Crane Data's Money Fund Portfolio Holdings, with data as of February 29, 2012, were sent to Money Fund Wisdom subscribers yesterday. The latest disclosures again show a rebound in French names, though a dip in overall Europe, and a continued surge in Repo holdings. (See previous coverage of the February holdings in Crane Data's March 12 News "MMF Lending Continues to Ease, Eurozone Holdings Rising Say DB, JPM".) Repurchase Agreement (Repo) holdings rose $25.7 billion in February to $571.4 billion (24.3% of taxable holdings) after rising $69.4 billion in January. Treasury Debt also rose (by $18.8 billion) to $498.7 billion (21.2% of holdings), while Government Agency Debt fell by $36.5 billion to $331.7 billion (14.1%). Government Agencies and Repo dealers also continue to dominate the list of largest Issuers.
Repo holdings were comprised of $275.8 billion in Government Agency Repurchase Agreements (11.7%), $169.3 billion in Treasury Repo (7.2%) and $126.3 billion in Other Repo (5.4%). (Note that Crane Data has found some funds that have been categorizing Treasury and Agency repos as "Other" due to systems issues, so these numbers have been and may be inflated somewhat.) CDs and CP declined slightly (down $6.4 and $4.7 billion, respectively) to $393.4 billion (16.7%) and $358.1 billion (15.2%), respectively. (CP was comprised of $192.9 billion (8.2% of all holdings) in Financial Company CP, $114.6 billion (4.9%) in Asset Backed Commercial Paper, and $50.7 billion (2.2%) in Other CP. Other securities rose to $134.2 billion (5.7%) with Other Notes (the largest subcategory of this segment) rising to $78.3 billion (3.3%). VRDNs accounted for $65.2 billion (2.8%) of the total securities held by taxable money funds as of Feb. 29, 2012.
Among all Taxable money funds, the U.S. Treasury remains by far the largest issuer with 22.7% of all investments ($498.7 billion). (Treasuries are the largest segment of Prime money funds too at 8.65%, or $112.4 billion of the total.) Federal Home Loan Bank again ranked second among money market issuers with $139.1 billion (6.3%) of the money held in taxable money funds tracked by Crane Data's MF Portfolio Holdings collection ($46.5 billion of this was held in Prime funds). Barclays Bank remained in third place with $103.0 billion (4.7%) of Taxable holdings and $63.6 billion (4.9%) of Prime holdings. Barclays is the second largest Issuer after the U.S. Treasury among just Prime money funds.
Deutsche Bank moved ahead of Fannie Mae (Federal National Mortgage Association) and Freddie Mac (Federal Home Loan Mortgage Co) to take the 4th place spot in February. DB had $95.4 billion (4.3%) of outstandings vs. $77.9 billion (3.6%) for Fannie and $74.0 billion (3.4%) for Freddie among of taxable money fund holdings. The rest of the top 10 issuers include: `Bank of America ($61.5B, 2.8%), Credit Suisse ($55.5B, 2.5%), JPMorgan ($55.2B, 2.5%), and Citi ($52.8B, 2.4%). French banks continued their recovery among the top 25 issuers this month. Numbers 11-25 include: RBC ($50.7B), Societe Generale ($47.4B), Bank of Nova Scotia ($44.4B), RBS ($41.7B), Goldman Sachs ($41.5B), Bank of Tokyo-Mitsubishi UFJ Ltd ($41.4B), National Australia Bank Ltd ($38.4B), Rabobank ($38.1B), BNP Paribas ($37.9B), Sumitomo Mitsui Banking Co ($36.5B), Westpac Banking Co ($36.2B), UBS AG ($33.4B), Mizuho ($33.3B), HSBC ($33.1B), and Credit Agricole ($31.6B).
Our new Maturity Distribution pie charts show funds added to Overnight (securities maturing in 1 day) assets in February with 27.7% vs. 25.7% a month earlier. They also used their increases in repo to "barbell" a little more. Securities maturing in 2-7 days accounted for 11.1% of assets, holdings maturiing in 8-30 days accounted for 18.95% of assets, holdings maturing in 31-90 days accounted for 26.2%, holdings maturing in 91-180 days accounted for 11.0%, holdings maturing in 181-365 days accounted for 4.8% and just 0.2% matures in 366 or more days.
European related holdings accounted for 27.0% of taxable money fund assets in February, or $635.8 billion. The U.K. remained in second place ahead of Canada with 8.6% ($203.3 billion) vs. 7.2% ($168.8 billion). (The U.S. ranks first with $1.210 trillion, or 51.4% of assets.) The rest of the top 10 include: France ($132.9 billion, or 5.7%), Japan ($130.0 billion, or 5.5%), Germany ($119.2 billion, or 5.1%), Australia ($118.6 billion, or 5.0%), Switzerland ($93.6 billion, or 4.0%), Netherlands ($79.2 billion, or 3.4%), and Sweden ($48.2 billion, or 2.1%). 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 Treasury or Government repo).
Note that there has been little discussion of whether the pending SEC Money Market Fund Reform Proposals will alter the monthly portfolio holdings disclosure mandates, but we do expect some minor categorization changes. We will alter our collections accordingly once these become required late this year or early next.... 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 on Friday.) Contact Pete to request the latest dataset or for more information.
