Crane Data's latest Money Fund Portfolio Holdings with data as of Nov. 30, 2011, show a continued reduction in French-related securities and a jump in Treasury securities. France now represents less than 5% of taxable money fund holdings (4.3%) with no Issuers among the 20 largest, while Treasury securities now account for almost 20% of all holdings. Money funds also now hold over 40% of their assets in securities maturing in 7 days or less as of month-end November holdings data. Below, we discuss more excerpts from Crane's new "Reports & Pivot Tables" addition to its MF Portfolio Holdings dataset. We also quote from the Investment Company Institute's posting late yesterday, "Money Market Funds Continued to Reduce Eurozone Holdings in November."
According to our latest Issuer rankings, the US Treasury remains by far the largest holding in money funds with $457.8 billion, or 19.7% of assets, which is up by $31.2 billion from month-end October. Federal Home Loan Bank ranks second with $152.4 billion, or 6.5%; Barclays Bank ranks third with $107.9B, or 4.6%; `Deutsche Bank AG ranks fourth with $91.6B, or 3.9%; Federal Home Loan Mortgage Co ranks fifth with $84.4B, or 3.6%; and `Federal National Mortgage Association ranks sixth with $80.6B, or 3.5%. Rounding out the top 10 are: Bank of America ($63.5B, 2.7%), Credit Suisse ($63.4B, 2.7%), RBS ($55.5B, 2.4%), and Citi ($50.6B, 2.2%).
The 11th through 25th largest issuers, according to Crane's Money Fund Portfolio Holdings for November 30, 2011, are: RBC ($49.1 billion), Australia & New Zealand Banking Group Ltd ($47.5B), JP Morgan ($45.9B), HSBC ($45.6B), Bank of Nova Scotia ($45.3B), UBS AG ($40.6B), Rabobank ($39.5B), Bank of Tokyo-Mitsubishi UFJ Ltd ($38.8B), Sumitomo Mitsui Banking Co ($36.3B), Westpac Banking Co ($35.9B), BNP Paribas ($34.4B), Goldman Sachs ($33.5B), Svenska Handelsbanken ($32.2B), Societe Generale ($32.1B), and Toronto-Dominion Bank ($26.4B).
ICI published a study, "Money Market Funds Continued to Reduce Eurozone Holdings in November," which analyzes Crane Data's most recent MF Holdings. They write, "Over the last year, U.S. money market funds have significantly reduced their holdings of debt securities issued by banks and other businesses headquartered in the 17 countries that use the euro as their currency. That trend continued in November."
The update, written by Economists Sean Collins and Chris Plantier, explains, "For the first time, ICI is issuing estimates of money market funds' European holdings in dollar terms. We estimate the total exposure of money market funds (including prime and government and agency funds) to European-domiciled issuers to be less than $800 billion in November. However, as explained below, a sizable fraction of those assets represents repurchase agreements with the U.S. operations of European-headquartered banks, and another portion represents securities issued by entities in European countries outside the eurozone. Taking these factors into account, we estimate that U.S. prime money market funds' holdings of eurozone securities fell to $204 billion by the end of November."
ICI continues, "As we have discussed in previous posts, portfolio managers of U.S. money market funds have effectively zeroed out their direct holdings in the countries most affected by the eurozone government debt crisis. These funds have also gradually trimmed their holdings of issuers in other eurozone countries that might be negatively affected by the debt crisis. As a result of these portfolio adjustments, U.S. money market funds hold virtually no securities issued in Italy, Spain, or the other eurozone "periphery" countries."
They add, "Funds' exposure to French-domiciled banks continued to fall sharply in November. Prime money market funds reduced their holdings of French issuers to 4.1 percent of their assets under management in November, down from 7.3 percent in October and the peak level of 15.4 percent in May. As the chart shows, holdings of non-French eurozone issuers remained roughly steady at 10.1 percent in November. Altogether, securities of eurozone issuers accounted for 14.2 percent of total assets of U.S. prime money market funds at the end of November, down from 17.4 percent in October and 31.1 percent in May."
Finally, the ICI piece says, "An overall decline in prime money market fund assets since May accounts for some of the shift away from the eurozone. From May to November, prime fund assets declined by $214 billion. During that period, prime funds' holdings of French assets fell by an estimated $200 billion, while other eurozone assets declined by an estimated $109 billion. At the same time, money market funds have increased their holdings of European issuers outside the eurozone. In November, the top three European countries for U.S. prime money market funds' holdings were the UK, Sweden, and Switzerland, none of which use the euro as their currency."
