Crane Data released its March Money Fund Portfolio Holdings Friday, and our most recent collection of taxable money market securities, with data as of Feb. 28, 2018, shows a huge jump in Treasuries and a drop in Repo, CDs and Agencies. Money market securities held by Taxable U.S. money funds overall (tracked by Crane Data) increased by $70.6 billion to $2.967 trillion last month, after increasing $3.2 billion in January, $37.2 billion in December, and $18.4 billion in November. Repo remained the largest portfolio segment, though it dropped for the second month straight. It was followed by Treasuries and Agencies. CP remained a distant fourth 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 to see our latest Money Fund Portfolio Holdings reports.)
Among all taxable money funds, Repurchase Agreements (repo) dropped $21.9 billion (-2.4%) to $906.8 billion, or 30.6% of holdings, after plunging $80.9 billion in January but jumping $70.5 billion in December. Treasury securities jumped $104.6 billion (14.2%) to $843.2 billion, or 28.4% of holdings, after falling $1.5 billion in January, rising $3.8 billion in December, and falling $3.0 billion in November. Government Agency Debt declined $9.4 billion (-1.3%) to $712.6 billion, or 24.0% of all holdings, after rising $25.3 billion in January, $21.5 billion in December and $10.5 billion in November. Repo, Treasuries and Agencies total $2.463 trillion, representing a massive 83.0% of all taxable holdings.
CP rose, CDs fell and Other (mainly Time Deposits) securities were flat in the second month of the year. Commercial Paper (CP) was up $6.5 billion (3.1%) to $218.2 billion, or 7.4% of holdings (after jumping $23.1 billion in January, decreasing $8.1 billion in December, and increasing $14.9 billion in November). Certificates of Deposits (CDs) fell by $9.5 billion (-5.2%) to $174.0 billion, or 5.9% of taxable assets (after increasing $13.3 billion in January, decreasing $23.4 billion in December, and increasing $8.9 billion in November). Other holdings, primarily Time Deposits, inched up $0.4 billion (0.4%) to $103.2 billion, or 3.5% of holdings. VRDNs held by taxable funds decreased by $0.1 billion (-0.8%) to $8.4 billion (0.3% of assets).
Prime money fund assets tracked by Crane Data rose to $649 billion (down from $650 billion last month), or 21.9% (down from 22.4%) of taxable money fund holdings' total of $2.966 trillion. Among Prime money funds, CDs represent under a third of holdings at 26.8% (down from 28.2% a month ago), followed by Commercial Paper at 33.6% (up from 32.5%). The CP totals are comprised of: Financial Company CP, which makes up 21.4% of total holdings, Asset-Backed CP, which accounts for 6.1%, and Non-Financial Company CP, which makes up 6.1%. Prime funds also hold 2.3% in US Govt Agency Debt, 6.9% in US Treasury Debt, 4.1% in US Treasury Repo, 2.0% in Other Instruments, 12.3% in Non-Negotiable Time Deposits, 5.1% in Other Repo, 2.3% in US Government Agency Repo, and 1.0% in VRDNs.
Government money fund portfolios totaled $1.601 trillion (54.0% of all MMF assets), up from $1.546 trillion in January, while Treasury money fund assets totaled another $717 billion (24.2%), up from $700 billion the prior month. Government money fund portfolios were made up of 42.6% US Govt Agency Debt, 20.2% US Government Agency Repo, 18.6% US Treasury debt, and 18.3% in US Treasury Repo. Treasury money funds were comprised of 69.9% US Treasury debt, 29.9% in US Treasury Repo, and 0.1% in Government agency repo, Other Instrument, and Investment Company shares. Government and Treasury funds combined now total $2.318 trillion, or 78.2% of all taxable money fund assets, up from 77.6% last month.
European-affiliated holdings rose $2.9 billion in February to $656.9 billion among all taxable funds (and including repos); their share of holdings fell to 22.1% from 22.6% the previous month. Eurozone-affiliated holdings fell $10.1 billion to $418.3 billion in February; they account for 14.1% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $7.7 billion to $235.3 billion (7.3% of the total). Americas related holdings rose $60.0 billion to $2.073 trillion and now represent 69.9% of holdings.
The overall taxable fund Repo totals were made up of: US Treasury Repurchase Agreements, which decreased $35.0 billion, or -6.2%, to $534.6 billion, or 18.0% of assets; US Government Agency Repurchase Agreements (up $13.4 billion to $338.6 billion, or 11.4% of total holdings), and Other Repurchase Agreements ($33.6 billion, or 1.1% of holdings, down $0.3 billion from last month). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.2 billion to $139.0 billion, or 4.7% of assets), Asset Backed Commercial Paper (down $1.4 billion to $39.7 billion, or 1.3%), and Non-Financial Company Commercial Paper (up $6.6 billion to $39.5 billion, or 1.3%).
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2018, include: the US Treasury ($843.2 billion, or 28.4%), Federal Home Loan Bank ($572.6B, 19.3%), BNP Paribas ($123.4B, 4.2%), RBC ($81.1B, 2.7%), Federal Farm Credit Bank ($75.7B, 2.6%), Credit Agricole ($68.4B, 2.3%), Wells Fargo ($62.1B, 2.1%), Barclays PLC ($57.0B, 1.9%), HSBC ($50.4B, 1.7%), Societe Generale ($49.4B, 1.7%), Sumitomo Mitsui Banking Co ($42.3B, 1.4%), Nomura ($41.7B, 1.4%), Federal Home Loan Mortgage Co ($40.5B, 1.4%), Natixis ($38.8B, 1.3%), Mitsubishi UFJ Financial Group Inc ($37.1B, 1.2%), JP Morgan ($36.3B, 1.2%), Bank of Nova Scotia ($35.9B, 1.2%), Credit Suisse ( $33.7B, 1.1%), ING Bank ( $33.4B, 1.1%), and Bank of America ($33.3B, 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 ($109.8B, 12.1%), RBC ($60.2B, 6.6%), Credit Agricole ($52.9B, 5.8%), Wells Fargo ($47.3B, 5.2%), Barclays PLC ($45.5B, 5.0%), HSBC ($43.6B, 4.8%), Societe Generale ($42.5B, 4.7%), Nomura ($41.7B, 4.6%), Sumitomo Mitsui Banking Co ($31.6B, 3.5%), and Federal Reserve Bank of New York ($31.1B, 3.4%).
The 10 largest Fed Repo positions among MMFs on 2/28/18 include: Franklin IFT US Govt MM ($5.2B in Fed Repo), Fidelity Cash Central Fund ($4.5B), Morgan Stanley Inst Liq Govt Sec ($4.2B), JP Morgan US Govt ($4.1B), Northern Trust Trs MMkt ($3.8B), Goldman Sachs FS Treas Sol ($3.2B), Northern Inst Govt Select ($3.2B), Fidelity Sec Lending Cash Central ($1.8B), Western Asset Inst Govt ($0.7B), and First American Govt Oblg ($0.2B).
The 10 largest issuers of "credit" -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: RBC ($20.9B, 4.9%), Credit Agricole ($15.5, 3.7%), Toronto-Dominion Bank ($15.5B, 3.7%), Canadian Imperial Bank of Commerce ($15.1B, 3.6%), Wells Fargo ($14.7B, 3.5%), BNP Paribas ($13.6B, 3.2%), Credit Suisse ($13.4B, 3.2%), Mitsubishi UFJ Financial Group Inc. ($13.1B, 3.1%), Bank of Nova Scotia ($12.9B, 3.0%), and Australia & New Zealand Banking Group Ltd ($12.8, 3.0%).
The 10 largest CD issuers include: Wells Fargo ($14.7B, 8.5%), Bank of Montreal ($12.2B, 7.0%), RBC ($12.1, 7.0%), Sumitomo Mitsui Banking Co ($8.8B, 5.1%), Svenska Handelsbanken ($8.7B, 5.0%), Mitsubishi UFJ Financial Group Inc ($8.4B, 4.9%), Sumitomo Mitsui Trust Bank ($7.7B, 4.5%), Mizuho Corporate Bank Ltd ($7.4B, 4.3%), Toronto-Dominion Bank ($6.8B, 3.9%), and Canadian Imperial Bank of Commerce ($6.8B, 3.9%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: Credit Suisse ($8.0B, 4.3%), Commonwealth Bank of Australia ($7.9B, 4.3%), JPMorgan ($7.9B, 4.2%), Toronto-Dominion Bank ($7.8B, 4.2%), Bank of Nova Scotia ($7.7B, 4.2%), Bank Nederlandse Gemeenten ($7.6B, 4.1%), Credit Agricole ($6.3B, 3.4%), Societe Generale ($6.2B, 3.4%), Westpac Banking Co ($6.1B, 3.3%), and UBS AG ($5.6B, 3.1%).
The largest increases among Issuers include: US Treasury (up $104.6B to $843.2B), Sumitomo Mitsui Banking Co (up $9.6B to $42.3B), Credit Agricole (up $6.1B to $68.4B), HSBC (up $5.5B to $50.4B), Lloyds Banking Group ($2.4B to $13.1B), Svenska Handelsbanken (up $2.1B to $11.2B), Credit Suisse (up $2.0B to $33.7B), Bank of Nova Scotia ($1.8B to $35.9B), Toronto-Dominion Bank (to $1.7B to $32.4B), and Mizuho Corporate Bank Ltd (up $1.6B to $21.3B).
The largest decreases among Issuers of money market securities (including Repo) in February were shown by: Federal Reserve Bank of New York (down $23.9B to $31.1B), Deutsche Bank AG (down $13.4B to $20.8B), Federal Home Loan Bank (down $6.9B to $572.6B), RBC (down $4.5B to $81.1B), JP Morgan (down $4.0B to $36.3B), Bank of Montreal (down $3.4B to $26.7B), Nomura (down $2.6B to $41.7B), Swedbank AB (down $2.3B to $10.5B), Federal Home Loan Mortgage Co (down $2.1B to $40.5B), and National Australia Bank Ltd (down $1.5B to $9.9B).
The United States remained the largest segment of country-affiliations; it represents 62.7% of holdings, or $1.859 trillion. France (9.9%, $292.2B) remained in the No. 2 spot and Canada (7.2%, $213.7B) remained No. 3. Japan (6.1%, $181.5B) stayed in fourth place, while the United Kingdom (4.6%, $136.4B) remained in fifth place. The Netherlands (2.1%, $61.5B) moved ahead of Germany (1.8%, $53.2B) into sixth place, and Switzerland (1.6%, $46.2B) moved up to No. 8 ahead of Australia (1.4%, $41.2B). Sweden (1.4%, $40.1B) ranked 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 Feb. 28, 2017, Taxable money funds held 31.2% (down from 32.1%) of their assets in securities maturing Overnight, and another 14.6% maturing in 2-7 days (down from 15.1%). Thus, 45.8% in total matures in 1-7 days. Another 27.2% matures in 8-30 days, while 9.4% matures in 31-60 days. Note that over three-quarters, or 82.4% of securities, mature in 60 days or less (down slightly from last month), the dividing line for use of amortized cost accounting under SEC regulations. The next bucket, 61-90 days, holds 6.8% of taxable securities, while 8.8% matures in 91-180 days, and just 1.9% matures beyond 181 days.
