Money Fund Intelligence XLS

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Money Fund Intelligence XLS News

Jul 21
 

This month, our Money Fund Intelligence newsletter quotes from our recent Money Fund Symposium keynote speech with Martin Flanagan, CEO & President of Atlanta-based Invesco. We discussed a number of important topics in the asset management, money fund, and product development spheres. An edited transcript from the session follows. This interview is reprinted from the July issue of our flagship MFI newsletter; contact us at info@cranedata.com to request the full issue.

MFI: Tell us about your history? Flanagan: My family had been in the commodities business for many, many years ... so the markets and international business were always an interest.... I ended up at Templeton way back when, and I've stayed [in investment management] ever since. I think for all of us, it's a great industry. It's a dynamic industry, and it's just a fascinating time. I think the advice I would give is to continue doing what we do. We are fiduciaries to our clients. As long as we keep our clients first, we're all going to do well.... Atlanta is a phenomenal place.... It is a fantastic city, very dynamic, an incredible business community, arts, sports community, and very welcoming.... So, come on down.

MFI: What's the current state of asset management? Flanagan: It's an incredibly important industry. There is an absolute need for what we do.... It's a growing industry. But we all know it's going through dramatic changes right now. It has signs of a maturing industry and the competition that comes along with [that].... The winners will probably look different in 5 years than they were 5-10 years ago. But that said, I think it's a great industry.

Flanagan continues: You've seen this big move into passive, and an extended period of time of [this] low-rate environment. So that's really caused a lot of firms to do self-reflection.... I think if you look at it today and ask the question, 'What do you really need?' Clients are moving much more towards achieving outcomes, and this really [calls for a] combination of active and passive alternatives, and this whole array of solutions. So to be a firm, you have to be broad, you have to be deep.... It is an environment that if you can't invest where the market is going right now or where the clients are going, it's been really difficult.... You need a suite of capabilities, you need to have deep relationships ... clients are wanting to work with fewer people.

MFI: What about the new Administration and regulatory relief? Flanagan: First of all, I think what is really important is good, thoughtful regulations that protects our clients and all of us.... My personal view is post the crisis ... over regulation and multiple layers of regulations ... has been just stifling [and caused] unintended consequences.... So I think to step back and take a look at the regulations that are in place and [to see where] we could create relief [is a] good idea.... Just the notion of a slowdown of new regulations I think is really important. I don't see the elimination of a lot of regulation, but [a reduction would be a] positive for us as an industry. Some of the regulations, I think some of us would say are not very helpful. If you could eliminate them, that would be a great thing. But I don't know if that's going to happen.

MFI: What about rising rates in general? Flanagan: We have some of the short duration funds and the ultra-funds that are coming out. I think that [this] is a pretty [good space] to be right now. Not knowing, but sensing that rates are going to go up, things like bank loans are [probably] very appropriate right now. [Other] opportunities [include] things like real estate and commodities.

MFI: What have been your keys to success in the money fund industry? Flanagan: Everybody [here] is committed to the money market industry. There is an absolute need.... That has not changed. I think it has been hard for all of us with the regulations [first] in the United Stated [that has now] moved to different parts of the world. I think we all, collectively, are starting to get a handle on it, which is good. It has forced all of us to look more broadly at the capabilities that we offer, and I think that is not a bad thing. It was a nice to have just funds in the past. Now, that is not going to work. We have the notion of private accounts, SMAs, ETFs, these ultra-shorts. So, the industry I think continues to be really quite thoughtful and deliberate in meeting those evolving needs.

He adds: These [changes] are not limited to the States. We have some pending regulation in Europe, obviously. But again, it feels like all of us should be able to navigate it based on what's happened in the States. And there are opportunities in markets like China which is really quite fascinating. [It's a] little nerve wracking [due to the] the lack of regulation. [But] I think for a lot of us that have global businesses, being able to follow our corporates around the world in different markets ... those are really good opportunities for us.

MFI: Tell us about your history in the money fund space? Flanagan: We as a firm recognized the client need and the importance of it, and we continue to evolve. As the firm became more global in nature, we built a global liquidity business off the back of it. If you're here today in this room, if you're in the liquidity business, it's a very different business than it was pre-crisis. The costs have gone up, the demands have gone up, the capabilities have gone up.... If you look at the numbers ... there were 150 providers before the crisis, there are like 70 today. It's become concentrated because of the risk and the investments that you need to [stay in the business]. Again, I think that it is a very good opportunity, but because of the regulatory environment the players have narrowed.

Flanagan states, My view is: I think we all thought we had it right before the crisis. [But] I'd say Round One of the money fund reform probably ... was enough. I think Round Two was a mistake. Just look at what's happened since it's been implemented. We have lost a trillion dollars on prime funds.... Yes, it strengthened the industry, and I think that is a healthy thing. But borrowing costs have gone up [for] commercial paper ... and municipalities.... That's my personal view.

MFI: What was the toughest part of the reforms? Flanagan: You had to ask, 'Are we in or are we out?' If you were in, you knew you signed up for a lot of hard work.... What I admire about the industry is everybody here locked thumbs and asked, 'How do we do this? How do we get this right?' I think that is one of the strengths of this industry.... I personally found it much more difficult when we were going through the [pre-]reform periods because it was a moving target what the end game was.... I just found it hard from the standpoint of Round Two -- it was regulation with no purpose.

MFI: Do you think Government assets will return to prime? Flanagan: I think we all have the common wisdom that no time soon is that going to happen. What could really change is it might change at the retail level. If yields get attractive, and people understand what it means with fees and gates, and you could actually see some money going in there. Not an avalanche, but.... It's still too early.

MFI: What about global issues? Flanagan: I think European Regulations are [sort of] the same thing ... [reacting to] perceived risk in the market. I think the good news is they've picked up some tips from here. There's a framework and it's somewhat different on the margins, but that's probably a good thing.... Brexit's another topic. So many of the funds are domiciled in Ireland, but it's unclear what the ultimate answer will be. You'll probably have to incorporate your funds back into the U.K.... But this is not, I promise you, this is not the top [concern] right now [of European and U.K. politicians], which is probably a good thing.

MFI: Any thoughts on money funds in China? Flanagan: We have a very strong local money fund business in China, and it's been something that our other team has gotten [involved] much more recently. It was growing rapidly, and [regulations maybe haven't kept pace]. If you apply regulations like the United States, you basically are not competitive. We try to strike the balance and engage with regulators, and that's what we've done. So I so think that the regulation is going to start to move and be helpful.... But China for us is a very interesting market.

MFI: Any last thoughts? Flanagan: As much as [the business] changed, it's not changed. It's a great opportunity [for] I really think all of us who are working to meet the client's needs. Yes, it's more costly, yes it's more expensive. But the opportunity is there. It's no different than any other parts of our business, if we are thoughtful and understand what our clients want [we'll do well]. So we want to do well, collectively, for our clients.

Jul 13
 

Crane Data released its July Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of June 30, 2017, shows yet another increase in Repo but declines in all other composition segments. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $60.8 billion to $2.631 trillion last month, after increasing $59.8 billion in May, decreasing $3.2 billion in April, and decreasing $11.8 billion in March. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs decreased and 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, Repurchase Agreements (repo) rose $12.4 billion (1.3%) to $954.4 billion, or 36.3% of holdings, after rising $83.7 billion in May, $24.6 billion in April, and $41.6 billion in March. Treasury securities fell $31.4 billion (-4.7%) to $641.6 billion, or 24.4% of holdings, after falling $27.5 billion in May, $53.5 billion in April, and $1.6 billion in March. Government Agency Debt decreased $1.7 billion (-0.3%) to $628.6 billion, or 23.9% of all holdings, after decreasing $1.4 billion in May, rising $4.0 billion in April, and decreasing again $49.3 billion in March. Repo, Treasuries and Agencies total $2.224 trillion and still represent a massive 84.6% of all taxable holdings.

CDs and CPs decreased slightly last month, along with Other (Time Deposits) securities. Certificates of Deposit (CDs) decreased $19.5 billion (-10.8%) to $160.8 billion, or 6.1% of taxable assets, after remaining unchanged in May, increasing $8.1 billion in April, and decreasing $3.3 billion in March. Commercial Paper (CP) was down $0.5 billion (-0.3%) to $158.8 billion, or 6.0% of holdings (after decreasing $0.9 billion in May, increasing $10.4 billion in April, and declining $1.3 billion in March). Other holdings, primarily Time Deposits, declined $11.8 billion (-13.9%) to $73.1 billion, or 2.8% of holdings. VRDNs held by taxable funds decreased by $8.3 billion (-37.7%) to $13.6 billion (0.5% of assets).

Prime money fund assets tracked by Crane Data decreased to $575 billion (down from $578 billion last month), or 21.3% (down from 21.5%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent just under a third of holdings at 28.0% (down from 31.2% a month ago), followed by Commercial Paper at 27.6% (up from 27.5%). The CP totals are comprised of: Financial Company CP, which makes up 16.9% of total holdings, Asset-Backed CP, which accounts for 6.5%, and Non-Financial Company CP, which makes up 4.2%. Prime funds also hold 1.7% in US Govt Agency Debt, 6.8% in US Treasury Debt, 14.3% in US Treasury Repo, 0.4% in Other Instruments, 10.3% in Non-Negotiable Time Deposits, 5.0% in Other Repo, 2.5% in US Government Agency Repo, and 1.5% in VRDNs.

Government money fund portfolios totaled $1.451 trillion (53.9% of all MMF assets), down from $1.477 trillion in May, while Treasury money fund assets totaled another $605 billion (22.4%), down from $637 billion the prior month. Government money fund portfolios were made up of 42.6% US Govt Agency Debt, 16.7% US Government Agency Repo, 13.0% US Treasury debt, and 27.2% in US Treasury Repo. Treasury money funds were comprised of 68.4% US Treasury debt, 31.5% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.056 trillion, or 76.3% of all taxable money fund assets, down from 78.5% last month.

European-affiliated holdings decreased $13.0 billion in June to $405.5 billion among all taxable funds (and including repos); their share of holdings decreased to 15.4% from 19.9% the previous month. Eurozone-affiliated holdings decreased $10.1 billion to $252.3 billion in June; they account for 9.6% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $2.1 billion to $202.0 billion (7.7% of the total). Americas related holdings increased $66 billion to $2.022 trillion and now represent 76.8% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $31.7 billion, or 5.0%, to $666.9 billion, or 25.3% of assets; US Government Agency Repurchase Agreements (down $21.2 billion to $256.5 billion, or 9.7% of total holdings), and Other Repurchase Agreements ($31.0 billion, or 1.2% of holdings, up $1.9 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $1.8 billion to $97.0 billion, or 3.7% of assets), Asset Backed Commercial Paper (up $3.7 billion to $37.4 billion, or 1.4%), and Non-Financial Company Commercial Paper (down $2.3 billion to $24.3 billion, or 0.9%).

The 20 largest Issuers to taxable money market funds as of June 30, 2017, include: the US Treasury ($641.6 billion, or 25.4%), Federal Home Loan Bank ($480.8B, 19.0%), Federal Reserve Bank of New York ($357.6B, 14.1%), BNP Paribas ($91.1B, 3.6%), RBC ($65.6B, 2.6%), Federal Farm Credit Bank ($64.0B, 2.5%), Federal Home Loan Mortgage Co. ($53.8B, 2.1%), Wells Fargo ($50.9B, 2.0%), Nomura ($50.7B, 2.0%), HSBC ($46.9B, 1.9%), Bank of America ($39.0B, 1.5%), Mitsubishi UFJ Financial Group Inc. ($38.4B, 1.5%), Citi ($32.4B, 1.3%), Bank of Nova Scotia ($32.1B, 1.3%), Bank of Montreal ($31.8B, 1.3%), Toronto-Dominion Bank ($30.6B, 1.2%), Societe Generale ($29.2B, 1.2%), Federal National Mortgage Association ($28.1B, 1.1%), JP Morgan ($23.8B, 0.9%), and ING Bank ($23.0B, 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 ($357.6B, 37.5%), BNP Paribas ($79.2B, 8.3%), Nomura ($50.7B, 5.3%), RBC ($50.5B, 5.3%), HSBC ($41.7B, 4.4%), Wells Fargo ($41.0B, 4.3%), Bank of America ($33.8B, 3.5%), Societe Generale ($23.5B, 2.5%), Citi ($22.0B, 2.3%), and Mitsubishi UFJ Financial Group Inc ($21.5B, 2.2%).

The 10 largest Fed Repo positions among MMFs on 6/30 include: Fidelity Cash Central Fund ($23.9B), JP Morgan US Govt ($22.0B), Federated Gvt Oblg ($17.0B), Fidelity Sec Lending Cash Central ($16.8B), Vanguard Market Liquidity Fund ($16.7B), Northern Trust Trs MMkt ($16.5B), Fidelity Inv MM: Govt Port ($15.8B), Dreyfus Govt Cash Mngt ($15.0B), Vanguard Prime MMkt Fund ($14.2B), and Goldman Sachs FS Gvt ($13.1B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($17.0B, 4.9%), Svenska Handelsbanken ($15.5B, 4.5%), RBC ($15.1B, 4.4%), Bank of Montreal ($14.0B, 4.1%), Toronto-Dominion Bank ($13.8B, 4.0%), Bank of Nova Scotia ($12.5B, 3.6%), Sumitomo Mitsui Banking Co ($12.0B, 3.5%), BNP Paribas ($11.9B, 3.4%), Nordea Bank ($11.5B, 3.3%), and Canadian Imperial Bank of Commerce ($11.2B, 3.3%).

The 10 largest CD issuers include: Bank of Montreal ($13.2B, 8.3%), Toronto-Dominion Bank ($13.0B, 8.1%), Mitsubishi UFJ Financial Group Inc ($12.5B, 7.8%), Sumitomo Mitsui Banking Co ($10.8B, 6.7%), RBC ($9.4B, 5.9%), Wells Fargo ($9.3B, 5.8%), Citi ($7.8B, 4.9%), Svenska Handelsbanken ($7.3B, 4.6%), Sumitomo Mitsui Trust Bank ($5.8B, 3.7%) and Mizuho Corporate Bank Ltd ($5.3B, 3.3%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Bank of Nova Scotia ($7.6B, 5.5%), Commonwealth Bank of Australia ($7.0B, 5.0%), Westpac Banking Co ($6.8B, 4.8%), JP Morgan ($6.2B, 4.5%), Canadian Imperial Bank of Commerce ($6.1B, 4.3%), National Australia Bank Ltd ($5.8B, 4.1%), Societe Generale ($5.3B, 3.8%), BNP Paribas ($4.8B, 3.5%), RBC ($4.8B, 3.4%) and Credit Agricole ($4.7B, 3.3%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $115.8B to $357.6B), RBC (up $5.8B to $65.6B), Sumitomo Mitsui Banking Co (up $4.9B to $22.5B), Svenska Handelsbanken (up $4.9B to $15.5B), Canadian Imperial Bank of Commerce (up $3.7B to $20.4B), Nordea Bank (up $3.4B to $11.5B), Bank of America (up $1.9B to $39.0B), Federal Home Loan Bank (up $1.9B to $480.8B), UBS AG (up $1.4B to $8.1B) and HSBC (up $1.3B to $46.9B).

The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Credit Agricole (down $40.4B to $22.4B), US Treasury (down $31.4 to $641.6B), Barclays PLC (down $15.5B to $14.2B), Credit Suisse (down $14.4B to $8.7B), Societe Generale (down $14.0B to $29.2B), JP Morgan (down $10.8B to $23.8B), BNP Paribas (down $10.6B to $91.1B), Natixis (down $9.9B to $19.6B), Goldman Sachs (down $6.1B to $14.2B), and Skandinaviska Enskilda Banken AB (down $6.0B to $6.3B.

The United States remained the largest segment of country-affiliations; it represents 69.7% of holdings, or $1.833 trillion. Canada (7.2%, $189.6B) moved up to second place ahead of France (6.5%, $171.1B) in 3rd. Japan (5.7%, $149.2B) stayed in fourth, while the United Kingdom (3.1%, $82.1B) remained in fifth place. Sweden (1.6%, $41.8B) moved into sixth place ahead of The Netherlands (1.5%, $40.3B), Australia (1.5%, $38.7B) and Germany (1.3%, $34.6B). Switzerland (0.7%, $19.0B) ranked tenth. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)

As of June 30, 2017, Taxable money funds held 36.5% (up from 35.8%) of their assets in securities maturing Overnight, and another 13.5% maturing in 2-7 days (down from 14.7%). Thus, 50.0% in total matures in 1-7 days. Another 17.7% matures in 8-30 days, while 10.3% matures in 31-60 days. Note that over three-quarters, or 78.0% of securities, mature in 60 days or less (down slightly 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 10.6% of taxable securities, while 9.5% matures in 91-180 days, and just 2.0% matures beyond 181 days.

Jul 10
 

The July issue of our flagship Money Fund Intelligence newsletter, which was sent to subscribers Monday morning, features the articles: "Prime, Alternates, Business as Usual Hot Topics in Atlanta," which quotes highlights from our recent Money Fund Symposium conference in Atlanta, "Invesco's Flanagan Keynotes Money Fund Symposium," which reviews the Keynote speech from Invesco CEO & President Martin Flanagan, and, "Worldwide MMF Assets Up: US, China Drop; India Rising?" which reviews ICI's latest quarterly global statistics. We have also updated our Money Fund Wisdom database with June 30, 2017, statistics, and sent out our MFI XLS spreadsheet Monday a.m. (MFI, MFI XLS and our Crane Index products are all available to subscribers via our Content center.) Our July Money Fund Portfolio Holdings are scheduled to ship Wednesday, July 12, and our July Bond Fund Intelligence is scheduled to go out Monday, July 17.

MFI's "Prime, Alternates, Business as Usual" article says, "Our recent Money Fund Symposium in Atlanta, which attracted 550 money fund and money market professionals last month, featured a number of industry heavyweights discussing a host of important topics. The biggest questions this year included: Will Prime survive and recover? Will higher rates and the lack of further change return money funds to business as usual? And, will alternatives such as private funds or ultra-short bond funds take root and begin to attract significant amounts of assets? We quote from a number of sessions and speakers on these issues below."

The piece continues, "First we take some comments from the session, "Major Money Fund Issues 2017," moderated by Peter Crane and featuring Tracy Hopkins from Dreyfus BNY Mellon CIS, Pat O’Callaghan from Goldman Sachs A.M., and Jeff Weaver from Wells Fargo Funds. Hopkins comments, "What we're kind of seeing and hearing is now is that we finally have some yield spread between products [and that] there is some new interest back into prime funds.... I think the movement from government funds back into prime funds is going to be slow. But now that there's about a 30 to 33 basis points spread, you're just gaining interest again.... We are starting to see prime funds starting to take in assets. Overall the prime MMF space is up about 9% YTD, and the institutional prime MMF space is up about 28%."

Flanagan's speech reads, "Crane's Money Fund Symposium 2017 opened with a Q&A with Martin Flanagan, CEO & President of Atlanta-based Invesco, one of the largest pure asset managers in the world. Flanagan's keynote, entitled, "The Elevation of Money Market Funds," discussed a number of important topics in the asset management, money fund, and product development spheres. An edited transcript from the session follows."

Crane says, "Tell us about your history. Flanagan responds, "My family had been in the commodities business for many, many years ... so the markets and international business were always an interest.... I ended up at Templeton way back when, and I've stayed [in investment management] ever since. I think for all of us, it's a great industry. It's a dynamic industry, and it's just a fascinating time. I think the advice I would give is to continue doing what we do. We are fiduciaries to our clients. As long as we keep our clients first, we're all going to do well.... Atlanta is a phenomenal place.... It is a fantastic city, very dynamic, an incredible business community, arts, sports community, and very welcoming.... So, come on down."

Crane also asks, "What's the current state of asset management?" He tells us, "It's an incredibly important industry. There is an absolute need for what we do.... It's a growing industry. But we all know it's going through dramatic changes right now. It has signs of a maturing industry and the competition that comes along with [that].... The winners will probably look different in 5 years than they were 5-10 years ago. But that said, I think it's a great industry."

Flanagan continues, "You've seen this big move into passive, and an extended period of time of [this] low-rate environment. So that's really caused a lot of firms to do self-reflection.... I think if you look at it today and ask the question, 'What do you really need?' Clients are moving much more towards achieving outcomes, and this really [calls for a] combination of active and passive alternatives, and this whole array of solutions. So to be a firm, you have to be broad, you have to be deep.... It is an environment that if you can't invest where the market is going right now or where the clients are going, it's been really difficult.... You need a suite of capabilities, you need to have deep relationships ... clients are wanting to work with fewer people."

Our "Worldwide" update explains, "The Investment Company Institute released its "Worldwide Regulated Open-​End Fund Assets and Flows First Quarter 2017" recently. The latest data collection on mutual funds in other countries (as well as the U.S.) shows that money fund assets globally rose by $127.3 billion, or 2.5%, in Q1'17, though U.S. and Chinese money funds fell. MMF assets worldwide have increased by $161.5 billion, or 3.2%, the past 12 months. Japan, France and Korea showed the biggest asset increases in Q1'17, while Japan, Luxembourg, France and Brazil showed the largest increases over 12 months. China, the U.S., Belgium and Sweden posted the largest declines over the past year. We review the latest Worldwide MMF totals below."

It continues, "Money market fund assets increased by 0.4 percent globally to $5.15 trillion.... Money market fund assets represented 12 percent of the worldwide total.... Money market funds worldwide experienced an inflow of $29 billion in the first quarter of 2017 after registering an inflow of $96 billion in the fourth quarter of 2016."

In a sidebar, we discuss, "Dreyfus' Survey on Prime," and write, "A release entitled, "Prime Money Market Inflows Expected to Accelerate, Finds Dreyfus Survey," says, "Widening spreads are luring more capital back to higher yielding prime funds, according to a survey of more than 100 money market professionals and investors conducted by BNY Mellon Cash Investment Strategies (​CIS), a division of The Dreyfus Corporation."

Our July MFI XLS, with June 30, 2017, data, shows total assets decreased $15.0 billion in June to $2.801 trillion after increasing $20.3 billion in May and $68.9 billion in April, but decreasing $25.2 billion in March. (Note that we added $67.3 billion in new funds in April.) Our broad Crane Money Fund Average 7-Day Yield was up 13 bps to 0.62% for the month, while our Crane 100 Money Fund Index (the 100 largest taxable funds) was up 13 bps to 0.81% (7-day).

On a Gross Yield Basis (7-Day) (before expenses were taken out), the Crane MFA rose 0.13% to 1.06% and the Crane 100 rose 13 bps to 1.09%. Charged Expenses averaged 0.43% and 0.29% for the Crane MFA and Crane 100, respectively. The average WAM (weighted average maturity) for the Crane MFA was 31 days (up 2 days from last month) and for the Crane 100 was 32 days (up 2 days from last month). (See our Crane Index or craneindexes.xlsx history file for more on our averages.)

Jun 12
 

Crane Data released its June Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of May 31, 2017, shows yet another jump in Repo (and Time Deposits) and a sharp decline in Treasuries. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $59.8 billion to $2.692 trillion last month, after decreasing $3.2 billion in April, $11.8 billion in March and $18.1 billion in February. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were flat and 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, Repurchase Agreements (repo) rose $83.7 billion (9.8%) to $942.0 billion, or 35.0% of holdings, after rising $24.6 billion in April, $41.6 billion in March, and $3.3 billion in February. Treasury securities fell $27.5 billion (-3.9%) to $672.9 billion, or 25.0% of holdings, after falling $53.5 billion in April, $1.6 billion in March, and $29.3 billion in February. Government Agency Debt decreased $1.4 billion (-0.2%) to $630.3 billion, or 23.4% of all holdings, after rising $4.0 billion in April, decreasing $49.3 billion in March and $10.7 billion in February. Repo, Treasuries and Agencies total $2.245 trillion and still represent a massive 83.4% of all taxable holdings.

CDs remained unchanged and CP decreased slightly last month, while Other (Time Deposits) securities increased. Certificates of Deposit (CDs) were unchanged (0.00%) at $180.3 billion, or 6.7% of taxable assets, after increasing $8.1 billion in April, decreasing $3.3 billion in March, and rising $5.5 billion in February. Commercial Paper (CP) was down $0.9 billion (-0.5%) to $159.2 billion, or 5.9% of holdings (after increasing $10.4 billion in April, declining $1.3 billion in March, and rising $10.4 billion in February). Other holdings, primarily Time Deposits, rose $9.9 billion (13.2%) to $84.9 billion, or 3.2% of holdings. VRDNs held by taxable funds decreased by $4.0 billion (-15.4%) to $21.9 billion (0.8% of assets).

Prime money fund assets tracked by Crane Data rose to $578 billion (up from $548 billion last month), or 21.5% (up from 20.8%) of taxable money fund holdings' total of $2.692 trillion. Among Prime money funds, CDs represent just under a third of holdings at 31.2% (down from 32.9% a month ago), followed by Commercial Paper at 27.5% (down from 29.2%). The CP totals are comprised of: Financial Company CP, which makes up 17.1% of total holdings, Asset-Backed CP, which accounts for 5.8%, and Non-Financial Company CP, which makes up 4.6%. Prime funds also hold 1.7% in US Govt Agency Debt, 6.0% in US Treasury Debt, 10.1% in US Treasury Repo, 2.5% in Other Instruments, 11.9% in Non-Negotiable Time Deposits, 5.0% in Other Repo, 2.0% in US Government Agency Repo, and 2.1% in VRDNs.

Government money fund portfolios totaled $1.477 trillion (54.9% of all MMF assets), down from $1.481 trillion in April, while Treasury money fund assets totaled another $637 billion (23.7%), up from $603 billion the prior month. Government money fund portfolios were made up of 42.0% US Govt Agency Debt, 17.9% US Government Agency Repo, 13.7% US Treasury debt, and 25.6% in US Treasury Repo. Treasury money funds were comprised of 68.5% US Treasury debt, 31.2% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.114 trillion, or 78.5% of all taxable money fund assets, down from 79.2% last month.

European-affiliated holdings increased $15.7 billion in May to $535.5 billion among all taxable funds (and including repos); their share of holdings increased to 19.9% from 19.8% the previous month. Eurozone-affiliated holdings increased $9.5 billion to $353.1 billion in May; they account for 13.1% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $1.6 billion to $199.9 billion (7.4% of the total). Americas related holdings increased $42 billion to $1.956 trillion and now represent 72.7% of holdings.

The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $88.0 billion, or 16.1%, to $635.2 billion, or 23.6% of assets; US Government Agency Repurchase Agreements (down $2.3 billion to $277.7 billion, or 10.3% of total holdings), and Other Repurchase Agreements ($29.1 billion, or 1.1% of holdings, down $2.0 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $0.7 billion to $98.9 billion, or 3.7% of assets), Asset Backed Commercial Paper (up $0.6 billion to $33.7 billion, or 1.3%), and Non-Financial Company Commercial Paper (down $0.7 billion to $26.7 billion, or 1.0%).

The 20 largest Issuers to taxable money market funds as of May 31, 2017, include: the US Treasury ($672.9 billion, or 25.0%), Federal Home Loan Bank ($478.9B, 17.8%), Federal Reserve Bank of New York ($241.8B, 9.0%), BNP Paribas ($101.7B, 3.8%), Federal Farm Credit Bank ($64.2B, 2.4%), Credit Agricole ($62.8B, 2.3%), RBC ($59.8B, 2.2%), Federal Home Loan Mortgage Co. ($52.7B, 2.0%), Nomura ($50.8B, 1.9%), Wells Fargo ($50.0B, 1.9%), HSBC ($45.6B, 1.7%), Societe Generale ($43.3B, 1.7%), Mitsubishi UFJ Financial Group Inc. ($42.3B, 1.6%), Bank of America ($37.1B, 1.4%), Bank of Montreal ($34.7B, 1.4%), JP Morgan ($34.5B, 1.3%), Federal National Mortgage Association ($33.2B, 1.2%), Citi ($31.6B, 1.2%), Toronto-Dominion Bank ($31.5B, 1.2%), and Bank of Nova Scotia ($31.2B, 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 ($241.8B, 25.7%), BNP Paribas ($89.1B, 9.5%), Nomura ($50.8B, 5.4%), RBC ($47.4B, 5.0%), Credit Agricole ($47.1B, 5.0%), HSBC ($40.3B, 4.3%), Wells Fargo ($39.4B, 4.2%), Societe Generale ($36.5B, 3.9%), Bank of America ($32.1B, 3.4%), and JP Morgan ($27.8B, 2.9%).

The 10 largest Fed Repo positions among MMFs on 5/31 include: Fidelity Cash Central Fund ($19.0B), Northern Trust Trs MMkt ($16.5B), Fidelity Inv MM: Govt Port ($14.9B), Fidelity Govt Cash Reserves ($14.2B), Fidelity Sec Lending Cash Central ($11.8B), Morgan Stanley Inst Lq Gvt Sec ($11.6B), Fidelity Govt Money Market ($10.5B), BlackRock Lq FedFund ($10.0B), Vanguard Market Liquidity Fund ($9.3B), and Fidelity Inv MM: Treasury Port ($8.4B).

The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($18.5B, 5.0%), Credit Agricole ($15.6B, 4.2%), Toronto-Dominion Bank ($13.9B, 3.7%), BNP Paribas ($12.6B, 3.4%), RBC ($12.4B, 3.3%), Bank of Montreal ($12.3B, 3.3%), Svenska Handelsbanken ($12.3B, 3.3%), DnB NOR Bank ASA ($10.8B, 2.9%), Swedbank AB ($10.7B, 2.9%), and Wells Fargo ($10.6B, 2.8%).

The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($13.3B, 7.5%), Toronto-Dominion Bank ($12.3B, 6.9%), Bank of Montreal ($11.9B, 6.6%), Wells Fargo ($10.3B, 5.7%), Sumitomo Mitsui Banking Co ($9.1B, 5.1%), RBC ($8.3B, 4.7%), Sumitomo Mitsui Trust Bank ($6.7B, 3.7%), Citi ($6.6B, 3.7%), Landesbank Baden-Wurttemberg ($6.5B, 3.6%), and UBS AG ($6.5B, 3.6%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($7.8B, 5.5%), Bank of Nova Scotia ($6.8B, 4.8%), Credit Agricole ($6.6B, 4.7%), Societe Generale ($6.5B, 4.6%), JP Morgan ($6.1B, 4.4%), National Australia Bank Ltd ($6.0B, 4.2%), Westpac Banking Co ($5.9B, 4.2%), Canadian Imperial Bank of Commerce ($5.7B, 4.1%), BNP Paribas ($4.7B, 3.3%), and Swedbank AB ($4.6B, 3.2%).

The largest increases among Issuers include: Federal Reserve Bank of New York (up $80.6B to $241.8B), HSBC (up $11.7B to $45.6B), Nomura (up $7.3B to $50.8B), Federal Home Loan Bank (up $5.8B to $478.9B), Bank of Montreal (up $4.1B to $34.7B), Toronto-Dominion Bank (up $3.8B to $31.5B), Credit Agricole (up $2.9B to $62.8B), Skandinaviska Enskilda Banken AB (up $2.6B to $12.3B), and ING Bank (up $2.2B to $23.2B).

The largest decreases among Issuers of money market securities (including Repo) in May were shown by: US Treasury (down $27.5B to $672.9B), Societe Generale (down $7.7 to $43.3B), Mizuho Corporate Bank Ltd (down $5.7B to $17.6B), Barclays PLC (down $5.0B to $29.7B), Credit Suisse (down $3.3B to $23.1B), Goldman Sachs (down $3.2B to $20.2B), Federal Home Loan Mortgage Co (down $3.1B to $52.7B), Svenska Handelsbanken (down $2.4B to $10.6B), Citi (down $2.4B to $31.6B), and Deutsche Bank AG (down $2.0B to $15.8B.

The United States remained the largest segment of country-affiliations; it represents 65.8% of holdings, or $1.772 trillion. France (9.4%, $251.9B) remained in second place ahead of Canada (6.8%, $183.3B) in 3rd. Japan (5.6%, $151.8B) stayed in fourth, while the United Kingdom (3.5%, $95.3B) remained in fifth place. Germany (1.7%, $45.9B) was in sixth place, while The Netherlands (1.6%, $42.7B) moved ahead of Sweden (1.6%, $42.0B) and Australia (1.4%, $38.0B). Switzerland (1.2%, $31.1B) ranked tenth. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)

As of May 31, 2017, Taxable money funds held 35.8% (up from 31.2%) of their assets in securities maturing Overnight, and another 14.7% maturing in 2-7 days (down from 17.0%). Thus, 50.5% in total matures in 1-7 days. Another 21.2% matures in 8-30 days, while 8.3% matures in 31-60 days. Note that over three-quarters, or 80.0% of securities, mature in 60 days or less (down slightly 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 8.3% of taxable securities, while 9.3% matures in 91-180 days, and just 2.4% matures beyond 180 days.