Crane Data released its July Money Fund Portfolio Holdings dataset earlier this week, and our collection of taxable money market securities with data as of June 30, 2013, shows another plunge in Repo holdings which caused both CDs and Treasuries to surpass repo as the largest segments of money fund holdings. Repo holdings are at their lowest level since April 2011, just prior to the peak of concerns over European-related holdings. Money market securities held by Taxable U.S. money funds overall fell by $30.1 billion in June (after increasing by $25.8 billion in May, and falling $9.9 billion in April and $34.6 billion in March) to $2.346 trillion. (Note that our Portfolio Holdings collection is a separate series from our monthly Money Fund Intelligence XLS and daily MFI Daily universes.) Treasuries, Agencies and Other were the only segments to increase in June, while Repo and VRDNs plunged, CP dropped sharply and CDs inched lower. CDs took over as the new largest holding among taxable money funds, followed by Treasuries, Repo, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) plummeted (primarily due to the drop in repo) from 31% to under 28%. Below, we review our latest portfolio holdings aggregates.
Certificates of Deposit (CD) holdings decreased slightly by $881 million to $479.6 billion, or 20.4%, but the sharp drop in repos at quarter-end left CDs as the largest segment of money fund composition. Treasury holdings increased by $27.1 billion to $457.5 billion (19.5% of holdings) and moved into the second place spot. Repurchase agreement (repo) holdings decreased by $62.7 billion to $551.0 billion, or 19.2% of fund assets, dropping them to their lowest level in over 2 years. Commercial Paper (CP) remained the fourth largest segment, but fell by $13.2 billion to $397.4 billion (16.9% of holdings). Government Agency Debt jumped by $22.5 billion; it now totals $346.5 billion (14.8% of assets). Other holdings, which include Time Deposits, rose by $6.1 billion to $161.5 billion (6.9% of assets). VRDNs held by taxable funds fell by $9.0 billion to $52.8 billion (2.3% of assets). (Crane Data’s Tax Exempt fund data is released in a separate series.)
Among Prime money funds, CDs represent almost one-third of holdings, or 32.2%, followed by Commercial Paper (26.7%). The CP totals are primarily Financial Company CP (15.3% of holdings) with Asset-Backed CP making up 6.4% and Other CP (non-financial) making up 5.1%. Prime funds also hold 7.7% in Agencies, 6.8% in Treasury Debt, 6.0% in Other Notes, 5.1% in Other (including Time Deposits), and 3.2% in VRDNs. Prime money fund holdings tracked by Crane Data total $1.487 trillion, or 63.4% of taxable money fund holdings’ total of $2.346 trillion.
European-affiliated holdings plunged $90.5 billion in June to $653.9 billion (among all taxable funds and including repos); their share of holdings fell to 27.9%. Eurozone-affiliated holdings fell sharply too (down $58.0 billion) to $338.4 billion in June; they now account for 14.4% of overall taxable money fund holdings. Asia & Pacific related holdings inched up by $1.5 billion to $291.7 billion (12.4% of the total), while Americas related holdings jumped up by $59.4 billion on the bounce in Treasuries and Agencies to $1.401 trillion (59.7% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (down $29.6 billion to $230.4 billion, or 9.8% of total holdings), Treasury Repurchase Agreements (down $30.5 billion to $149.7 billion, or 6.4% of assets and Other Repurchase Agreements (down $2.7 billion to $70.9 billion, or 3.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $10.8 billion to $227.3 billion, or 9.7% of assets), Asset Backed Commercial Paper (down $2.8 billion to $94.7 billion, or 4.0%), and Other Commercial Paper (up $345 million to $75.5 billion, or 3.2%).
The 20 largest Issuers to taxable money market funds as of June 30, 2013, include the US Treasury (19.5%, $457.5 billion), Federal Home Loan Bank (8.1%, $189.1 billion), Federal Home Loan Mortgage Co (2.7%, $62.6B), JP Morgan (2.6%, $61.2B), Federal National Mortgage Association (2.6%, $60.1B), Barclays Bank (2.5%, $59.0B), RBC (2.5%, $58.4B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.4%, $56.3B), Bank of Nova Scotia (2.4%, $56.1B), Bank of America (2.4%, $56.0B), Credit Agricole (2.2%, $51.3B), BNP Paribas (2.2%, $50.9B), Sumitomo Mitsui Banking Co (2.2%, $50.9B), Credit Suisse (2.1%, $48.5B), Citi (2.0%, $46.9B), Deutsche Bank AG (2.0%, $46.7B), Toronto-Dominion Bank (1.7%, $40.3B), Mizuho Corporate Bank Ltd (1.5%, $36.2B), Bank of Montreal (1.5%, $35.3B), and National Australia Bank (1.4%, $33.4B).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Bank of America ($48.1B, 10.7%), Barclays ($38.1B, 8.5%), BNP Paribas ($31.6B, 7.0%), Goldman Sachs ($27.3B, 6.1%), Credit Agricole ($25.8B, 5.7%), RBS ($25.6B, 5.7%), Credit Suisse ($24.9B, 5.5%), Citi ($24.3B, 5.4%), RBC ($24.2B, 5.4%), and Deutsche Bank ($23.2B, 5.1%).
The 10 largest issuers of CDs (with the amount of CDs issued to our universe and market share include: Sumitomo Mitsui Banking Co ($43.0B, 9.0%), Bank of Tokyo-Mitsubishi UFJ Ltd ($38.6B, 8.1%), Bank of Nova Scotia ($32.2B, 6.7%), Toronto-Dominion Bank ($31.4B, 6.6%), Bank of Montreal ($29.9B, 6.2%), Mizuho Corporate Bank Ltd ($26.1B, 5.5%), National Australia Bank Ltd ($19.7B, 4.1%), RBC ($16.5B, 3.5%), Credit Suisse ($15.0B, 3.1%), and Canadian Imperial Bank of Commerce ($14.9B, 3.1%).
The 10 largest issuers of CP (owned by money funds) as of June 30 include: JP Morgan ($24.8B, 7.2%), Commonwealth Bank of Australia ($17.3B, 5.0%), Westpac Banking Co ($16.0B, 4.6%), FMS Wertmanagement ($13.0B, 3.7%), Australia & New Zealand Banking Group Ltd ($12.1B, 3.5%), NRW.Bank ($12.0B, 3.5%), Barclays Bank ($12.0B, 3.5%), General Electric ($11.4B, 3.3%), HSBC ($9.4B, 2.7%), and Toyota ($9.3B, 2.7%).
The largest increases among Issuers of money market securities (including Repo) in June were shown by: US Treasury (up $27.1B to $457.5B), Federal Home Loan Bank (up $22.8B to $189.1B), Goldman Sachs (up $6.3B to $27.5B), Natixis (up $4.7B to $29.6B), and Barclays (up $4.3B to $59.0B). The largest decreases among Issuers included: Deutsche Bank (down $30.4B to $46.7B), Societe Generale (down $22.8B to $33.2B), BNP Paribas (down $13.2B to $50.9B), Lloyd’s TSB Bank PLC (down $12.2B to $9.1B), and Svenska Handelsbanken (down $6.5B to $23.2B).
The United States is still by far the largest segment of country-affiliations with 49.9%, or $1.170 trillion. Canada increased and moved into second place (9.8%, $229.1B) ahead of France (7.8%, $182.6B). Japan was again fourth (7.2%, $169.3B) and the UK (5.8%, $136.9B) remained fifth. Australia (4.5%, $104.6B) moved ahead of Germany (4.1%, $97.0B) among country-affiliated securities and dealers. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.) Sweden (3.3%, $78.2B), Switzerland (3.1%, $72.7B), and the Netherlands (2.4%, $56.1B) continued to round out the top 10.
As of June 30, 2013, Taxable money funds held 21.0% of their assets in securities maturing Overnight, and another 13.2% maturing in 2-7 days (34.5% total in 1-7 days). Another 20.7% matures in 8-30 days, while 26.6% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.4% of taxable securities, and just 4.7% 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 on Monday (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.
