Crane Data released its May Money Fund Portfolio Holdings Monday, and our latest collection of taxable money market securities, with data as of April 30, 2015, shows jumps in Other (Time Deposits) and CP, and a plunge in Repo and Treasuries. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $49.3 billion in April to $2.404 trillion, after dropping $19.2 billion in March and $52.1 billion in February. In the seesaw battle between the two, Repos remained the largest portfolio segment ahead of CDs. Treasuries stayed in third place, followed by Commercial Paper. Agencies were fifth, followed by Other (Time Deposits), then VRDNs. Money funds' European-affiliated securities represented 29.3% of holdings, up from 21.4% the previous month as holdings of Fed RRP repo plummeted from their quarter-end peak. Below, we review our latest Money Fund Portfolio Holdings statistics. (Note: We also added a new "Holdings Reports Funds Module" to our "Reports & Pivot Tables" lineup. The new file allows user to choose funds (pick a fund then click its ticker) and show Performance alongside Composition, Country breakout, Largest Holdings and Fund Information.)
Among all taxable money funds, Repurchase agreements (repo) decreased $113.6 billion (18.6%) to $516.8 billion, or 21.5% of assets, after increasing $98.7 billion in March and $10.8 billion in February. Certificates of Deposit (CDs) were up $1.7 billion (0.3%) to $513.3 billion, or 21.4% of assets, after dropping $37.4 billion in March and $7.4 billion (1.3%) in February. Treasury holdings decreased $45.6 billion (10.0) to $413.0 billion, or 17.2% of assets, while Commercial Paper (CP) jumped $16.5 billion (4.5%) to $386.2 billion, or 16.1% of assets. Government Agency Debt increased $2.4 billion (0.7%) to $334.8 billion, or 13.9% of assets. Other holdings, primarily Time Deposits, jumped $85.4 billion to $216.4 billion, or 9.0% of assets. VRDNs held by taxable funds decreased by $4.0 billion to $23.6 billion (1.0% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 34.4% (up from 34.1% a month ago), followed by Commercial Paper (25.9%). The CP totals are primarily Financial Company CP (15.1% of holdings), with Asset-Backed CP making up 5.7% and Other CP (non-financial) making up 5.1%. Prime funds also hold 6.5% in Agencies (up from 5.6%), 5.0% in Treasury Debt (down from 5.7%), 4.7% in Other Instruments, and 5.6% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.492 trillion (down from $1.502 trillion last month), or 62.1% of taxable money fund holdings' total of $2.404 trillion.
Government fund portfolio assets totaled $441 billion in April, down from $458 billion in March, while Treasury money fund assets totaled $472 billion in April, down from $494 billion at the end of March. Government money fund portfolios were made up of 54.1% Agency Debt, 24.9% Government Agency Repo, 3.3% Treasury debt, and 17.0% in Treasury Repo. Treasury money funds were comprised of 68.7% Treasury debt, 30.7% Treasury Repo, and 0.6% in Government agency, repo and investment company shares. Government and Treasury funds combined total $913 billion, or 37.9% of all taxable money fund assets.
European-affiliated holdings rose $172.5 billion in April to $697.8 billion (among all taxable funds and including repos); their share of holdings jumped to 29.0% from 21.4% the previous month. Eurozone-affiliated holdings increased $72.3 billion to $378.7 billion in April; they now account for 15.8% of overall taxable money fund holdings. Asia & Pacific related holdings increased by $2.7 billion to $286.1 billion (11.9% of the total). Americas related holdings fell $225.0 billion to $1.417 trillion, and now represent 59.0% of holdings. These moves are primarily the result of the unwinding of the quarter-end shift away from CDs, TDs and dealer repo, and into Fed repo.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $138.9 billion to $253.7 billion, or 10.6% of assets), Government Agency Repurchase Agreements (up $26.6 billion to $174.0 billion, or 7.2% of total holdings), and Other Repurchase Agreements (down $1.3 billion to $89.1 billion, or 3.7% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $12.9 billion to $225.9 billion, or 9.4% of assets), Asset Backed Commercial Paper (down $5.0 billion to $84.6 billion, or 3.5%), and Other Commercial Paper (up $6.5 billion to $75.7 billion, or 3.1%).
The 20 largest Issuers to taxable money market funds as of April 30, 2015, include: the US Treasury ($413.0 billion, or 18.9%), Federal Home Loan Bank ($205.3B, 9.4%), Federal Reserve Bank of New York ($106.2B, 4.8%), Wells Fargo ($69.2B, 3.2%), Credit Agricole ($68.4B, 3.1%), BNP Paribas ($67.3B, 3.1%), JP Morgan ($60.0B, 2.7%), Bank of America ($56.8B, 2.6%), RBC ($56.2B, 2.6%), Bank of Nova Scotia ($55.7B, 2.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($53.5B, 2.4%), Barclays PLC ($50.5B, 2.3%), Federal Home Loan Mortgage Co ($49.4B, 2.3%), Credit Suisse ($49.3B, 2.2%), Toronto-Dominion Bank ($44.0B, 2.0%), Federal Farm Credit Bank ($42.8B, 2.0%), Sumitomo Mitsui Banking Co ($42.1B, 1.9%), Natixis ($41.9B, 1.9%), Mizuho Corporate Bank Ltd. ($37.3B, 1.7%), Federal National Mortgage Association ($34.2B, 1.69%), and Bank of Montreal ($34.2B, 1.9%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $106.2B, or 20.5%, but it was down precipitously from $316.9B, or 50.3% of the repo market a month ago. Of the $106.2 billion, all of it was in Overnight Repo. The 10 largest Fed Repo positions among MMFs on 4/30 include: JP Morgan US Govt ($9.8B), Morgan Stanley Inst Lq Govt ($6.8B), State Street Inst Lq Res ($6.7B), BlackRock Lq T-Fund ($6.0B), UBS Select Treas ($5.8B), First American Govt Oblg ($5.0B), Northern Trust Trs MMkt ($5.0B), Federated Trs Oblg ($3.9B), State Street Inst US Govt ($3.5B), and Morgan Stanley Inst Lq Trs ($3.5B). 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 ($106.2B, 20.5%), Bank of America ($46.5B, 9.0%), BNP Paribas ($40.3B, 7.8%), Wells Fargo ($35.8B, 6.9%), Credit Agricole ($32.0B, 6.2%), Credit Suisse ($29.9B, 5.8%), Barclays PLC ($29.3B, 5.7%), JP Morgan ($29.2B, 5.6%), Societe Generale ($24.1B, 4.7%), and Citi ($20.1B, 3.9%).
The 10 largest issuers of “credit” -- CDs, CP and Other securities (including Time Deposits and Notes) combined -- include: Bank of Tokyo-Mitsubishi UFJ Ltd ($46.7B, 4.8%), Sumitomo Mitsui Banking Co ($42.1B, 4.3%), Bank of Nova Scotia ($38.8B, 3.9%), Toronto Dominion Bank ($37.7B, 3.8%), RBC ($37.6B, 3.8%), Credit Agricole ($36.4B, 3.7%), Natixis ($34.2B, 3.5%), Wells Fargo ($33.4B, 3.4%), Mizuho Corporate Bank Ltd. ($32.0B, 3.3%), and DnB NOR Bank ASA ($32.0B, 3.3%).
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($37.5B, 7.4%), Sumitomo Mitsui Banking Co ($34.4B, 6.7%), Toronto-Dominion Bank ($34.2B, 6.7%), Mizuho Corporate Bank Ltd ($31.2B, 6.1%), Bank of Nova Scotia ($28.4B, 5.6%), Bank of Montreal ($27.4B, 5.7%), Wells Fargo ($24.7B, 4.8%), Natixis ($19.7B, 3.9%), RBC ($18.6B, 3.6%), and Rabobank ($18.6B, 3.8%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($22.4B, 7.0%), Commonwealth Bank of Australia ($17.0B, 5.3%), Westpac Banking Co ($16.8B, 5.3%), RBC ($16.1B, 5.0%), Lloyds TSB Bank PLC ($11.7B, 3.7%) National Australia Bank Ltd ($11.4B, 3.6%), BNP Paribas ($10.9B, 3.4%), Australia & New Zealand Banking Group Ltd ($9.9B, 3.1%), HSBC ($9.8B, 3.1%), and Bank of Nova Scotia ($9.5B, 3.0%).
The largest increases among Issuers include: Credit Agricole (up $43.5B to $68.4B), Barclays PLC (up $29.9B to $50.6B), DnB NOR Bank ASA (up $18.7B to $32.0B), Lloyds TSB Bank PLC (up $15.6B to $22.4B), Credit Mutuel (up $13.3B to $20.4B), Federal Home Loan Bank (up $12.8B to $205.3B), Swedbank AB (up $12.2B to $28.3B), Natixis (up $11.2B to $41.9B), Credit Suisse (up $9.2B to $49.3B), and Bank of America (up $8.6B to $56.8B).
The largest decreases among Issuers of money market securities (including Repo) in April were shown by: Federal Reserve Bank of New York (down $210.7B to $106.2B), US Treasury (down $45.6B to $413.0B), Federal Home Loan Mortgage Co. (down $6.9B to $49.4B), Rabobank (down $6.2B to $22.8B), Federal National Mortgage Association (down $4.8B to $34.2B), Bank of Tokyo-Mitsubishi UFJ Ltd. (down $2.7B to $53.5B), Canadian Imperial Bank of Commerce (down $2.7B to $17.3B), Australia & New Zealand Banking Group Ltd (down $2.6B to $15.7B), JP Morgan (down $2.2B to $68.0B), and Sumitomo Mitsui Banking Co. (down $1.4B to $42.1B).
The United States remained the largest segment of country-affiliations; it represents 49.4% of holdings, or $1.186 trillion (down $227B). France (10.8%, $242.2B) vaulted into second, jumping ahead of Canada (9.5%, $228.5B) and Japan (7.5%, $179.2B). The U.K. (5.3%, $127.6B) moved up to fifth, while Sweden (3.9%, $93.4B) jumped to sixth. Australia (3.5%, $84.7B) fell to seventh, from fifth, while The Netherlands (2.9%, $70.5B) was eighth. Switzerland (2.8%, $66.3B) and Germany (2.1%, $50.8B) 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 April 30, 2015, Taxable money funds held 24.8% of their assets in securities maturing Overnight, and another 15.1% maturing in 2-7 days (39.9% total matures in 1-7 days). Another 20.2% matures in 8-30 days, while 13.2% matures in 31-60 days. Note that almost three-quarters, or 73.4% 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 12.2% matures in 91-180 days and just 3.1% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Monday, 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.
