Crane Data released its May Money Fund Portfolio Holdings late last week, and our collection for the month ended April 30, 2013, shows Repurchase Agreements (repos) rebounding sharply to regain their spot as the largest segment of money fund holdings from Certificates of Deposit (CDs). Money market securities held by Taxable U.S. money funds overall decreased by $9.9 billion in April (after falling $34.6 billion in March) to $2.351 trillion. (Note that our Portfolio Holdings collection is a separate series from our monthly Money Fund Intelligence XLS totals and from our MFI Daily universe.) As usually happens during the first month of a new quarter, Repos jumped (by over $50 billion) while Treasuries, CDs and Other (which includes Time Deposits) securities plunged. Repo regained its spot as the largest holding among taxable money funds, followed by CDs, Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) rebounded to just above the 30% level on the jump in repo and drop in U.S. Treasuries. Below, we review our latest portfolio holdings aggregates.
Repurchase agreement (repo) holdings increased by $50.3 billion (after falling $70.9 billion last month) to $523.6 billion, or 22.3% of fund assets.. Certificates of Deposit (CD) holdings decreased by $21.0 billion to $466.2 billion, or 19.8% and Treasury holdings decreased by $32.9 billion to $443.2 billion (18.9% of holdings). Commercial Paper (CP) remained the fourth largest segment, rising by $7.0 billion to $400.7 billion (17.1% of holdings). Government Agency Debt declined by $13.3 billion (after rebounding $21.3 billion last month); it now totals $318.8 billion (13.6% of assets). Other holdings, which include Time Deposits, fell by $10.2 billion to $140.6 billion (6.0% of assets). VRDNs, which are getting some "buy" mentions from managers and strategists lately but which remain a minor segment of money fund holdings, rose by $10.1 billion to $57.4 billion (2.4% of assets).
European-affiliated holdings rebounded by $47.9 billion in April to $724.5 billion; their share of holdings rose to 30.8%. Eurozone-affiliated holdings rose to $387.0 billion in April; they now account for 16.5% of overall taxable money fund holdings. Asia & Pacific related holdings dipped to $283.3 billion (12.1% of the total), while Americas related holdings fell to $1.342 trillion (57.1% of holdings), primarily on the decline in Treasuries.
The Repo totals were made up of: Government Agency Repurchase Agreements (up $31.3 billion to $276.2 billion, or 11.8% of total holdings), Treasury Repurchase Agreements (up $15.1 billion to $176.5 billion, or 7.5% of assets), and Other Repurchase Agreements (up $3.9 billion to $71.0 billion, or 3.0% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $3.3 billion to $230.9 billion, or 9.8% of assets), Asset Backed Commercial Paper (down $4.9 billion to $101.8 billion, or 4.3%), and Other Commercial Paper (up $8.6 billion to $68.1 billion, or 2.9%).
The 20 largest Issuers to taxable money market funds as of April 30, 2013, include the US Treasury (18.9%, $443.2 billion), Federal Home Loan Bank (6.7%, $154.9 billion), Deutsche Bank AG (3.2%, $75.2B), Federal National Mortgage Association (2.9%, $67.5B), Federal Home Loan Mortgage Co (2.7%, $63.3B), Societe Generale (2.6%, $60.2B), JP Morgan (2.5%, $59.2B), Bank of America (2.5%, $58.3B), Barclays Bank (2.5%, $57.5B), Bank of Nova Scotia (2.4%, $56.9B), RBC (2.4%, $56.3B), BNP Paribas (2.4%, $56.3B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.2%, $52.8B), Sumitomo Mitsui Banking Co (2.2%, $52.4B), Credit Suisse (2.1%, $49.2B), Citi (2.0%, $47.6B), Credit Agricole (1.9%, $44.5B), Toronto-Dominion Bank (1.5%, $34.5B), Mizuho Corporate Bank Ltd (1.4%, $33.8B), and Bank of Montreal (1.4%, $33.1B).
The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Deutsche Bank ($52.9B, 10.1%), Bank of America ($51.1B, 9.8%), BNP Paribas ($40.4B, 7.7%), Barclays Bank ($40.1B, 7.7%), Societe Generale ($33.7B, 6.4%), Citi ($29.2B, 5.6%), Credit Suisse ($27.0B, 5.2%), RBS ($26.5B, 5.1%), JP Morgan ($25.8B, 4.9%), and Goldman Sachs ($25.6B, 4.9%).
The 10 largest issuers of CDs (with the amount of CDs issued to our universe and market share include: Sumitomo Mitsui Banking Co ($45.8B), Bank of Tokyo-Mitsubishi UFJ Ltd ($37.3B, 8.0%), Bank of Nova Scotia ($29.1B, 6.3%), Bank of Montreal ($28.4B, 6.1%), Toronto-Dominion Bank ($27.9B, 6.0%), National Australia Bank Ltd ($23.3B, 5.0%), Mizuho Corporate Bank Ltd ($19.2B, 4.1%), RBC ($15.7B, 3.4%), Rabobank ($15.1B, 3.2%), and Svenska Handelsbanken ($14.0B, 3.0%).
The 10 largest issuers of CP (owned by money funds) as of April 30 include: Westpac Banking Co ($21.0B, 6.0%), JP Morgan ($19.5B, 5.6%), Commonwealth Bank of Australia ($15.7B, 4.5%), FMS Wertmanagement ($14.4B, 4.1%), Societe Generale ($11.9B, 3.4%), NRW.Bank ($10.9B, 3.1%), Lloyds TSB Bank PLC ($10.5B, 3.0%), Barclays Bank ($10.0B, 2.9%), General Electric ($9.8B, 2.8%), and Australia & New Zealand Banking Group Ltd ($9.6B, 2.7%).
The largest increases among Issuers of money market securities (including Repo) in April were shown by: Societe Generale (up $26.4B to $60.2B), Deutsche Bank AG (up $17.1B to $75.2B), Lloyd's TSB Bank (up $10.9B to $18.5B), Bank of America (up $8.4B to $58.3B), and Mizuho Corporate Bank Ltd (up $6.9B to $33.8B). The largest decreases among Issuers included: US Treasury (down $32.9B to $443.2B), Australia & New Zealand Banking Group (down $9.7B to $19.8B), DnB NOR Bank ASA (down $6.4B to $26.8B), and Goldman Sachs (down $6.0B to $25.8B).
The United States is still by far the largest segment of country-affiliations with 48.1%, or $1.130 trillion. Canada (9.0%, $210.5B) remained the second largest country and France increased sharply but remained in third place (8.7%, $205.5B). Japan was again fourth (6.9%, $161.3B) and the UK (6.2%, $146.4B) remained fifth. Germany (5.1%, $120.9B) rebounded to sixth, followed by Australia (4.5%, $104.6B) among country-affiliated securities and dealers. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.) Sweden (3.7%, $85.9B), Switzerland (3.3%, $77.6B), and the Netherlands (2.4%, $56.4B) continued to round out the top 10.
As of April 30, 2013, Taxable money funds held 22.9% of their assets in securities maturing Overnight, and another 14.5% maturing in 2-7 days (37.3% total in 1-7 days). Another 19.2% matures in 8-30 days, while 24.8% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.2% of taxable securities, and just 5.4% matures beyond 180 days.
Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated late last week, and our MFI International "offshore" Portfolio Holdings will be updated tomorrow (the Tax Exempt MF Holdings will be released later today). 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.
