Crane Data releases April Money Market Fund numbers — repo takes it on the chin

On May 9^th Crane Data released their May Money Fund Portfolio Holdings report. There were some interesting numbers.

The data, which is as of April 30^th, showed a shift out of repo (and in particular NY Fed repo) and into Time Deposits and CDs.

Certificates of Deposit increased in April by $17.4 billion to $560.5 billion (23.4% of holdings). This was on the back of a substantial fall in repo with the Fed after quarter-end. NY Fed repo showed a $57 billion drop from March-end to April 30^th.  Repo overall came in at $482.5 billion or 20.2% of assets (a drop of $51.5 billion). The results show the extent of statement date balance sheet management – having the Fed as counterparty looks pretty good to investors, even if only for a day.

The report highlighted that “…European-affiliated holdings rebounded after quarter-​end on a shift from Fed repo back into TDs and CDs; European holdings are now 29.​2% of holdings (up from 25% last month)…” This is for taxable funds and includes repo.

We have seen where funds have in the past actively managed European exposure, reacting to political and economic pressures. It can be a bit of a yo-yo. Readers might take a look at a SFM post from January 2013 “Fitch reports on MMFs holdings; we look behind the data” where we noted that from June, 2012 (the height of the Euro scare) to January 2013 money market fund exposure to European banks was up by more that 70%. We wonder how will new foreign bank capital rules flow down to European bank liability supply? Will they be needing as much cash?

The 20 largest Issuers to taxable money market funds as of April 30, 2014, are:

1. US Treasury ($​424.​3 billion, or 19.​5%)
2. Federal Home Loan Bank ($​184.​7B, 8.​5%)
3. Federal Reserve Bank of New York ($​146.​1B, 6.​7%)
4. BNP Paribas ($​65.​4B, 3.​0%)
5. Bank of Nova Scotia ($​58.​5B, 2.​7%)
6. Credit Agricole ($​55.​5B, 2.​6%)
7. JP Morgan ($​54.​8B, 2.​5%)
8. Bank of Tokyo-​Mitsubishi UFJ Ltd ($​54.​2B, 2.​5%)
9. RBC ($​49.​8B, 2.​3%)
10. Sumitomo Mitsui Banking Co ($​47.​0B, 2.​2%)
11. Credit Suisse ($​46.​9B, 2.​2%)
12. Deutsche Bank AG ($​46.​4B, 2.​1%)
13. Citi ($​45.​8B, 2.​1%)
14. Wells Fargo ($​45.​1, 2.​1%)
15. Federal Home Loan Mortgage Co ($​44.​4B, 2.​0%)
16. Federal National Mortgage Association ($​43.​7B, 2.​0%)
17. Bank of America ($​42.​3B, 1.​9%)
18. Barclays Bank ($​41.​9B, 1.​9%)
19. Federal Farm Credit Bank($​38.​2B, 1.​8%)
20. Societe Generale ($​35.​7B, 1.​6%)

Looking at just repo alone, the numbers are:

1. Federal Reserve Bank of New York ($​146.​1B, 30.​3%)
2. BNP Paribas ($​37.​9B, 7.​8%)
3. Bank of America ($​32.​2B, 6.​7%)
4. Deutsche Bank AG ($​25.​4B, 5.​3%)
5. Barclays ($​25.​4B, 5.​3%)
6. Credit Agricole ($​19.​8B, 4.​1%)
7. Citi ($​19.​5B, 4.​0%)
8. Wells Fargo ($​19.​4B, 4.​0%)
9. Credit Suisse ($​18.​6B, 3.​9%)
10. RBC ($​18.​4B, 3.​8%)

These numbers give a good sense of the importance of the Federal Reserve reverse repo program, perhaps hinting something about how it might be crowding out other repo business.

“…Crane Data shows 58 money funds buying the Fed’​s repos, with just 4 funds — Morgan Stanley Inst Lq Gvt, Northern Trust Trs MMkt, JP Morgan US Govt and State Street Inst Lq Res — investing over the previous $​7 billion limit (​but well under the new $​10 billion limit)…”

Also interesting was the data on maturity:

“…As of April 30, 2014, Taxable money funds held 23.​8% of their assets in securities maturing Overnight, and another 12.​9% maturing in 2-​7 days (​36.​6% total in 1-​7 days). Another 21.​5% matures in 8-​30 days, while 23.​8% matures in the 31-​90 day period. The next bucket, 91-​180 days, holds 14.​4% of taxable securities, and just 3.​6% matures beyond 180 days…”