Crane Data released its January Money Fund Portfolio Holdings yesterday, and our latest collection of taxable money market securities, with data as of Dec. 31, 2014, shows a jump in Repo, Treasuries, and Agencies, and drops in Other (Time Deposits), Commercial Paper, and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $68.3 billion in December to $2.519 trillion, after rising $11.5 billion in November, $4.7 billion in October, $42.4 billion in September, and $28.2 billion in August. With a huge increase in Fed repo at year-end, Repo became the largest portfolio segment among taxable money market funds, once again moving ahead of CDs. Treasuries ranked as the third largest segment, followed by Agencies, which moved ahead of CP. These were followed by Other (Time Deposits), then VRDNs. Money funds' European-affiliated holdings fell precipitously to 20.0%, from 28.1% the previous month, while the Americas increased its market share to 67.9%. Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings increased by a whopping $140.3 billion (26.9%) to $662.4 billion, or 26.3% of assets, after increasing $10.8 billion in November, decreasing $85.3 billion in October, and increasing $84.4 billion in September. Certificates of Deposit (CDs) were down $34.8 billion (6.2%) in December to $528.4 billion, or 21.0%, after increasing $11.3 billion in November, increasing $5.6 billion in October, and dropping $20.1 billion in September. Treasury holdings, the third largest segment, increased by $56.0 billion (14.5%) to $441.9 billion (17.5% of holdings), after decreasing $3.0 billion in November. Government Agency Debt moved up to the fourth largest segment, jumping $19.9 billion (5.7%) to $367.2 billion, or 14.6% of assets, while Commercial Paper (CP) fell to fifth, decreasing $26.2 billion (6.9%) to $353.9 billion, or 14.0% of assets. Other holdings, which include primarily Time Deposits, decreased sharply, down $86.1 billion to $140.9 billion (5.6% of assets). VRDNs held by taxable funds decreased by $0.8 billion to $24.5 billion (1.0% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 34.7% (down from 36.9% a month ago), followed by Commercial Paper (23.2%). The CP totals are primarily Financial Company CP (13.5% of holdings) with Asset-Backed CP making up 5.9% and Other CP (non-financial) making up 3.8%. Prime funds also hold 5.6% in Agencies (same as last month), 4.8% in Treasury Debt (up from 3.6%), 3.8% in Other Instruments, and 5.2% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.523 trillion (down from $1.526 trillion last month), or 60.5% of taxable money fund holdings' total of $2.519 trillion.
Government fund portfolio assets totaled $482 billion in December, up from $461 billion in November, while Treasury money fund assets totaled $514 billion, up from $466 billion at the end of November. Government money fund portfolios were made up of 57.7% Agency Debt, 15.7% Government Agency Repo, 3.2% Treasury debt, and 22.8% in Treasury Repo. Treasury money funds were comprised of 68.9% Treasury debt, 30.2% Treasury Repo, and 1.0% in Government agency, repo and investment company shares.
European-affiliated holdings plunged a massive $184.1 billion in December to $504.4 billion (among all taxable funds and including repos); their share of holdings fell to 20.9% from 28.1% the previous month. Eurozone-affiliated holdings also fell sharply, down $82.8 billion to $276.8 billion in December; they now account for 11.0% of overall taxable money fund holdings. Asia & Pacific related holdings decreased by $5.8 billion to $302.8 billion (12.0% of the total). Americas related holdings skyrocketed $258.3 billion to $1.711 trillion, thanks to a year-end spike in Fed Repo, and now represent 67.9% of holdings.
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $176.7 billion to $441.1 billion, or 17.5% of assets), Government Agency Repurchase Agreements (down $21.7 billion to $131.3 billion, or 5.2% of total holdings), and Other Repurchase Agreements (remained flat at $90.0 billion, or 3.6% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $21 billion to $205.1 billion, or 8.1% of assets), Asset Backed Commercial Paper (up $3.2 billion to $90.5 billion, or 3.6%), and Other Commercial Paper (down $8.3 billion to $58.3 billion, or 2.3%).
The 20 largest Issuers to taxable money market funds as of Dec. 31, 2014, include: the US Treasury ($442.7 billion, or 17.6%), Federal Reserve Bank of New York ($352.6B, 14.0%), Federal Home Loan Bank ($215.7B, 8.6%), JP Morgan ($62.9B, 2.5%), Federal Home Loan Mortgage Co ($60.8B, 2.4%), Wells Fargo ($58.0, 2.3%), Bank of Tokyo-Mitsubishi UFJ Ltd ($55.8B, 2.2%), BNP Paribas ($55.4B, 2.2%), RBC ($54.8B, 2.2%), Bank of Nova Scotia ($51.7B, 2.1%), Bank of America ($47.0B, 1.9%), Federal National Mortgage Association ($46.6B, 1.8%), Toronto-Dominion ($46.2B, 1.8%), Sumitomo Mitsui Banking Co ($44.3B, 1.8%), Federal Farm Credit Bank ($41.0B, 1.6%), Citi ($40.8B, 1.6%), Bank of Montreal ($38.8B, 1.5%), Credit Agricole ($38.4B, 1.5%), Credit Suisse ($38.0B, 1.5%), and Mizuho Corporate Bank Ltd ($35.2B, 1.4%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program with $352.6B, or 53.2% of the repo market, up from 27.6% one month ago. Of the $352.6B, $201.1B was in the Fed’s temporary Term Repo, while $151.4B was in Overnight Repo. 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 ($352.6B, 53.2%), Bank of America ($38.6B, 5.8%), BNP Paribas ($28.3B, 4.3%), JP Morgan ($27.0B, 4.1%), Wells Fargo ($23.9B, 3.6%), Citi ($18.9B, 2.9%), Credit Suisse ($18.7B, 2.8%), RBC ($18.1B, 2.7%), Credit Agricole ($16.7B, 2.5%), and Bank of Nova Scotia ($16.2B, 2.4%).
The 10 largest issuers of CDs, CP and Other securities (including Time Deposits and Notes) combined include: Bank of Tokyo-Mitsubishi UFJ Ltd ($49.7B, 5.5%), Sumitomo Mitsui Banking Co ($44.3B, 4.9%), Toronto-Dominion Bank ($40.7B, 4.5%), RBC ($36.7B, 4.0%), Bank of Nova Scotia ($35.5B, 3.9%), JP Morgan ($35.4B, 3.9%), Wells Fargo ($34.1B, 3.7%), Bank of Montreal ($31.7B, 3.5%), Mizuho Corporate Bank Ltd ($31.6B, 3.5%), and Svenska Handelsbanken ($30.7B, 3.4%).
The 10 largest CD issuers include: Toronto-Dominion Bank ($40.1B, 7.7%), Bank of Tokyo-Mitsubishi UFJ Ltd ($37.2B, 7.1%), Sumitomo Mitsui Banking Co ($37.2B, 7.1%), Bank of Montreal ($29.9B, 5.7%), Bank of Nova Scotia ($29.5B, 5.6%), Mizuho Corporate Bank Ltd ($29.1B, 5.6%), Wells Fargo ($25.3B, 4.8%), Rabobank ($24.4B, 4.7%), RBC ($18.4B, 3.5%), and Sumitomo Mitsui Trust Bank ($17.8B, 3.4%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($24.3B, 8.0%), Commonwealth Bank of Australia ($17.6B, 5.8%), Westpac Banking Co ($16.8B, 5.6%), RBC ($14.1B, 4.7%), BNP Paribas ($10.6B, 3.5%), Australia & New Zealand Banking Group ($10.4B, 3.4%), Toyota ($9.3B, 3.1%), DnB NOR Bank ASA ($9.1B, 3.0%), Bank of Tokyo-Mitsubishi UFJ Ltd ($8.2B, 2.7%), and FMS Wertmanagement ($7.7B, 2.6%).
The largest increases among Issuers include: Federal Reserve Bank of NY (up $208.4B to $352.6B), US Treasury (up $56.5B to $442.7B), Federal Home Loan Mortgage Co. (up $8.7B to $60.8B), Federal Home Loan Bank (up $8.3B to $215.7B), JP Morgan (up $4.9B to $62.9B), Toronto-Dominion Bank (up $3.4B to $46.2B), Sumitomo Mitsui Trust Bank (up $2.2B to $19.5B), Standard Chartered Bank (up $2.2B to $19.6B), Federal Farm Credit Bank (up $2.1B to $41.0B), and Svenska Handelsbanken (up $1.3B to $30.7B).
The largest decreases among Issuers of money market securities (including Repo) in December were shown by: Credit Agricole (down $21.8B to $38.4B), DnB Norbank ASA (down $19.2B to $15.5B), Barclays PLC (down $18.8B to $25.4B), Swedbank AB (down $17.1B to $12.5B), Skandinaviska Enskilda Banken AB (down $14.9B to $15.1B), Societe Generale (down $12.7B to $21.3BBNP Baribas (down $8.3B to $55.4B), Natixis (down $6.8B to $34.2B), ING Bank (down $3.7B to $22.2B), and Bank of America (down $3.6B to $47.0B).
The United States remained the largest segment of country-affiliations; it represents 58.7% of holdings, or $1.478 trillion (up $260B). Canada (9.1%, $229.7B) remained in second, while Japan (7.2%, $181.8B) jumped into third, moving ahead of France (6.6%, $165.8B). Australia (3.5%, $88.5B) moved into fifth, followed by the U.K. (3.3%, $83.2B) in sixth place. Sweden (3.1%, $78.7B) was in seventh place, followed by the The Netherlands (2.5%, $63.0B), and Switzerland (2.0%, $49.7B). Germany (1.6%, $40.0B) held 10th place 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 Dec. 31, 2014, Taxable money funds held 20.8% of their assets in securities maturing Overnight, and another 18.1% maturing in 2-7 days (38.9% total in 1-7 days). Another 20.3% matures in 8-30 days, 15.3% matures in 31-60 days, and 10.2% matures in the 61-90 day period. (Note that almost ¾, or 74.5% of securities, mature in 60 days or less, the dividing line for use of amortized cost accounting under the new pending SEC regulations.) The next bucket, 91-180 days, holds 11.1% of taxable securities, and just 4.2% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Monday, and our MFI International "offshore" Portfolio Holdings and Tax Exempt MF Holdings will be released later this week. 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.
