Crane Data released its February Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Jan. 31, 2015, shows a jump in Other (Time Deposits), VRDNs, CP, CDs, and Agencies, and drops in Repo and Treasuries. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $5.6 billion in January to $2.525 trillion after rising $68.3 billion in December, $11.5 billion in November, $4.7 billion in October, and $42.4 billion in September. With a decrease in Fed RRP holdings, Repo fell out of the top spot, replaced by CDs, which became the largest portfolio segment among taxable money market funds. Treasuries ranked as the third largest segment, followed by CP, which moved back ahead of Agencies. These were followed by Other (Time Deposits), then VRDNs. Money funds' European-affiliated holdings jumped up to 29.3% from 20.0% the previous month, while the Americas market share fell to 58.8% from 67.9% (as the quarter-end spike in Fed repo receded. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Certificates of Deposit (CDs) were up $28.0 billion (5.3%) in January to $556.4 billion, or 22.0% of assets, after dropping $34.8 billion in December, increasing $11.3 billion in November, increasing $5.6 billion in October, and dropping $20.1 billion in September. Repurchase agreement (repo) holdings fell to second place, dropping $141.5 billion in January (-21.4%) to $520.9 billion, or 20.6% of assets, after increasing $140.3 billion in December and $10.8 billion in November, decreasing $85.3 billion in October, and increasing $84.4 billion in September.
Treasury holdings, the third largest segment, fell $38.3 billion (-8.7%) to $403.6 billion, or 16% of holdings, after increasing by $56.0 billion in December. Commercial Paper (CP) moved up to the fourth largest segment, jumping $35.3 billion (10.0%) to $389.2 billion, or 15.4% of assets, while Government Agency Debt fell to fifth, increasing $18.0 billion (4.9%) to $385.2 billion, or 15.3% of assets. Other holdings, which include primarily Time Deposits, jumped sharply, up $98.3 billion (69.8%) to $239.1 billion, or 9.5% of assets. VRDNs held by taxable funds increased by $5.8 billion to $30.3 billion (1.2% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 35.3% (up from 34.7% a month ago), followed by Commercial Paper (24.7%). The CP totals are primarily Financial Company CP (14.7% 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 5.6%), 4.4% in Treasury Debt (down from 4.8%), 3.5% in Other Instruments, and 6.0% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.577 trillion (up from $1.523 trillion last month), or 62.4% of taxable money fund holdings' total of $2.525 trillion.
Government fund portfolio assets totaled $472 billion in January, down from $482 billion in December, while Treasury money fund assets totaled $476 billion in January, down from $514 billion at the end of December. Government money fund portfolios were made up of 60.1% Agency Debt, 21.5% Government Agency Repo, 2.7% Treasury debt, and 15.1% in Treasury Repo. Treasury money funds were comprised of 67.6% Treasury debt, 31.3% Treasury Repo, and 1.0% in Government agency, repo and investment company shares.
European-affiliated holdings skyrocketed $234.5 billion in January to $738.9 billion (among all taxable funds and including repos); their share of holdings rose to 29.3% from 20.0% the previous month. Eurozone-affiliated holdings also jumped, up $133.3 billion to $410.1 billion in January; they now account for 16.2% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $2.8 billion to $300.0 billion (11.9% of the total). Americas related holdings plunged $228.0 billion to $1.483 trillion, and now represent 58.8% of holdings. (Over $193 billion of the U.S. decline was due to a drop in Fed repo.)
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $173.6 billion to $267.6 billion, or 10.6% of assets), Government Agency Repurchase Agreements (up $31.6 billion to $162.8 billion, or 6.4% of total holdings), and Other Repurchase Agreements (up $500 million to $90.5 billion, or 3.6% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $26.3 billion to $231.4 billion, or 9.2% of assets), Asset Backed Commercial Paper (up $600 million to $91.1 billion, or 3.6%), and Other Commercial Paper (up $8.3 billion to $66.6 billion, or 2.6%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2015, include: the US Treasury ($403.6 billion, or 16.0%), Federal Home Loan Bank ($228.1B, 9.0%), Federal Reserve Bank of New York ($159.1B, 6.3%), Credit Agricole ($70.9B, 2.8%), BNP Paribas ($69.2B, 2.7%), Federal Home Loan Mortgage Co ($62.4B, 2.5%), JP Morgan ($60.6B, 2.4%), Wells Fargo ($59.5B, 2.4%), RBC ($54.9B, 2.2%), Bank of Tokyo-Mitsubishi UFJ Ltd ($54.7B, 2.2%), Bank of Nova Scotia ($52.8B, 2.1%), Natixis ($50.0B, 2.0%), Federal National Mortgage Association ($48.9B, 1.9%), Bank of America ($45.1B, 1.8%), Toronto-Dominion Bank ($43.1B, 1.7%), Sumitomo Mitsui Banking Co ($43.1B, 1.7%), Federal Farm Credit Bank ($42.3B, 1.7%), Barclays PLC ($41.2B, 1.6%), Citi ($41.2B, 1.6%), and DnB NOR Bank ASA ($40.3B, 1.6%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $159.1B, or 30.6% of the repo market, down sharply from 53.2% one month ago. Of the $159.1B, all of it was in Overnight Repo. 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 ($159.1B, 30.6%), BNP Paribas ($44.0B, 8.4%), Bank of America ($36.3B, 7.0%), Credit Agricole ($29.7B, 5.7%), Societe Generale ($27.6B, 5.3%), Wells Fargo ($24.6B, 4.7%), JP Morgan ($23.5B, 4.5%), Citi ($21.8B, 4.2%), Barclays PLC ($20.5B, 3.9%), and Credit Suisse ($20.4B, 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 ($46.4B, 4.6%), Sumitomo Mitsui Banking Co ($43.1B, 4.1%), Natixis ($41.1B, 3.9%), Toronto-Dominion Bank ($38.7B, 3.7%), DnB NOR Bank ASA ($38.3B, 3.6%), RBC ($37.7B, 3.6%), Bank of Nova Scotia ($37.6B, 3.6%), Credit Agricole ($37.1B, 3.5%), JP Morgan ($36.7B, 3.5%), and Wells Fargo ($34.8B, 3.3%).
The 10 largest CD issuers include: Toronto-Dominion Bank ($38.0B, 6.9%), Bank of Tokyo-Mitsubishi UFJ Ltd ($37.1B, 6.7%), Sumitomo Mitsui Banking Co ($36.5B, 6.6%), Bank of Nova Scotia ($30.6B, 5.6%), Mizuho Corporate Bank Ltd ($29.1B, 5.3%), Bank of Montreal ($26.7B, 4.8%), Wells Fargo ($25.0B, 4.5%), Rabobank ($22.2B, 4.0%), Natixis ($21.0B, 3.8%), and RBC ($19.1B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($25.7B, 7.7%), Commonwealth Bank of Australia ($17.9B, 5.4%), Westpac Banking Co ($16.7B, 5.0%), RBC ($14.9B, 4.5%), National Australia Bank Ltd ($11.8B, 3.5%), Australia & New Zealand Banking Group Ltd ($11.5B, 3.4%), BNP Paribas ($10.2B, 3.1%), Toyota ($9.5B, 2.9%), DnB NOR Bank ASA ($9.5B, 2.8%), and Lloyds TSB Bank PLC ($9.0B, 2.7%).
The largest increases among Issuers include: Credit Agricole (up $32.5B to $70.9B), DnB NOR Bank ASA (up $24.8B to $40.3B), Credit Mutuel (up $17.2B to $22.8B), Societe Generale (up $16.6B to $37.9B), Swedbank AB (up $16.1B to $28.7B), Natixis (up $15.8B to $50.0B), Barclays PLC (up $15.8B to $41.2B), BNP Paribas (up $13.8B to $69.2B), Skandinaviska Enskilden Banken AB (up $13.4B to $28.5B), and Federal Home Loan Bank (up $12.4B to $228.1B).
The largest decreases among Issuers of money market securities (including Repo) in January were shown by: Federal Reserve Bank of NY (down $193.4B to $159.1B), US Treasury (down $39.1B to $403.6B), Bank of Montreal (down $6.9B to $31.9B), Toronto-Dominion Bank (down $3.0B to $43.1B), Rabobank (down $2.3B to $26.9B), JP Morgan (down $2.3B to $60.6B), Bank of America (down $1.9B to $45.1B), Norinchukin Bank (down $1.7B to $10.3B), Goldman Sachs (down $1.2B to $10.4B), and Sumitomo Mitsui Banking Co. (down $1.1B to $43.1B).
The United States remained the largest segment of country-affiliations; it represents 50.0% of holdings, or $1.263 trillion (down $216B). France (10.4%, $263.1B) jumped up to second, moving ahead of Canada (8.7%, $218.3B), which fell to third. Japan (7.1%, $178.1B) fell to fourth, while the U.K. (4.7%, $118.7B) moved up to fifth. Sweden (4.6%, $116.1B) jumped to sixth, leapfrogging Australia (3.6%, $90.6B), which fell to seventh. The Netherlands (2.8%, $70.3B), Germany (2.1%, $54.1B), and Switzerland (2.1%, $53.2B) round out the top 10 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 Jan. 31, 2015, Taxable money funds held 26.4% of their assets in securities maturing Overnight, and another 13.6% maturing in 2-7 days (40.0% total matures in 1-7 days). Another 21.7% matures in 8-30 days, while 12.1% matures in 31-60 days. Note that almost three-quarters, or 73.8% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under the new pending SEC regulations. The next bucket, 61-90 days, holds 10.6% of taxable securities, while 11.1% matures in 91-180 days and just 4.2% 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 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 Holdings Reports Issuer Module.
