That giant sucking sound you heard at month-end in March was money market investments leaving everywhere else and moving to the Federal Reserve Bank of New York's reverse repo program. Crane Data released its April Money Fund Portfolio Holdings yesterday afternoon, and our latest collection of taxable money market securities, with data as of March 31, 2014, shows a huge jump in Repo with the New York Fed and big declines in overall holdings, Time Deposits (the SEC's "Other" category), CDs and CP. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $43.0 billion in March to $2.431 trillion. Portfolio assets decreased by $32.7 billion in February and by $258 million in January, after an increase of $55 billion in December. CDs remained the largest holding among taxable money funds, followed closely by Repo, then by Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings plummeted again at quarter-end on the shift from dealer repo and time deposits into Fed repo; European holdings are now below 25% of holdings (down from 29.8% last month). Below, we review our latest portfolio holdings statistics.
Among all taxable money funds, Certificates of Deposit (CD) fell again in March, decreasing $22.9 billion to $543.1 billion, or 22.3% of holdings. Repurchase agreement (repo) holdings jumped by $55.1 billion to $534.0 billion, or 22.0% of fund assets. (Money funds' repo at the NY Fed more than doubled, surging from $91.8 billion to $203.1 billion, though non-Fed repo plunged by $56.1 billion to $330.9 billion, or 62.0% of total repo. Money funds accounted for 84% of the Fed's $242 billion in total repo assets; see our April 2 Link of the Day, "Fed Repo Sets Record at Quarter End") Treasury holdings, the third largest segment, increased by $7.5 billion to $474.1 billion (19.5% of holdings). Government Agency Debt continued its slide, falling by $10.1 billion. Agencies now total $330.5 billion (13.6% of assets). Commercial Paper (CP), the fifth largest segment, decreased by $21.4 billion to $380.8 billion (15.7% of holdings). Other holdings, which include Time Deposits, dropped sharply (down $49.0 billion) to $136.6 billion (5.6% of assets). VRDNs held by taxable funds dropped by $2.3 billion to $32.0 billion (1.3% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series late Thursday and our "offshore" holdings will be released Friday.)
Among Prime money funds, CDs still represent over one-third of holdings with 35.2% (down from 36.0% of a month ago), followed by Commercial Paper (24.7%, down from 25.6%). The CP totals are primarily Financial Company CP (14.8% of holdings) with Asset-Backed CP making up 5.7% and Other CP (non-financial) making up 4.2%. Prime funds also hold 5.2% in Agencies (down from 5.7%), 6.6% in Treasury Debt (up from 6.5%), 5.2% in Other Instruments, and 5.1% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.542 trillion (down from $1.573T), or 63.4% (down from 63.6%) of taxable money fund holdings' total of $2.431 trillion.
Government fund portfolio assets totaled $434.3 billion, down from $443.8 billion last month, while Treasury money fund assets totaled $454.7 billion, down slightly from $457.8 billion at the end of January. Government money fund portfolios were made up of 56.8% Agency securities, 19.5% Government Agency Repo, 8.0% Treasury debt, and 15.2% Treasury Repo. Treasury money funds were comprised of 74.2% Treasury debt and 24.5% Treasury Repo.
European-affiliated holdings declined sharply, down $137.4 billion in March to $599.9 billion (among all taxable funds and including repos); their share of holdings is now 24.7%. Eurozone-affiliated holdings also plunged (down $79.8 billion) to $347.9 billion in March; they now account for 14.3% of overall taxable money fund holdings. Asia & Pacific related holdings fell by $10.7 billion to $284.0 billion (11.7% of the total), while Americas related holdings jumped $104.4 billion to $1.545 trillion (63.6% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $76.1 billion to $300.8 billion, or 12.4% of assets, Government Agency Repurchase Agreements (down $21.8 billion to $148.8 billion, or 6.1% of total holdings), and Other Repurchase Agreements (up $894 million to $84.4 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $14.6 billion to $227.5 billion, or 9.4% of assets), Asset Backed Commercial Paper (down $3.1 billion to $88.4 billion, or 3.6%), and Other Commercial Paper (down $3.6 billion to $64.9 billion, or 2.7%).
The 20 largest Issuers to taxable money market funds as of March 31, 2014, include: the US Treasury ($474.1 billion, or 19.5%), Federal Reserve Bank of New York ($203.1B, 8.4%), Federal Home Loan Bank ($197.2B, 8.1%), BNP Paribas ($65.0B, 2.7%), Bank of Tokyo-Mitsubishi UFJ Ltd ($62.8B, 2.6%), Bank of Nova Scotia ($61.0B, 2.5%), JP Morgan ($54.6B, 2.1%), RBC ($50.8B, 2.1%), Credit Agricole ($50.6B, 2.1%), Federal Home Loan Mortgage Co ($49.8B, 2.1%), Sumitomo Mitsui Banking Co ($48.1B, 2.0%), Credit Suisse ($47.6B, 2.0%), Citi ($46.8B, 1.9%), Wells Fargo ($46.0, 1.9%), Bank of America ($43.5B, 1.8%), Federal National Mortgage Association ($43.5B, 1.8%), Barclays Bank ($39.8B, 1.6%), Deutsche Bank AG ($39.2B, 1.6%), Toronto-Dominion Bank ($37.3B, 1.5%), and Federal Farm Credit Bank ($37.0B, 1.5%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program by far with 38.0% of the repo market. 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 ($203.1B, 38.0%), BNP Paribas ($36.3B, 6.8%), Bank of America ($33.6B, 6.3%), Barclays ($25.9B, 4.8%), Goldman Sachs ($22.4B, 4.2%), Citi ($20.6B, 3.9%), Credit Suisse ($19.8B, 3.7%), Wells Fargo ($19.4B, 3.6%), JP Morgan ($18.2B, 3.4%), and RBC ($17.4B, 3.3%). Crane Data shows 79 money funds buying the Fed's repos, with just 4 funds -- Federated Govt Obligations, JP Morgan Prime MM, Morgan Stanley Inst Liq Govt, and Western Asset Inst Liq Reserves -- maxing out the previous $7 billion limit.
The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($43.8B, 8.1%), Sumitomo Mitsui Banking Co ($42.0B, 7.8%), Bank of Nova Scotia ($35.6B, 6.6%), Toronto-Dominion Bank ($31.1B, 5.8%), Bank of Montreal ($30.1B, 5.6%), Rabobank ($24.5B, 4.5%), Mizuho Corporate Bank Ltd ($23.3B, 4.3%), Credit Suisse ($20.0B, 3.7%), BNP Paribas ($18.5B, 3.4%), and Wells Fargo ($18.3B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($23.4B, 7.1%), Westpac Banking Co ($15.8B, 4.8%), Commonwealth Bank of Australia ($13.6B, 4.1%), RBC ($11.7B, 3.5%), FMS Wertmanagement ($11.4B, 3.4%), HSBC ($10.9B, 3.3%), Skandinaviska Enskilda Banken AB ($10.1B, 3.0%), Barclays PLC ($9.5B, 2.9%), National Australia Bank Ltd ($9.2B, 2.8%), and BNP Paribas ($9.1B, 2.8%).
The largest increases among Issuers include: the Federal Reserve Bank of New York (up $111.2B to $203.1B), the US Treasury (up $7.5B to $474.1B), Bank of Nova Scotia (up $3.8B to $61.0B), Toronto-Dominion Bank (up $2.8B to $37.3B), and Federal Home Loan Mortgage (up $2.5B to $49.8B). The largest decreases among Issuers of money market securities (including Repo) in March were shown by: Lloyd's TSB Bank PLC (down $15.9B to $10.6B), Societe Generale (down $15.6B to $29.2B), BNP Paribas (down $15.5B to $65.0B), Federal Home Loan Bank (down $14.0B to $197.2B), DnB NOR Bank ASA (down $13.0B to $15.8B), and Deutsche Bank (down $13.0B to $39.2B).
The United States remained the largest segment of country-affiliations; it now represents 54.5% of holdings, or $1.326 trillion. Canada (9.0%, $217.9B) moved into second place ahead of France (7.9%, $191.6B), and Japan (7.3%, $178.3B) remained the fourth largest country affiliated with money fund securities. The UK (3.7%, $90.3B) remained in fifth place, and Sweden (3.5%, $84.6B) remained in sixth. Australia (3.2%, $78.9B) moved up to seventh while Germany (3.1%, $74.8B) dropped to 8th. The Netherlands (3.0%, $73.4B) was ninth and Switzerland (2.5%, $61.1B) 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 March 31, 2014, Taxable money funds held 22.8% of their assets in securities maturing Overnight, and another 12.1% maturing in 2-7 days (34.8% total in 1-7 days). Another 21.6% matures in 8-30 days, while 25.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 14.0% of taxable securities, and just 3.7% 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 Friday (the Tax Exempt MF Holdings will be released late today). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module. Contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Reports Issuer Module.
