Crane Data's latest Money Fund Portfolio Holdings dataset, with data as of November 30, 2012, were released to our Money Fund Wisdom subscribers last week. Our latest collection shows money market securities held by Taxable U.S. money funds increased by $58.1 billion in November to $2.362 trillion (after rising $31.0 billion in Oct.). Repurchase Agreements held by money funds jumped by $38.5 billion, or 6.5%, to $635.0 billion (after soaring $81.0 billion last month); repos hit a new record-high 26.9% of assets. Certificates of Deposit (CDs), the third-largest segment, also jumped, rising $32.1 billion, or 7.8%, to $445.7 billion (18.9% of holdings), while the second-largest sector, Treasury Debt, fell by $8.2 billion (-1.8%) to $451.3 billion (19.1% of holdings). Commercial Paper (CP) rose by $5.2 billion (up 1.5%) to $348.2 billion (14.7% of holdings), while Government Agency Debt fell by $7.9 billion to $297.1 billion (12.6% of assets). European-affiliated holdings (includes repo) rose again in November, rising by $29.9 billion in November to $730.6 billion, or 30.9% of securities (after rising $53.9 billion in October). Eurozone-affiliated holdings also jumped again to $421.9 billion in November; they now account for 17.9% of overall taxable money fund holdings.
Repo, the largest segment of taxable money fund composition, was made up of: Government Agency Repurchase Agreements ($340.5 billion, or 14.4% of total holdings), Treasury Repurchase Agreements ($215.4 billion, or 9.1% of assets), and Other Repurchase Agreements ($79.1 billion, or 3.4% of holdings). Commercial Paper, the fourth largest segment, was made up of the combined total of Financial Company Commercial Paper's 7.6% ($180.5 billion), Asset Backed Commercial Paper's 4.6% ($108.7 billion), and Other Commercial Paper's 2.5% ($59.1 billion). "Other" Instruments (including Time Deposits and Other Notes) are the sixth largest sector with $123.4 billion (5.2%) and VRDNs (including Other Muni Debt) were the smallest segment with $61.5 billion (2.6% of holdings) in November.
The 20 largest Issuers to taxable money market funds as of Nov. 30, 2012, include the US Treasury (20.8%, $451.1 billion), Federal Home Loan Bank (6.5%, $140.0 billion), Deutsche Bank AG (4.1%, $89.8B), Bank of America (3.2%, $68.4B), Credit Suisse (3.2%, $68.3B), Federal Home Loan Mortgage Co (3.0%, $64.2B), Barclays Bank (2.9%, $62.7B), Federal National Mortgage Association (2.9%, $62.6B), RBC (2.7%, $59.4B), BNP Paribas (2.7%, $58.7B), Sumitomo Mitsui Banking Co (2.6%, $56.7B), `Societe Generale (2.6%, $55.7B), JP Morgan (2.5%, $54.7B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.5%, $53.6B), Bank of Nova Scotia (2.3%, $49.7B), Citi (1.9%, $40.7B), Bank of Montreal (1.8%, $38.2B), National Australia Bank (1.7%, $36.3B), RBS (1.7%, $35.9B), and Rabobank (1.7%, $35.8B).
The largest increases among Issuers of money market securities (including Repo) were shown by Bank of Montreal (up $15.0 billion to $38.2 billion), BNP Paribas (up $10.8 billion to $58.7 billion), Deutsche Bank (up $9.8B to $89.8B), and JPMorgan (up $7.5B to $54.7B), while UBS (down $9.6B to $15.0B), the US Treasury (down $8.6B to $451.1B), RBS (down $8.0 billion to $35.9 billion), and Barclays Bank (down $7.2B to $62.7B) all showed large declines in issuance.
The United States is still the largest segment of country-affiliations with 48.4%, or $1.144 trillion. Canada (8.8%, $207.9B) remained the second largest country, but France moved into third place (7.2%, $170.1B), ahead of Japan (7.1%, $168.3B) and the UK (6.5%, $153.9B). Germany (5.7%, $135.4B) remained the sixth largest country affiliation, as Deutsche Bank's repo issuance jumped again. `Australia (4.3%, $101.5B) moved ahead of Switzerland (3.8%, $90.4B), and Sweden (3.5%, $82.6B) moved ahead of the Netherlands (3.1%, $73.9B).
As of Nov. 30, Taxable money funds hold 26.1% of their assets in securities maturing Overnight, and another 12.7% maturing in 2-7 days (38.8% total in 1-7 days). Another 14.0% matures in 8-30 days, while 29.3% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.2% of taxable securities, and just 4.7% matures beyond 180 days. Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated last week, while our MFI International "offshore" Portfolio Holdings will be updated today (our Tax Exempt MF Holdings were updated Saturday). Visit our Content center to download files or visit our Money Fund Portfolio Laboratory to access our "transparency" module.
