Crane Data released its latest set of Money Fund Portfolio Holdings earlier this week, and our collection for the month ended March 31, 2013, shows CDs surpassing repos to become the largest segment of money fund holdings. Money market securities held by Taxable U.S. money funds overall decreased by $34.6 billion in March to $2.361 trillion. Repurchase agreements plunged and Commercial Paper dropped, while Agencies, Treasuries, CDs and Other securities rose. Repo relinquished its spot as the largest holding among taxable money funds for the first time since March 2012 (when Treasuries held the No. 1 spot). Money funds' European-affiliated holdings (including repo) declined to their lowest level of 2013. Below, we review our latest portfolio holdings aggregates.
Repurchase agreement (repo) holdings declined by $70.9 billion to $473.3 billion, or 20.1% of fund assets, while Certificates of Deposit (CDs) holdings increased by $6.9 billion to $487.2 billion, or 20.6%. Treasuries also surpassed Repo and moved into the No. 2 Composition spot; they rose by $21.3 billion to $476.1 billion (20.2% of holdings). Repo is now the third largest segment. No. 4-ranked Commercial Paper (CP) fell by $26.2 billion to $393.7 billion (16.7% of holdings), while Government Agency Debt rebounded by $21.3 billion to $332.1 billion (14.1% of assets). Other holdings, which include Time Deposits, rose by $11.4 billion to $150.8 billion (6.4% of assets). VRDNs rose by $1.5 billion to $47.3 billion (2.0% of assets).
European-affiliated holdings plunged by $77.6 billion in March to $676.6 billion; their share of holdings fell to 28.7% from 31.5% last month. Eurozone-affiliated holdings fell to $344.4 billion in March; they now account for 14.6% of overall taxable money fund holdings (down from 17.2% in Feb.). Asia & Pacific related holdings rose to $291.6 billion (12.4% of the total), while Americas related holdings rose to $1.391 trillion (58.9% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (down $37.6 billion to $244.9 billion, or 10.4% of total holdings), Treasury Repurchase Agreements (down $25.1 billion to $161.4 billion, or 6.8% of assets), and Other Repurchase Agreements (down $8.1 billion to $67.1 billion, or 2.8% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $5.3 billion to $227.5 billion, or 9.6% of assets), Asset Backed Commercial Paper (down $8.7 billion to $106.6 billion, or 4.5%), and Other Commercial Paper (down $12.2 billion to $59.5 billion, or 2.5%).
The 20 largest Issuers to taxable money market funds as of March 31, 2013, include the USTreasury (20.2%, $476.1 billion), Federal Home Loan Bank (6.8%, $160.2 billion), Federal National Mortgage Association (3.0%, $71.4B), Federal Home Loan Mortgage Co (2.9%, $68.4B), Bank of Nova Scotia (2.7%, $62.7B), RBC (2.5%, $58.7B), Deutsche Bank AG (2.5%, $58.1B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.5%, $58.0B), JP Morgan (2.4%, $57.2B), BNP Paribas (2.4%, $57.1B), Credit Suisse (2.3%, $54.2B), Sumitomo Mitsui Banking Co (2.3%, $53.1B), Barclays Bank (2.2%, $53.0B), Bank of America (2.1%, $49.9B), Credit Agricole (2.0%, $48.1B), Citi (1.9%, $45.3B), Toronto-Dominion Bank (1.6%, $38.0B), Bank of Montreal (1.6%, $37.7B), National Australia Bank (1.4%, $33.9B) and Societe Generale (1.4%, $33.8B).
The 10 largest Repo issuers (with the amount of repo outstanding among the money funds we track) include: Bank of America ($43.6B), BNP Paribas ($39.3B), Barclays Bank ($35.4B), Deutsche Bank ($34.1B), Credit Suisse ($31.8B), Goldman Sachs ($31.7B), Credit Agricole ($29.6B), Citi ($26.6B), RBS ($26.4B) and JP Morgan ($25.6B).
The 10 largest issuers of CDs (and the amount of CDs issued to our universe include: Sumitomo Mitsui Banking Co ($47.2B), Bank of Tokyo-Mitsubishi UFJ Ltd ($41.3B), Bank of Nova Scotia ($31.4B), Toronto-Dominion Bank ($31.3B), Bank of Montreal ($28.8B), National Australia Bank Ltd ($27.0B), Mizuho Corporate Bank Ltd ($18.8B), Rabobank ($16.4B), RBC ($16.0B), and Canadian Imperial Bank of Commerce ($15.9B).
The 10 largest issuers of CP as of March 31 include: JP Morgan ($19.8B), Westpac Banking Co ($19.7B), Commonwealth Bank of Australia ($14.8B), FMS Wertmanagement ($14.7B), General Electric ($11.9B), NRW.Bank ($11.6B), Societe Generale ($10.7B), Barclays Bank ($9.5B), HSBC ($9.2B), and Toyota ($8.9B).
The largest increases among Issuers of money market securities (including Repo) in March were shown by: US Treasury (up $21.3B to $476.1B), Federal Home Loan Bank (up $12.1B to $160.2B), Australia & New Zealand Banking Group (up $11.9B to $29.5B), and DnB NOR Bank ASA (up $11.6B to $33.2B). The largest decreases among Issuers included: Societe Generale (down $33.3B to $33.8B), Deutsche Bank AG (down $32.8B to $58.1B), Lloyd's TSB Bank (down $13.7B to $7.6B) and Bank of America (down $13.6B to $49.9B).
The United States is still the largest segment of country-affiliations with 49.2%, or $1.160 trillion. Canada (9.7%, $229.3B) remained the second largest country and France remained in third place (7.4%, $175.4B). Japan was again fourth (6.8%, $161.1B) and the UK (5.5%, $128.8B) remained fifth. Australia (4.9%, $115.2B) moved up to sixth, followed by Germany (4.5%, $105.1B) 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 (3.8%, $89.6B), Switzerland (3.4%, $79.8B), and the Netherlands (2.6%, $60.1B) continued to round out the top 10.
As of March 31, 2013, Taxable money funds held 20.6% of their assets in securities maturing Overnight, and another 14.3% maturing in 2-7 days (34.9% total in 1-7 days). Another 22.4% matures in 8-30 days, while 24.9% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.9% of taxable securities, and just 4.9% 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 tomorrow (the Tax Exempt MF Holdings will be released later today). 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.
