Crane Data released its September Money Fund Portfolio Holdings dataset Thursday, and our collection of taxable money market securities with data as of August 31, 2013, shows declines in Repos and Treasuries, and a jump in CDs and "Other" holdings (which includes Time Deposits). Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) inched up by $1.1 billion in August to $2.416 trillion. (Portfolio assets rose $68.9 billion in July, fell $30.1 billion in June, increased $25.8 billion in May, and fell $9.9 billion in April and $34.6 billion in March). (Note that our Portfolio Holdings collection is a separate data series from our monthly Money Fund Intelligence XLS and daily MFI Daily collections.) Besides the jump in CDs and Other and the big drop in Repo and Treasuries in August, Agencies, VRDNs, and CP inched lower. CDs remained the largest holding among taxable money funds, followed by Treasuries then Repo, then CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) inched higher following a jump last month from 29.6% to under 29.8%. Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) holdings increased by $17.6 billion to $510.6 billion, increasing to 21.1%; they remain the largest segment of money fund composition. Treasury holdings decreased by $10.5 billion to $474.9 billion (19.7% of holdings) and remained in the second place spot. Repurchase agreement (repo) holdings decreased by $16.5 billion to $447.6 billion, or 18.5% of fund assets. Commercial Paper (CP), the fourth largest segment, dipped by $337 million to $414.3 billion (17.2% of holdings). Government Agency Debt decreased by $3.6 billion; it now totals $348.6 billion (14.4% of assets). Other holdings, which include Time Deposits, rose by $17.9 billion to $174.6 billion (7.2% of assets). VRDNs held by taxable funds fell again by $3.5 billion to $45.8 billion (1.9% of assets). (Crane Data's Tax Exempt fund data is released in a separate series.)
Among Prime money funds, CDs still represent one-third of holdings, or 33.2%, followed by Commercial Paper (26.9%). The CP totals are primarily Financial Company CP (15.7% of holdings) with Asset-Backed CP making up 6.2% and Other CP (non-financial) making up 5.1%. Prime funds also hold 7.2% in Agencies, 6.7% in Treasury Debt, 15.7% in Other Instruments, 5.7% in Other Notes, and 7.2% in Other (including Time Deposits). Prime money fund holdings tracked by Crane Data total $1.540 trillion, or 63.7% of taxable money fund holdings' total of $2.416 trillion.
European-affiliated holdings increased by $6.8 billion in August to $721.0 billion (among all taxable funds and including repos); their share of holdings rose to 29.8%. Eurozone-affiliated holdings rose too (up $3.0 billion) to $384.7 billion in August; they now account for 15.9% of overall taxable money fund holdings. Asia & Pacific related holdings inched down by $572 million to $289.6 billion (12.0% of the total), while Americas related holdings fell by $5.3 billion to $1.405 trillion (58.1% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (down $11.5 billion to $221.0 billion, or 9.2% of total holdings), Treasury Repurchase Agreements (down $5.1 billion to $156.4 billion, or 6.5% of assets and Other Repurchase Agreements (up $80 million to $70.2 billion, or 2.9% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $2.3 billion to $241.5 billion, or 10.0% of assets), Asset Backed Commercial Paper (up $377 million to $94.9 billion, or 3.9%), and Other Commercial Paper (down $3.0 billion to $77.8 billion, or 3.2%).
The 20 largest Issuers to taxable money market funds as of August 31, 2013, include the US Treasury (19.7%, $475.3 billion), Federal Home Loan Bank (8.2%, $196.9 billion), Deutsche Bank AG (2.6%, $63.6B), Federal Home Loan Mortgage Co (2.6%, $63.2B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.4%, $58.7B), JP Morgan (2.4%, $58.7B), Bank of Nova Scotia (2.4%, $57.8B), Sumitomo Mitsui Banking Co (2.4%, $57.4B), BNP Paribas (2.4%, $57.1B), Bank of America (2.4%, $56.8B), Barclays Bank (2.3%, $55.2B), Federal National Mortgage Association (2.3%, $54.7B), Citi (2.1%, $49.5B), Societe Generale (2.0%, $48.5B), RBC (2.0%, $47.7B), Credit Suisse (1.9%, $45.2B), Credit Agricole (1.8%, $42.2B), Toronto-Dominion Bank (1.7%, $39.9B), Natixis (1.5%, $36.9B), and Bank of Montreal (1.5%, $36.4B).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Bank of America ($45.3B, 10.1%), Deutsche Bank ($44.2B, 9.9%), Barclays ($37.1B, 8.3%), BNP Paribas ($35.8B, 8.0%), Credit Suisse ($26.5B, 5.9%), Citi ($25.7B, 5.8%), Goldman Sachs ($25.3B, 5.7%), Societe Generale ($23.6B, 5.3%), RBS ($21.8B, 4.9%), and Credit Agricole ($18.9B, 4.2%).
The largest increases among Issuers of money market securities (including Repo) in August were shown by: Natixis (up $6.2B to $36.9B), Federal Home Loan Bank (up $6.1B to $196.9B), DnB NOR Bank ASA (up $5.8B to $31.0B), Bank of Tokyo-Mitsubishi UFJ Ltd (up $5.0B to $58.7B), and BNP Paribas (up $4.0B to $57.1B). The largest decreases among Issuers included: Deutsche Bank (down $8.3B to $63.6B), UBS (down $6.3B to $10.2B), RBC (down $5.8B to $47.7B), Credit Agricole (down $4.8B to $42.2B), and Federal National Mortgage Corp (down $3.8B to $54.7B).
The United States is still by far the largest segment of country-affiliations with 48.8%, or $1.180 trillion. Canada increased slightly and remained in second place (9.3%, $223.5B) ahead of France (8.8%, $212.2B). Japan was again fourth (7.3%, $176.2B) and the UK (6.1%, $147.4B) remained fifth. Germany (4.2%, $101.3B) remained ahead of Australia (3.9%, $93.0B) among country-affiliated securities and dealers. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.) Sweden (3.8%, $92.6B), the Netherlands (2.7%, $64.8B) and Switzerland (2.6%, $62.1B) continued to round out the top 10.
As of August 31, 2013, Taxable money funds held 23.5% of their assets in securities maturing Overnight, and another 13.0% maturing in 2-7 days (36.6% total in 1-7 days). Another 20.8% matures in 8-30 days, while 24.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.4% of taxable securities, and just 4.5% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated last Wed. and Thursday, and our MFI International "offshore" Portfolio Holdings will be updated late today (the Tax Exempt MF Holdings were released Saturday). 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.
Finally, note in the recent comment letter from the Boston Fed's Eric Rosengren (see this weekend's "News"), a suggestion is made for more frequent portfolio holdings disclosure. He writes (late in the letter), "We strongly support the enhanced disclosure requirements contained in the Proposal. As proposed, MMMFs would be required to disclose current and historical instances of sponsor financial support; Daily Liquid Assets and WLA levels; current NAV rounded to the fourth decimal place; and daily net flows. The SEC also proposes to require MMMFs to promptly file (within one business day) a new Form N-CR when certain significant events occur, and to eliminate Form N-MFP's 60-day public dissemination delay."
Rosengren continues, "We encourage the SEC to implement additional steps to enhance disclosure such as requiring weekly or even daily disclosures of portfolio holdings. During times of stress, uncertainty regarding portfolio composition could cause a MMMF's investors to redeem if they believe the fund could be exposed to distressed assets. More frequent disclosure alleviates this uncertainty. In addition, we suggest that the SEC consider requiring MMMFs to publicly disclose their ten largest investors on a weekly or monthly basis. Such disclosure would allow investors to better assess the shareholder concentration risk in the fund. A fund with a small number of large investors is more likely to experience large redemptions, and is thus more exposed to liquidity risk compared to a less concentrated fund."
