Crane Data released its August Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of August 31, 2014, shows a jump in Time Deposits and Fed Repo, but little change in almost every other asset category. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $28.2 billion in August to $2.392 trillion. Portfolio assets decreased by $6.2 billion in July, $18.0 billion in June, $3.7 billion in May, and $39.1 billion in April. CDs remained the largest portfolio composition segment among taxable money funds, followed by Repo, CP, then Treasuries, Agencies, Other (Time Deposits), and VRDNs. Money funds' European-affiliated holdings held steady at 29.6%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings increased by $4.3 billion to $512.3 billion, or 21.4% of fund assets, after dropping $83.6 billion in July, rising $76.1 billion in June and $32.9 billion in May. (Holdings of Federal Reserve Bank of New York repo increased by $17.9 billion to $133.9 billion.) Certificates of Deposit (CDs) were flat in August, increasing $1.6 billion to $566.5 billion, or 23.7% of holdings. Commercial Paper (CP), the third largest segment, increased by $2.1 billion to $377.5 billion (15.8% of holdings). Treasury holdings, the fourth largest segment, decreased by $454 million to $368.1 billion (15.4% of holdings). Government Agency Debt was down $2.7 billion. Agencies now total $344.0 billion (14.4% of assets). Other holdings, which include primarily Time Deposits, jumped sharply (up $25.6 billion) to $198.7 billion (8.3% of assets). VRDNs held by taxable funds decreased by $2.2 billion to $25.3 billion (1.1% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 37.5% (down from 37.7% a month ago), followed by Commercial Paper (25.0%). The CP totals are primarily Financial Company CP (15.0% of holdings) with Asset-Backed CP making up 5.8% and Other CP (non-financial) making up 4.2%. Prime funds also hold 6.3% in Agencies (up from 6.2%), 3.9% in Treasury Debt (same as last month), 6.7% in Other Instruments, and 6.2% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.510 trillion (up from $1.499), or 63.1% of taxable money fund holdings' total of $2.392 trillion.
Government fund portfolio assets totaled $435.7 billion up from $425.6 billion last month, while Treasury money fund assets totaled $446.4 billion, up from $439.7 billion at the end of July. Government money fund portfolios were made up of 56.8% Agency securities, 24.2% Government Agency Repo, 3.3% Treasury debt, and 15.2% Treasury Repo. Treasury money funds were comprised of 66.0% Treasury debt and 33.2% Treasury Repo.
European-affiliated holdings increased $596 million in August to $708.8 billion (among all taxable funds and including repos); their share of holdings is now 29.6%. Eurozone-affiliated holdings also increased (up $2.7 billion) to $404.2 billion in August; they now account for 16.9% of overall taxable money fund holdings. Asia & Pacific related holdings dropped by $3.3 billion to $291.5 billion (12.2% of the total), while Americas related holdings increased $31 billion to $1.391 trillion (58.1% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $13.0 billion to $262.4 billion, or 11.0% of assets), Government Agency Repurchase Agreements (down $6.3 billion to $165.9 billion, or 6.9% of total holdings), and Other Repurchase Agreements (down $2.3 billion to $83.9 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $3.6 billion to $225.8 billion, or 9.4% of assets), Asset Backed Commercial Paper (up $2.7 billion to $87.8 billion, or 3.7%), and Other Commercial Paper (up $3.0 billion to $63.9 billion, or 2.7%).
The 20 largest Issuers to taxable money market funds as of August 31, 2014, include: the US Treasury ($368.1 billion, or 15.4%), Federal Home Loan Bank ($208.7B, 8.7%), Federal Reserve Bank of New York ($133.9B, 5.6%), BNP Paribas ($62.7B, 2.6%), Bank of Nova Scotia ($59.6B, 2.5%), Credit Agricole ($58.6B, 2.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($57.7B, 2.4%), Wells Fargo ($55.7, 2.3%), RBC ($54.3B, 2.3%), JP Morgan ($49.6B, 2.1%), Deutsche Bank AG ($48.6B, 2.0%), Federal National Mortgage Association ($48.1B, 2.0%), Sumitomo Mitsui Banking Co ($47.8B, 2.0%), Citi ($47.7B, 2.0%), Federal Home Loan Mortgage Co ($47.6B, 2.0%), Bank of America ($42.5B, 1.8%), Credit Suisse ($42.1B, 1.8%), Toronto-Dominion ($41.8B, 1.8%), Barclays PLC ($39.6B, 1.7%), and Societe Generale ($37.9B, 1.6%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with 26.1% 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 ($133.9B, 26.1%), Deutsche Bank AG ($37.7B, 7.4%), BNP Paribas ($37.6B, 7.4%), Bank of America ($33.2B, 6.5%), Societe Generale ($30.2B, 5.9%), Credit Agricole ($25.8B, 5.0%), Barclays PLC ($25.6B, 5.0%), RBC ($22.5B, 4.4%), Credit Suisse ($20.6B, 4.0%), and JP Morgan ($20.3B, 4.0%).
Crane Data shows 55 funds (up from 51 last month) and 17 fund complexes participating in the NY Fed repo program with just 3 money funds holding over $7 billion (the previous cap). The largest Fed repo holders include: Morgan Stanley Inst Liq Trs ($9.1B), JP Morgan US Govt ($7.9B), Goldman Sachs FS Trs Obl Inst ($7.8B), State Street Inst Lq Res ($6.9B), Dreyfus Tr&Ag Cash Mgmt Inst ($6.7B), Fidelity Instl MM Treasury Port ($6.5B), Northern Trust Trs MMkt ($5.2B), Dreyfus Govt Cash Mngt ($6.0B), Northern Inst Gvt Select ($5.2B), and BlackRock Cash Inst MMkt ($5.0B).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($40.4B, 7.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($39.9B, 7.1%), Bank of Nova Scotia ($36.6B, 6.5%), Toronto-Dominion Bank ($35.9B, 6.4%), Wells Fargo ($26.6B, 4.7%), Mizuho Corporate Bank Ltd ($26.1B, 4.6%), Bank of Montreal ($25.7B, 4.6%), Rabobank ($22.4B, 4.0%), Citi ($19.8B, 3.5%), and Natixis ($18.0B, 3.2%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($21.8B, 6.7%), Westpac Banking Co ($16.1B, 5.0%), Commonwealth Bank of Australia ($15.9B, 4.9%), Lloyds TSB Bank PLC ($13.0B, 4.0%), RBC ($12.8B, 4.0%), BNP Paribas ($11.9B, 3.7%), NRW Bank ($10.3B, 3.2%), HSBC ($10.0B, 3.1%), Australia & New Zealand Banking Group ($9.2B, 2.9%), and Caisse des Depots et Consignations ($9.2B, 2.8%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $17.9B to $133.9B), Federal National Mortgage Association (up $5.7B to $48.1B), Bank of New York Mellon (up $6.2B to $13.4B), Bank of Nova Scotia (up $4.0B to $59.6B), RBC (up $3.7B to $54.3B), and NRW Bank (up $3.5B to $10.3B). The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Federal Home Loan Bank (down $8.8B to $208.7B), Barclays PLC (down $6.0B to $39.6B), Societe Generale (down $5.9B to $37.9B), JP Morgan (down $4.5B to $49.6B), and Bank of Tokyo-Mitsubishi (down $4.1B to $57.7B).
The United States remained the largest segment of country-affiliations; it represents 48.7% of holdings, or $1.165 trillion. France (9.5%, $227.4B) moved into second place ahead of Canada (9.3%, $223.0B). Japan (7.4%, $177.8B) remained the fourth largest country affiliated with money fund securities. The U.K. (4.5%, $106.9B) was in fifth place, ahead of Sweden (4.3%, $103.4B) and Germany (3.7%, $87.5B). Australia (3.6%, $85.7B) ranked 8th while Netherlands (3.0%, $71.4B) dropped to 9th place. Switzerland (2.5%, $59.1B) 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 August 31, 2014, Taxable money funds held 27.1% of their assets in securities maturing Overnight, and another 11.8% maturing in 2-7 days (38.9% total in 1-7 days). Another 22.4% matures in 8-30 days, while 23.1% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.2% of taxable securities, and just 3.5% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Wednesday, and our MFI International "offshore" Portfolio Holdings will be updated Monday (the Tax Exempt MF Holdings will be released Friday). 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.
