Crane Data released its February Money Fund Portfolio Holdings data yesterday, and our latest collection of taxable money market securities, with data as of Jan. 31, 2014, shows a jump in CDs (certificates of deposit), Time Deposits and Commercial Paper and a sharp drop in Treasuries, Government agency securities and repo. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $258 million in January to $2.507 trillion. (Assets would have dropped by over $8 billion, but we added several funds, including PFM Prime and Govt, and Alliance Bernstein Exchange Reserves.) Portfolio assets increased by $55 billion in December, decreased by $10.7 billion in November and by $9.4 billion in October. CDs remained the largest holding among taxable money funds, followed by Repo, Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings rebounded after plummeting in December on the Repo shift into the Fed from dealer balance sheets; European holdings are now 29.6% of holdings (up from 23.3% last month). Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) jumped sharply, increasing $45.9 billion to $581.3 billion, or 23.2% of holdings. Repurchase agreement (repo) holdings declined by $14.2 billion to $487.7 billion, or 19.5% of fund assets. (Repo at the NY Fed plunged from $139.2 billion but remained a huge $79.8 billion.) Treasury holdings, the third largest segment, plummeted $53.8 billion to $451.3 billion (18.0% of holdings). Government Agency Debt fell by $24.7 billion. Agencies now total $366.6 billion (14.6% of assets). Commercial Paper (CP), the fifth largest segment, increased by $16.3 billion to $398.0 billion (15.9% of holdings). Other holdings, which includes Time Deposits, jumped $34.0 billion to $182.3 billion (7.3% of assets). VRDNs held by taxable funds dropped by $3.8 billion to $39.6 billion (1.6% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series Friday and our "offshore" holdings will be released Saturday.)
Among Prime money funds, CDs still represent over one-third of holdings with 36.4% (up from 34.1% of a month ago), followed by Commercial Paper (24.9%, up from 24.3%). The CP totals are primarily Financial Company CP (15.1% of holdings) with Asset-Backed CP making up 5.8% and Other CP (non-financial) making up 4.1%. Prime funds also hold 6.5% in Agencies (down from 7.8%), 5.6% in Treasury Debt (down from 6.0%), 2.7% in Other Instruments, and 5.5% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.597 trillion (up from $1.570T), or 63.7% (up from 62.6%) of taxable money fund holdings' total of $2.507 trillion. Government fund portfolio assets totaled $451.2 billion, down from $453.8 billion last month, while Treasury money fund assets totaled $459.9 billion, down sharply from the $483.4 billion in December.
European-affiliated holdings rebounded sharply, up $158.3 billion in January to $741.8 billion (among all taxable funds and including repos); their share of holdings jumped back to 29.6%. Eurozone-affiliated holdings also jumped (up $100.8 billion) to $437.5 billion in Jan.; they now account for 17.5% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $3.3 billion to $310.7 billion (12.4% of the total), while Americas related holdings plummeted $155.6 billion to $1.453 trillion (58.0% of holdings).
The Repo totals were made up of: Government Agency Repurchase Agreements (up $3.8 billion to $196.4 billion, or 7.8% of total holdings), Treasury Repurchase Agreements (down $16.6 billion to $214.6 billion, or 8.6% of assets and Other Repurchase Agreements (down $1.3 billion to $76.7 billion, or 3.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $18.3 billion to $240.3 billion, or 9.6% of assets), Asset Backed Commercial Paper (down $4.4 billion to $92.9 billion, or 3.7%), and Other Commercial Paper (up $2.4 billion to $64.8 billion, or 2.6%).
The 20 largest Issuers to taxable money market funds as of Jan. 31, 2014, include: the US Treasury ($451.3 billion, or 18.0%), Federal Home Loan Bank ($230.7B, 9.2%), Federal Reserve Bank of New York ($79.8B, 3.2%), BNP Paribas ($78.6B, 3.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($64.8B, 2.6%), Deutsche Bank AG ($63.6B, 2.5%), Sumitomo Mitsui Banking Co ($61.8B, 2.5%), JP Morgan ($60.6B, 2.4%), Bank of Nova Scotia ($58.1B, 2.3%), Federal Home Loan Mortgage Co ($56.6B, 2.3%), Credit Agricole ($53.5B, 2.1%), RBC ($52.4B, 2.1%), Citi ($50.5B, 2.0%), Bank of America ($47.4B, 1.9%), Credit Suisse ($45.9B, 1.8%), Barclays Bank ($45.3B, 1.8%), Societe Generale ($44.8B, 1.8%), Wells Fargo ($43.4, 1.7%), Federal National Mortgage Association ($42.7B, 1.7%), and Toronto-Dominion Bank ($38.3B, 1.5%).
In the repo space, the New York Federal Reserve's RPP program issuance (held by MMFs) remained the largest program, though the balance declined dramatically from the $139.2B outstanding at year-end. The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Federal Reserve Bank of New York ($79.8B, 16.4%), BNP Paribas ($51.1B, 10.5%), Deutsche Bank ($40.5B, 8.3%), Bank of America ($38.3B, 7.9%), Goldman Sachs ($26.6B, 5.5%), Barclays ($25.4B, 5.2%), Societe Generale ($23.9B, 4.9%), Credit Agricole ($22.9B, 4.7%), Citi ($22.6B, 4.6%), and RBC ($18.5B, 3.8%),
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($55.3B, 9.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($43.9B, 7.6%), Bank of Nova Scotia ($34.0B, 5.9%), Toronto-Dominion Bank ($32.7B, 5.7%), Bank of Montreal ($26.9B, 4.7%), Mizuho Corporate Bank Ltd ($26.6B, 4.6%), Rabobank ($24.6B, 4.3%), Credit Suisse ($23.5B, 4.1%), Wells Fargo ($19.2B, 3.3%), and Citi ($18.3B, 3.2%).
The 10 largest CP issuers include: JP Morgan ($28.0B, 8.0%), Westpac Banking Co ($15.8B, 4.5%), Commonwealth Bank of Australia ($14.9B, 4.3%), NRW.Bank ($13.6B, 3.9%), Skandinaviska Enskilda Banken AB ($12.4B, 3.5%), FMS Wertmanagement ($11.9B, 3.4%), RBC ($11.7B, 3.4%), BNP Paribas ($10.9B, 3.1%), Barclays PLC ($10.4B, 3.0%), and HSBC ($10.3B, 3.0%).
The largest increases among Issuers include: Deutsche Bank (up $21.6B to $63.6B), BNP Paribas (up $21.3B to $78.6B), Lloyds TSB Bank PLC (up $17.6B to $24.5B), DnB NOR Bank ASA (up $15.9B to $30.4B), Swedbank AB (up $13.6B to $20.7B), Societe Generale (up $13.6B to $44.8B), Credit Agricole (down $11.0B to $42.5B) and Credit Mutuel (up $10.8B to $17.0B). The largest decreases among Issuers of money market securities (including Repo) in January were shown by: the Federal Reserve Bank of New York (down $59.4B to $79.8B), the US Treasury (down $53.8B to $451.3B), Federal National Mortgage Association (down $18.6B to $42.7B), CIBC (down $4.1B to $12.2B), and Natixis (down $4.0B to $32.4B).
The United States remained the largest segment of country-affiliations though holdings dropped sharply; it now represents 49.5% of holdings, or $1.240 trillion. France (9.5%, $239.2B jumped back into second place ahead of Canada (8.5%, $211.8B) and Japan (7.7%, $194.1B). The UK (4.5%, $113.4B) jumped back into to fifth place, and Germany (4.3%, $107.3B) moved back into sixth. Sweden (4.0%, $99.0B) dropped to seventh, Australia (3.7%, $92.2B) fell to 8th, the Netherlands (3.1%, $77.6B) was ninth, and Switzerland (2.4%, $60.7B) was tenth among country affiliations. (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.)
As of Jan. 31, 2014, Taxable money funds held 22.3% of their assets in securities maturing Overnight, and another 13.5% maturing in 2-7 days (35.8% total in 1-7 days). Another 20.8% matures in 8-30 days, while 25.7% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.8% of taxable securities, and just 4.0% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated yesterday, and our MFI International "offshore" Portfolio Holdings will be updated Saturday (the Tax Exempt MF Holdings will be released Friday). 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 Reports Issuer Module.
