Crane Data released its November Money Fund Portfolio Holdings data earlier this week, and our latest collection of taxable money market securities, with data as of Oct. 31, 2013, shows a jump Commercial Paper and Other securities (mainly Time Deposits), but drops in Repurchase Agreement (Repo) and Treasuries. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $9.4 billion in October to $2.462 trillion. (Assets also shifted from Government and Treasury funds into Prime funds on concerns over the Treasury debt ceiling.) Portfolio assets had risen by $55.3 billion in Sept., $1.1 billion in August and $68.9 billion in July, but they’d fallen by $30.1 billion in June. CDs remain the largest holding among taxable money funds, followed by Repos, Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) jumped to 30.4% on the shift from Government funds to Prime funds. Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) holdings decreased $5.6 billion to $519.2 billion, or 21.1% of holdings. Repurchase agreement (repo) holdings dropped $14.2 billion to $474.8 billion, or 19.3% of fund assets. Treasury holdings decreased by $20.0 billion to $463.0 billion (18.8% of holdings) as debt ceiling concerns scared money out of Treasury and Government Institutional funds (much of this returned, but made its way into Prime funds). Commercial Paper (CP), the fourth largest segment, jumped $25.6 billion to $417.4 billion (17.0% of holdings). Government Agency Debt fell by $4.7 billion; it now totals $358.0 billion (14.5% of assets). Other holdings, which includes Time Deposits, jumped $18.8 billion to $181.7 billion (7.4% of assets). VRDNs held by taxable funds dropped by $9.3 billion to $48.2 billion (2.0% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series Thursday.)
Among Prime money funds, CDs still represent about one-third of holdings, or 33.0%, followed by Commercial Paper (26.5%). The CP totals are primarily Financial Company CP (15.0% of holdings) with Asset-Backed CP making up 6.3% and Other CP (non-financial) making up 5.2%. Prime funds also hold 7.5% in Agencies, 6.4% in Treasury Debt, 2.2% in Other Instruments, 6.0% in Other Notes, and 3.1% in Other (including Time Deposits). Prime money fund holdings tracked by Crane Data total $1.554 trillion, or 64.0%, of taxable money fund holdings' total of $2.462 trillion. (This is up from $1.544 trillion, or 62.5% of taxable assets, last month.) Government fund portfolio assets totaled $445.9 billion, down from $458.3 billion last month, while Treasury money fund assets totaled $441.5 billion, down from $468.9 billion in Sept.
European-affiliated holdings increased by $70.5 billion in September to $749.3 billion (among all taxable funds and including repos); their share of holdings grew to 30.4%. Eurozone-affiliated holdings jumped too (up $53.1 billion) to $429.0 billion in Oct.; they now account for 17.4% of overall taxable money fund holdings. Asia & Pacific related holdings grew by $13.0 billion to $304.8 billion (12.4% of the total), while Americas related holdings dropped by $92.9 billion to $1.407 trillion (57.2% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (down $4.5 billion to $219.2 billion, or 8.9% of total holdings), Treasury Repurchase Agreements (down $15.7 billion to $182.2 billion, or 7.4% of assets and Other Repurchase Agreements (up $5.9 billion to $73.3 billion, or 3.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $21.5 billion to $236.4 billion, or 9.6% of assets), Asset Backed Commercial Paper (up $3.5 billion to $98.7 billion, or 4.0%), and Other Commercial Paper (up $613 million to $82.2 billion, or 3.3%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2013, include: the US Treasury ($463.6 billion, or 18.8%), Federal Home Loan Bank ($211.7B, 8.6%), BNP Paribas ($78.6B, 3.2%), Deutsche Bank AG ($68.2B, 2.8%), Bank of Tokyo-Mitsubishi UFJ Ltd ($64.1B, 2.6%), Federal Home Loan Mortgage Co ($60.3B, 2.5%), Sumitomo Mitsui Banking Co ($58.5B, 2.4%), Bank of Nova Scotia ($57.9B, 2.4%), JP Morgan ($57.3B, 2.3%), Barclays Bank ($55.0B, 2.2%), Bank of America ($53.3B, 2.2%), Societe Generale ($52.0B, 2.1%), Federal National Mortgage Association ($50.8B, 2.1%), Citi ($48.4B, 2.0%), RBC ($47.0B, 1.9%), Credit Suisse ($43.9B, 1.8%), Credit Agricole ($41.7B, 1.7%), Goldman Sachs ($40.2B, 1.6%), Toronto-Dominion Bank ($36.1B, 1.5%), and Wells Fargo ($35.4, 1.4%).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: BNP Paribas ($53.5B, 11.3%), Deutsche Bank ($47.7B, 10.1%), Bank of America ($42.6B, 9.0%), Goldman Sachs ($40.0B, 8.4%), Barclays ($35.0B, 7.4%), Societe Generale ($32.2B, 6.8%), Citi ($23.2B, 4.9%), Credit Suisse ($22.2B, 4.7%), and Credit Agricole ($18.9B, 4.0%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($50.9B, 9.9%), Bank of Tokyo-Mitsubishi UFJ Ltd ($42.3B, 8.2%), Bank of Nova Scotia ($33.8B, 6.5%), Toronto-Dominion Bank ($30.9B, 6.0%), Bank of Montreal ($28.4B, 5.5%), Mizuho Corporate Bank Ltd ($22.9B, 4.4%), Rabobank ($20.8B, 4.0%), National Australia Bank Ltd ($17.2B, 3.3%), RBC ($15.0B, 3.0%), and Natixis ($15.0B, 2.9%). The 10 largest CP issuers include: JP Morgan ($25.5B, 7.2%), Commonwealth Bank of Australia ($17.4B, 4.9%), Westpac Banking Co ($15.0B, 4.2%), NRW.Bank ($14.2B, 4.0%), General Electric ($13.6B, 3.8%), FMS Wertmanagement ($12.8B, 3.6%), BNP Paribas ($12.0B, 3.4%), RBC ($11.3B, 3.2%), DnB NOR Bank ASA ($10.9B, 3.0%), and Toyota ($10.5B, 2.9%).
The largest increases among Issuers of money market securities (including Repo) in October were shown by: Deutsche Bank AG (up $24.4B to $68.2B), Societe Generale (up $20.8B to $52.0B), BNP Paribas (up $13.6B to $78.6B), Goldman Sachs (up $9.9B to $40.2B), Barclays PLC (up $9.4B to $55.0B), and DnB NOR Bank ASA (up $8.9B to $32.5B). The largest decreases among Issuers included: Federal Reserve Bank of New York (down $35.9B to $8.8B), US Treasury (down $19.7B to $463.6B), Credit Agricole (down $12.2B to $41.7B), Bank of Montreal (down $6.2B to $31.3B), RBC (down $6.1B to $47.0B), and Federal National Mortgage Association (down $5.8B to $50.8B).
The United States is still by far the largest segment of country-affiliations with 48.7%, or $1.200 trillion. France remained in second place (9.5%, $234.8B) ahead of Canada (8.4%, $205.6B). Japan was again fourth (7.6%, $186.9B) and the UK (5.3%, $129.2B) remained fifth. Germany (4.5%, $110.3B), remained in sixth ahead of Sweden (4.1%, $99.8B) and Australia (3.8%, $94.1B). The Netherlands (3.0%, $72.8B) and Switzerland (2.4%, $58.3B) continued to round out the top 10. (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.)
As of Oct. 31, 2013, Taxable money funds held 22.1% of their assets in securities maturing Overnight, and another 13.0% maturing in 2-7 days (35.1% total in 1-7 days). Another 21.5% matures in 8-30 days, while 23.5% matures in the 31-90 day period. The next bucket, 91-180 days, holds 15.4% of taxable securities, and just 4.5% 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 Friday (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.
