Crane Data released its March Money Fund Portfolio Holdings data earlier this week, and our latest collection of taxable money market securities, with data as of Feb. 28, 2014, shows a jump in Treasuries and big declines in Government agency securities and CDs (certificates of deposit), as well as continued heavy usage of Federal Reserve Bank of New York repos. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $32.7 billion in February to $2.474 trillion. Portfolio assets decreased by $258 million in January, increased by $55 billion in December, and decreased by $10.7 billion in November and by $9.4 billion in October. CDs remained the largest holding among taxable money funds, followed by Repo, Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings declined slightly after rebounding in January (they'd plunged in December on the Repo shift into the Fed from dealer balance sheets); European holdings are now 29.8% of holdings (down from 29.6% last month). Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) fell in February, decreasing $15.2 billion to $566.0 billion, or 22.9% of holdings. Repurchase agreement (repo) holdings declined by $8.8 billion to $478.9 billion, or 19.4% of fund assets. (Repo at the NY Fed jumped from $79.8 billion to $91.8 billion as funds shifted from Government repo to Treasury repo; it had spiked to $139.2 billion in December.) Treasury holdings, the third largest segment, jumped by $15.2 billion to $466.5 billion (18.9% of holdings). Government Agency Debt plunged by $26.0 billion. Agencies now total $340.6 billion (13.8% of assets). Commercial Paper (CP), the fifth largest segment, increased by $4.2 billion to $402.2 billion (16.3% of holdings). Other holdings, which include Time Deposits, inched up $3.2 billion to $185.6 billion (7.5% of assets). VRDNs held by taxable funds dropped by $5.3 billion to $34.3 billion (1.4% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series later Thursday and our "offshore" holdings will be released Friday.)
Among Prime money funds, CDs still represent over one-third of holdings with 36.0% (down from 36.4% of a month ago), followed by Commercial Paper (25.6%, up from 24.9%). The CP totals are primarily Financial Company CP (15.4% of holdings) with Asset-Backed CP making up 5.8% and Other CP (non-financial) making up 4.4%. Prime funds also hold 5.7% in Agencies (down from 6.5%), 6.5% in Treasury Debt (up from 5.6%), 5.7% in Other Instruments, and 5.9% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.573 trillion (down from $1.597T), or 63.6% (down from 63.7%) of taxable money fund holdings' total of $2.474 trillion. Government fund portfolio assets totaled $443.8 billion, down from $451.2 billion last month, while Treasury money fund assets totaled $457.8 billion, down slightly from $459.9 billion at the end of January.
European-affiliated holdings declined fractionally, down $4.5 billion in February to $737.3 billion (among all taxable funds and including repos); their share of holdings is now 29.8%. Eurozone-affiliated holdings also inched lower (down $9.8 billion) to $427.7 billion in Feb.; they now account for 17.3% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $16.0 billion to $294.7 billion (11.9% of the total), while Americas related holdings declined $12.8 billion to $1.441 trillion (58.2% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $10.1 billion to $224.7 billion, or 9.1% of assets, Government Agency Repurchase Agreements (down $25.7 billion to $170.7 billion, or 6.9% of total holdings), and Other Repurchase Agreements (up $6.8 billion to $83.5 billion, or 3.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.8 billion to $242.2 billion, or 9.8% of assets), Asset Backed Commercial Paper (down $1.4 billion to $91.5 billion, or 3.7%), and Other Commercial Paper (up $3.7 billion to $68.5 billion, or 2.8%).
The 20 largest Issuers to taxable money market funds as of Feb. 28, 2014, include: the US Treasury ($466.5 billion, or 18.9%), Federal Home Loan Bank ($211.3B, 8.5%), Federal Reserve Bank of New York ($91.8B, 3.7%), BNP Paribas ($80.5B, 3.3%), Bank of Tokyo-Mitsubishi UFJ Ltd ($61.7B, 2.5%), JP Morgan ($58.6B, 2.4%), Credit Agricole ($57.7B, 2.3%), Bank of Nova Scotia ($57.2B, 2.3%), Deutsche Bank AG ($52.2B, 2.1%), RBC ($50.4B, 2.0%), Barclays Bank ($49.0B, 2.0%), Sumitomo Mitsui Banking Co ($48.3B, 2.0%), Credit Suisse ($47.8B, 1.9%), Federal Home Loan Mortgage Co ($47.3B, 1.9%), Citi ($45.1B, 1.8%), Societe Generale ($44.8B, 1.8%), Wells Fargo ($44.3, 1.8%), Federal National Mortgage Association ($43.6B, 1.8%), Bank of America ($43.4B, 1.8%), and Federal Farm Credit Bank ($35.6B, 1.4%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program. The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Federal Reserve Bank of New York ($91.8B, 19.2%), BNP Paribas ($52.1B, 10.9%), Bank of America ($33.7B, 7.1%), Deutsche Bank ($28.4B, 5.9%), Barclays ($25.8B, 5.4%), Goldman Sachs ($25.5B, 5.3%), Societe Generale ($25.1B, 5.2%), Credit Agricole ($22.0B, 4.6%), Citi ($20.2B, 4.2%), and Credit Suisse ($20.1B, 4.2%).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($42.8B, 7.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($41.7B, 7.4%), Bank of Nova Scotia ($32.1B, 5.7%), Toronto-Dominion Bank ($29.2B, 5.2%), Bank of Montreal ($27.4B, 4.9%), Rabobank ($25.1B, 4.5%), Mizuho Corporate Bank Ltd ($23.5B, 4.2%), Credit Suisse ($21.8B, 3.9%), Wells Fargo ($18.9B, 3.4%), and BNP Paribas ($17.9B, 3.2%).
The 10 largest CP issuers include: JP Morgan ($27.5B, 7.9%), Westpac Banking Co ($16.2B, 4.6%), Commonwealth Bank of Australia ($14.1B, 4.0%), Barclays PLC ($12.8B, 3.7%), FMS Wertmanagement ($12.3B, 3.5%), NRW.Bank ($12.1B, 3.5%), RBC ($11.8B, 3.4%), Skandinaviska Enskilda Banken AB ($11.1B, 3.2%), Lloyds TSB Bank PLC ($10.8B, 3.1%), and General Electric ($10.6B, 3.0%).
The largest increases among Issuers include: the US Treasury (up $15.2B to $466.5B), the Federal Reserve Bank of New York (up $12.0B to $91.8B), Credit Agricole (up $4.3B to $57.7B), CIBC (up $3.9B to $16.1B), and Barclays (up $3.8B to $49.0B). The largest decreases among Issuers of money market securities (including Repo) in February were shown by: Federal Home Loan Bank (down $19.5B to $211.3B), Deutsche Bank (down $11.4B to $52.2B), Federal Home Loan Mortgage (down $9.4B to $47.3B), and Mizuho Corporate Bank Ltd (down $6.4B to $30.2B). (Note: Sumitomo Mitsui Banking Co showed a decline of $13.4 billion to $48.3 billion, but this was due to Crane Data splitting out Sumitomo Mitsui Trust Bank as a separate ($13.5B) entity.)
The United States remained the largest segment of country-affiliations; it still represents 49.5% of holdings, or $1.224 trillion. France (10.0%, $246.6B remained in second place ahead of Canada (8.7%, $214.8B) and Japan (7.4%, $182.3B). The UK (4.8%, $119.4B) remained in fifth place, and Sweden (3.9%, $95.9B) moved back into sixth. Germany (3.7%, $92.6B) dropped to seventh, Australia (3.5%, $87.6B) fell to 8th, the Netherlands (3.1%, $75.5B) was ninth, and Switzerland (2.6%, $64.8B) was tenth among country affiliations. (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 Feb. 28, 2014, Taxable money funds held 22.1% of their assets in securities maturing Overnight, and another 13.1% maturing in 2-7 days (35.3% total in 1-7 days). Another 19.0% matures in 8-30 days, while 28.9% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.9% of taxable securities, and just 4.0% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated yesterday, and our MFI International "offshore" Portfolio Holdings will be updated Friday (the Tax Exempt MF Holdings will be released late today). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Reports Issuer Module.
