Crane Data released its July Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of June 30, 2014, shows a big jump in Repos, and a big drop in Other (Time Deposits), CP and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $18.0 billion in June to $2.370 trillion. Portfolio assets also decreased by $3.7 billion in May, $39.1 billion in April, and $43.0 billion in March. Repos again surpassed CDs as the largest portfolio composition segment among taxable money funds, followed by Treasuries, then by CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings plunged to 23.5% of holdings (down sharply from 30.8% last month), primarily due to a record spike in holdings of the NY Fed's RRP (repo) program. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings jumped by $76.1 billion to $591.5 billion, or 25.0% of fund assets, after rising $32.9 billion in May. (Holdings of Federal Reserve Bank of New York repo rose $148.3 billion to a record $274.5 billion.) Certificates of Deposit (CDs) dropped in June, decreasing $17.4 billion to $550.7 billion, or 23.2% of holdings. Treasury holdings, now the third largest segment, increased by $4.8 billion to $390.6 billion (16.5% of holdings). Commercial Paper (CP), which dropped to the fourth largest segment, decreased by $30.9 billion to $363.0 billion (15.3% of holdings). Government Agency Debt was up $8.5 billion. Agencies now total $322.1 billion (13.6% of assets). Other holdings, which include primarily Time Deposits, dropped sharply (down $55.7 billion) to $120.2 billion (5.1% of assets). VRDNs held by taxable funds decreased by $3.3 billion to $32.3 billion (1.4% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 37.2% (down from 36.5% a month ago), followed by Commercial Paper (24.5%, down from 27.2%). The CP totals are primarily Financial Company CP (14.5% of holdings) with Asset-Backed CP making up 6.0% and Other CP (non-financial) making up 4.0%. Prime funds also hold 5.4% in Agencies (up from 4.9%), 4.2% in Treasury Debt (up from 4.0%), 2.0% in Other Instruments, and 4.8% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.481 trillion (down from $1.505), or 62.5% of taxable money fund holdings' total of $2.370 trillion.
Government fund portfolio assets totaled $431.6 billion, down from $436.8 billion last month, while Treasury money fund assets totaled $457.7 billion, up from from $444.5 billion at the end of May. Government money fund portfolios were made up of 55.4% Agency securities, 20.9% Government Agency Repo, 4.5% Treasury debt, and 18.5% Treasury Repo. Treasury money funds were comprised of 67.7% Treasury debt and 31.4% Treasury Repo.
European-affiliated holdings decreased $175.8 billion in June to $558.0 billion (among all taxable funds and including repos); their share of holdings is now 23.5%. Eurozone-affiliated holdings also fell (down $93.3 billion) to $324.0 billion in June; they now account for 13.7% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $7.5 billion to $291.5 billion (12.3% of the total), while Americas related holdings increased $153.0 billion to $1.520 trillion (64.1% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $93.1 billion to $353.6 billion, or 14.9% of assets), Government Agency Repurchase Agreements (down $16.9 billion to $154.2 billion, or 6.5% of total holdings), and Other Repurchase Agreements (down $142 million to $83.7 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $26.4 billion to $214.4 billion, or 9.0% of assets), Asset Backed Commercial Paper (down $683 million to $89.4 billion, or 3.8%), and Other Commercial Paper (down $3.9 billion to $59.2 billion, or 2.5%).
The 20 largest Issuers to taxable money market funds as of June 30, 2014, include: the US Treasury ($390.6 billion, or 16.5%), Federal Reserve Bank of New York ($274.5B, 11.6%), Federal Home Loan Bank ($196.1B, 8.3%), BNP Paribas ($60.1B, 2.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($59.5B, 2.5%), Bank of Nova Scotia ($57.4B, 2.4%), RBC ($53.0B, 2.2%), JP Morgan ($51.9B, 2.2%), Wells Fargo ($51.3, 2.2%), Sumitomo Mitsui Banking Co ($47.6B, 2.0%), Citi ($46.5B, 2.0%), Credit Agricole ($45.1B, 1.9%), Federal Home Loan Mortgage Co ($44.8B, 1.9%), Credit Suisse ($42.4B, 1.8%), Federal National Mortgage Association ($41.5B, 1.8%), Bank of America ($40.0B, 1.7%), Toronto-Dominion ($39.7B, 1.7%), Federal Farm Credit Bank ($36.7B, 1.6%), Natixis ($35.3B, 1.5%) and Mizuho Corporate Bank Ltd. ($32.9B, 1.4%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program by far with 46.4% 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 ($274.5B, 46.4%), BNP Paribas ($32.7B, 5.5%), Bank of America ($30.1B, 5.1%), RBC ($23.6B, 4.0%), Wells Fargo ($20.2B, 3.4%), JP Morgan ($19.7B, 3.3%), Credit Suisse ($19.6B, 3.3%), Barclays ($19.6B, 3.3%), Citi ($18.3B, 3.1%), and Credit Agricole ($16.9B, 2.9%). Crane Data shows 82 funds participating in the NY Fed repo program with 2 money funds maxing out the Fed program with $10 billion, and 8 more holdings over $7 billion (the previous cap). The largest Fed repo holders include: State Street Inst Lq Res, Western Asset Inst Lq Res, Federated Trs Oblg, Goldman Sachs FS Trs Obl Inst, Dreyfus Tr&Ag Cash Mgmt Inst, Morgan Stanley Inst Liq Trs, JP Morgan Prime MM, Morgan Stanley Inst Lq Gvt, Northern Trust Trs MMkt, and BlackRock Lq T-Fund.
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($41.3B, 7.5%), Sumitomo Mitsui Banking Co ($39.6B, 7.2%), Bank of Nova Scotia ($36.4B, 6.7%), Toronto-Dominion Bank ($33.4B, 6.1%), Mizuho Corporate Bank Ltd ($26.9B, 4.9%), Bank of Montreal ($23.2B, 4.2%), Rabobank ($22.9B, 4.2%), Wells Fargo ($22.6B, 4.1%), Citi ($20.9B, 3.8%), and Natixis ($20.5B, 3.7%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($22.1B, 7.1%), Westpac Banking Co ($16.0B, 5.1%), Commonwealth Bank of Australia ($15.6B, 5.0%), RBC ($11.6B, 3.7%), Skandinaviska Enskilda Banken AB ($10.6B, 3.4%), BNP Paribas ($10.4B, 3.3%), HSBC ($9.8B, 3.2%), FMS Wertmanagement ($9.5B, 3.1%), Australia & New Zealand Banking Group ($9.5B, 3.0%), and National Australia Bank Ltd. ($8.6B, 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $148.3B to $274.5B), Federal Home Loan Bank (up $10.6B to $196.1B), State Street (up $4.6B to $11.3B), US Treasury (up $4.1B to $390.6B), Toronto-Dominion Bank (up $3.9B to $39.7B), and Mizuho Corporate Bank Ltd. (up $2.7B to $47.6B). The largest decreases among Issuers of money market securities (including Repo) in June were shown by: Deutsche Bank AG (down $25.1B to $27.0B), Barclays PLC (down $22.3B to $29.8B), Societe Generale (down $16.5B to $23.9B), DnB NOR Bank ASA (down $16.4B to $12.3B), Credit Agricole (down $13.7B to $45.7B), and BNP Paribas (down $12.1B to $60.1B).
The United States remained the largest segment of country-affiliations; it now represents 54.9% of holdings, or $1.302 trillion. Canada (9.1%, $216.5B) moved into second place ahead of France (7.7%, $183.5B). Japan (7.6%, $180.4B) remained the fourth largest country affiliated with money fund securities. Sweden (3.7%, $87.9B) moved up to fifth place, ahead of Australia (3.5%, $83.7B) and the U.K. (3.2%, $76.1B). The Netherlands (3.1%, $74.9B) ranked 8th while Germany (2.5%, $59.7B) dropped to 9th place. Switzerland (2.4%, $57.4B) 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 June 30, 2014, Taxable money funds held 25.2% of their assets in securities maturing Overnight, and another 12.1% maturing in 2-7 days (37.3% total in 1-7 days). Another 19.7% matures in 8-30 days, while 25.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.6% 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 late Monday). 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.
