Crane Data released its June Money Fund Portfolio Holdings earlier this week, and our collection for the month ended May 31, 2013, shows Repurchase Agreements (repos), the largest segment of money fund holdings, falling, while CDs, Time Deposits (listed among "Other" in the SEC's categorization scheme) and CP all rose sharply last month. Money market securities held by Taxable U.S. money funds overall increased by $25.8 billion in May (after falling $9.9 billion in April and $34.6 billion in March) to $2.376 trillion. (Note that our Portfolio Holdings collection is a separate series from our monthly Money Fund Intelligence XLS and daily MFI Daily universes.) Most segments rose in May (Agencies, CDs, CP, Other, and VRDNs) except for Repo and Treasuries. Repo remains the largest holding among taxable money funds, followed by CDs, Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) continued rising to over 31%. Below, we review our latest portfolio holdings aggregates.
Repurchase agreement (repo) holdings decreased by $10.0 billion to $513.7 billion, or 21.6% of fund assets.. Certificates of Deposit (CD) holdings increased by $14.2 billion to $480.4 billion, or 20.2% and Treasury holdings decreased by $12.8 billion to $430.4 billion (18.1% of holdings). Commercial Paper (CP) remained the fourth largest segment, rising by $9.9 billion to $410.6 billion (17.3% of holdings). Government Agency Debt rose by $5.2 billion; it now totals $324.0 billion (13.6% of assets). Other holdings, which include Time Deposits, rose by $14.8 billion to $155.4 billion (6.5% of assets). VRDNs, which are primarily purchased by tax-exempt funds (not listed here) but sometimes purchased by taxable funds) rose by $4.4 billion to $61.9 billion (2.6% of assets).
European-affiliated holdings rose by $20.0 billion in May to $744.5 billion; their share of holdings rose to 31.3%. Eurozone-affiliated holdings rose to $396.4 billion in May; they now account for 16.7% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $6.9 billion to $290.2 billion (16.7% of the total), while Americas related holdings inched lower to $1.341 trillion (56.4% of holdings), primarily a result of lower Treasury holdings.
The Repo totals were made up of: Government Agency Repurchase Agreements (down $16.2 billion to $260.0 billion, or 10.9% of total holdings), Treasury Repurchase Agreements (up $3.7 billion to $180.1 billion, or 7.6% of assets), and Other Repurchase Agreements (up $2.6 billion to $73.5 billion, or 3.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $7.2 billion to $238.0 billion, or 10.0% of assets), Asset Backed Commercial Paper (down $4.3 billion to $97.4 billion, or 4.1%), and Other Commercial Paper (up $7.1 billion to $75.2 billion, or 3.2%).
The 20 largest Issuers to taxable money market funds as of May 31, 2013, include the US Treasury (18.1%, $430.4 billion), Federal Home Loan Bank (7.0%, $166.3 billion), Deutsche Bank AG (3.2%, $77.1B), BNP Paribas (2.7%, $64.1B), JP Morgan (2.7%, $63.6B), Federal National Mortgage Association (2.6%, $61.8B), Federal Home Loan Mortgage Co (2.5%, $60.3B), Bank of America (2.4%, $57.1B), Societe Generale (2.4%, $56.1B), Bank of Nova Scotia (2.4%, $56.0B), RBC (2.4%, $55.9B), Barclays Bank (2.3%, $54.7B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.3%, $53.6B), Sumitomo Mitsui Banking Co (2.2%, $52.7B), Credit Suisse (2.2%, $52.2B), Credit Agricole (2.0%, $48.5B), Citi (2.0%, $46.5B), Mizuho Corporate Bank Ltd (1.5%, $34.7B), Toronto-Dominion Bank (1.4%, $33.9B), and DnB NOR Bank ASA (1.4%, $32.4B).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Deutsche Bank ($52.9B, 10.3%), Bank of America ($50.1B, 9.8%), BNP Paribas ($43.7B, 8.5%), Societe Generale ($37.0B, 7.2%), Barclays Bank ($36.3B, 7.1%), RBS ($28.4B, 5.5%), Citi ($27.8B, 5.4%), Credit Suisse ($27.1B, 5.3%), JP Morgan ($24.9B, 4.9%), and RBC ($24.8B, 4.8%).
The 10 largest issuers of CDs (with the amount of CDs issued to our universe and market share include: Sumitomo Mitsui Banking Co ($45.3B, 9.4%), Bank of Tokyo-Mitsubishi UFJ Ltd ($38.5B, 8.0%), Bank of Nova Scotia ($30.0B, 6.3%), Bank of Montreal ($25.7B, 5.4%), Toronto-Dominion Bank ($25.3B, 5.3%), Mizuho Corporate Bank Ltd ($21.3B, 4.4%), National Australia Bank Ltd ($20.9B, 4.4%), RBC ($15.8B, 3.3%), Deutsche Bank ($15.6B, 3.3%), and Credit Suisse ($15.3B, 3.2%).
The 10 largest issuers of CP (owned by money funds) as of May 31 include: JP Morgan ($25.2B, 7.1%), Westpac Banking Co ($19.5B, 5.5%), Commonwealth Bank of Australia ($17.6B, 5.0%), FMS Wertmanagement ($13.7B, 3.9%), Barclays Bank ($12.0B, 3.4%), Lloyds TSB Bank PLC ($12.0B, 3.4%), Australia & New Zealand Banking Group Ltd ($11.6B, 3.3%), General Electric ($10.2B, 2.9%), NRW.Bank ($9.7B, 2.8%), and HSBC ($8.9B, 2.5%).
The largest increases among Issuers of money market securities (including Repo) in May were shown by: Federal Home Loan Bank (up $11.4B to $166.3B), BNP Paribas (up $7.9B to $64.1B), DnB NOR Bank ASA (up $5.6B to $32.4B), JPMorgan (up $4.4B to $63.6B), and Canadian Imperial Bank of Commerce (up $4.4B to $17.5B). The largest decreases among Issuers included: US Treasury (down $12.8B to $430.4B), Federal National Mortgage Association (down $5.7B to $61.8B), Goldman Sachs (down $4.5B to $21.3B), and Societe Generale (down $4.2B to $56.1B).
The United States is still by far the largest segment of country-affiliations with 47.3%, or $1.124 trillion. France increased again and moved into second place (9.2%, $219.1B) ahead of Canada (9.1%, $215.4B). Japan was again fourth (7.0%, $165.9B) and the UK (6.3%, $150.2B) remained fifth. Germany (5.0%, $119.9B) was sixth, followed by Australia (4.5%, $106.5B) 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. All money market securities must be U.S. dollar-denominated.) Sweden (3.7%, $87.4B), Switzerland (3.3%, $77.4B), and the Netherlands (2.3%, $54.3B) continued to round out the top 10.
As of May 31, 2013, Taxable money funds held 22.8% of their assets in securities maturing Overnight, and another 15.0% maturing in 2-7 days (37.8% total in 1-7 days). Another 18.4% matures in 8-30 days, while 25.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.1% of taxable securities, and just 5.0% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated earlier this week, and our MFI International "offshore" Portfolio Holdings will be updated Saturday (the Tax Exempt MF Holdings will be released later today). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module and contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Weekly Money Fund Portfolio Holdings collection.
