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CRE Finance World Autumn 2015
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Appendix: Holdings of Major U.S. Asset Types
Table 2
Holdings Of Major U.S. Asset Types
Asset
Top five holders as of 2009
Treasury securities ($7.8 trillion)*
Foreign holdings
($3.7 trillion)
Household sector
($853 billion)
Monetary authority
($777 billion)
State and local
governments
($586 billion)
MM mutual funds
($406 billion)
Agency/GSE-backed securities
($8.1 trillion)
§
Domestic banks
($1.4 trillion)
Foreign holdings
($1.2 trillion)
Monetary authority
($1.1 trillion)
GSEs
($925 billion)
Mutual funds
($603 billion)
Municipal securities ($3.7 trillion)
Household sector
($1.8 trillion)
Mutual funds
($479 billion)
MM mutual funds
($440 billion)
P&C insurance cos.
($369 billion)
Domestic banks
($224 billion)
Corporate/foreign bonds
($10.4 trillion)
Foreign holdings
($2.5 trillion)
Life insurance cos.
($1.9 trillion)
Household sector
($1.5 trillion)
Mutual funds
($1.1 trillion)
Domestic banks
($668 billion)
Private-label MBS/ABS
($3.0 trillion)
†
Foreign holdings
($485 billion)
GSEs
($288 billion)
Domestic banks
($263 billion)
Asset
Top five holders as of Q1 2015
Treasury securities
($13.1 trillion)*
Foreign holdings
($6.2 trillion)
Monetary authority
($2.5 trillion)
Mutual funds
($795 billion)
Household sector
($640 billion)
MM mutual funds
($435 billion)
Agency/GSE-backed securities
($7.9 trillion)
§
Domestic banks
($1.8 trillion)
Monetary authority
($1.8 trillion)
Foreign holdings
($902 billion)
Mutual funds
($820 billion)
State and local
governments
($439 billion)
Municipal securities ($3.7 trillion)
Household sector
($1.6 trillion)
Mutual funds
($673 billion)
Domestic banks
($465 billion)
P&C insurance cos.
($320 billion)
MM mutual funds
($274 billion)
Corporate/foreign bonds
($11.7 trillion)
Foreign holdings
($2.9 trillion)
Mutual funds
($2.4 trillion)
Life insurance cos.
($2.3 trillion)
Household sector
($876 billion)
Private pension
funds ($588 billion)
Private-label MBS/ABS
($1.3 trillion)
Life insurance cos.
($433 billion)
Foreign holdings
($390 billion)
Domestic banks
($138 billion)
P&C insurance cos.
($91 billion)
GSEs
($80 billion)
Source: Federal Reserve Z1 Release.
*Incudes savings securities. §Agency- and GSE-backed securities include: issues of federal budget agencies such as those for the TVA; issues of GSEs such as Fannie Mae and FHLB; and agency-
and GSE-backed mortgage pool securities issued by GNMA, Fannie Mae, Freddie Mac, and the Farmers Home Administration. †Insurance company holdings of private-label MBS/ABS weren’t broken
out separately until 2011, therefore we only list the three-largest holders. GSE—Government-sponsored enterprise. MM—Money market. P&C—Property and casualty. TVA—Tennessee Valley Authority.
MBS—Mortgage-backed securities. ABS—Asset-backed securities.
which suggests that the most senior class could be a potential
candidate for level 2B LCR treatment, similar to the ABS/RMBS
products included in the EU regulation.
Further Clarity and Research May Be Warranted Before
Final Implementation
Overall, the trading data and market sizes that we were able to
examine suggest that the classification systems and haircuts
are generally appropriate, but may need to be further researched
and enhanced before being fully phased in. One particular topic
that may need to be addressed is the differences in rules by
jurisdiction because these new rules will likely influence global
investment decisions and which formats of financing will continue
to be available to borrowers in various markets. The current
international proposed rules appear to favor some bond products
while disfavoring others, and thus we may see further adjustment
before final implementation to avoid unintended consequences.
The Federal Reserve’s proposal to include certain municipal bonds
as level 2A HQLA in the U.S. regulations is one example of an
adjustment currently under consideration.
Basel III’s Recent Liquidity Guidelines