Crane Data released its December Money Fund Portfolio Holdings late yesterday, and our most recent collection of taxable money market securities, with data as of Nov. 30, 2017, shows a drop in Repo and Treasuries, but increases in CP, Agencies and CDs. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $18.4 billion to $2.856 trillion last month, after increasing $77.7 billion in October, $8.5 billion in September, and $58.6 billion in August. Repo remained the largest portfolio segment, followed by Treasuries and Agencies. CP moved into fourth place ahead of CDs, Other/Time Deposits and VRDNs. Below, we review our latest Money Fund Portfolio Holdings statistics. (Visit our Content center to download the latest files, or contact us if you'd like to see our latest Money Fund Portfolio Holdings reports.)
Among all taxable money funds, Repurchase Agreements (repo) decreased $16.4 billion (-1.7%) to $939.2 billion, or 32.9% of holdings, after decreasing $3.9 billion in October and $4.4 billion in September but increasing $65.1 billion in August. Treasury securities fell $3.0 billion (-0.4%) to $736.3 billion, or 25.8% of holdings, after rising $66.0 billion in October and $27.8 billion in September but falling $32.7 billion in August. Government Agency Debt increased $10.5 billion (1.6%) to $675.3 billion, or 23.6% of all holdings, after falling $2.2 billion in October, rising $1.2 billion in September, and falling $11.2 billion in August. Repo, Treasuries and Agencies total $2.351 trillion, representing a massive 82.3% of all taxable holdings.
CP, CDs and Other (mainly Time Deposits) securities jumped in the latest month. Commercial Paper (CP) was up $14.9 billion (8.2%) to $196.7 billion, or 6.9% of holdings (after increasing $3.3 billion in October, decreasing $4.4 in September, and increasing $16.2 billion in August). Certificates of Deposits (CDs) increased $8.9 billion (4.8%) to $193.5 billion, or 6.8% of taxable assets (after increasing $14.1 billion in October, decreasing $7.3 billion in September, and increasing $3.4 billion in August). Other holdings, primarily Time Deposits, rose by $3.7 billion (3.6%) to $106.4 billion, or 3.7% of holdings. VRDNs held by taxable funds decreased by $0.2 billion (-2.2%) to $8.2 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data increased to $655 billion (up from $632 billion last month), or 22.9% (up from 22.3%) of taxable money fund holdings' total of $2.856 trillion. Among Prime money funds, CDs represent just under a third of holdings at 29.5% (up from 29.2% a month ago), followed by Commercial Paper at 29.9% (up from 28.7%). The CP totals are comprised of: Financial Company CP, which makes up 18.9% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 4.9%. Prime funds also hold 1.9% in US Govt Agency Debt, 8.7% in US Treasury Debt, 5.9% in US Treasury Repo, 2.2% in Other Instruments, 13.2% in Non-Negotiable Time Deposits, 4.6% in Other Repo, 1.9% in US Government Agency Repo, and 1.0% in VRDNs.
Government money fund portfolios totaled $1.549 trillion (54.2% of all MMF assets), up from $1.541 trillion in October, while Treasury money fund assets totaled another $651 billion (22.8%), up from $664 billion the prior month. Government money fund portfolios were made up of 42.5% US Govt Agency Debt, 19.4% US Government Agency Repo, 15.6% US Treasury debt, and 22.3% in US Treasury Repo. Treasury money funds were comprised of 67.2% US Treasury debt, 32.5% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.200 trillion, or 77.0% of all taxable money fund assets, down from 77.7% last month.
European-affiliated holdings increased $20.8 billion in November to $654.1 billion among all taxable funds (and including repos); their share of holdings increased to 22.9% from 22.3% the previous month. Eurozone-affiliated holdings increased $14.5 billion to $447.7 billion in November; they account for 15.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $13.1 billion to $227.9 billion (8.0% of the total). Americas related holdings decreased $25.6 billion to $1.972 trillion and now represent 69.1% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $16.8 billion, or -2.7%, to $595.3 billion, or 20.8% of assets; US Government Agency Repurchase Agreements (down $0.7 billion to $313.7 billion, or 11.1% of total holdings), and Other Repurchase Agreements ($30.2 billion, or 1.1% of holdings, up $1.1 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $11.1 billion to $123.9 billion, or 4.3% of assets), Asset Backed Commercial Paper (up $2.2 billion to $40.3 billion, or 1.4%), and Non-Financial Company Commercial Paper (up $1.5 billion to $32.5 billion, or 1.1%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2017, include: the US Treasury ($736.3 billion, or 25.8%), Federal Home Loan Bank ($524.2B, 18.4%), BNP Paribas ($150.8B, 5.3%), Federal Reserve Bank of New York ($96.2B, 3.4%), RBC ($75.7B, 2.7%), Credit Agricole ($69.5B, 2.4%), Federal Farm Credit Bank ($68.3B, 2.4%), Wells Fargo ($64.7B, 2.3%), Federal Home Loan Mortgage Co ($55.6B, 1.9%), Barclays PLC ($54.3B, 1.9%), Societe Generale ($44.6B, 1.6%), Nomura ($43.5B, 1.5%), Mitsubishi UFJ Financial Group Inc ($38.8B, 1.4%), Bank of Nova Scotia ($36.8B, 1.3%), Toronto-Dominion Bank ($35.2B, 1.2%), Natixis ($34.7B, 1.2%), Bank of America ($34.7B, 1.2%), HSBC ($34.2B, 1.2%), JP Morgan ($33.5B, 1.2%), and Canadian Imperial Bank of Commerce ( $30.8B, 1.1%).
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: BNP Paribas ($133.8B, 14.2%), Federal Reserve Bank of New York ($96.2B, 10.2%), RBC ($53.5B, 5.7%), Credit Agricole ($52.8B, 5.6%), Wells Fargo ($51.2B, 5.5%), Nomura ($43.5B, 4.6%), Barclays PLC ($43.4B, 4.6%), Societe Generale ($40.4B, 4.3%), Bank of America ($29.1B, 3.1%) and HSBC ($27.8B, 3.0%). NY Fed RRP Repo reached its lowest point since July 2016 (the last time it wasn't the largest repo program). (Fixed Income Clearing Corp repo ranked No. 12 with $13.2 billion from 13 funds.)
The 10 largest Fed Repo positions among MMFs on 11/30 include:Northern Trust Trs MMkt ($16.6B in Fed Repo), Fidelity Cash Central Fund ($11.0B), JP Morgan US Govt ($11.0B ), Morgan Stanley Inst Liq Govt Sec ($8.0B), Fidelity Sec Lending Cash Central ($7.1B), Northern Inst Govt Select ($5.7B), BlackRock Lq FedFund ($4.5B), Goldman Sachs FS Treas Sol ($3.9B), Vanguard Market Liquidity Fund ($3.9B), and Wells Fargo Govt MMkt ($3.8B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($22.2B, 5.1%), BNP Paribas ($17.1B, 3.9%), Credit Agricole ($16.8, 3.9%), Toronto-Dominion Bank ($16.2B, 3.7%), Mitsubishi UFJ Financial Group Inc. ($15.6B, 3.6%), Canadian Imperial Bank of Commerce ($14.6B, 3.4%), Bank of Nova Scotia ($14.0B, 3.2%), Bank of Montreal ($13.8, 3.2%), Wells Fargo ($13.5B, 3.1%), and Australia & New Zealand Banking Group Ltd ($13.3, 3.1%).
The 10 largest CD issuers include: Bank of Montreal ($13.5B, 7.0%), Wells Fargo ($13.4, 7.0%B), RBC ($11.7, 6.1%), Sumitomo Mitsui Banking Co ($11.2B, 5.8%), Mitsubishi UFJ Financial Group Inc ($10.2B, 5.3%), Mizuho Corporate Bank Ltd ($9.4B, 4.9%), Toronto-Dominion Bank ($9.3B, 4.8%), Sumitomo Mitsui Trust Bank ($8.6B, 4.5%), KBC Group NV ($7.7B, 4.0%), and Canadian Imperial Bank of Commerce ($7.4B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Commonwealth Bank of Australia ($9.0B, 5.3%), JP Morgan ($7.9B, 4.7%), Westpac Banking Co ($7.5B, 4.4%), BNP Paribas ($7.2B, 4.3%), Bank Nederlandse Gemeenten ($6.6B, 3.9%), Bank of Nova Scotia ($6.3B, 3.7%), Credit Agricole ($6.2B, 3.6%), UBS AG ($5.9B, 3.5%), National Australia Bank Ltd ($5.8B, 3.4%), and Toronto-Dominion Bank ($5.7B, 3.3%).
The largest increases among Issuers include: BNP Paribas (up $12.5B to $150.8B), Federal Home Loan Mortgage Co (up $9.3B to $55.6B), JP Morgan (up $8.5B to $33.5B), RBC (up $7.7B to $75.7B), Canadian Imperial Bank of Commerce (up $7.0B to $30.8B), Bank of Montreal (up $6.8B to $29.2B), Mizuho Corporate Bank Ltd (up $5.4B to $24.4B), Deutsche Bank AG (up $4.5B to $25.8B), Credit Suisse (up $4.0B to $25.6), and Wells Fargo (up $3.1B to $64.7B).
The largest decreases among Issuers of money market securities (including Repo) in November were shown by: Federal Reserve Bank of New York (down $66.0B to $96.2B), ING Bank (down $8.5B to $27.8B), Societe Generale (down $3.5B to $44.6B), US Treasury (down $3.0B to $736.3B), Skandinaviska Enskilda Banken AB (down $2.2B to 10.6B), Canadian Imperial Bank of Commerce (down $2.5B to $23.8B), Skandinaviska Enskilda Banken AB (down $2.5B to $12.8B), Goldman Sachs (down $1.5B to $17.9B), KBC Group NV (down $1.3B to $10.0B), and Federal National Mortgage Association (down $1.1B to $21.7B).
The United States remained the largest segment of country-affiliations; it represents 61.4% of holdings, or $1.754 trillion. France (11.0%, $313.7B) remained in second place ahead of Canada (7.6%, $218.0B) in third. Japan (5.9%, $169.0B) stayed in fourth, while the United Kingdom (4.0%, $113.9B) remained in fifth place. Germany (2.2%, $62.0B) moved into sixth place ahead of The Netherlands (2.1%, $58.4B), while Australia (1.6%, $46.0B) moved ahead of Sweden (1.5%, $42.2B). Switzerland (1.3%, $36.9B) remained in tenth place. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)
As of Nov. 30, 2017, Taxable money funds held 31.2% (down from 32.2%) of their assets in securities maturing Overnight, and another 17.3% maturing in 2-7 days (up from 16.1%). Thus, 48.5% in total matures in 1-7 days. Another 24.8% matures in 8-30 days, while 9.2% matures in 31-60 days. Note that over three-quarters, or 82.5% of securities, mature in 60 days or less (up slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 7.6% of taxable securities, while 7.7% matures in 91-180 days, and just 2.0% matures beyond 181 days.
