Crane Data's latest Money Fund Portfolio Holdings dataset shows money market securities held by Taxable U.S. money funds rose by $62.0 billion in July to $2.283 trillion, with over half of the increase ($31.2 billion) coming from increases in Treasury Repo and another $17.8 billion coming from Government Repo. Funds also increased their allocations to Treasury Debt and CP in July, but reduced their holdings in Agency securities and VRDNs. Taxable money funds returned to European-affiliated holdings in July, rising from 27.0% to 29.1% of securities. (Crane Data counts repo, ABCP and anything related to a European parent as "Europe".) European-affiliated holdings accounted for 31.7% of Prime funds (22.1% excluding Repos), and Eurozone-affiliated holdings accounted for 13.3% of Prime fund holdings, or 9.2% excluding Repos.
Repo remains the largest segment of money fund holdings at 25.1%, or $572.6 billion. This is comprised of 13.6% Government Agency Repurchase Agreements ($309.4 billion), 8.5% Treasury Repurchase Agreements ($193.9 billion), and 3.0% of Other Repurchase Agreements ($69.3 billion). Treasury Debt is the second largest holding segment at 20.2% ($460.8 billion), followed by Certificates of Deposit (CDs) at 17.7% of holdings ($403.4 billion) and CP at 15.1% ($345.2 billion). Commercial Paper is the combined total of Financial Company Commercial Paper's 8.2% ($187.7 billion), Asset Backed Commercial Paper's at 4.6% ($105.0 billion), and Other Commercial Paper's 2.3% ($52.5 billion). Government Agency Debt totals $318.3 billion in taxable MMF portfolios, or 13.9%, Other securities (Other Instruments, Other Time Deposits and Other Debt) total $121.6 billion, or 5.3%, while VRDNs (including Other Muni Debt) total $61.5 billion (2.69%).
The 20 largest Issuers to taxable money market funds as of July 31, 2012, include US Treasury (21.8%, $460.8 billion), Federal Home Loan Bank (7.3%, $152.9 billion), Barclays Bank (4.0%, $83.6B), Credit Suisse (3.6%, $75.7B), Deutsche Bank AG (3.5%, $73.8B), Federal Home Loan Mortgage Co (3.2%, $68.1B), Bank of America (3.2%, $67.8B), Federal National Mortgage Association (3.0%, $64.1B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.5%, $53.1B), Citi (2.4%, $49.7B), Sumitomo Mitsui Banking Co (2.3%, $48.1B), `Bank of Nova Scotia (2.3%, $47.9B), RBC (2.2%, $46.0B), JP Morgan (2.1%, $45.0B), Societe Generale (2.1%, $44.0B), National Australia Bank Ltd (2.0%, $42.0B), BNP Paribas (1.8%, $37.9B), HSBC (1.8%, $37.5B), Mizuho Corporate Bank Ltd (1.7%, $34.8B), and Goldman Sachs (1.6%, $32.6B).
The United States remains the largest segment of country-affiliations with 51.2%, or $1.169 trillion, while Canada (7.7%, $174.9B), the UK (7.3%, $166.2B), Japan (6.9%, $157.7B), and France (5.5%, $125.1B) round out the five largest countries. Australia (4.6%, $104.4B), Germany (4.5%, $103.4B), Switzerland (4.5%, $103.0B), Sweden (3.3%, $74.8B), and the Netherlands (2.8%, $64.5B) ranked sixth through 10th. France (up $20.5B), the UK (up $19.5B), and Germany (up $17.7 billion) showed the largest gains in July. `China continues to grow and now ranks 14th with 0.5% ($1.1B); it broke above $1 billion debt held by money funds for the first time ever two months ago.
Taxable money funds now hold 26.9% of their assets in securities maturing overnight (Prime funds hold 23.6%), and another 12.5% in securities maturing in 2-7 days (Prime funds hold 13.3%). Another 20.7% matures in 8-30 days (21.7% for Prime), while 23.5% matures in the 31-90 day period (25.7% for Prime). The next bucket, 91-180 days, holds 11.7% of taxable securities (11.7% for Prime), and 4.8% matures beyond 180 days (4.0% for Prime).
Finally, note that Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, while our MFI International "offshore" Portfolio Holdings were updated Monday and our Tax Exempt MF Holdings were updated yesterday. Call us at 508-439-4419 for a look at the full data series or for trial access.