Crane Data's Money Fund Portfolio Holdings, with data as of March 31, 2012, were sent to subscribers late last week. The latest disclosures show Total Taxable money fund holdings dropped by $67.6 billion in March driven by a drop in European holdings (mostly repo). This followed a two-month rebound earlier in 2012. Repurchase Agreement (Repo) holdings fell $70.5 billion in March to $500.9 billion (24.3% of taxable holdings) after rising $25.7 billion in February and $69.4 billion in January. Treasury Debt rose again by $10.0 billion (after rising $18.8 billion last month) to become the largest segment of taxable fund composition at $508.7 billion (22.3% of holdings). Government Agency Debt fell by $9.0 billion to $322.7 billion (14.1%).
Repo holdings were comprised of $249.9 billion in Government Agency Repurchase Agreements (10.9%), $133.0 billion in Treasury Repo (5.8%) and $118.0 billion in Other Repo (5.2%). CDs increased by $10.9 billion to $404.3 billion (17.7%) while CP declined slightly (down $3.6 billion) to $354.6 billion (15.5%). (CP was comprised of $193.7 billion (8.5% of all holdings) in Financial Company CP, $113.5 billion (5.0%) in Asset Backed Commercial Paper, and $47.4 billion (2.1%) in Other CP. Other securities dipped to $126.6 billion (5.5%) with Other Notes (the largest subcategory of this segment) rising to $85.0 billion (3.7%). VRDNs accounted for $67.5 billion (3.0%) of the total securities held by taxable money funds as of March 31, 2012.
Among all Taxable money funds, the U.S. Treasury remains by far the largest issuer with 23.9% of all investments ($508.7 billion). (Treasuries are the largest segment of Prime money funds too at 9.8%, or $124.8 billion of the total.) Federal Home Loan Bank again ranked second among money market issuers with $135.7 billion (6.4%) of the money held in taxable money funds tracked by Crane Data's MF Portfolio Holdings collection. Barclays Bank remained in third place with $94.2 billion (4.4%) of Taxable holdings. Federal Home Loan Mortgage Co. had $76.2 billion ($76.2 billion) of outstandings vs. $70.8 billion (3.3%) for Fannie Mae among taxable money fund holdings.
The rest of the top 10 issuers include: Credit Suisse ($62.3B, 2.9%), Deutsche Bank ($61.5B, 2.9%), Bank of America ($59.8B, 2.8%), JPMorgan ($54.8B, 2.6%), and UBS ($53.3B, 2.5%) <b:>`_. Numbers 11-20 include: RBC ($50.6B), Citi ($49.1B), Bank of Nova Scotia ($46.7B), Bank of Tokyo-Mitsubishi UFJ Ltd ($44.1B), Rabobank ($42.1B), BNP Paribas ($42.0B), Goldman ($40.0B), Sumitomo Mitsui Banking Co ($36.5B), Westpac Banking Co ($35.5B), and National Australia Bank Ltd ($35.4B).
J.P. Morgan Securities' "Update on prime money fund holdings for March 2012 comments, "Prime MMFs saw $49bn (-3.4%) of outflows in March, mostly accounted for by institutional outflows (-$41bn). Typical seasonal quarter-end activity accounted for most of this (Exhibit 1) but some could also be attributed to the renewed focus on the Eurozone and upcoming conclusions of Moody's ratings review of major global banks. Although prime MMFs reduced overall bank exposures in March due to seasonal repo and time deposit reductions, some large funds continued to increase Eurozone bank unsecured CP/CD exposures reflecting better tone in short-term credit markets."
They add, "Prime MMFs reduced total global bank exposures by $67bn while increasing Treasury bill and coupon holdings by about $18bn. Eurozone bank exposures declined by $20bn after two consecutive months of increases totaling nearly $60bn (Exhibit 2). Non-Eurozone European bank exposures declined by $14bn, driven by reduced exposures to the UK banks (-$24bn). Non- European bank exposures which grew by $107bn from May 2011 to February 2012, dropped $33bn in March, driven by reduced exposures to US, Canadian, Australian, and Japanese banks (Exhibit 3). Declines in bank exposures were primarily driven by seasonal reductions to repo (-$40bn) and time deposits (-$21bn). Overall unsecured CP/CD exposures fell (-$6bn) but data reveals that Eurozone bank unsecured CP/CD exposures grew by $14bn. Overall ABCP exposure remained unchanged."
Finally, Deutsch Bank's latest look at Portfolio Holdings comments, "[A]n analysis of the month-end holdings of the U.S. money fund industry for March doesn't do much to resolve the mystery [of why funding rates have been under pressure]. On the one hand, total assets under management hasn't really changed much at all over the past few months -- at least among the funds that we track (which are the largest prime funds in the industry). So it's not as if funding supply is going down.... In addition, risk appetite within this industry seems to be doing just fine."
