Crane Data released its May Money Fund Portfolio Holdings Friday afternoon, and our latest collection of taxable money market securities, with data as of April 30, 2014, shows a big drop in Repo (including NY Fed repo) and Treasuries, and a jump in Time Deposits (the SEC's "Other" category) and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $39.1 billion in April to $2.392 trillion. Portfolio assets decreased by $43.0 billion in March, $32.7 billion in February, and $258 million in January, after an increase of $55 billion in December. CDs remained the largest holding among taxable money funds, followed by Repo, then by Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings rebounded after quarter-end on a shift from Fed repo back into TDs and CDs; European holdings are now below 29.2% of holdings (up from below 25% last month). Below, we review the latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) rebounded in April, increasing $17.4 billion to $560.5 billion, or 23.4% of holdings. Repurchase agreement (repo) holdings plunged $51.5 billion to $482.5 billion, or 20.2% of fund assets. (Money funds' repo at the NY Fed dropped sharply, falling from $203.1 billion to $146.1 billion, accounting for the entire repo drop and then some.) Treasury holdings, the third largest segment, slid by $49.8 billion to $424.3 billion (17.7% of holdings). Government Agency Debt continued its slide, falling by $17.0 billion. Agencies now total $313.5 billion (13.1% of assets). Commercial Paper (CP), the fifth largest segment, increased by $8.6 billion to $389.4 billion (16.3% of holdings). Other holdings, which include Time Deposits, rebounded sharply (up $45.2 billion) to $181.8 billion (7.6% of assets). VRDNs held by taxable funds increased by $8.0 billion to $40.0 billion (1.7% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series late Tuesday and our "offshore" holdings will be released Wednesday.)
Among Prime money funds, CDs still represent over one-third of holdings with 37.2% (up from 35.2% of a month ago), followed by Commercial Paper (25.8%, up from 24.7%). 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 4.0%. Prime funds also hold 4.8% in Agencies (down from 5.2%), 5.0% in Treasury Debt (up from 6.6%), 2.5% in Other Instruments, and 5.0% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.507 trillion (down from $1.542), or 63.0% of taxable money fund holdings' total of $2.392 trillion.
Government fund portfolio assets totaled $433.2 billion, down fractionally from $434.3 billion last month, while Treasury money fund assets totaled $451.6 billion, down slightly from $454.7 billion at the end of March. Government money fund portfolios were made up of 55.0% Agency securities, 21.1% Government Agency Repo, 6.1% Treasury debt, and 17.1% Treasury Repo. Treasury money funds were comprised of 71.5% Treasury debt and 27.2% Treasury Repo.
European-affiliated holdings rebounded, up $99.2 billion in April to $699.1 billion (among all taxable funds and including repos); their share of holdings is now 29.2%. Eurozone-affiliated holdings also jumped (up $42.4 billion) to $390.3 billion in April; they now account for 16.3% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $3.9 billion to $280.1 billion (11.7% of the total), while Americas related holdings fell $133.5 billion to $1.412 trillion (59.0% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $52.8 billion to $248.0 billion, or 10.4% of assets), Government Agency Repurchase Agreements (up $1.6 billion to $150.4 billion, or 6.3% of total holdings), and Other Repurchase Agreements (down $331 million to $84.0 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $9.4 billion to $237.0 billion, or 9.9% of assets), Asset Backed Commercial Paper (up $3.1 billion to $91.4 billion, or 3.8%), and Other Commercial Paper (down $4.0 billion to $61.0 billion, or 2.6%).
The 20 largest Issuers to taxable money market funds as of April 30, 2014, include: the US Treasury ($424.3 billion, or 19.5%), Federal Home Loan Bank ($184.7B, 8.5%), Federal Reserve Bank of New York ($146.1B, 6.7%), BNP Paribas ($65.4B, 3.0%), Bank of Nova Scotia ($58.5B, 2.7%), Credit Agricole ($55.5B, 2.6%), JP Morgan ($54.8B, 2.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($54.2B, 2.5%), RBC ($49.8B, 2.3%), Sumitomo Mitsui Banking Co ($47.0B, 2.2%), Credit Suisse ($46.9B, 2.2%), Deutsche Bank AG ($46.4B, 2.1%), Citi ($45.8B, 2.1%), Wells Fargo ($45.1, 2.1%), Federal Home Loan Mortgage Co ($44.4B, 2.0%), Federal National Mortgage Association ($43.7B, 2.0%), Bank of America ($42.3B, 1.9%), Barclays Bank ($41.9B, 1.9%), Federal Farm Credit Bank ($38.2B, 1.8%), and Societe Generale ($35.7B, 1.6%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program by far with 30.3% of the repo market. 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 ($146.1B, 30.3%), BNP Paribas ($37.9B, 7.8%), Bank of America ($32.2B, 6.7%), Deutsche Bank AG ($25.4B, 5.3%), Barclays ($25.4B, 5.3%), Credit Agricole ($19.8B, 4.1%), Citi ($19.5B, 4.0%), Wells Fargo ($19.4B, 4.0%), Credit Suisse ($18.6B, 3.9%), and RBC ($18.4B, 3.8%). Crane Data shows 58 money funds buying the Fed's repos, with just 4 funds -- Morgan Stanley Inst Lq Gvt, Northern Trust Trs MMkt, JP Morgan US Govt and State Street Inst Lq Res -- investing over the previous $7 billion limit (but well under the new $10 billion limit).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($40.3B, 7.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($39.3B, 7.1%), Bank of Nova Scotia ($36.0B, 6.5%), Toronto-Dominion Bank ($28.3B, 5.1%), Bank of Montreal ($27.9B, 5.0%), Rabobank ($24.8B, 4.5%), Mizuho Corporate Bank Ltd ($23.7B, 4.3%), Credit Suisse ($19.9B, 3.6%), BNP Paribas ($18.6B, 3.3%), and Citi ($17.9B, 3.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($25.3B, 7.5%), Westpac Banking Co ($16.5B, 4.9%), Commonwealth Bank of Australia ($13.6B, 4.0%), Lloyds TSB Bank PLC ($11.6B, 3.4%), RBC ($11.1B, 3.3%), HSBC ($10.9B, 3.2%), FMS Wertmanagement ($10.5B, 3.1%), Skandinaviska Enskilda Banken AB ($9.8B, 2.9%), Barclays PLC ($9.5B, 2.8%), and ING Bank ($9.4B, 2.8%).
The largest increases among Issuers include: Lloyd's TSB Bank PLC (up $16.4B to $27.0B), Societe Generale (down $15.6B to $29.2B), DnB NOR Bank ASA (up $13.9B to $29.8B), Swedbank (up $10.3B to $22.6B), National Australia Bank (up $7.8B to $26.8B), and Societe Generale (up $6.5B to $35.7B). The largest decreases among Issuers of money market securities (including Repo) in April were shown by: the Federal Reserve Bank of New York (down $57.0B to $146.1B), the US Treasury (down $49.8B to $424.3B), Federal Home Loan Bank (down $12.5B to $184.7B), Bank of Tokyo-Mitsubishi UFJ Ltd (down $8.6B to $54.2B), and Goldman Sachs (down $7.4B to $15.0B).
The United States remained the largest segment of country-affiliations; it now represents 50.3% of holdings, or $1.203 trillion. France (9.3%, $222.0B) moved into second place ahead of Canada (8.6%, $206.7B), and Japan (7.2%, $171.3B) remained the fourth largest country affiliated with money fund securities. The UK (4.6%, $109.2B) remained in fifth place, and Sweden (4.4%, $105.4B) remained in sixth. Australia (3.5%, $83.7B) remained in seventh while Germany (3.4%, $80.5B) stayed in 8th. The Netherlands (3.1%, $74.5B) was ninth and Switzerland (2.7%, $63.9B) 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 April 30, 2014, Taxable money funds held 23.8% of their assets in securities maturing Overnight, and another 12.9% maturing in 2-7 days (36.6% total in 1-7 days). Another 21.5% matures in 8-30 days, while 23.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 14.4% of taxable securities, and just 3.6% 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 Wednesday (the Tax Exempt MF Holdings will be released Tuesday). 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.
