Crane Data released its October Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Sept. 30, 2016, again shows big increases in Repo and Treasuries, and big decreases in CDs, CP and Other (Time Deposits). Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) decreased by $114 billion to $2.554 trillion last month, after increasing by $75.9 billion in August and $47.9 billion in July, and decreasing by $59.7 billion in June. Repos remained the largest portfolio segment, growing to record levels and breaking over $800 billion for the first time ever, followed by Treasuries and Agencies. Holdings of "credit" instruments continued to plummet as the shift from Prime to Government money funds reached a crescendo in September. CDs were in fourth place, followed by Commercial Paper, Other/Time Deposits and VRDNs. Money funds' European-affiliated securities plunged to 15% of holdings, down from the previous month's 25%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase Agreements (repo) leapt by $127 billion (28%) to $863 billion, or 34% of holdings, after rising $102 billion in August. Funds continued shortening their WAMs (weighted average maturities) in September. Treasury securities rose $28 billion (24%) to $668 billion, or 26% of holdings, after rising $79 billion in August and $39 billion in July. Government Agency Debt increased $12 billion (22%) to $608 billion, or 24% of all holdings, after increasing $24 billion in August, $27.0B in July and $37.4B in June. The rise in Repo, Treasuries and Agencies is being driven by the shift of almost $1 trillion of Prime MMF assets and another $100 billion in Tax Exempt MMF assets (since late 2015) into Government MMFs.
CDs and CP plunged again, falling to their lowest levels since Crane Data began tracking these in early 2011. Certificates of Deposit (CDs) were down $100 billion (-10%) to $163 billion, or 6% of taxable assets, after declining $55 billion in August and $37.6 billion in July. Commercial Paper (CP) was down $76 billion (-8%) to $126 billion, or 5% of holdings (after declining $72B last month), while Other holdings, primarily Time Deposits, fell $101 billion (-7%) to $90 billion, or 4% of holdings. VRDNs held by taxable funds decreased by $4 billion (2%) to $37 billion (1% of assets).
Prime money fund assets tracked by Crane Data (in our holdings collection) fell to $605 billion (down from $913 trillion last month), or 24% (down from 34%) of taxable money fund holdings' total of $2.554 trillion. Among Prime money funds, CDs represent under one-third of holdings at 27% (down from 29% a month ago), followed by Commercial Paper at 21% (down from 22%). The CP totals are comprised of: Financial Company CP, which makes up 13% of total holdings, Asset-Backed CP, which accounts for 5%, and Non-Financial Company CP, which makes up 3%. Prime funds also hold 2% in US Govt Agency Debt (same as last month), 9% in US Treasury Debt (up from 7%), 10% in US Treasury Repo (up from 4%), 4% in Other Instruments, 12% in Non-Negotiable Time Deposits, 7% in Other Repo, 4% in US Government Agency Repo, and 5% in VRDNs.
Government money fund portfolios totaled $1.337 trillion, up from $1.143 trillion in August, while Treasury money fund assets totaled another $611 billion, about the same as the $612 billion from the prior month. Government money fund portfolios were made up of 44% US Govt Agency Debt, 14% US Government Agency Repo, 14% US Treasury debt, and 28% in US Treasury Repo. Treasury money funds were comprised of 71% US Treasury debt, 29% in US Treasury Repo, and 0% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $1.948 trillion, or over 3/4 (76%) of all taxable money fund assets, up from 66%.
European-affiliated holdings decreased $275 billion in September to $388 billion among all taxable funds (and including repos); their share of holdings decreased to 15% from 25% the previous month. Eurozone-affiliated holdings decreased $188 billion to $235 billion in Sept.; they now account for just 9% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $45 billion to $151 billion (6% of the total). Americas related holdings increased $207 billion to $2.014 trillion and now represent 79% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $169 billion, or 16%, to $607 billion, or 24% of assets; US Government Agency Repurchase Agreements (down $30 billion to $215 billion, or 8% of total holdings), and Other Repurchase Agreements ($41 billion, or 2% of holdings, down $12 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $49 billion to $78 billion, or 3% of assets), Asset Backed Commercial Paper (down $18 billion to $31 billion, or 1%), and Non-Financial Company Commercial Paper (down $9 billion to $17 billion, or 1%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2016, include: the US Treasury ($668 billion, or 26%), Federal Home Loan Bank ($443B, 17%), Federal Reserve Bank of New York ($367B, 14%), BNP Paribas ($78B, 3%), Wells Fargo ($70B, 3%), Federal Home Loan Mortgage Co. ($63B, 3%), Federal Farm Credit Bank ($57B, 2%), RBC ($44B, 2%), Federal National Mortgage Association ($42B, 2%), HSBC ($40B, 2%), Bank of America ($33B, 1%), Bank of Nova Scotia ($31B, 1%), Nomura ($29B, 1%), Mitsubishi UFJ Financial Group Inc. ($29B, 1%), Citi ($28B, 1%), Societe Generale ($27B, 1%), Credit Agricole ($23B, 1%), Barclays PLC ($23B, 1%), JP Morgan ($22B, 1%), and Canadian Imperial Bank of Commerce ($22B, 1%).
In the repo space, the 10 largest Repo counterparties (dealers) with the amount of repo outstanding and market share (among the money funds we track) include: Federal Reserve Bank of New York ($367B, 43%), BNP Paribas ($63B, 7%), Wells Fargo ($59B, 7%), HSBC ($34B, 4%), RBC ($32B, 4%), Nomura ($29B, 3%), Bank of America ($28B, 3%), Societe Generale ($24B, 3%), Citi ($23B, 3%), and Bank of Nova Scotia ($21B, 2%). The `10 largest Fed Repo positions among MMFs on 9/30 include: JP Morgan US Govt ($30B), Wells Fargo Gvt MMkt ($20B), Goldman Sachs FS Gvt ($19B), BlackRock Lq FedFund ($17B), BlackRock Lq T-Fund ($16B), Federated Gvt Oblg ($16B), Fidelity Inst MMkt Gvt ($16B), Federated Trs Oblg ($14B), Northern Trust Trs MMkt ($12B), and Morgan Stanley Inst Lq Gvt ($11B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Svenska Handelsbanken ($16B, 5%), Nordea Bank ($16B, 5%), Mitsubishi UFJ Financial Group Inc. ($15B, 5%), Canadian Imperial Bank of Commerce ($15B, 4%), BNP Paribas ($15B, 4%), Swedbank AB ($13B, 4%), Credit Agricole ($12B, 4%), Sumitomo Mitsui Banking Co ($12B, 3%), RBC ($12B, 3%), and Bank of Montreal ($11B, 3%).
The 10 largest CD issuers include: Mitsubishi UFJ Financial Group Inc. ($11B, 7%), Canadian Imperial Bank of Commerce ($10B, 6%), Sumitomo Mitsui Banking Co ($10B, 6%), Wells Fargo ($9B, 6%), Bank of Montreal ($8B, 5%), RBC ($7B, 4%), Toronto-Dominion Bank ($7B, 4%), Bank of Nova Scotia ($7B, 4%), Svenska Handelsbanken ($6B, 4%) and Swedbank ($6B, 4%). The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($8B, 7%), Commonwealth Bank of Australia ($7B, 6%), Australia and New Zealand Banking Group Ltd ($5B, 4%) National Australia Bank Ltd ($4B, 4%), FMS Wertmanagement ($4B, 4%), JP Morgan ($4B, 4%), Bank Nederlandse Gemeenten ($4B, 4%), Nordea ($4B, 3%), ADP LLC ($3B, 3%), and Westpac Banking Co ($3B, 3%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $220B to $367B), US Treasury (up $28B to $668), Nomura (up $11B to $29B), Federal Home Loan Bank (up $9B to $443B), HSBC (up $8B to $40B), Wells Fargo (up $3B to $70B), Federal National Mortgage Association (up $3B to $42B), Federal Home Loan Mortgage Co (up $1B to $63B), and Federal Farm Credit Bank (up $1B to $57B).
The largest decreases among Issuers of money market securities (including Repo) in Sept. were shown by: Credit Agricole (-$55B to $23B), Societe Generale (-$40B to $27B), Credit Suisse (-$27B to $10B), BNP Paribas (-$23B to $78B), Natixis (-$19B to $17B), DnB NOR Bank ASA (-$16B to $6B), Skandinaviska Enskilda Banken AB (-$13B to $8B), Mitsubishi UFJ Financial Group Inc (-$12B to $29B), Svenska Handelsbanken (-$12B to $16B), and Swedbank AB (-$10B to $13B).
The United States remained the largest segment of country-affiliations; it represents 73% of holdings, or $1.871 trillion. France (6%, $152B) remained in second and Canada (6%, $143B) remained in 3rd. Japan (4%, $105B) stayed in fourth, while the United Kingdom (3%, $79B) moved up to fifth. Sweden (2%, $53B) fell to sixth, while Germany (2%, $40B) ranked seventh. The Netherlands (2%, $40B) moved up to eighth while Australia (1%, $35B) dipped to ninth. Lastly, Switzerland (1%, $14B) held tenth place among country affiliations. (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 Sept. 30, 2016, Taxable money funds held 36% (up from 34%) of their assets in securities maturing Overnight, and another 13% maturing in 2-7 days (down from 15%). Thus, 49% in total matures in 1-7 days. Another 14% matures in 8-30 days, while 12% matures in 31-60 days. Note that three-quarters, or 75% of securities, mature in 60 days or less (same as last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 11% (up from 10%) of taxable securities, while 11% matures in 91-180 days (up from 10%), and just 4% matures beyond 180 days (up from 3%).
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Wednesday, and our Tax Exempt MF Holdings and MFI International "offshore" Portfolio Holdings will be released late this week. Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports.
