Crane Data's latest Money Fund Portfolio Holdings, which were released to Money Fund Wisdom subscribers Wednesday, show that money market securities held by Taxable U.S. money funds inched up by $7.0 billion in September to $2.273 trillion. As they normally do at quarter-end, repurchase agreement holdings plummeted, losing $67.9 billion (or -3.1%) to $515.5 billion (22.7% of assets), while Government Agency Debt jumped by $25.4 billion (up 1.1%) to $325.4 billion (14.3% of assets) and Other Instruments (Time Deposits) jumped by $28.2 billion (1.2%) to $134.6 billion (5.9% of assets). Certificates of Deposit (CDs) also increased sharply, rising $18.4 billion (0.8%) to $435.3 billion (19.2% of assets). European-affiliated holdings declined again in September, falling from $9.5 billion to $644.4 billion, or from 28.9% to 28.4% of securities. (Crane Data counts repo, ABCP and anything related to a European parent as "Europe".) Eurozone-affiliated holdings also dropped by $13.1 billion and now account for 12.9% of overall taxable money fund holdings ($293.7 billion) in September.
Though it fell sharply, Repo remains the largest segment of money fund holdings; total repo was comprised of 11.9% (of total holdings) Government Agency Repurchase Agreements ($271.3 billion), 7.6% Treasury Repurchase Agreements ($172.4 billion), and 3.2% of Other Repurchase Agreements ($71.8 billion). Treasury Debt was the second largest holding. It rose by $8.8 billion (0.3%) to $463.4 billion (20.4% of taxable assets. Treasuries were followed by CDs and Commercial Paper (CP), which fell by $5.7 billion (-0.3%) to $337.9 billion (14.9% of taxable holdings). Commercial Paper is the combined total of Financial Company Commercial Paper's 8.1% ($183.2 billion), Asset Backed Commercial Paper's 4.7% ($105.9 billion), and Other Commercial Paper's 2.1% ($48.7 billion). VRDNs (including Other Muni Debt) were flat (down $196 million) at $61.2 billion (2.7% of holdings) in September.
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2012, include the US Treasury (22.1%, $463.4 billion), Federal Home Loan Bank (7.5%, $157.5 billion), Barclays Bank (4.0%, $84.5B), Credit Suisse (3.5%, $74.0B), Federal National Mortgage Association (3.3%, $69.1B), Federal Home Loan Mortgage Co (3.2%, $67.2B), Bank of America (3.1%, $64.0B), Deutsche Bank AG (2.9%, $61.0B), RBC (2.8%, $57.9B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.7%, $56.8B), Sumitomo Mitsui Banking Co (2.6%, $54.5B), `JP Morgan (2.4%, $51.2B), Bank of Nova Scotia (2.3%, $48.3B), Citi (2.0%, $42.1B), RBS (1.8%, $36.7B), Goldman Sachs (1.7%, $36.6B), Bank of Montreal (1.6%, $34.3B), BNP Paribas (1.6%, $33.6B), Mizuho Corporate Bank Ltd (1.5%, $32.0B), and Rabobank (1.5%, $31.7B).
The United States remains the largest segment of country-affiliations with 51.1%, or $1.161 trillion, while No. 2 Canada continue to grow. Canada (8.8%, $200.6B), Japan (7.3%, $166.4B), the UK (7.1%, $162.4B), and France (5.1%, $116.2B) rank second through fifth among the largest country affiliations. Switzerland (4.6%, $103.6B) jumped ahead of Germany (4.2%, $96.0B), which saw holdings plunge (down $16.4B). Australia (3.9%, $88.9B), Netherlands (3.1%, $71.1B) and Sweden (3.1%, $70.7B) ranked eighth through 10th. The US (up $21.7B), Canada (up $10.1B), Switzerland (up $9.1B), and Netherlands (up $5.5 billion) showed the largest gains in September, while Germany (down $16.4B), Australia (down $11.6B), France (down $8.2B) and the UK (down $6.0B) showed noticeable declines.
Taxable money funds now hold 24.4% of their assets in securities maturing Overnight, and another 13.6% maturing in 2-7 days (38.0% total in 1-7 days). Another 19.9% matures in 8-30 days, while 23.2% matures in the 31-90 day period. The next bucket, 91-180 days, holds 14.0% of taxable securities, and 5.0% matures beyond 180 days. Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Wednesday, while our MFI International "offshore" Portfolio Holdings and our Tax Exempt MF Holdings will be updated Friday and Saturday, respectively. (Visit our Content center to download files or visit our Money Fund Portfolio Laboratory to access our "transparency" module.)
Finally, Crane Data is pleased to announce the availability of a new Weekly Money Fund Portfolio Holdings module, a data set of institutional money market funds that provide daily, weekly or twice-monthly portfolio holdings reports to investors. We've been collecting, cleaning, tagging, compiling and publishing weekly holdings for the past 2 months, and we continue to expand our fund list and collections. Our domestic U.S. money fund dataset is now "live" while our "offshore" money fund data set will continue "beta" testing for another 2-3 weeks.