Crane Data released its August Money Fund Portfolio Holdings Monday, and our latest collection of taxable money market securities, with data as of July 31, 2014, shows a plunge in Repos, a drop in Treasuries, and a jump in Other securities (Time Deposits), Agencies and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $6.2 billion in July to $2.364 trillion. Portfolio assets decreased by $18.0 billion in June, $3.7 billion in May, $39.1 billion in April, and $43.0 billion in March. CDs again surpassed Repo as the largest portfolio composition segment among taxable money funds, followed by CP, then Treasuries, Agencies, Other (Time Deposits), and VRDNs. Money funds' European-affiliated holdings jumped to 30.0% of holdings (up sharply from 23.5% last month), primarily due to a plunge in holdings of the NY Fed's RRP (repo) program (which replace dealer repo and TDs at quarter-ends). Below, we review our latest Money Fund Portfolio Holdings statistics.
Among all taxable money funds, Repurchase agreement (repo) holdings plummeted by $83.6 billion to $507.9 billion, or 21.5% of fund assets, after rising $76.1 billion in June and $32.9 billion in May. (Holdings of Federal Reserve Bank of New York repo fell by $158.5 billion to a record $116.0 billion.) Certificates of Deposit (CDs) rebounded in July, increasing $14.2 billion to $564.9 billion, or 23.9% of holdings. Commercial Paper (CP), which rose to become the third largest segment, increased by $12.4 billion to $375.4 billion (15.9% of holdings). Treasury holdings, dropping to the fourth largest segment, decreased by $22.0 billion to $368.5 billion (15.6% of holdings). Government Agency Debt was up $24.7 billion. Agencies now total $346.8 billion (14.7% of assets). Other holdings, which include primarily Time Deposits, rebounded sharply (up $52.8 billion) to $173.1 billion (7.3% of assets). VRDNs held by taxable funds decreased by $4.8 billion to $27.5 billion (1.2% of assets).
Among Prime money funds, CDs still represent over one-third of holdings with 37.7% (up from 37.2% a month ago), followed by Commercial Paper (25.0%, up from 24.5%). The CP totals are primarily Financial Company CP (15.3% of holdings) with Asset-Backed CP making up 5.7% and Other CP (non-financial) making up 4.1%. Prime funds also hold 6.2% in Agencies (up from 5.4%), 3.9% in Treasury Debt (down from 4.2%), 5.4% in Other Instruments, and 5.9% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.499 trillion (up from $1.481), or 63.4% of taxable money fund holdings' total of $2.364 trillion.
Government fund portfolio assets totaled $425.6 billion, down from $431.6 billion last month, while Treasury money fund assets totaled $439.7 billion, down from from $457.7 billion at the end of June. Government money fund portfolios were made up of 59.4% Agency securities, 25.2% Government Agency Repo, 3.6% Treasury debt, and 11.2% Treasury Repo. Treasury money funds were comprised of 66.9% Treasury debt and 32.0% Treasury Repo.
European-affiliated holdings increased $150.2 billion in July to $708.2 billion (among all taxable funds and including repos); their share of holdings is now 30.0%. Eurozone-affiliated holdings also jumped (down $77.5 billion) to $401.5 billion in July; they now account for 17.0% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $3.3 billion to $294.8 billion (12.5% of the total), while Americas related holdings decreased $160.1 billion to $1.360 trillion (57.5% of holdings).
The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (down $104.1 billion to $249.4 billion, or 10.6% of assets), Government Agency Repurchase Agreements (up $18.0 billion to $172.2 billion, or 7.3% of total holdings), and Other Repurchase Agreements (up $2.6 billion to $86.3 billion, or 3.7% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $15.0 billion to $229.4 billion, or 9.7% of assets), Asset Backed Commercial Paper (down $4.4 billion to $85.1 billion, or 3.6%), and Other Commercial Paper (up $1.7 billion to $60.9 billion, or 2.6%).
The 20 largest Issuers to taxable money market funds as of July 31, 2014, include: the US Treasury ($368.5 billion, or 15.6%), Federal Home Loan Bank ($217.5B, 9.2%), Federal Reserve Bank of New York ($116.0B, 4.9%), Bank of Tokyo-Mitsubishi UFJ Ltd ($61.8B, 2.6%), BNP Paribas ($59.6B, 2.5%), Credit Agricole ($55.7B, 2.4%), Bank of Nova Scotia ($55.6B, 2.4%), Wells Fargo ($55.0, 2.3%), JP Morgan ($54.1B, 2.3%), RBC ($50.6B, 2.1%), Deutsche Bank AG ($48.8B, 2.1%), Citi ($47.6B, 2.0%), Federal Home Loan Mortgage Co ($46.7B, 2.0%), Sumitomo Mitsui Banking Co ($46.1B, 2.0%), Credit Suisse ($45.9B, 1.9%), Barclays PLC ($45.6B, 1.9%), Societe Generale ($43.9B, 1.9%), Bank of America ($43.0B, 1.8%), Federal National Mortgage Association ($42.4B, 1.8%), and Toronto-Dominion ($39.4B, 1.7%).
In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program (even after its plunge) with 22.9% 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 ($116.0B, 22.9%), Deutsche Bank AG ($38.6B, 7.6%), Societe Generale ($35.9B, 7.1%), Bank of America ($33.9B, 6.7%), BNP Paribas ($31.9B, 6.3%), Barclays PLC ($31.0B, 6.1%), Credit Agricole ($24.2B, 4.8%), JP Morgan ($24.1B, 4.8%), Credit Suisse ($22.1B, 4.3%), and RBC ($20.5B, 4.0%).
Crane Data shows 51 funds (down from 82 last month) participating in the NY Fed repo program with just 2 money funds holding over $7 billion (the previous cap). The largest Fed repo holders include: Morgan Stanley Inst Liq Trs ($9.8B), Goldman Sachs FS Trs Obl Inst ($8.1B), Federated Trs Oblg ($6.0B), Western Asset Inst Lq Res ($6.0B), State Street Inst Lq Res ($5.9B), Morgan Stanley Inst Lq Gvt ($5.7B), Northern Trust Trs MMkt ($5.4B), and Dreyfus Tr&Ag Cash Mgmt Inst ($5.2B).
The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($39.6B, 7.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($38.0B, 6.8%), Bank of Nova Scotia ($35.0B, 6.2%), Toronto-Dominion Bank ($33.7B, 6.0%), Wells Fargo ($26.0B, 4.6%), Bank of Montreal ($25.9B, 4.6%), Mizuho Corporate Bank Ltd ($23.7B, 4.2%), Rabobank ($22.7B, 4.0%), Citi ($20.8B, 3.7%), and Natixis ($19.5B, 3.5%).
The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($21.7B, 6.8%), Commonwealth Bank of Australia ($16.1B, 5.0%), Westpac Banking Co ($16.1B, 5.0%), Lloyds TSB Bank PLC ($11.5B, 3.6%), RBC ($11.5B, 3.6%), BNP Paribas ($10.7B, 3.3%), Australia & New Zealand Banking Group ($10.0B, 3.1%), HSBC ($9.7B, 3.0%), FMS Wertmanagement ($9.2B, 2.9%), and Caisse des Depots et Consignations ($9.1B, 2.8%).
The largest increases among Issuers include: Deutsche Bank AG (up $21.7B to $48.8B), Federal Home Loan Bank (up $21.4B to $217.5B), DnB NOR Bank ASA (up $20.0B to $32.3B), Societe Generale (up $20.0B to $43.9B), Barclays PLC (up $15.8B to $45.6B), and Credit Agricole (up $10.7B to $55.7B). The largest decreases among Issuers of money market securities (including Repo) in July were shown by: Federal Reserve Bank of New York (down $158.5B to $116.0B), the US Treasury (down $22.0B to $368.5B), Mizuho Corporate Bank Ltd. (down $2.9B to $30.0B), ING Bank (down $1.7B to $26.4B), and Bank of Montreal (down $1.4B to $28.8B).
The United States remained the largest segment of country-affiliations; it represents 48.6% of holdings, or $1.149 trillion. France (9.7%, $229.4B) moved into second place ahead of Canada (8.8%, $208.6B). Japan (7.6%, $180.1B) remained the fourth largest country affiliated with money fund securities. The U.K. (4.7%, $111.3B) moved up to fifth place, ahead of Sweden (4.2%, $98.3B) and Australia (3.7%, $87.4B). The Germany (3.5%, $82.7B) ranked 8th while Netherlands (3.0%, $71.2B) dropped to 9th place. Switzerland (2.7%, $64.4B) 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 July 31, 2014, Taxable money funds held 24.1% of their assets in securities maturing Overnight, and another 14.4% maturing in 2-7 days (38.5% total in 1-7 days). Another 20.2% matures in 8-30 days, while 24.4% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.9% of taxable securities, and just 4.1% 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 will be updated Thursday (the Tax Exempt MF Holdings will be released Wednesday). 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.
