Crane Data released its August Money Fund Portfolio Holdings dataset Friday, and our collection of taxable money market securities with data as of July 31, 2013, shows a jump in almost all asset classes with Treasuries, CP, CDs and repo showing the largest monthly gains; CDs and Treasuries remained the largest segments just ahead of repos. Money market securities held by Taxable U.S. money funds overall jumped by $68.9 billion in July (after falling by $30.1 billion in June, increasing by $25.8 billion in May, and falling $9.9 billion in April and $34.6 billion in March) to $2.415 trillion. (Note that our Portfolio Holdings collection is a separate data series from our monthly Money Fund Intelligence XLS and daily MFI Daily collections.) Almost all composition segments, including Treasuries, CP, CDs, Repo, and Agencies, increased in July, while only “Other” and VRDNs declined. CDs remained the largest holding among taxable money funds, followed by closely by Treasuries and Repo, then CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) rebounded from last month’s plunge (primarily due to repo) from 27.9% to under 29.6%. Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) holdings increased by $13.5 billion to $493.0 billion, remaining at 20.4%; they remain the largest segment of money fund composition. Treasury holdings increased by $27.9 billion to $485.4 billion (20.1% of holdings) and remained in the second place spot. Repurchase agreement (repo) holdings increased by $13.2 billion to $464.1 billion, or 19.2% of fund assets. Commercial Paper (CP), the fourth largest segment, jumped by $17.2 billion to $414.6 billion (17.2% of holdings). Government Agency Debt increased by $5.7 billion; it now totals $352.2 billion (14.6% of assets). Other holdings, which include Time Deposits, fell by $4.9 billion to $156.6 billion (6.5% of assets). VRDNs held by taxable funds fell again by $3.6 billion to $49.2 billion (2.0% of assets). (Crane Data’s Tax Exempt fund data is released in a separate series.)
Among Prime money funds, CDs still represent almost one-third of holdings, or 32.2%, followed by Commercial Paper (27.4%). The CP totals are primarily Financial Company CP (15.8% of holdings) with Asset-Backed CP making up 6.3% and Other CP (non-financial) making up 5.3%. Prime funds also hold 7.9% in Agencies, 6.5% in Treasury Debt, 5.8% in Other Notes, 2.0% in Other (including Time Deposits), and 2.9% in VRDNs. Prime money fund holdings tracked by Crane Data total $1.512 trillion, or 62.6% of taxable money fund holdings’ total of $2.415 trillion.
European-affiliated holdings jumped $60.2 billion in July to $714.1 billion (among all taxable funds and including repos); their share of holdings rose to 29.6%. Eurozone-affiliated holdings rose sharply too (up $43.2 billion) to $381.6 billion in July; they now account for 15.8% of overall taxable money fund holdings. Asia & Pacific related holdings inched down by $1.6 billion to $290.1 billion (12.0% of the total), while Americas related holdings rose by $9.0 billion on the bounce in Treasuries to $1.410 trillion (58.4% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (up$2.1 billion to $232.6 billion, or 9.6% of total holdings), Treasury Repurchase Agreements (up $11.8 billion to $161.5 billion, or 6.7% of assets and Other Repurchase Agreements (down $778 million to $70.1 billion, or 2.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $12.0 billion to $239.2 billion, or 9.9% of assets), Asset Backed Commercial Paper (down $142 million to $94.5 billion, or 3.9%), and Other Commercial Paper (up $5.3 billion to $80.8 billion, or 3.4%).
The 20 largest Issuers to taxable money market funds as of July 31, 2013, include the US Treasury (19.7%, $474.8 billion), Federal Home Loan Bank (7.9%, $190.7 billion), Deutsche Bank AG (3.0%, $71.9B), Federal Home Loan Mortgage Co (2.8%, $66.4B), JP Morgan (2.5%, $60.9B), Federal National Mortgage Association (2.4%, $58.5B), Bank of Nova Scotia (2.4%, $58.1B), Barclays Bank (2.4%, $56.9B), Sumitomo Mitsui Banking Co (2.3%, $55.9B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.2%, $53.7B), RBC (2.2%, $53.5B), Bank of America (2.2%, $53.4B), BNP Paribas (2.2%, $53.1B), Citi (2.2%, $52.6B), Credit Agricole (2.0%, $47.1B), Societe Generale (1.9%, $45.2B), Credit Suisse (1.7%, $41.5B), Toronto-Dominion Bank (1.5%, $36.1B), Bank of Montreal (1.4%, $34.1B), and Mizuho Corporate Bank Ltd (1.4%, $32.9B).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Deutsche Bank ($45.5B, 9.8%), Bank of America ($44.5B, 9.6%), Barclays ($37.5B, 8.1%), BNP Paribas ($36.0B, 7.8%), Citi ($29.0B, 6.3%), RBS ($25.5B, 5.5%), Societe Generale ($24.5B, 5.3%), Goldman Sachs ($24.4B, 5.3%), Credit Suisse ($22.4B, 4.8%), and Credit Agricole ($22.3B, 4.8%).
The 10 largest issuers of CDs (with the amount of CDs issued to our universe and market share) include: Sumitomo Mitsui Banking Co ($49.3B, 10.0%), Bank of Tokyo-Mitsubishi UFJ Ltd ($38.1B, 7.7%), Bank of Nova Scotia ($31.9B, 6.5%), Bank of Montreal ($30.0B, 6.1%), Toronto-Dominion Bank ($28.7B, 5.8%), Mizuho Corporate Bank Ltd ($22.2B, 4.5%), National Australia Bank Ltd ($19.9B, 4.0%), RBC ($16.5B, 3.4%), Canadian Imperial Bank of Commerce ($15.7B, 3.2%), and Norinchukin Bank ($15.1B, 3.1%).
The 10 largest issuers of CP (owned by money funds) as of July 31 include: JP Morgan ($24.5B, 6.9%), Commonwealth Bank of Australia ($17.2B, 4.8%), Westpac Banking Co ($15.6B, 4.4%), General Electric ($14.6B, 4.1%), FMS Wertmanagement ($13.6B, 3.8%), Lloyds TSB Bank PLC ($12.6B, 3.5%), Barclays Bank ($11.3B, 3.2%), Australia & New Zealand Banking Group Ltd ($11.1B, 3.1%), NRW.Bank ($10.4B, 2.9%), and Toyota ($9.6B, 2.7%).
The largest increases among Issuers of money market securities (including Repo) in July were shown by: Deutsche Bank (up $25.2B to $71.9B), US Treasury (up $17.3B to $474.8B), Lloyds TSB Bank PLC (up $14.7B to $23.8B), Societe Generale (up $12.0B to $45.2B), and Citi (up $5.7B to $52.6B). The largest decreases among Issuers included: Credit Suisse (down $7.0B to $41.5B), RBC (down $5.0B to $53.5B), Credit Agricole (down $4.3B to $47.1B), Toronto-Dominion Bank (down $4.2B to $36.1B), and Mizuho Corporate Bank Ltd (down $3.3B to $32.9B).
The United States is still by far the largest segment of country-affiliations with 49.2%, or $1.187 trillion. Canada decreased slightly but remained in second place (9.2%, $221.2B) ahead of France (8.5%, $204.4B). Japan was again fourth (7.1%, $171.9B) and the UK (6.4%, $153.8B) remained fifth. Germany (4.7%, $113.8B) moved ahead of Australia (4.1%, $99.1B) 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 (3.7%, $88.3B), Switzerland (2.7%, $64.7B), and the Netherlands (2.5%, $59.1B) continued to round out the top 10.
As of July 31, 2013, Taxable money funds held 21.0% of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (35.1% total in 1-7 days). Another 20.9% matures in 8-30 days, while 25.3% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.7% of taxable securities, and just 5.1% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, 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.
