Crane Data released its December Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Nov. 30, 2014, shows jumps in Agencies, CDs, and Repo, and drops in Other (Time Deposits) and Treasuries. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $11.5 billion in November to $2.451 trillion. Portfolio assets increased by $4.7 billion in October, $42.4 billion in September, and $28.2 billion in August, after decreasing by $6.2 billion in July. CDs remained the largest portfolio composition segment among taxable money funds, ahead of Repos. In third were Treasuries, just ahead of CP. These were followed by Agencies, Other (Time Deposits), and VRDNs. Money funds' European-affiliated holdings stood at 28.1%, the same level as last month. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Certificates of Deposit (CDs) were up 2.1% in November, increasing $11.3 billion to $563.3 billion, or 23.0% of holdings, after rising $5.6 billion in October, dropping $20.1 billion in September, and rising $1.6 billion in August. Repurchase agreement (repo) holdings increased by $10.8 billion to $522.1 billion, or 21.3% of assets, after decreasing $85.3 billion in October, increasing $84.4 billion in September, and rising $4.3 billion in August. Treasury holdings, the third largest segment, decreased by $3.0 billion to $385.9 billion (15.7% of holdings). Commercial Paper (CP), the fourth largest segment, increased by $0.8 billion to $380.0 billion (15.5% of holdings). Government Agency Debt was up $11.7 billion to $347.3 billion (14.2% of assets). Other holdings, which include primarily Time Deposits, decreased sharply, (down $18.2 billion) to $226.9 billion (9.3% of assets). VRDNs held by taxable funds decreased by $1.8 billion to $25.4 billion (1.0% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 36.9% (up from 36.3% a month ago), followed by Commercial Paper (24.9%). The CP totals are primarily Financial Company CP (14.8% of holdings) with Asset-Backed CP making up 5.7% and Other CP (non-financial) making up 4.4%. Prime funds also hold 5.6% in Agencies (up from 4.9%), 3.6% in Treasury Debt (down from 3.9%), 4.1% in Other Instruments, and 6.4% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.526 trillion (up from $1.522), or 62.3% of taxable money fund holdings' total of $2.451 trillion.
Government fund portfolio assets totaled $461.0 billion in November, up from $452.0 billion last month, while Treasury money fund assets totaled $466.0 billion, down from $495.1 billion at the end of October. Government money fund portfolios were made up of 56.4% Agency Debt securities, 24.0% Government Agency Repo, 2.8% Treasury debt, and 16.3% in Treasury Repo. Treasury money funds were comprised of 68.7% Treasury debt, 30.1% Treasury Repo, and 1.1% Government agency, repo and investment company shares.
European-affiliated holdings increased $1.4 billion in November to $688.5 billion (among all taxable funds and including repos); their share of holdings remains 28.1%, the same as last month. Eurozone-affiliated holdings also increased slightly (up $9.5 billion) to $359.6 billion in November; they now account for 14.7% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $1.0 billion to $308.6 billion (12.6% of the total), while Americas related holdings increased $9.0 billion to $1.452 trillion (59.3% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $3.1 billion to $264.4 billion, or 10.8% of assets), Government Agency Repurchase Agreements (up $1.5 billion to $167.6 billion, or 6.8% of total holdings), and Other Repurchase Agreements (up $6.2 billion to $90.0 billion, or 3.7% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $1.9 billion to $226.1 billion, or 9.2% of assets), Asset Backed Commercial Paper (up $1.4 billion to $87.3 billion, or 3.6%), and Other Commercial Paper (down $2.5 billion to $66.6 billion, or 2.7%).
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2014, include: the US Treasury ($386.2 billion, or 17.3%), Federal Home Loan Bank ($207.4B, 9.3%), Federal Reserve Bank of New York ($144.1B, 6.5%), BNP Paribas ($63.7B, 2.9%), Credit Agricole ($60.2B, 2.7%), Wells Fargo ($59.2, 2.7%), JP Morgan ($58.0B, 2.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($57.2B, 2.6%), RBC ($55.9B, 2.5%), Bank of Nova Scotia ($54.4B, 2.4%), Federal Home Loan Mortgage Co ($52.0B, 2.3%), Bank of America ($50.6B, 2.3%), Federal National Mortgage Association ($46.3B, 2.1%), Citi ($44.5B, 2.0%), Sumitomo Mitsui Banking Co ($44.2B, 2.0%), Barclays PLC ($44.2B, 2.0%), Toronto-Dominion ($42.7B, 1.9%), Credit Suisse ($41.5B, 1.9%), Natixis ($41.0B, 1.8%), and Federal Farm Credit Bank ($38.9B, 1.7%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with 27.6% 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 ($144.1B, 27.6%), Bank of America ($41.5B, 7.9%), BNP Paribas ($39.6B, 7.6%), Barclays ($31.6B, 6.1%), Credit Agricole ($25.9B, 5.0%), Wells Fargo ($24.4B, 4.7%), Societe Generale ($24.3B, 4.7%), JP Morgan ($23.6B, 4.5%), RBC ($20.9B, 4.0%), and Credit Suisse ($20.2B, 3.9%).
The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($48.7B, 4.7%), Sumitomo Mitsui Banking Co ($44.2B, 4.3%), Toronto-Dominion Bank ($37.6B, 3.6%), Bank of Nova Scotia ($35.7B, 3.4%), RBC ($35.0B, 3.4%), DnB NOR Bank ASA ($34.7B, 3.3%), Wells Fargo ($34.7B, 3.3%), Credit Agricole ($34.3B, 3.3%), Natixis ($34.1B, 3.3%) and JP Morgan ($33.9B, 3.3%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($38.5B, 6.9%), Sumitomo Mitsui Banking Co ($37.7B, 6.8%), Toronto-Dominion Bank ($37.1B, 6.7%), Bank of Montreal ($30.7B, 5.5%), Mizuho Corporate Bank Ltd ($30.1B, 5.4%), Bank of Nova Scotia ($30.1B, 5.4%), Wells Fargo ($26.0B, 4.7%), Rabobank ($23.0B, 4.1%), Natixis ($19.5B, 3.5%), and RBC ($16.7B, 3.0%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.0B, 7.2%), Commonwealth Bank of Australia ($16.7B, 5.3%), Westpac Banking Co ($16.5B, 5.2%), Lloyds TSB Bank PLC ($15.7B, 4.9%), RBC ($13.7B, 4.3%), BNP Paribas ($10.8B, 3.4%), Australia & New Zealand Banking Group ($9.8B, 3.1%), Toyota ($9.2B, 2.9%), DnB NOR Bank ASA ($9.0B, 2.8%), and National Australia Bank Ltd ($8.9B, 2.8%).
The largest increases among Issuers include: Bank of Montreal (up $8.8B to $38.1B), RBC (up $8.1B to $55.9B), Mizuho Corporate Bank (up $5.1B to $38.7B), Federal Home Loan Mortgage Co. (up $4.2B to $52.0B), Federal National Mortgage Association (up $3.5B to $46.3B), Bank of America (up $3.2B to $50.6B), Rabobank (up $3.1B to $29.6B), BNP Paribas (up $2.9B to $63.7B), Barclays (up 2.9B to $44.2B), and Federal Home Loan Bank (up $2.8B to $207.4B).
The largest decreases among Issuers of money market securities (including Repo) in November were shown by: Bank of New York Mellon (down $11.4B to $10.8B), DnB Norbank ASA (down $8.2B to $34.7B), Citi (down $7.7B to $44.5B), Bank of Tokyo-Mitsubishi UFJ Ltd. (down $4.3B to $57.2B), Swedbank AB (down $3.9B to $29.6B), Goldman Sachs (down $3.8B to $10.9B), US Treasury (down $2.7B to $386.2B), Credit Agricole (down $2.6B to $60.2B), Skandinaviska Enskilda Banken AB (down $2.5B to $30.0B), and Australia & New Zealand Banking Co. (down $2.3B to $18.3B).
The United States remained the largest segment of country-affiliations; it represents 49.7% of holdings, or $1.218 trillion. Canada (9.5%, $231.7B) moved into second, jumping ahead of France (9.3%, $227.3B). Japan (7.5%, $183.2B) remained in fourth place, followed by the U.K. (5.0%, $122.4B) in fifth place. Sweden (4.7%, $116.2B) was in sixth place, followed by the Australia (3.7%, $91.7B), The Netherlands (2.9%, $69.8B), and Switzerland (2.7%, $55.5B). Germany (1.9%, $45.4B) 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 Nov. 30, 2014, Taxable money funds held 26.7% of their assets in securities maturing Overnight, and another 12.6% maturing in 2-7 days (39.3% total in 1-7 days). Another 16.9% matures in 8-30 days, while 28.1% matures in the 31-90 day period. The next bucket, 91-180 days, holds 11.9% of taxable securities, and just 3.7% 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.
