Crane Data's latest batch of Money Fund Portfolio Holdings, which were released to subscribers of our Money Fund Wisdom database and product "suite" on Monday, verify recent reports about money funds returning to Europe and France in January. (See Crane Data's Feb. 10 News "Eurozone Holdings Increase in Jan. Says JPM; BarCap on Supply Relief" and Feb. 2 "DB's Prophet on MMFs Return to Europe; ICI's December Composition".) A huge jump in Repurchase Agreement (Repo) holdings in January (up $69.4 billion, or 2.7%) was notable while Commercial Paper also rose strongly (up $19.8 billion, or 0.7%). Government Agencies, VRDNs and Other (which includes Time Deposits) showed drops in January. We review some of the trends and largest issuers below.
Among all Taxable money funds, the U.S. Treasury remains by far the largest issuer with 21.9% of all investments ($478.8 billion). (Treasuries are the largest segment of Prime money funds too at 7.1%, or $89.5 billion of the total.) Federal Home Loan Bank again ranked second among money market issuers with $153.8 billion (7.0%) of the money held in taxable money funds tracked by Crane Data's MF Portfolio Holdings collection ($50.8 billion of this was held in Prime funds). Barclays Capital jumped into third place with $107.2 billion (4.9%) of Taxable holdings and $59.9 billion (4.7%) of Prime holdings. BarCap, Bank of America and RBS all had big jumps in January, riding the repo rebound.
Fannie Mae (Federal National Mortgage Association) and Freddie Mac (Federal Home Loan Mortgage Co) ranked 4th and 5th among issuers, with $86.0 billion (3.9%) and $85.4 billion (3.9%) of taxable money fund holdings, respectively. The rest of the top 10 issuers include: Deutsche Bank ($77.7B, 3.6%), Credit Suisse ($62.1B, 2.8%), Bank of America ($62.0B, 2.8%), Citi ($52.8B, 2.4%), and RBS ($52.6B, 2.4%). French banks reappeared among the top 25 issuers this month. Numbers 11-25 include: RBC ($48.8B), UBS AG ($45.7B), JP Morgan ($41.2B), Goldman Sachs ($40.3B), Rabobank ($40.1B), Westpac Banking Co ($38.6B), Bank of Tokyo-Mitsubishi UFJ Ltd ($38.3B), Bank of Nova Scotia ($38.0B), BNP Paribas ($37.5B), National Australia Bank Ltd ($36.5B), Societe Generale ($33.6B), Sumitomo Mitsui Banking Co ($33.3B), HSBC ($32.8B), Svenska Handelsbanken ($29.7B), and Credit Agricole ($27.8B).
Repos accounted for 23.4% of taxable money fund holdings ($545.7 billion) in January, which was comprised of $254.7 billion in Government Agency Repurchase Agreements (10.9%), $166.3 billion in Treasury Repo (7.1%) and $124.7 billion in Other Repo (5.3%). Treasury securities totalled $479.8 billion (20.6%), CDs totalled $399.8 billion (17.1%), and Agencies totalled $368.2 billion (15.8%). Commercial Paper (CP) accounted for $362.8 billion (15.5%) of taxable money fund holdings; $202.3 billion of this (8.7% of the total) was `Financial Company CP, $114.9 billion (4.9%) was Asset Backed Commercial Paper, and just $45.6 billion (2.0%) was Other CP. Other securities totalled $115.9 billion (5.0%) with Other Note being the largest subcategory of this segment with $73.4 billion (3.1%). VRDNs accounted for $62.9 billion (2.7%) of the total securities held by taxable money funds as of Jan. 31, 2012.
The Maturity Distribution of funds remained relatively static in January with Overnight assets accounting for 25.7% vs. 26.3% a month earlier. Securities maturing in 2-7 days accounted for 12.1% of assets, holdings maturiing in 8-30 days accounted for 24.8% of assets, holdings maturing in 31-90 days accounted for 22.7%, holdings maturing in 91-180 days accounted for 8.9%, holdings maturing in 181-365 days accounted for 5.4% and just 0.4% matures in 366 or more days.
European related holdings accounted for 30.8% of taxable money fund assets in January, or $718.1 billion, up from 28.5% in December. The U.K. surpassed Canada as the second largest domicile of parent companies with 9.6% ($223.6 billion) vs. 6.9% ($161.2 billion). (The U.S. ranks first with $1.216 trillion, or 52,1% of assets.) The rest of the top 10 include: Australia ($120.4 billion, or 5.2%), Japan ($115.3 billion, or 4.9%), France ($112.8 billion, or 4.8%), Switzerland ($111.9 billion, or 4.8%), Germany ($99.1 billion, or 4.2%), Netherlands ($75.3 billion, or 3.2%), and Sweden ($53.5 billion, or 2.3%). Note that all securities purchased by money funds are U.S. dollar-denominated and that country refers to domicile of the issuer's parent company (even in the case of repo).
Crane Data has been collecting Money Fund Portfolio Holdings for over a year now, since the SEC mandated the monthly disclosure of portfolios starting in November 2010. We publish our month-end Taxable money fund portfolio information on the 9th business day of the following month, and we publish our Tax Exempt and Offshore money fund portfolio holdings on the 13th business day. (Look for these latter series later today or tomorrow, respectively.) Contact Pete to request the latest dataset or for more information.
