Crane Data released its April Money Fund Portfolio Holdings Friday, and our latest collection of taxable money market securities, with data as of March 31, 2015, shows a jump in Repo (primarily Fed repo) and Treasuries, and drops in Other (Time Deposits), CP, CDs, Agencies, and VRDNs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $19.2 billion in March to $2.453 trillion, after decreasing $52.1 billion in February, increasing $5.6 billion in January, $68.3 billion in December, and $11.5 billion in November. In the seesaw battle between the two, Repos shot back ahead of CDs as the largest portfolio segment among taxable money market funds. Treasuries moved into third place, jumping back ahead of CP. Agencies were fifth, followed by Other (Time Deposits) and VRDNs. Money funds' European-affiliated securities represented 21.4% of holdings, down sharply from 29.1% the previous month, while the Americas' market share increased to 66.9% from 58.5% due to the latest quarter-end spike in Fed repo. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreements (repo) increased $98.7 billion (18.6%) to $630.4 billion, or 25.7% of assets, after increasing $10.8 billion in February and dropping $141.5 billion in January. Certificates of Deposit (CDs) were down $37.4 billion (6.8%) to $511.6 billion, or 20.9% of assets, after falling $7.4 billion (1.3%) in February and increasing $28.0 billion in January. Treasury holdings, the third largest segment, increased $63.2 billion (16%) to $458.7 billion, or 16% of assets, while Commercial Paper (CP) fell to fourth, dropping $27.7 billion (7.0%) to $369.7 billion, or 15.1% of assets. Government Agency Debt remained in fifth, decreasing $9.9 billion (2.9%) to $332.5 billion, or 13.6% of assets. Other holdings, which include primarily Time Deposits, dropped $105.7 billion to $131.0 billion, or 5.3% of assets. VRDNs held by taxable funds decreased by $0.4 billion to $19.6 billion (0.8% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 34.1% (down from 35.6% a month ago), followed by Commercial Paper (24.7%). The CP totals are primarily Financial Company CP (14.2% of holdings) with Asset-Backed CP making up 6.0% and Other CP (non-financial) making up 4.5%. Prime funds also hold 5.6% in Agencies (up from 5.1%), 5.7% in Treasury Debt (up from 4.4%), 3.2% in Other Instruments, and 5.4% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.502 trillion (down from $1.540 trillion last month), or 61.2% of taxable money fund holdings' total of $2.453 trillion.
Government fund portfolio assets totaled $458 billion in March, down from $468 billion in February, while Treasury money fund assets totaled $494 billion in March, up from $465 billion at the end of February. Government money fund portfolios were made up of 53.7% Agency Debt, 21.0% Government Agency Repo, 4.6% Treasury debt, and 20.4% in Treasury Repo. Treasury money funds were comprised of 71.5% Treasury debt, 27.6% Treasury Repo, and 0.9% in Government agency, repo and investment company shares.
European-affiliated holdings fell $193.7 billion in March to $525.3 billion (among all taxable funds and including repos); their share of holdings fell to 21.4% from 29.1% the previous month. Eurozone-affiliated holdings fell $92.9 billion to $306.4 billion in March; they now account for 12.5% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $22.4 billion to $283.4 billion (11.6% of the total). Americas related holdings jumped $197.0 billion to $1.642 trillion, and now represent 66.9% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $105.8 billion to $392.6 billion, or 16.0% of assets), Government Agency Repurchase Agreements (down $10.4 billion to $147.4 billion, or 6.0% of total holdings), and Other Repurchase Agreements (up $3.3 billion to $90.4 billion, or 3.7% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $28.2 billion to $213.0 billion, or 8.7% of assets), Asset Backed Commercial Paper (up $4.1 billion to $89.5 billion, or 3.6%), and Other Commercial Paper (down $3.6 billion to $67.2 billion, or 2.7%).
The 20 largest Issuers to taxable money market funds as of March 31, 2015, include: the US Treasury ($458.7 billion, or 18.7%), Federal Reserve Bank of New York ($316.9B, 12.9%), Federal Home Loan Bank ($192.4B, 7.8%), Wells Fargo ($63.6B, 2.6%), BNP Paribas ($62.8B, 2.6%), JP Morgan ($62.2B, 2.5%), Federal Home Loan Mortgage Co ($56.4B, 2.3%), Bank of Tokyo-Mitsubishi UFJ Ltd ($56.3B, 2.3%), RBC ($55.9B, 2.2%), Bank of Nova Scotia ($52.7B, 2.1%), Bank of America ($48.2B, 2.0%), Toronto-Dominion Bank ($44.2B, 1.8%), Sumitomo Mitsui Banking Co ($43.5B, 1.8%), Federal Farm Credit Bank ($42.0B, 1.7%), Credit Suisse ($40.1B, 1.6%), Federal National Mortgage Association ($39.0B, 1.6%), Mizuho Corporate Bank Ltd. ($36.8B, 1.5%), Bank of Montreal ($34.9B, 1.4%), Natixis ($30.7B, 1.2%), and Citi ($30.5B, 1.2%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $316.9B, or 50.3% of the repo market, up sharply from 30.3% a month ago. Of the $316.9B, $168.4 billion, or 53.1%, was in Overnight Repo, while $148.5 billion, or 46.9%, was in Term Repo. The 10 largest Fed Repo positions among MMFs on 3/31 include: JP Morgan Prime MM ($13.5B), Fidelity Institutional MM Prime ($11.7B), Fidelity Cash Reserves ($9.7B), Fidelity Inst MM MMkt ($8.9B), JP Morgan US Govt ($7.0B), BlackRock Lq TempFund ($6.0B), Goldman Sachs FS Trs Ob ($5.5B), BlackRock Lq T-Fund ($5.1B), Wells Fargo Adv Gvt MM ($4.3B), and State Street Inst Lq Res ($4.2B). 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 ($316.9B, 50.3%), Bank of America ($38.4B, 6.1%), BNP Paribas ($33.1B, 5.2%), Wells Fargo ($29.9B, 4.7%), JP Morgan ($29.7B, 4.7%), Credit Suisse ($19.7B, 3.1%), Citi ($19.1B, 3.0%), RBC ($17.3B, 2.8%), Bank of Nova Scotia ($15.5B, 2.5%), and Societe Generale ($15.2B, 2.4%).
The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($51.1B, 5.7%), Sumitomo Mitsui Banking Co ($43.5B, 4.9%), RBC ($38.6B, 4.3%), Toronto Dominion Bank ($38.5B, 4.3%), Bank of Nova Scotia ($37.2B, 4.2%), Wells Fargo ($33.7B, 3.8%), Mizuho Corporate Bank Ltd. ($32.6B, 3.7%), JP Morgan ($32.2B, 3.6%), Bank of Montreal ($31.1B, 3.5%), and BNP Paribas ($29.7B, 3.3%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($37.3B, 7.3%), Toronto-Dominion Bank ($35.7B, 7.0%), Sumitomo Mitsui Banking Co ($35.2B, 6.9%), Mizuho Corporate Bank Ltd ($31.0B, 6.1%), Bank of Montreal ($28.3B, 5.6%), Bank of Nova Scotia ($27.6B, 5.4%), Wells Fargo ($25.0B, 4.9%), Rabobank ($23.8B, 4.7%), RBC ($18.3B, 3.6%), and Natixis ($17.9B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.3B, 7.6%), Commonwealth Bank of Australia ($17.2B, 5.6%), RBC ($17.1B, 5.5%), Westpac Banking Co ($16.8B, 5.4%), National Australia Bank Ltd ($11.4B, 3.7%), BNP Paribas ($10.9B, 3.5%), Australia & New Zealand Banking Group Ltd ($9.9B, 3.2%), FMS Wertmanagement ($9.3B, 3.0%), DnB NOR Bank ASA ($8.9B, 2.9%), and bank of Tokyo-Mitsubishi UFJ Ltd. ($8.8B, 2.9%).
The largest increases among Issuers include: Federal Reserve Bank of New York (up $156.0B to $316.9B), US Treasury (up $62.5B to $458.7B), JP Morgan (up $4.4B to $62.2B), Bank of Montreal (up $2.8B to $34.9B), Federal Home Loan Mortgage Co. (up $2.2B to $56.4B), ABN Amro Bank (up $1.7B to $13.9B), Canadian Imperial Bank of Commerce (up $1.6B to $19.9B), Credit Suisse (up $1.2B to $40.1B), Toronto Dominion Bank (up $1.0B to $44.2B), and Svenska Handelsbanken (up $0.9B to $24.4B).
The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Credit Agricole (down $44.2B to $24.8B), DnB NOR Bank ASA (down $25.5B to $13.3B), Barclays PLC (down $21.4B to $20.5B), Credit Mutuel (down $16.6B to $7.1B), Natixis (down $14.9B to $30.7B), Societe Generale (down $13.9B to $23.8B), Swedbank AB (down $13.4B to $16.1B), Skandinavaska Ensklida Banken AB (down $11.8B to $19.6B), Federal Home Loan Bank (down $11.2B to $192.4B), and ING Bank (down $7.0B to $22.0B).
The United States remained the largest segment of country-affiliations; it represents 57.6% of holdings, or $1.413 trillion (up $192B). Canada (9.2%, $226.1B) moved up to second, while Japan (7.4%, $181.7B) leapfrogged into third. France (6.5%, $160.4B) fell to fourth, while Australia (3.6%, $87.5B) jumped to fifth. The U.K. (3.1%, $75.7B) dropped to sixth, followed by Sweden (3.0%, $74.6B), The Netherlands (2.9%, $72.2B), Switzerland (2.3%, $55.2B), and Germany (2.1%, $51.7B) 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 March 31, 2015, Taxable money funds held 21.7% of their assets in securities maturing Overnight, and another 16.4% maturing in 2-7 days (38.1% total matures in 1-7 days). Another 22.3% matures in 8-30 days, while 12.1% matures in 31-60 days. Note that almost three-quarters, or 72.5% 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 11.4% of taxable securities, while 12.6% matures in 91-180 days and just 3.5% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, 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 Holdings Reports Issuer Module.
