Crane Data released its November Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Oct. 31, 2014, shows jumps in Other (Time Deposits), Commercial Paper, and CDs, and a big drop in (Fed) Repo. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $4.2 billion in October to $2.439 trillion. Portfolio assets increased by $42.4 billion in September and $28.2 billion in August, after decreasing by $6.2 billion in July and $18.0 billion in June. CDs became the largest portfolio composition segment among taxable money funds, once again surpassing Repos. In third were Treasuries, just ahead of CP. These were followed by Agencies, Other (Time Deposits), and VRDNs. Money funds' European-affiliated holdings increased sharply to 28.1% up from 22.1% last month. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Certificates of Deposit (CDs) were up 1.0% in October, increasing $5.6 billion to $546.4 billion, or 22.4% of holdings, after dropping $20.1 billion September, rising $1.6 billion in August and $14.2 billion in July. Repurchase agreement (repo) holdings decreased by $85.3 billion to $511.3 billion, or 21.0% of fund assets, after increasing $84.4 billion in September, rising $4.3 billion in August, and dropping $83.6 billion in July. Treasury holdings, the third largest segment, decreased by $24.5 billion to $388.9 billion (15.9% of holdings). Commercial Paper (CP), the fourth largest segment, increased by $10.9 billion to $379.3 billion (15.5% of holdings). Government Agency Debt was down $9.2 billion. Agencies now total $335.6 billion (13.8% of assets). Other holdings, which include primarily Time Deposits, increased sharply up $110.8 billion) to $245.1 billion (10.0% of assets). VRDNs held by taxable funds decreased by $3.5 billion to $27.2 billion (1.1% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 36.3% (down from 36.5% a month ago), followed by Commercial Paper (24.8%). The CP totals are primarily Financial Company CP (14.7% of holdings) with Asset-Backed CP making up 5.6% and Other CP (non-financial) making up 4.5%. Prime funds also hold 4.9% in Agencies (down from 5.7%), 3.9% in Treasury Debt (same as last month), 5.2% in Other Instruments, and 6.2% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.522 trillion (up from $1.497), or 62.4% of taxable money fund holdings' total of $2.435 trillion.
Government fund portfolio assets totaled $452.0 billion in October, up from $443.0 billion last month, while Treasury money fund assets totaled $466.0 billion, down from $495.1 billion at the end of September. Government money fund portfolios were made up of 57.1% Agency Debt securities, 23.8% Government Agency Repo, 2.9% Treasury debt, and 15.6% in Treasury Repo. Treasury money funds were comprised of 67.7% Treasury debt, 31.3% Treasury Repo, and 1.0% made up of Government agency, repo and investment company shares.
European-affiliated holdings increased $148.2 billion in October to $686.1 billion in October (among all taxable funds and including repos); their share of holdings is now 28.1%. Eurozone-affiliated holdings also increased (up $60.7 billion) to $350.1 billion in October; they now account for 14.4% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $7.0 billion to $307.6 billion (12.6% of the total), while Americas related holdings decreased $151.0 billion to $1.443 trillion (59.2% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $105.9 billion to $261.3 billion, or 10.7% of assets), Government Agency Repurchase Agreements (up $22.5 billion to $166.2 billion, or 6.8% of total holdings), and Other Repurchase Agreements (down $1.9 billion to $83.8 billion, or 3.4% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $16.2 billion to $224.2 billion, or 9.2% of assets), Asset Backed Commercial Paper (down $2.6 billion to $85.9 billion, or 3.5%), and Other Commercial Paper (down $2.6 billion to $69.2 billion, or 2.8%).
The 20 largest Issuers to taxable money market funds as of Oct. 31, 2014, include: the US Treasury ($388.9 billion, or 15.9%), Federal Home Loan Bank ($204.5B, 8.4%), Federal Reserve Bank of New York ($144.7B, 5.9%), Credit Agricole ($62.8B, 2.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($61.4B, 2.5%), BNP Paribas ($60.9B, 2.5%), JP Morgan ($58.3B, 2.4%), Wells Fargo ($57.7, 2.4%), Bank of Nova Scotia ($54.5B, 2.2%), Citi ($52.2B, 2.1%), Federal Home Loan Mortgage Co ($47.8B, 2.0%), RBC ($47.7B, 2.0%), Bank of America ($47.4B, 1.9%), Sumitomo Mitsui Banking Co ($44.6B, 1.8%), ` DnB NOR Bank ASA <b:>`_ ($42.9B, 1.8%), Federal National Mortgage Association ($42.8B, 1.8%), Toronto-Dominion ($41.5B, 1.7%), Barclays PLC ($41.3B, 1.7%), Natixis ($40.0B, 1.6%), and ` Credit Suisse <b:>`_ ($39.9B, 1.6%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) plunged following quarter-end, but it remained the largest program with 28.3% 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 ($144.7B, 28.3%), Bank of America ($38.8B, 7.6%), BNP Paribas ($37.1B, 7.3%), Barclays ($27.9B, 5.5%), Societe Generale ($27.0B, 5.3%), Credit Agricole ($26.5B, 5.2%), JP Morgan ($25.6B, 5.0%), Citi ($25.3B, 4.9%), Wells Fargo ($22.5B, 4.4%), and Credit Suisse ($20.2B, 3.9%).
Crane Data shows 61 funds (up from 55 last month) and 18 fund complexes participating in the NY Fed repo program with just 4 money funds holding over $7 billion (the previous cap). The largest Fed repo holders include: JP Morgan US Govt ($15.3B), Goldman Sachs FS Trs Obl Inst ($10.7B), Morgan Stanley Inst Liq Trs ($9.5B), State Street Inst Lq Res ($7.7B), Dreyfus Tr&Ag Cash Mgmt Inst ($6.5B), JP Morgan US Trs Plus ($6.2B), UBS Select Treas ($5.5B), Federated Gvt Oblg ($4.7B), Schwab Gvt MMkt ($4.3B), Federated Trs Oblg ($4.3B), Western Asset Inst Gvt ($4.2B), Fidelity Inst MMkt Gvt ($4.1B), First American Trs Oblg ($4.1B), Fidelity Inst MM MMkt ($4.0B), First American Gvt Oblg ($3.5B), Goldman Sachs FS Gvt ($3.5B), Fidelity Inst MM Prm ($3.4B), BlackRock Lq T-Fund ($3.0B), Morgan Stanley Inst Lq Gvt ($3.0B), and Dreyfus Govt Cash Mngt ($2.9B).
The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($49.5B, 4.7%), Sumitomo Mitsui Banking Co ($44.6B, 4.3%), DnB NOR Bank ASA ($42.9B, 4.1%) Bank of Nova Scotia ($37.5B, 3.6%), Toronto-Dominion Bank ($36.8B, 3.5%), Credit Agricole ($36.4B, 3.5%), Natixis ($36.0B, 3.4%), Wells Fargo ($35.2B, 3.4%), Swedbank AB ($33.5B, 3.2%), and Skandinaviska Enskilda Banken AB ($32.5B, 3.1%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($39.1B, 7.2%), Sumitomo Mitsui Banking Co ($38.9B, 7.1%), Toronto-Dominion Bank ($36.3B, 6.6%), Bank of Nova Scotia ($31.7B, 5.8%), Mizuho Corporate Bank Ltd ($26.8B, 4.9%), Wells Fargo ($26.3B, 4.8%), Bank of Montreal ($25.8B, 4.7%), Rabobank ($20.4B, 3.7%), Natixis ($20.2B, 3.7%), and Citi ($16.9B, 3.1%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.8B, 7.5%), Commonwealth Bank of Australia ($16.3B, 5.1%), Westpac Banking Co ($16.3B, 5.1%), Lloyds TSB Bank PLC ($13.0B, 4.1%), RBC ($12.5B, 4.0%), BNP Paribas ($10.7B, 3.4%), Australia & New Zealand Banking Group ($9.7B, 3.1%), DnB NOR Bank ASA ($9.4B, 3.0%), General Electric ($8.9B, 2.8%), and National Australia Bank Ltd ($8.8B, 2.8%).
The largest increases among Issuers include: DnB NOR Bank ASA (up $31.7B to $42.9B), Societe Generale (up $18.7B to $36.0B, Lloyds TSB Bank PLC (up $18.0B to $26.3B), Credit Agricole (up $17.9B to $62.8B), Swedbank AB (up $15.3B to $33.5B), Barclays PLC (up $12.0B to $41.3B), Credit Mutuel (up $9.5B to $17.1B), Natixis (up 8.7B to $40.0B), JP Morgan (up $8.3B to $58.3B), Australia and New Zealand Banking Group (up $6.9B to $20.6B), Nordea Bank (up $5.5 to $25.5B), BNP Paribas (up $5.2B to $60.9B), Bank of America (up 4.9B to $47.4B), and Citi (up $4.5B to $52.2B).
The largest decreases among Issuers of money market securities (including Repo) in October were shown by: Federal Reserve Bank of NY (down $142.6B to $144.7B), US Treasury (down $24.5B to $388.9B), Federal Home Loan (down $9.6B to $204.5B), RBC (down $5.7B to $47.7B), Bank of Montreal (down $3.8B to $29.3B), Sumitomo Mitsui Banking Co. (down $2.7B to $44.6B), Bank of Nova Scotia (down $2.3B to $54.5B), UBS AG (down $2.2B to $12.3B), Canadian Imperial Bank of Commerce (down $2.2B to $15.3B), and Rabobank (down $2.4B to $26.5 B).
The United States remained the largest segment of country-affiliations; it represents 50.6% of holdings, or $1.234 trillion. France (9.3%, $227.6B) moved up to second from fourth place ahead of third place Canada (8.5%, $207.4B) and Japan (7.5%, $183.2B). Sweden (4.9%, $118.8B) held on to fifth place, followed by the U.K. (4.8%, $117.9B), Australia (3.7%, $94.3B), The Netherlands (2.7%, $65.3B), and Switzerland (2.3%, $56.0B). Germany (1.8%, $43.8B) held 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 Oct. 31, 2014, Taxable money funds held 26.8% of their assets in securities maturing Overnight, and another 12.7% maturing in 2-7 days (39.5% total in 1-7 days). Another 19.2% matures in 8-30 days, while 22.1% matures in the 31-90 day period. The next bucket, 91-180 days, holds 15.4% of taxable securities, and just 3.9% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Tuesday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released later this 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.
