a long-term portfolio, as they might not even keep up with inflation."

Mar 10
 

Crane Data released its March Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Feb. 28, 2017, shows declines in Treasuries and Agencies, and increases in CP and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $18.1 billion to $2.647 trillion last month, after increasing by $7.2 billion in Jan., $34.7 billion in Dec., and $106.5 billion in Nov. Repo remained slightly larger than Treasuries and the largest portfolio segment, as Treasuries fell and Repo was flat. Agencies, which declined slightly, remained the third largest segment. CDs also rose and were 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 $29.3 billion (-3.7%) to $755.5 billion, or 28.5% of holdings, after falling $37.8 billion in January, $59.4 billion in Dec. and rising $101.6 billion in November. Repurchase Agreements (repo) rose $3.3 billion (0.4%) to $792.1 billion, or 29.9% of holdings, after falling $43.6 billion in January, rising $56.3 billion in Dec. and falling $21.1 billion in Nov. Government Agency Debt decreased $10.7 billion (-1.6%) to $677.0 billion, or 25.6% of all holdings, after rising $35.3 billion in January, falling $7.7 billion in Dec., but increasing $20.3 billion in Nov. Repo, Treasuries and Agencies in total continued to gradually retreat from December's record levels, but they still represent a massive 84% of all taxable holdings. Govt and Treasury MMFs lost assets and Prime MMFs increased slightly last month.

CDs, CP and Other (Time Deposits) segments all increased again last month. Certificates of Deposit (CDs) were up $5.5 billion (3.2%) to $175.5 billion, or 6.6% of taxable assets, after rising $22.4 in January, declining $0.2 billion in Dec., and $1.0 billion in Nov. Commercial Paper (CP) was up $10.4 billion (7.4%) to $150.9 billion, or 5.7% of holdings (after rising $16.9 billion in January and decreasing $9.5 billion in Dec.), while Other holdings, primarily Time Deposits, rose $3.9 billion (6.5%) to $63.7 billion, or 2.4% of holdings. (Time Deposits normally rise after quarter-end as Repo falls.) VRDNs held by taxable funds decreased by $1.1 billion (-3.4%) to $32.0 billion (1.2% of assets).

Prime money fund assets tracked by Crane Data rose to $532 billion (up from $515 billion last month), or 20.1% (up from 19.3%) of taxable money fund holdings' total of $2.647 trillion. Among Prime money funds, CDs represent a third of holdings at 33.0% (the same as 33.0% a month ago), followed by Commercial Paper at 28.2% (up from 27.3%). The CP totals are comprised of: Financial Company CP, which makes up 16.8% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 5.7%. Prime funds also hold 1.7% in US Govt Agency Debt, 7.4% in US Treasury Debt, 6.5% in US Treasury Repo, 3% in Other Instruments, 9.8% in Non-Negotiable Time Deposits, 5.6% in Other Repo, 1.6% in US Government Agency Repo, and 4.2% in VRDNs.

Government money fund portfolios totaled $1.496 trillion (56.5% of all MMF assets), down from $1.517 trillion in January, while Treasury money fund assets totaled another $618 billion (23.3%) in February, down from $633 billion the prior month. Government money fund portfolios were made up of 44.6% US Govt Agency Debt, 16.0% US Government Agency Repo, 17.9% US Treasury debt, and 20.6% in US Treasury Repo. Treasury money funds were comprised of 72.4% US Treasury debt, 27.4% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.114 trillion, or almost 80% (79.9%) of all taxable money fund assets, down from 80.7% last month.

European-affiliated holdings decreased $3.9 billion in February to $469.5 billion among all taxable funds (and including repos); their share of holdings decreased to 17.7% from 17.8% the previous month. Eurozone-affiliated holdings increased $1.9 billion to $330.9 billion in Feb.; they now account for 12.5% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $2.0 billion to $173.6 billion (6.6% of the total). Americas related holdings decreased $16.9 billion to $2.003 trillion and now represent 75.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $13.9 billion, or 2.8%, to $513.1 billion, or 19.4% of assets; US Government Agency Repurchase Agreements (down $7.2 billion to $249.1 billion, or 9.4% of total holdings), and Other Repurchase Agreements ($30.0 billion, or 1.1% of holdings, down $3.4 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $5.6 billion to $89.4 billion, or 3.4% of assets), Asset Backed Commercial Paper (up $0.7 billion to $30.9 billion, or 1.2%), and Non-Financial Company Commercial Paper (up $4.1 billion to $30.6 billion, or 1.2%).

The 20 largest Issuers to taxable money market funds as of Feb. 28, 2017, include: the US Treasury ($755.5 billion, or 28.5%), Federal Home Loan Bank ($505.4B, 19.1%), Federal Reserve Bank of New York ($175.6B, 6.6%), BNP Paribas ($101.3B, 3.8%), Federal Farm Credit Bank ($68.6B, 2.6%), Federal Home Loan Mortgage Co. ($64.2B, 2.4%), Credit Agricole ($59.0B, 2.2%), RBC ($53.0B, 2.0%), Wells Fargo ($52.2B, 2.0%), Societe Generale ($40.6B, 1.5%), Bank of America ($37.0B, 1.4%), Nomura ($36.8B, 1.4%), Federal National Mortgage Association ($36.6B, 1.4%), Mitsubishi UFJ Financial Group Inc. ($34.2B, 1.3%), JP Morgan ($31.2B, 1.2%), Bank of Montreal ($30.9B, 1.2%), Bank of Nova Scotia ($30.3B, 1.1%), Citi ($29.6B, 1.1%), HSBC ($27.6B, 1.0%), and Natixis ($27.1B, 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 ($175.6B, 22.2%), BNP Paribas ($90.5B, 11.4%), Credit Agricole ($45.7B, 5.8%), RBC ($41.9B, 5.3%), Wells Fargo ($41.1B, 5.2%), Nomura ($36.8B, 4.6%), Societe Generale ($33.8B, 4.3%), Bank of America ($33.0B, 4.2%), JP Morgan ($25.6B, 3.2%), and Citi ($23.2B, 2.9%). The 10 largest Fed Repo positions among MMFs on 2/28 include: Northern Trust Trs MMkt ($15.1B), Fidelity Cash Central Fund ($13.5B), JP Morgan US Govt ($12.6B), Vanguard Market Liquidity Fund ($7.1B), State Street Inst US Gvt ($6.8B), Northern Inst Gvt Select ($6.5B), First American Gvt Oblg ($6.3B), Morgan Stanley Inst Lq Gvt Sec ($6.3B), Goldman Sachs FS Gvt ($6.1B), and Dreyfus Govt Cash Mgmt ($6.0B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($15.2B, 4.4%), Credit Agricole ($13.3B, 3.9%), Toronto-Dominion Bank ($13.1B, 3.8%), Bank of Montreal ($11.4B, 3.3%), Canadian Imperial Bank of Commerce ($11.1B, 3.2%), Wells Fargo ($11.1B, 3.2%), RBC ($11.1B, 3.2%), Natixis ($10.9B, 3.2%), BNP Paribas ($10.9B, 3.2%), and Swedbank ($10.2B, 3.0%).

The 10 largest CD issuers include: Toronto-Dominion Bank ($12.6B, 7.2%), Bank of Montreal ($11.0B, 6.3%), Wells Fargo ($10.8B, 6.2%), Mitsubishi UFJ Financial Group Inc. ($10.6B, 6.1%), Sumitomo Mitsui Banking Co ($7.8B, 4.5%), Svenska Handelsbanken ($7.5B, 4.3%), RBC ($6.7B, 4.3%), Sumitomo Mitsui Trust Bank ($6.5B, 3.7%), KBC Group NV ($6.2B, 3.5%), and Mizuho Corporate Bank Ltd ($6.0B, 3.4%). The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.7B, 5.8%), Credit Agricole ($6.3B, 4.7%), Societe Generale ($6.2B, 4.7%), BNP Paribas ($5.6B, 4.2%), Westpac Banking Co ($5.5B, 4.1%), Bank of Nova Scotia ($5.3B, 4.0%), National Australia Bank Ltd ($4.9B, 3.7%), JP Morgan ($4.5B, 3.4%), Swedbank AB ($4.4B, 3.3%), and General Electric ($4.3B, 3.2%).

The largest increases among Issuers include: The Federal Reserve Bank of New York (up $19.9B to $175.6B), Bank of Montreal (up $4.4B to $30.9B), Natixis (up $3.7B to $27.1B), Federal National Mortgage Association (up $3.5B to $36.6B), Canadian Imperial Bank of Commerce (up $3.1B to $16.2B), DnB NOR Bank ASA (up $2.0B to $9.8B), Swedbank AB (up $2.0B to $10.2B), Bank of America (up $1.8B to $37.0B), Toronto-Dominion Bank (up $1.8B to $23.6B), and Goldman Sachs (up $1.3B to $14.5B).

The largest decreases among Issuers of money market securities (including Repo) in February were shown by: The US Treasury (down $29.3B to $755.5B), Federal Home Loan Bank (down $11.0B to $505.4B), Credit Suisse (down $10.0B to $14.3B), JP Morgan (down $8.5B to $31.2B), Barclays PLC (down $2.9B to $26.4B), Mitsubishi UFJ Financial Group Inc (down $2.8B to $34.2B), Bank of Nova Scotia (down $2.1B to $30.3B), Federal Home Loan Mortgage Co (down $2.0B to $64.2B) and HSBC (down $2.0B to $27.6B).

The United States remained the largest segment of country-affiliations; it represents 69.6% of holdings, or $1.841 trillion. France (9.2%, $242.4B) remained in second place ahead of Canada (6.1%, $161.5B) in 3rd. Japan (4.8%, $127.0B) stayed in fourth, while the United Kingdom (2.5%, $66.1B) remained in fifth place. Germany (1.6%, $42.7B) ranked sixth, ahead of Sweden (1.5%, $40.0B), Australia (1.4%, $36.9B), The Netherlands (1.3%, $35.0B) and Switzerland (0.8%, $19.9B). (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 Feb. 28, 2017, Taxable money funds held 29.9% (up from 29.3%) of their assets in securities maturing Overnight, and another 14.8% maturing in 2-7 days (up from 14.2%). Thus, 44.7% in total matures in 1-7 days. Another 19.3% matures in 8-30 days, while 11.7% matures in 31-60 days. Note that over three-quarters, or 75.7% 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 10.0% of taxable securities, while 10.0% matures in 91-180 days, and just 4.3% matures beyond 180 days.