Certificates of Deposit remained the largest allocation among Taxable money market funds with $24.0% of assets, or $539.7 billion, as of May 31, according to Crane Data's latest Money Fund Portfolio Holdings collection. CDs accounted for 24.5% of holdings ($547.9 billion) in the period ended April 30, 2011, and they remain well above their totals of the first three months of the year, when they averaged 22.1%. European banks continue to dominate the list of the largest suppliers of CDs to money funds, representing 7 of the 10 largest issuers. (Note though that contrary to some recent press reports, money market funds do not have, and have never had, any exposure to Greek debt or banks.)
Among the 10 banks with over $20 billion in CDs outstanding held by money market funds (as of 5/31/11), BNP Paribas is by far the largest with $42.3 billion outstanding (7.9% of the total $539.7 billion). Rabobank Nederland ranks second with $33.9 billion (6.4% of the CD market) and Credit Agricole ranks third with $32.0 billion (6.0%). Three non-European issuers place fourth through sixth -- Bank of Nova Scotia $28.6 (5.4%), Bank of Tokyo Mitsubishi $24.8 (4.7%), and National Australia Bank $23.9 billion (4.5%). The top 10 CD issuers are rounded out by European names Deutsche Bank $23.3 (4.4%), ING Bank $21.5 (4.0%), UBS $20.4 (3.8%), and Royal Bank of Scotland $20.2 (3.8%).
Repurchase Agreements, or Repo, represented the second largest sector of taxable money fund holdings as of the latest reporting period (5/31/11) with $469.7 billion, or 21.0% of assets. Repo jumped by $66.4 billion, or 2.9%, in May. Government Agency Repurchase Agreements account for the biggest piece of repo held by money funds at $228.3 billion (10.2%), and this sector also was responsible for the majority of the May increase (up $62.6 billion). Other Repurchase Agreements in taxable money funds totalled $127.7 billion, or 5.7%, while Treasury Repurchase Agreements totalled $113.7 billion, or 5.1%. (Note: These "Category" breakouts were mandated by the SEC's 2010 "Money Market Fund Reforms". See page 201 for the full list of Categories.)
Commercial Paper, which is comprised of Asset Backed CP ($110.4 billion, or 4.9%), Financial Company CP ($218.4 billion, or 9.7%) and Other CP ($36.4 billion, or 1.6%), ranked third among money fund holdings with $365.2 billion, or 16.3% of assets. Treasury Debt ranked fourth with $352.9 billion (15.7%), Government Agency Debt ranked fifth with $315.3 billion (14.1%), Other Notes ranked sixth with $81.3 billion (3.6%), Variable Rate Demand Notes ranked seventh with $64.6 billion (2.9%), and Other (Time Deposits) ranked 8th with $24.7 billion (1.1%). Other Instruments, Other Municipal Debt, Investment Companies, and Insurance Company Funding Agreements all totalled less than 1.0%.
Crane Data began collecting and publishing Money Fund Portfolio Holdings in late 2010 following the SEC's mandate that funds publish monthly holdings on their website by the end of the fifth business day of the following month. We publish the Taxable fund holdings on the 10th business day of the new month, and our Tax-Exempt funds are published a week later. (We're also in the process of collecting "Offshore" money fund holdings.) The Holdings collections are distributed to subscribers of our Money Fund Wisdom database and product suite. To request our latest data set, e-mail Statistics Editor Kaio Barbosa or call 508-439-4426.
