Crane Data released its December Money Fund Portfolio Holdings data earlier this week, and our latest collection of taxable money market securities, with data as of Nov. 30, 2013, shows a jump in Certificates of Deposits (CDs) and Treasuries, 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 $10.7 billion in November to $2.452 trillion. (Assets again shifted from Government and Treasury funds into Prime funds on concerns over the Treasury debt ceiling.) Portfolio assets declined by $9.4 billion in October, but rose by $55.3 billion in Sept., $1.1 billion in August and $68.9 billion in July. CDs increased their lead as the largest holding among taxable money funds, followed by Treasuries, Repo, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings inched lower to 30.0% on the decline in Repo holdings. Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) holdings increased $16.6 billion to $535.8 billion, or 21.9% of holdings. Treasury holdings increased by $13.8 billion to $476.8 billion (19.5% of holdings), moving them into second place. Repurchase agreement (repo) holdings dropped $21.3 billion to $453.4 billion, or 18.5% of fund assets. Commercial Paper (CP), the fourth largest segment, fell by $5.0 billion to $412.4 billion (16.8% of holdings). Government Agency Debt fell by $15.7 billion; it now totals $342.3 billion (14.0% of assets). Other holdings, which includes Time Deposits, increased $2.2 billion to $183.9 billion (7.5% of assets). VRDNs held by taxable funds dropped by $1.2 billion to $47.0 billion (1.9% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series tomorrow.)
Among Prime money funds, CDs still represent about one-third of holdings, or 34.2%, followed by Commercial Paper (26.3%). The CP totals are primarily Financial Company CP (15.7% of holdings) with Asset-Backed CP making up 6.1% and Other CP (non-financial) making up 4.4%. Prime funds also hold 6.8% in Agencies, 6.3% in Treasury Debt, 2.8% in Other Instruments, and 5.4% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.567 trillion (down from $1.575T last month), or 63.9%, of taxable money fund holdings' total of $2.452 trillion. Government fund portfolio assets totaled $439.9 billion, down from $445.9 billion last month, while Treasury money fund assets totaled $444.3 billion, up slightly from $441.5 billion in Oct.
European-affiliated holdings decreased by $14.7 billion in November to $734.6 billion (among all taxable funds and including repos); their share of holdings dipped to 30.0%. Eurozone-affiliated holdings inched higher (up $2.5 billion) to $431.5 billion in Nov.; they now account for 17.6% of overall taxable money fund holdings. Asia & Pacific related holdings grew by $7.6 billion to $312.4 billion (12.7% of the total), while Americas related holdings dropped by $4 billion to $1.403 trillion (57.3% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (down $11.9 billion to $207.3 billion, or 8.5% of total holdings), Treasury Repurchase Agreements (down $11.4 billion to $170.9 billion, or 7.0% of assets and Other Repurchase Agreements (up $2.0 billion to $75.3 billion, or 3.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $10.0 billion to $246.4 billion, or 10.1% of assets), Asset Backed Commercial Paper (down $2.5 billion to $96.2 billion, or 3.9%), and Other Commercial Paper (up $12.5 billion to $69.7 billion, or 2.8%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2013, include: the US Treasury ($476.8 billion, or 21.2%), Federal Home Loan Bank ($204.8B, 9.1%), BNP Paribas ($75.0B, 3.3%), Deutsche Bank AG ($69.5B, 3.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($63.5B, 2.8%), Bank of Nova Scotia ($63.0B, 2.8%), Sumitomo Mitsui Banking Co ($61.8B, 2.8%), Federal Home Loan Mortgage Co ($61.0B, 2.7%), JP Morgan ($59.6B, 2.7%), Citi ($57.1B, 2.6%), Credit Agricole ($53.5B, 2.4%), Societe Generale ($51.8B, 2.3%), Barclays Bank ($51.5B, 2.3%), Bank of America ($49.8B, 2.2%), Credit Suisse ($48.7B, 2.2%), RBC ($48.6B, 2.2%), Federal National Mortgage Association ($42.7B, 1.9%), Wells Fargo ($39.1, 1.7%), Mizuho Corporate Bank Ltd ($38.2B, 1.7%) and Toronto-Dominion Bank ($35.4B, 1.6%).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: BNP Paribas ($48.7B, 10.7%), Deutsche Bank ($44.3B, 9.8%), Bank of America ($38.7B, 8.5%), Barclays ($30.6B, 6.7%), Citi ($29.1B, 6.4%), Societe Generale ($27.9B, 6.2%), Goldman Sachs ($24.9B, 5.5%), Credit Suisse ($23.8B, 5.3%), Credit Agricole and Bank of Nova Scotia ($19.9B, 4.4%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($54.4B, 10.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($43.0B, 8.0%), Bank of Nova Scotia ($34.3B, 6.4%), Toronto-Dominion Bank ($29.6B, 5.5%), Bank of Montreal ($27.0B, 5.1%), Mizuho Corporate Bank Ltd ($24.9B, 4.7%), Rabobank ($22.4B, 4.2%), Credit Suisse ($18.1B, 3.4%), Citi ($17.5B, 3.3%) and National Australia Bank Ltd ($17.1B, 3.2%).
The 10 largest CP issuers include: JP Morgan ($27.7B, 7.7%), NRW.Bank ($17.3B, 4.8%), Westpac Banking Co ($15.8B, 4.4%), Commonwealth Bank of Australia ($15.8B, 4.3%), General Electric ($12.9B, 3.6%), Societe Generale ($12.9B, 3.6%), FMS Wertmanagement ($12.4B, 3.4%), BNP Paribas ($12.3B, 3.4%), RBC ($11.7B, 3.3%), and Barclays PLC ($11.3B, 3.1%).
The largest increases among Issuers of money market securities (including Repo) in November were shown by: the US Treasury (up $13.1B to $476.8B), Credit Agricole (up $11.8B to $53.5B), Citi (up $8.8B to $57.2B), the Federal Reserve Bank of New York (up $7.5B to $16.3B) and Bank of Nova Scotia (up $5.1B to $63.0B). The largest decreases among Issuers include: Goldman Sachs (down $15.1B to $25.1B), Natixis (down $8.2B to $27.1B), Federal National Mortgage Association (down $8.0B to $42.7B), Federal Home Loan Bank (down $6.9B to $204.8B), and HSBC (down $4.4B to $27.2B).
The United States is still by far the largest segment of country-affiliations with 48.7%, or $1.194 trillion. France remained in second place (9.5%, $232.4B) ahead of Canada (8.5%, $208.1B). Japan was again fourth (7.9%, $194.1B), while Germany (4.6%, $113.5B) moved into fifth place ahead of the UK (4.6%, $112.8B). Sweden (4.0%, $98.4B) ranked seventh, Australia (3.9%, $94.6B) ranked eighth, while the Netherlands (3.0%, $74.6B) and Switzerland (2.5%, $61.4B) 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 Nov. 30, 2013, Taxable money funds held 25.0% of their assets in securities maturing Overnight, and another 10.6% maturing in 2-7 days (35.5% total in 1-7 days). Another 18.6% matures in 8-30 days, while 28.7% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.2% of taxable securities, and just 3.9% 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 Saturday (the Tax Exempt MF Holdings will be released tomorrow). 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.
