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Crane Data's latest Money Fund Portfolio Holdings dataset, with data as of December 31, 2012, were released to our Money Fund Wisdom subscribers late last week. Our latest collection shows money market securities held by Taxable U.S. money funds increased by $34.4 billion in December (after rising $58.1 billion in November and $31.0 billion in October) to $2.397 trillion. Repurchase Agreements held by money funds plummeted by $90.0 billion (-14.2%) in December to $545.0 billion, after jumping $38.5 billion in November and $81.0 billion in Oct., but repos remain the largest segment of money fund holdings at 22.7% of assets. (Note: Watch for the recently announced disclosures of daily "shadow" or "Market NAVs" to be added to Crane Data's MFI Daily starting this Friday.)

Certificates of Deposit (CDs) became the second-largest segment with a jump of $35.2 billion, or 7.9%, to $480.9 billion (20.1% of holdings), while the former second-largest sector, Treasury Debt, rose by $15.1 billion (+3.4%) to $466.4 billion (19.5% of holdings). Commercial Paper (CP) rose by $23.4 billion (up 6.7%) to $371.6 billion (15.5% of holdings), while Government Agency Debt increased by $37.5 billion to $334.6 billion (14.0% of assets). European-affiliated holdings plunged in December, falling $71.4 billion to $659.2 billion, or 27.5% of securities (after rising a combined $86.2 billion in October and November). Eurozone-affiliated holdings also declined to $418.5 billion in December; they now account for 17.5% of overall taxable money fund holdings.

Repo, the largest segment of taxable money fund composition, was made up of: Government Agency Repurchase Agreements ($276.9 billion, or 11.6% of total holdings), Treasury Repurchase Agreements ($187.5 billion, or 7.8% of assets), and Other Repurchase Agreements ($80.5 billion, or 3.4% of holdings). Commercial Paper, the fourth largest segment, was made up of the combined total of Financial Company Commercial Paper's 8.2% ($197.0 billion), Asset Backed Commercial Paper's 4.8% ($114.5 billion), and Other Commercial Paper's 2.5% ($60.1 billion). "Other" Instruments (including Time Deposits and Other Notes) are the sixth largest sector with $139.7 billion (5.8%) and VRDNs (including Other Muni Debt) were the smallest segment with $58.5 billion (2.4% of holdings) in December.

The 20 largest Issuers to taxable money market funds as of Dec. 31, 2012, include the US Treasury (19.5%, $466.4 billion), Federal Home Loan Bank (7.2%, $173.5 billion), Bank of America (3.1%, $74.5B), Federal Home Loan Mortgage Co (2.9%, $68.3B), Deutsche Bank AG (2.7%, $64.4B), Credit Suisse (2.6%, $63.1B), Bank of Nova Scotia (2.6%, $62.4B), Federal National Mortgage Association (2.6%, $61.3B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.5%, $59.3B), Barclays Bank (2.4%, $58.6B), JP Morgan (2.4%, $57.3B), RBC (2.4%, $57.2B), Sumitomo Mitsui Banking Co (2.4%, $56.7B), `BNP Paribas (2.2%, $53.1B), Citi (2.0%, $47.4B), Credit Agricole (1.8%, $42.0B), Societe Generale (1.6%, $39.3B), Toronto-Dominion Bank (1.6%, $38.2B), National Australia Bank (1.6%, $37.2B), and Bank of Montreal (1.5%, $36.6B).

The largest increases among Issuers of money market securities (including Repo) in December were shown by the Federal Home Loan Bank (up $33.5 billion to $173.5 billion), the US Treasury (up $15.3 billion to $466.4 billion), Natixis (up $13.3 billion to $24.6 billion), Bank of Nova Scotia (up $12.7 billion to $62.4 billion), and State Street (up $10.3B to $20.0B), while Deutsche Bank (down $25.5B to $64.4B), Societe Generale (down $16.4B to $39.3B), HSBC (down $8.8 billion to $26.3 billion), RBS (down $7.1B to $28.7B) and Rabobank (down $6.2B to $29.6B) all showed large declines in issuance.

The United States is still the largest segment of country-affiliations with 50.5%, or $1.211 trillion. Canada (9.4%, $225.1B) remained the second largest country, but Japan reclaimed third place (7.4%, $176.8B), moving ahead of France (7.0%, $168.2B) and the UK (5.6%, $135.3B). Australia (4.3%, $101.5B) moved to sixth, while Germany (4.3%, $103.1B) fell to the 7th largest country, as Deutsche Bank's repo issuance plunged. `Sweden (3.6%, $86.2B), Switzerland (3.5%, $82.9B), and the Netherlands (2.6%, $61.1B) rounded out the top 10.

As of Dec. 31, Taxable money funds held 24.0% of their assets in securities maturing Overnight, and another 11.8% maturing in 2-7 days (35.7% total in 1-7 days). Another 19.9% matures in 8-30 days, while 27.5% matures in the 31-90 day period. The next bucket, 91-180 days, holds 12.4% of taxable securities, and just 4.4% 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 will be updated tomorrow (our Tax Exempt MF Holdings will be updated today). Visit our Content center to download files or visit our Money Fund Portfolio Laboratory to access our "transparency" module.

J.P. Morgan Securities writes about its latest analysis of portfolio holdings, "Prime MMFs increased their non-European bank holdings in December while reducing their European bank holdings. Month-over-month, there were marginal increases to US agencies, foreign SSAs, and non-financial corporates and marginal decreases to US Treasuries, US municipals, and non-bank financial corporates. Prime MMF total bank exposures increased by $16bn in December driven by increased holdings of unsecured CP, ABCP, CDs, and time deposits. Repo holdings dropped by $71bn with agency debt/MBS repo and Treasury repo holdings falling by $58bn and $19bn, respectively, offset slightly by other repo, which increased by $6bn. Some of these reductions in repo were cushioned by a $29bn increase in time deposit holdings."

They explain, "In our view, the decreases in repo holdings in December were driven by seasonal reductions in dealer balance sheet availability. Although the $71bn month-over-month decrease is significant, it is a sign of a correction of overextended dealer balance sheets in October and November. As we noted in prior research notes, October and November repo holdings in prime MMFs were at 2-year highs as elevated repo rates spurred heavy demand. The drop in December has now brought prime MMF repo holdings to their 2-year monthly average of about $240bn and close to their 2-year quarterly average of about $225bn."

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