Crane Data's latest Money Fund Portfolio Holdings, which were released to Money Fund Wisdom subscribers last Thursday, show that money market securities held by Taxable U.S. money funds fell slightly by $17.3 billion in August to $2.266 trillion. A big increase ($14.5 billion) was again seen in `Treasury Repo holdings and a jump ($13.5 billion) was also seen in CDs, while big declines were seen in Government Agency Debt (down $18.3 billion) and Other Instruments (Time Deposits) (down $8.3 billion). European-affiliated holdings declined slightly in August, falling from 29.1% to 28.9% of securities, after rebounding in July. (Crane Data counts repo, ABCP and anything related to a European parent as "Europe".) Eurozone-affiliated holdings accounted for 12.7% of overall taxable money fund holdings in August (down from 12.9% last month).
Repo continued to grow in August; it remains the largest segment of money fund holdings at 25.7%, or $583.4 billion. This is comprised of 13.4% Government Agency Repurchase Agreements ($303.6 billion), 9.2% Treasury Repurchase Agreements ($208.3 billion), and 3.2% of Other Repurchase Agreements ($71.5 billion). Treasury Debt stayed the second largest holding segment at 20.1% ($454.5 billion), followed by Certificates of Deposit (CDs) at 18.4% of holdings ($416.9 billion) and CP at 15.2% ($343.5 billion). Commercial Paper is the combined total of Financial Company Commercial Paper's 7.9% ($179.7 billion), Asset Backed Commercial Paper's 4.7% ($106.6 billion), and Other Commercial Paper's 2.5% ($57.2 billion). Government Agency Debt continued to shrink to $300.0 billion in taxable MMF portfolios, or 13.2%, Other securities (Other Instruments, Other Time Deposits and Other Debt) dropped sharply to $106.4 billion, or 4.7%, while VRDNs (including Other Muni Debt) totalled $61.4 billion (2.7%) in August.
The 20 largest Issuers to taxable money market funds as of August 31, 2012, include US Treasury (20.1%, $454.5 billion), Federal Home Loan Bank (6.2%, $140.3 billion), Barclays Bank (4.1%, $92.7B), Deutsche Bank AG (3.6%, $80.8B), Federal National Mortgage Association (2.9%, $66.1B), Credit Suisse (2.9%, $65.3B), Bank of America (2.9%, $64.9B), Federal Home Loan Mortgage Co (2.8%, $64.2B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.6%, $58.4B), JP Morgan (2.4%, $54.6B), Sumitomo Mitsui Banking Co (2.3%, $52.7B), `RBC (2.3%, $52.3B), Bank of Nova Scotia (2.3%, $51.0B), Citi (1.9%, $43.8B), Societe Generale (1.8%, $41.4B), BNP Paribas (1.8%, $40.4B), National Australia Bank Ltd (1.7%, $38.0B), Goldman Sachs (1.6%, $35.3B), Mizuho Corporate Bank Ltd (1.5%, $34.0B), and Credit Agricole (1.3%, $29.2B).
The United States remains the largest segment of country-affiliations with 50.3%, or $1.139 trillion, but Canada and Japan continue to grow. Canada (8.4%, $190.5B), the UK (7.4%, $168.4B), Japan (7.5%, $169.0B), and France (5.5%, $124.4B) rank second through fifth among the largest country affiliations. Germany (5.0%, $112.4B), Australia (4.4%, $100.5B), Switzerland (4.2%, $94.5B), Sweden (2.9%, $65.8B), and the Netherlands (2.9%, $65.6B) ranked sixth through 10th. Canada (up $15.7B), Japan (up $11.3B), and Germany (up $9.0 billion) showed the largest gains in August, while Sweden and Switzerland both declined by over $8.0 billion. (The U.S. dropped by $30.3 billion, primarily due to the continued contraction in Government agencies and switch toward repo.)
Taxable money funds now hold 39.0% of their assets in securities maturing in 1-7 days. Another 17.9% matures in 8-30 days, while 26.9% matures in the 31-90 day period. The next bucket, 91-180 days, holds 11.4% of taxable securities, and 4.8% matures beyond 180 days. Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated last week, while our MFI International "offshore" Portfolio Holdings and our Tax Exempt MF Holdings were updated yesterday. Finally, note that we have begun "beta" testing domestic and offshore Weekly Money Fund Portfolio Holdings; we (along with some of our "portal" clients) expect to announce their launch at next month's AFP Conference in Miami. (Contact us for more details or to get on our trial list.)
