Crane Data released its taxable Money Fund Portfolio Holdings data for the month ended February 28, 2013, early this week. Our latest holdings collection shows money market securities held by Taxable U.S. money funds decreased by $27.1 billion in February (after rising $25.7 billion in January, $34.4 billion in December, and $58.1 billion in November) to $2.395 trillion. CDs, Time Deposits and Treasury Repo all dropped sharply, while ABCP and Treasury Debt jumped in February. Repo remained the largest segment among taxable money fund holdings, followed by CDs, Treasuries, CP, and Agencies. Money funds’ European-affiliated holdings (including repo) rose to their highest level, on a percentage basis, since November 2011. Below, we review our latest portfolio holdings aggregates (from our Money Fund Wisdom product suite).
Repurchase agreement (repo) holdings declined by $24.9 billion to $544.2 billion, or 22.7% of fund assets, and Certificates of Deposit (CDs) holdings declined by $40.6 billion to $458.0 billion, or 19.1%. Treasuries rose by $14.5 billion to $454.8 billion (19.0% of holdings). Commercial Paper (CP) rose by $24.6 billion to $442.2 billion (18.5% of holdings), while Government Agency Debt dropped by $8.6 billion to $310.7 billion (13.0% of assets). European-affiliated holdings dipped by $2.7 billion in February to $754.2 billion, but their 31.5% share of holdings was the highest level since Nov. 2011’s 31.8%. Eurozone-affiliated holdings though rose to $412.0 billion in February; they now account for 17.2% of overall taxable money fund holdings.
The Repo totals were made up of: Government Agency Repurchase Agreements (down $4.4 billion to $282.5 billion, or 11.8% of total holdings), Treasury Repurchase Agreements (down $15.0 billion to $186.5 billion, or 7.8% of assets), and Other Repurchase Agreements (down $5.4 billion to $75.2 billion, or 3.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $2.1 billion to $232.9 billion, or 9.7% of assets), Asset Backed Commercial Paper (up $20.9 billion to $137.6 billion, or 5.8%), and Other Commercial Paper (up $1.6 billion to $71.7 billion, or 3.0%). "Other" Instruments (including Time Deposits and Other Notes) were the sixth largest sector with $139.3 billion (5.8%) and VRDNs (including Other Muni Debt) were the smallest segment with $45.9 billion (1.9 of holdings) in February.
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2013, include the US Treasury (19.0%, $454.8 billion), Federal Home Loan Bank (6.2%, $148.51 billion), Deutsche Bank AG (3.8%, $90.9B), Federal National Mortgage Association (2.8%, $67.4B), Societe Generale (2.8%, $67.1B), BNP Paribas (2.7%, $64.6B), Federal Home Loan Mortgage Co (2.7%, $64.3B), Bank of America (2.7%, $63.5B), JP Morgan (2.5%, $58.8B), RBC (2.3%, $54.4B), Credit Suisse (2.3%, $54.1B), Bank of Nova Scotia (2.3%, $53.9B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.2%, $52.8B), Sumitomo Mitsui Banking Co (2.2%, $52.4B), Barclays Bank (2.1%, $51.1B), Citi (2.0%, $46.8B), Bank of Montreal (1.6%, $38.7B), Credit Agricole (1.6%, $37.4B), Toronto-Dominion Bank (1.5%, $36.0B), and HSBC (1.4%, $34.6B).
The 10 largest Repo issuers (with the amount of repo outstanding among the money funds we track) include: Deutsche Bank AG ($59.4B), Bank of America ($57.7B), BNP Paribas ($46.8B), Credit Suisse ($35.7B), Societe Generale ($34.3B), Barclays Bank ($32.9B), Goldman Sachs ($31.3B), Citi ($29.3), JP Morgan ($28.5B), and RBS ($23.3B). The 10 largest issuers of CDs (and the amount of CDs issued to our universe include: Sumitomo Mitsui Banking Co ($46.0B), Bank of Tokyo-Mitsubishi UFJ Ltd ($36.2B), Bank of Montreal ($28.8B), Toronto-Dominion Bank ($28.6B), Bank of Nova Scotia ($26.5B), National Australia Bank Ltd ($24.6B), Deutsche Bank AG ($19.7B), Mizuho Corporate Bank Ltd ($18.9B), and Rabobank ($14.4B). The 10 largest issuers of CP in February (includes affiliated ABCP programs) include: Westpac Banking Co ($23.3B), JP Morgan ($20.5B), General Electric ($18.6B), Societe Generale ($17.4B), Rabobank ($15.4B), Commonwealth Bank of Australia ($14.3B), FMS Wertmanagement ($14.3B), NRW.Bank ($11.0B), Deutsche Bank AG ($10.4B), and HSBC ($9.7B).
The largest increases among Issuers of money market securities (including Repo) in February were shown by: US Treasury (up $14.5B to $454.8B), Deutsche Bank AG (up $8.9B to $90.9B), Federal National Mortgage Association (up $8.7B to $67.4B), UBS AG (up $5.5B to $19.9B), Natixis (up $3.4B to $19.3B), JP Morgan (up $2.8B to $58.8B), Credit Agricole (up $2.5B to $37.4B), Morgan Stanley (up $2.0B to $13.5B), Svenska Handelsbanken ($2.0B to $30.4B), and NRW.Bank (up $1.4B to $11.0B). The largest decreases among Issuers included: Federal Home Loan Bank (-14.5B to $148.1B), Credit Suisse (-8.9B to $54.1B), Bank of America (-6.3B to $63.5B), Sumitomo Mitsui Banking Co (-6.1B to $52.5B), Mizuho Corporate Bank Ltd (-5.7B to $31.9B), National Australia Bank Ltd (-5.2B to $34.2B), DnB NOR Bank ASA (-5.1B to $21.6B), BNP Paribas (-4.6B to $64.6B), RBS (-3.9B to $23.8B), and Swedbank AB (-3.6B to $12.9B).
The United States is still the largest segment of country-affiliations with 47.8%, or $1.144 trillion. Canada (8.9%, $214.1B) remained the second largest country and France remained in third place (8.6%, $205.6B). Japan was again fourth (6.7%, $160.4B) and the UK (6.1%, $145.06B) remained fifth. Germany (5.8%, $139.3B) was again sixth, followed by Australia (4.5%, $107.4B) among country-affiliated securities and dealers. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though funds themselves "look-through" and consider these U.S. government securities.) Sweden (3.9%, $93.3B), Switzerland (3.4%, $81.8B), and the Netherlands (2.7%, $63.8B) continued to round out the top 10.
As of Feb. 28, 2013, Taxable money funds held 23.0% of their assets in securities maturing Overnight, and another 14.0% maturing in 2-7 days (36.9% total in 1-7 days). Another 18.1% matures in 8-30 days, while 26.9% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.8% of taxable securities, and just 5.2% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated earlier this week, and our MFI International "offshore" Portfolio Holdings will be updated later today (the Tax Exempt MF Holdings were updated yesterday). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module and contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Weekly Money Fund Portfolio Holdings collection.
