Crane Data's latest Money Fund Portfolio Holdings series, which will be released to subscribers of our Money Fund Wisdom database and product suite, shows that French banks are no longer represented among the 10 largest "issuers" to money market funds and that Canada now represents the second largest "country" exposure after of course the U.S. Among "Prime" money market funds, which represent $1.35 trillion, or 54.9% of all the money fund assets tracked by Crane's Money Fund Intelligence XLS, U.S.-parented firms account for 36.1% of all assets, Canadian-parented firms account for 9.9%, U.K-affiliated issues account for 9.0%, and French-parented firms now account for 6.9%.
The top 15 "issuers" of securities (of affiliated with securities) to Prime funds include, in order of size: U.S. Treasury ($75.8 billion), Barclays Bank ($55.6B), Deutsche Bank ($47.6B), Federal Home Loan Mortgage Co ($43.9B), Federal Home Loan Bank ($41.5B), Bank of America ($40.9B), Credit Suisse ($40.5B), Rabobank ($40.3B), Bank of Nova Scotia ($38.4B), Westpac Banking Co ($37.3B), RBC ($36.7B), Federal National Mortgage Assoc ($36.3B), JPMorgan ($34.2B), BNP Paribas ($34.1B), and Svenska Handelsbanken ($30.3B). Societe Generale ranked 28th this month with $15.5 billion and Credit Agricole ranked 34th with $13.2 billion.
Certificates of Deposit remain the largest segment of Prime money fund holdings, according to our Sept. 30 Portfolio Holdings series, with $441 billion, or 32.2%. Financial Company Commercial Paper ranked 2nd with $176.8 billion, or 12.9%, and Asset Backed Commercial Paper ranked 4th with $101.7 billion, or 7.4%. Government Agency Debt ranked 3rd among Prime holdings with $137.0 billion, or 10.0%. Government Agency Repurchase Agreements were the fifth largest category (based on the SEC's mandated categories) with $95.8 billion, or 7.0%, Other Repurchase Agreements ranked 6th among sectors with $84.9 billion, or 6.2%, and Treasury Repurchase Agreements accounted for just $14.1 billion, or 1.0%. Treasury Debt accounted for $76.0 billion (5.5%), Other Notes accounted for $81.1 billion (5.9%), and Other Instrument (Time Deposit) accounted for $30.7 billion (2.2%).
Bloomberg also did some portfolio holdings analysis, writing, "U.S. Money Funds Cut Loans to French Banks by 44% Last Month." It says, "The eight largest U.S. money-market funds reduced their lending to French banks by 44 percent last month as the European sovereign debt crisis worsened. Holdings in BNP Paribas SA, Societe Generale SA, Natixis SA and Credit Agricole SA dropped to $23.2 billion at the end of September from $41.5 billion the previous month, according to filings compiled by Bloomberg and published in today's Bloomberg Risk newsletter. The biggest falls were for Natixis, at 74 percent, and Credit Agricole, at 64 percent, the data showed."
The article adds, "The money market data are based on the most recent portfolio disclosures from Fidelity Cash Reserves Fund, JPMorgan Prime Money Market Fund, Vanguard Prime Money Market Find, Fidelity Institutional Money Market Portfolio, Fidelity Institutional Prime Money Market Portfolio, BlackRock TempFund, Wells Fargo Advantage Heritage Money Markets Fund and Federated Prime Obligations Fund. The figures include repo loans that are backed by government collateral."
