Crane Data released its October Money Fund Portfolio Holdings Thursday, and our latest collection of taxable money market securities, with data as of September 30, 2014, shows a jump in Repo, Treasury, and VRDNs, and a big drop in Other (Time Deposits) holdings. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $42.4 billion in September to $2.454 trillion. Portfolio assets increased by $28.2 billion in August, after decreasing by $6.2 billion in July, $18.0 billion in June, and $3.7 billion in May. Repos again became the largest portfolio composition segment among taxable money funds, surpassing CDs. Moving into third were Treasuries, jumping ahead of CP. These were followed by Agencies, Other (Time Deposits), and VRDNs. Money funds' European-affiliated holdings dropped sharply to 22.1% from 29.6% last month with the shift into Repo. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings increased by $84.4 billion to $596.6 billion, or 24.5% of fund assets, after rising $4.3 billion in August, dropping $83.6 billion in July, and climbing $76.1 billion in June. (Holdings of Federal Reserve Bank of New York Repo increased a whopping $153.3 billion to $287.3 billion.) Certificates of Deposit (CDs) were down 3.5% in September, decreasing $20.1 billion to $546.4, or 22.4% of holdings. Treasury holdings, the third largest segment, increased by $45.3 to $413.4 billion (17.0% of holdings). Commercial Paper (CP), the fourth largest segment, decreased by $9.1 billion to $368.4 billion (15.1% of holdings). Government Agency Debt was up $745 million. Agencies now total $344.8 billion (14.2% of assets). Other holdings, which include primarily Time Deposits, dropped sharply (down $64.3 billion) to $134.3 billion (5.5% of assets). VRDNs held by taxable funds increased by $5.4 billion to $30.7 billion (1.3% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 36.5% (down from 37.5% a month ago), followed by Commercial Paper (24.6%). The CP totals are primarily Financial Company CP (13.9% of holdings) with Asset-Backed CP making up 5.9% and Other CP (non-financial) making up 4.8%. Prime funds also hold 5.7% in Agencies (down from 6.3%), 3.8% in Treasury Debt (down from 3.9% last month), 3.3% in Other Instruments, and 5.4% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.497 trillion (down slightly from $1.510), or 61.5% of taxable money fund holdings' total of $2.435 trillion.
Government fund portfolio assets totaled $443.0 billion in Sept., up from $435.7 billion last month, while Treasury money fund assets totaled $495.1 billion, up from $446.1 billion at the end of August. Government money fund portfolios were made up of 58.0% Agency Debt securities, 19.9% Government Agency Repo, 3.1% Treasury debt, and 18.4% in Treasury Repo. Treasury money funds were comprised of 69.4% Treasury debt, 29.6% Treasury Repo, and 1.0% made up of Government agency, repo and investment company shares.
European-affiliated holdings decreased $170.8 billion in September to $537.9 billion (among all taxable funds and including repos); their share of holdings is now 22.1%, the lowest level since the height of the European debt scare in August 2011. Eurozone-affiliated holdings also decreased (down $114.3 billion) to $289.4 billion in September; they now account for 11.9% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $9.2 billion to $300.6 billion (12.4% of the total), while Americas related holdings increased $202.1 billion to $1.594 trillion (65.5% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $104.9 billion to $367.3 billion, or 15.1% of assets), Government Agency Repurchase Agreements (down $22.3 billion to $143.7 billion, or 5.9% of total holdings), and Other Repurchase Agreements (up $1.8 billion to $85.7 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $17.7 billion to $208.0 billion, or 8.5% of assets), Asset Backed Commercial Paper (up $766 million to $88.5 billion, or 3.6%), and Other Commercial Paper (up $7.9 billion to $71.8 billion, or 3.0%).
The 20 largest Issuers to taxable money market funds as of Sept. 30, 2014, include: the US Treasury ($413.4 billion, or 17.0%), Federal Reserve Bank of New York ($287.3B, 11.8%), Federal Home Loan Bank ($214.2B, 8.8%), Bank of Tokyo-Mitsubishi UFJ Ltd ($61.1B, 2.5%), Bank of Nova Scotia ($56.8B, 2.3%), Wells Fargo ($56.7, 2.3%), BNP Paribas ($55.7B, 2.3%), RBC ($53.4B, 2.2%), JP Morgan ($50.1B, 2.1%), Federal Home Loan Mortgage Co ($48.4B, 2.0%), Citi ($47.7B, 2.0%), Sumitomo Mitsui Banking Co ($47.3B, 1.9%), Credit Agricole ($44.9B, 1.8%), Toronto-Dominion ($43.2B, 1.8%), Bank of America ($42.5B, 1.7%), Credit Suisse ($41.5B, 1.7%), Federal National Mortgage Association ($41.3B, 1.7%), Federal Farm Credit Bank ($38.1B, 1.6%), Mizuho Corporate Bank Ltd ($33.7B, 1.4%), and Bank of Montreal ($33.1B, 1.4%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) increased its position as the largest program with a massive 48.1% 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 ($287.3B, 48.1%), Bank of America ($33.8B, 5.7%), BNP Paribas ($31.4B, 5.3%), Wells Fargo ($21.9B, 3.7%), RBC ($20.8B, 3.5%), Credit Suisse ($20.4B, 3.4%), Citi ($19.6B, 3.3%), Credit Agricole ($19.3B, 3.2%), JP Morgan ($18.5B, 3.1%), and Barclays ($17.2B, 2.9%).
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: Western Asset Inst Lq Res ($13.4B), Goldman Sachs FS Trs Obl Inst ($10.3B), Fidelity Cash Reserves ($9.9B), Fidelity Inst MM MMkt ($9.5B), Dreyfus Tr&Ag Cash Mgmt Inst ($9.4B), BlackRock Lq T-Fund ($9.3B), BlackRock Lq TempFund ($9.2B), `JP Morgan Prime MM ($9.0B), JP Morgan US Govt ($9.0B), Fidelity Inst MM Prm ($7.4B), State Street Inst Lq Res ($7.0B), Northern Trust Trs MMkt ($7.0B), Wells Fargo Adv Trs Plus ($7.0B), Federated Trs Oblg ($6.6B), Goldman Sachs FS Gvt ($6.3B), Fidelity Instl MM Treasury Port ($6.2B), JP Morgan US Trs Plus ($6.1B), Dreyfus Govt Cash Mngt ($6.0B), Morgan Stanley Inst Liq Trs ($5.9B), Federated Gvt Oblg ($5.4B), Schwab Cash Reserves ($5.0B), Wells Fargo Adv Hrtg ($5.0B), Fidelity Inst MMkt Gvt ($5.0B), and Western Asset Inst Gvt ($5.0B).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($41.9B, 7.7%), Sumitomo Mitsui Banking Co ($41.0B, 7.6%), Toronto-Dominion Bank ($37.6B, 6.9%), Bank of Nova Scotia ($35.4B, 6.5%), Bank of Montreal ($28.9B, 5.3%), Mizuho Corporate Bank Ltd ($26.8B, 4.9%), Wells Fargo ($25.4B, 4.7%), Rabobank ($22.9B, 4.2%), Natixis ($19.9B, 3.7%), and Citi ($18.2B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.7B, 7.8%), Commonwealth Bank of Australia ($15.9B, 5.2%), Westpac Banking Co ($15.8B, 5.2%), RBC ($12.5B, 4.1%), BNP Paribas ($11.2B, 3.7%), Toyota ($8.6B, 2.8%), HSBC ($8.5B, 2.8%), Australia & New Zealand Banking Group ($8.5B, 2.8%), DnB NOR Bank ASA ($8.3B, 2.7%), and ING Bank ($8.3B, 2.7%).
The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($52.7B, 5.7%), Sumitomo Mitsui Banking Co ($47.3B, 5.1%), Bank of Nova Scotia ($41.1B, 4.5%), Toronto-Dominion Bank ($38.1B, 4.1%), Wells Fargo ($34.8B, 3.8%), RBC ($32.6B, 3.5%), JPMorgan ($31.2B, 3.4%), Bank of Montreal ($30.7B, 3.3%), Skandinaviska Enskilda Banken AB ($29.8B, 3.2%), and Mizuho Corporate Bank Ltd ($29.2B, 3.2%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $153.3B to $287.3B), the US Treasury (up $45.3B to $413.4B), Federal Home Loan Bank (up $5.4B to $214.2B), Skandinaviska Enskilda Banken AB (up $3.8B to $30.5B), Bank of Montreal (up $3.7B to $33.1B), Bank of Tokyo-Mitsubishi UFJ Ltd (up $3.4B to $61.1B), Canadian Imperial Bank of Commerce (up $3.1B to $17.5B), Sumitomo Mitsui Trust Bank (up $2.8B to $17.8B), Mizuho Corporate Bank Ltd (up $2.4B to $33.7B), and Federal Farm Credit Bank (up $1.9B to $38.1B).
The largest decreases among Issuers of money market securities (including Repo) in August were shown by: Deutsche Bank AG (down $38.4B to $10.2B), DnB NOR Bank ASA (down $23.6B to $11.2B), Societe Generale (down $20.7B to $17.3B), Lloyds TSB Bank PLC (down $18.5B to $8.2B), Credit Agricole (down $13.6B to $44.9B), Barclays PLC (down $10.3B to $29.3B), BNP Paribas (down $7.1B to $55.7B), Federal National Mortgage Association (down $6.8B to $41.3B), Swedbank AB (down $6.5B to $18.2B), and Natixis (down $4.6B to $31.2B).
The United States remained the largest segment of country-affiliations; it represents 56.0% of holdings, or $1.364 trillion. France (6.9%, $169.0B) dropped from second to fourth place behind Canada (9.4%, $227.8B) and Japan (7.7%, $186.7B), which moved up to become the third largest country affiliated with money fund securities. Sweden (4.0%, $96.3B) moved into fifth place, followed by Australia (3.4%, $82.7B), the U.K. (3.4%, $81.8B), The Netherlands (2.8%, $68.5B), and Switzerland (2.4%, $58.8B). Germany (1.9%, $45.3B) dropped 10th place 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 September 30, 2014, Taxable money funds held 26.4% of their assets in securities maturing Overnight, and another 11.9% maturing in 2-7 days (38.3% total in 1-7 days). Another 20.9% matures in 8-30 days, while 22.9% matures in the 31-90 day period. The next bucket, 91-180 days, holds 14.3% 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 Thursday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released next week. 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.
