Crane Data's latest Money Fund Portfolio Holdings dataset, with info as of January 31, 2013, shows money market securities held by Taxable U.S. money funds increased by $25.7 billion in January (after rising $34.4 billion in December and $58.1 billion in November) to $2.422 trillion. Commercial Paper held by money funds soared, rising $46.0 billion, while Repurchase Agreements (up $24.1 billion) and CDs (up $17.8 billion) also jumped. Treasury Debt (down $26.1 billion) Government Agencies (down $15.3 billion), VRDNs (down $10.5 billion), and Other Securities (down $10.4 billion, primarily Time Deposits) all declined substantially. Below, we review our Money Fund Wisdom's latest portfolio holdings aggregates, and we also add some recent FSOC comments from Dreyfus (watch for more excerpts tomorrow) and the Boston Fed arguing for more frequent disclosure of portfolio holdings.
Repo remained the largest holding segment with 23.5% of fund assets and $569.1 billion in total, and Certificates of Deposit (CDs) remained the second-largest segment (20.6%) with $498.7 billion of taxable money fund assets. Treasuries fell by 5.6% to $440.3 billion (19.2% of holdings). Commercial Paper (CP) rose by 12.4% to $417.6 billion (17.2% of holdings), while Government Agency Debt dropped to $319.3 billion (13.2% of assets). European-affiliated holdings jumped in January, rising $97.7 billion to $756.9 billion, or 31.3% of securities. Eurozone-affiliated holdings though declined to $400.1 billion in January; they now account for 16.5% of overall taxable money fund holdings.
The Repo totals were made up of: Government Agency Repurchase Agreements ($286.9 billion, or 11.9% of total holdings), Treasury Repurchase Agreements ($201.6 billion, or 8.3% of assets), and Other Repurchase Agreements ($80.6 billion, or 3.3% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper's 9.5% ($230.8 billion), Asset Backed Commercial Paper's 4.8% ($116.7 billion), and Other Commercial Paper's 2.9% ($70.1 billion). "Other" Instruments (including Time Deposits and Other Notes) were the sixth largest sector with $129.3 billion (5.3%) and VRDNs (including Other Muni Debt) were the smallest segment with $48.0 billion (2.0% of holdings) in January.
Money funds now hold at least 39 percent of the total $1,059.9 billion in CP outstanding (see the Federal Reserve's latest on CP totals). Commercial paper outstandings, on a non-seasonally adjusted basis, rose by $107.6 billion in January -- their biggest monthly gain since the Federal Reserve instituted its support programs in late 2008 -- bringing CP's total over $1 trillion for the first time since mid-2011. Every category of CP rose, though Foreign Financial (up $40.5 billion) and Domestic Nonfinancial (up $33.2 billion) showed the largest jumps.
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2013, include the US Treasury (18.2%, $440.3 billion), Federal Home Loan Bank (6.7%, $162.5 billion), Deutsche Bank AG (3.4%, $81.9B), Bank of America (2.9%, $69.8B), BNP Paribas (2.9%, $69.2B), Societe Generale (2.8%, $68.4B), Federal Home Loan Mortgage Co (2.7%, $65.4B), Credit Suisse (2.6%, $62.9B), Federal National Mortgage Association (2.4%, $58.7B), Sumitomo Mitsui Banking Co (2.4%, $58.5B), JP Morgan (2.3%, $56.0B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.3%, $55.5B), RBC (2.3%, $54.7B), Bank of Nova Scotia (2.2%, $53.4B), Barclays Bank (2.2%, $52.1B), Citi (2.0%, $49.3B), National Australia Bank (1.6%, $39.4B), Bank of Montreal (1.6%, $37.8B), Mizuho Corporate Bank Ltd. (1.6%, $37.6B), and Toronto-Dominion Bank (1.5%, $36.8B).
The largest increases among Issuers of money market securities (including Repo) in January were shown by the Societe Generale (up $29.1 billion to $68.4 billion), Deutsche Bank (up $17.6 billion to $81.9 billion), BNP Paribas (up $16.1 billion to $69.2 billion), Lloyds TSB Bank PLC (up $11.3 billion to $21.4 billion), and Swedbank AB (up $11.0B to $16.5B). Meanwhile, the biggest declines in holdings were shown by the US Treasury (down $26.1B to $440.3B), State Street (down $11.4 billion to $8.6 billion), Federal Home Loan Bank (down $11.0 billion to $162.5B), Natixis (down $8.7 billion to $15.9 billion), and Credit Agricole (down $7.1B to $34.9B).
The United States is still the largest segment of country-affiliations with 47.4%, or $1.147 trillion. Canada (8.8%, $212.5B) remained the second largest country, but France reclaimed third place (8.4%, $202.3B), moving ahead of Japan (7.3%, $176.7B) and the UK (6.1%, $146.6B). Germany (5.3%, $129.1B) moved to sixth as Deutsche Bank's repo issuance rebounded after quarter-end, and Australia (4.8%, $116.1B) fell to the 7th place among country-affiliated securities and dealers. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though funds themselves "look-through" and consider these U.S. government securities.) Sweden (4.1%, $98.7B), Switzerland (3.5%, $84.4B), and the Netherlands (2.7%, $65.1B) continued to round out the top 10.
As of Jan. 31, 2013, Taxable money funds held 23.6% of their assets in securities maturing Overnight, and another 13.8% maturing in 2-7 days (37.4% total in 1-7 days). Another 19.0% matures in 8-30 days, while 26.0% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.4% of taxable securities, and just 5.2% matures beyond 180 days. Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated yesterday, while our MFI International "offshore" Portfolio Holdings will be updated tomorrow (the Tax Exempt MF Holdings will be updated this morning). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module.
J.P. Morgan Securities writes on its monthly portfolio holdings analysis, "The New Year kicked off with relatively strong funding conditions in the money markets. Foreign financial CP and Yankee CD outstandings rose by over $100bn in January after stagnating for most of 2012. Some of this surge in issuance may have been prefunding of ECB's first 3y LTRO repayments at the end of January by European banks. Issuance was likely helped by low repo rates as prime MMFs, among other investors, placed much of the cash they had withdrawn from the repo markets at 2012 year-end into Yankee bank CP/CDs.... Prime MMFs increased their Yankee bank holdings in January while reducing their US bank holdings. Eurozone bank holdings increased by $25bn and $70bn since the end of 2011.... Time deposit holdings dropped by about $23bn and ABCP and CCP holdings increased by a total of about $5bn."
Finally, it is possible we may see some changes in the frequency of portfolio holdings disclosures if an SEC or FSOC proposal ever does get out and come to fruition. (Crane Data has been analyzing monthly portfolio holdings since the SEC mandated their disclosure at the end of 2010, and we've been producing a weekly holdings collection. But weekly and daily disclosure is incomplete and inconsistent.) Recent FSOC comment letters have included some arguing for more frequent disclosure. The Boston Fed's Eric Rosengren (see yesterdays' "News"), who has mentioned the topic before, commented to FSOC, "Even more frequent and timely disclosure may be warranted to increase the transparency of MMFs. The SEC's 2010 Rule 2a-7 amendments require funds to disclose portfolio information no more than 5 business days after the end of each month. As of month end November 2012, prime funds turned over on average 44% of portfolio assets every week. Given this high turnover rate, investors are unlikely to be fully apprised of the fund's portfolio composition from the first day of the month through the twenty-ninth day. During times of stress, this uncertainty regarding portfolio composition could heighten investors' incentives to redeem in between reporting periods, as they will not be able to determine if their fund is exposed to certain stressed assets. A daily or weekly reporting requirement would ensure that investors are well informed as to what assets are in the fund, and may reduce contagion effects from one fund breaking the buck. A daily or weekly reporting requirement would also enable better use of primary market data for pricing purposes."
Dreyfus's Charlie Cardona writes, "If further regulation is pursued, we believe the risk-limiting conditions under Rule 2a-7 can be enhanced to reduce various kinds of concentration and other credit risks and to increase portfolio liquidity, and we would couple these changes with required daily disclosure of portfolio holdings ("Daily Transparency"). We believe the combination of a lower overall risk profile and Daily Transparency would more effectively match portfolio construction with investor risk tolerance and would result in more stable and predictable investor behavior during a time of crisis characterized by a "flight to quality." ... [W]e respectfully urge the Council and the Commission to continue to consider the value of improving the resiliency of prime money market funds rather than seeking only to address the perceived "structural vulnerabilities" of money market funds with reform proposals that, in our view, would do more harm than good."
