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, 2016, shows increases in Agencies, Repos, and VRDNs, and decreases in Time Deposits, CP, CDs, and Treasuries. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $24.6 billion in May to $2.604 trillion. MMF holdings decreased by $21.0 billion in April, dropped by $75.5 billion in March, and increased by $64.2 billion in February. Repos remained the largest portfolio segment, followed by Treasuries and Agencies. CDs were in fourth place, followed by Commercial Paper, Time Deposits and VRDNs. Money funds' European-affiliated securities fell to 27.4% of holdings, down from the previous month's 28.6%. Below, we review our latest Money Fund Portfolio Holdings statistics. Note: we recently made a number of category changes to reflect the SEC's new disclosure mandates, which went live on April 14, and we now also offer a separate "beta" cut of fund info holdings from the SEC's Form N-MFP.
Among all taxable money funds, Repurchase Agreements (repo) increased $32.6 billion (6.0%) to $574.8 billion, or 21.0% of holdings after decreasing $65.3 billion in April and increasing $49.3 billion in March. Treasury securities fell $3.8 billion (0.7%) to $535.1 billion, or 20.9% of holdings, after dropping $36.8 billion in April and rising $37.5 billion in March. Government Agency Debt jumped $34.4 billion (7.3%) to $507.5 billion, or 19.5% of all holdings, after decreasing $9.0 billion in April and decreasing $14.7 billion in March. The rise in Agencies is in large part due to the massive conversion of ($300.1 billion) of Prime to Government assets.
Certificates of Deposit (CDs) were down $4.6 billion (1.1%) to $409.2, or 15.7% of holdings, after declining $17.0 billion in April and dropping $41.8 billion in March. Commercial Paper (CP) was down $17.5 billion (5.0%) to $335.3 billion, or 12.9% of holdings, while Other holdings, primarily Time Deposits, dropped $18.6 billion (7.9%) to $216.4 billion, or 8.3% of holdings. VRDNs held by taxable funds increased by $2.1 billion (8.7%) to $25.9 billion (1.0% of assets).
Prime money fund holdings tracked by Crane Data totaled $1.270 trillion (down from $1.326 trillion last month), or 48.8% of taxable money fund holdings' total of $2.604 trillion (down from 51.4% last month). This is the first time Prime assets have fallen below combined Treasury and Government portfolio holdings assets in our "Holdings" series. Among Prime money funds, CDs represent just under one-third of holdings at 32.2% (up from 31.2% a month ago), followed by Commercial Paper at 26.2% (down from 26.6%). The CP totals are comprised of: Financial Company CP, which makes up 15.8% of total holdings, Asset-Backed CP, which accounts for 6.7%, and Non-Financial Company CP, which makes up 4.0%. Prime funds also hold 4.1% in US Govt Agency Debt (down from 4.3%), 5.5% in US Treasury Debt (down from 7.1%), 3.8% in US Treasury Repo (up from 3.7%), 3.0% in Other Instruments, 13.1% in Non-Negotiable Time Deposits, 4.7% in Other Repo, and 4.1% in US Government Agency Repo.
Some of the new Portfolio Composition "Categories" (taken from changes in the SEC's Form N-MFP) include: Non-US Sovereign Debt, Other Asset Backed Securities, Other Investment (Corp Notes), Other Investment (Medium Term Note), Other Municipal Securities, and Tender Option Bonds. But holdings in all of these were too small to mention. (Let us know if you'd like to see our spreadsheet comparing the old vs. new Holdings categories.)
Government money fund portfolios totaled $789 billion, up from $735 billion in April, while Treasury money fund assets totaled $545 billion, up from $519 billion in April. Government money fund portfolios were made up of 57.7% US Govt Agency Debt, 19.6% US Government Agency Repo, 7.6% US Treasury debt, and 14.8% in US Treasury Repo. Treasury money funds were comprised of 74.4% US Treasury debt, 25.2% in US Treasury Repo, and 0.3% in Government agency repo, Other Instrument, and investment company shares. Government and Treasury funds combined total $1.334 trillion, or 51.2% of all taxable money fund assets, up from 48.6%.
European-affiliated holdings decreased $25.4 billion in May to $712.4 billion among all taxable funds (and including repos); their share of holdings decreased to 27.4% from 28.6% the previous month. Eurozone-affiliated holdings decreased $20.6 billion to $414.0 billion in May; they now account for 15.9% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $400 million to $273.9 billion (10.5% of the total). Americas related holdings increased $51.0 billion to $1.613 trillion and now represent 62.0% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which increased $24.6 billion, or 8.8%, to $302.9 billion, or 11.6% of assets; US Government Agency Repurchase Agreements (up $12.3 billion to $211.9 billion, or 8.1% of total holdings), and Other Repurchase Agreements ($59.9 billion, or 2.3% of holdings, down $4.3 million from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $9.4 billion to $200.4 billion, or 7.7% of assets), Asset Backed Commercial Paper (down $5.8 billion to $84.6 billion, or 3.2%), and Non-Financial Company Commercial Paper (down $2.3 billion to $50.3 billion, or 1.9%).
The 20 largest Issuers to taxable money market funds as of May 31, 2016, include: the US Treasury ($535.1 billion, or 22.3%), Federal Home Loan Bank ($372.0B, 15.5%), Federal Reserve Bank of New York ($86.7B, 3.6%), BNP Paribas ($81.0B, 3.4%), Wells Fargo ($78.1B, 3.4%), Credit Agricole ($75.9B, 3.3%), Mitsubishi UFJ Financial Group Inc. ($55.5, 2.3%), RBC ($52.5B, 2.2%), Societe Generale ($52.3B, 2.2%), Federal Farm Credit Bank ($51.8B, 2.2%), Federal Home Loan Mortgage Co. ($49.5B, 2.1%), Bank of Nova Scotia ($47.1B, 2.0%), Bank of America ($44.8B, 1.9%), Credit Suisse ($42.5B, 1.8%), Sumitomo Mitsui Banking Co ($40.1B, 1.7%), Natixis ($39.4B, 1.6%), HSBC ($37.8B, 1.6%), Mizuho Corporate Bank ($37.3B, 1.6%), JP Morgan ($36.7B, 1.5%), and DnB NOR Bank ASA ($35.7B, 1.5%).
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 ($86.7B, 15.1%), Wells Fargo ($51.4B, 8.9%), BNP Paribas ($50.3B, 8.8%), Societe Generale ($40.0B, 7.0%), Credit Agricole ($38.1B, 6.6%), Bank of America ($34.0B, 5.9%), RBC ($29.0B, 5.0%), Credit Suisse ($28.0B, 4.9%), Bank of Nova Scotia ($23.7B, 4.1%), and Citi ($21.6B, 3.8%). The 10 largest Fed Repo positions among MMFs on 5/31 include: Goldman Sachs FS Govt ($12.4B), JP Morgan US Govt ($11.6B), Fidelity Govt Cash Reserves ($9.6B), Federated Treas Obligs ($8.5B), Fidelity Cash Central ($8.2B), JP Morgan US Treas Plus ($6.6B), Fidelity Inst MM Prm ($5.7B), Fidelity Inst MM MMkt ($5.5B), Fidelity Inst MM Treas Port ($5.1B), and Goldman Sachs FS Treas Sol ($5.1B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Mitsubishi UFJ Financial Group Inc. ($43.5B, 5.1%), Sumitomo Mitsui Banking Co. ($40.1B, 4.7%), Credit Agricole ($37.9B, 4.4%), DnB NOR Bank ASA ($35.7B, 4.2%), BNP Paribas ($30.7B, 3.6%), Svenska Handelsbanken ($30.6B, 3.6%), Skandinaviska Enskilden Banken AB ($30.0B, 3.5%), Swedbank AB ($28.4B, 3.3%), Wells Fargo ($26.7B, 3.1%), and Natixis ($26.0B, 3.1%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($32.1B, 7.9%), Mitsubishi UFJ Financial Group Inc. ($29.3B, 7.2%), Bank of Montreal ($22.9B, 5.7%), Wells Fargo ($20.9B, 5.2%), Mizuho Corporate Bank Ltd ($20.6B, 5.1%), Toronto-Dominion Bank ($18.0B, 4.5%), Sumitomo Mitsui Trust Bank ($18.0B, 4.4%), Canadian Imperial Bank of Commerce ($16.8B, 4.1%), Bank of Nova Scotia ($15.4B, 3.8%), and Norinchukin Bank ($15.2B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: BNP Paribas ($19.1B, 6.8%), ING Bank ($12.3B, 4.4%), JP Morgan ($11.9B, 4.2%), Mitsubishi UFJ Financial Group Inc. ($11.5B, 4.1%), Commonwealth Bank of Australia ($11.5B, 4.1%), Societe Generale ($11.0B, 3.9%), Credit Agricole ($10.9B, 3.9%), RBC ($10.0B, 3.6%), HSBC ($10.0B, 3.6%), and NRW Bank ($8.5B, 3.0%).
The largest increases among Issuers include: Federal Reserve Bank of NY (up $34.1B to $86.7B), Federal Home Loan Bank (up $29.3B to $372.0B), Bank of Montreal (up $6.8B to $31.9B), Canadian Imperial Bank of Commerce (up $5.8B to $22.9B), Federal National Mortgage Association (up $3.2B to $31.3B), Sumitomo Mitsui Banking Co. (up $2.7B to $40.1B), Federal Home Loan Mortgage Co. (up $2.2B to $49.5B), Credit Suisse (up $1.9B to $42.5B), Bank of America (up $1.4 to $44.8B), and RBC (up $1.4B to $52.5B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Wells Fargo (down $6.1B to $78.1B), Credit Agricole (down $5.1B to $75.9B), Australia and New Zealand Banking Group Ltd. (down $5.0B to $16.2B), BNP Paribas (down $4.0B to $81.0B), US Treasury (down $3.8B to $535.1B), Bank of Nova Scotia (down $3.5B to $47.1B), Societe Generale (down $3.2B to $52.3B), Skandinaviska Enskilda Banken AB (down $3.1B to $30.0B), Mizuho Corporate Bank Ltd. (down $3.1B to $37.3B), and Commonwealth Bank of Australia (down $2.4B to $13.3B).
The United States remained the largest segment of country-affiliations; it represents 54.3% of holdings, or $1.414 trillion (up $44.0B). France (10.7%, $278.0B) remained second, followed by Canada (7.6%, $198.2B), which held third. Japan (7.3%, $189.8B) stayed in fourth, while Sweden (4.3%, $112.9B) held fifth. The United Kingdom (3.5%, $89.9B) remained sixth, while Germany (2.3%, $60.5B) jumped to seventh from ninth. Australia (2.3%, $58.9B) fell one spot to eighth, while The Netherlands (2.2%, $57.7B), and Switzerland (2.1%, $55.1B) round out the top 10 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 May 31, 2016, Taxable money funds held 30.1% (up from 29.8%) of their assets in securities maturing Overnight, and another 13.9% maturing in 2-7 days (up from 13.2%). Thus, 44.0% in total matures in 1-7 days. Another 20.9% matures in 8-30 days, while 12.5% matures in 31-60 days. Note that more than three-quarters, or 77.4% of securities, mature in 60 days or less (up from 76.1% last month), the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 11.0% (up from 10.9%) of taxable securities, while 10.0% matures in 91-180 days (down from 10.9%), and just 2.2% matures beyond 180 days (down from 2.1%).
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, and our Tax Exempt MF Holdings and MFI International "offshore" Portfolio Holdings will be released early 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.
