Crane Data's latest monthly Money Fund Portfolio Holdings reports show that the largest issuers of money market securities are now dominated by the U.S. Treasury and U.S. Government agencies, as well as by large dealers of repurchase agreements, or repo. Our December 31, 2011, dataset, which was sent to subscribers of our Money Fund Wisdom database and product suite on Friday, also shows that the retreat from unsecured French bank debt is almost totally complete, and that overall European exposure continues to decrease. Treasury holdings now account for over 20% of all taxable money fund assets ($470.6 billion), CDs rank 2nd with over 17% ($401.3 billion), and government agencies rank 3rd with $388.4 billion (16.8%).

Repurchase agreements would be the largest money fund position with 20.7%, or $476.4 billion, but the SEC's categorization breaks these holdings into three -- $223.9 billion, or 9.7%, in Government Agency Repurchase Agreements, $129.7 billion, or 5.6%, in Treasury Repurchase Agreements, and $122.7 billion, or 5.3%, in Other Repurchase Agreements. All three segments of repo showed asset declines in December, while almost every other sector showed increases. `In addition to Treasury holdings and CDs, Financial Company Commercial Paper ($190.1 billion, or 8.27%), Asset Backed Commercial Paper ($111.3 billion, or 4.8%), and Variable Rate Demand Note ($71.5 billion, or 3.1%) showed increases.

The Largest 30 Issuers to Taxable Money Market Mutual Funds, according to Crane Data's latest collection (which tracks approximately 92% of all assets), include: US Treasury ($471B, 21.8%), Federal Home Loan Bank ($172B, 8.0%), Federal Home Loan Mortgage Co ($89, 4.1%), Federal National Mortgage Association ($84B, 3.9%), Barclays Bank ($78B, 3.6%), Deutsche Bank AG ($78B, 3.6%), Credit Suisse, ($75B, 3.5%), UBS AG ($60B, 2.8%), Citi ($54B, 2.5%), Bank of America ($51B, 2.3%), RBC ($49B, 2.3%), JP Morgan ($46B, 2.1%), Bank of Nova Scotia ($46B, 2.1%), Bank of Tokyo-Mitsubishi UFJ Ltd ($40B, 1.9%), `Sumitomo Mitsui Banking Co ($40B, 1.8%), RBS ($38B, 1.8%), National Australia Bank Ltd ($37B, 1.7%), `Goldman Sachs ($36B, 1.7%), Westpac Banking Co ($36B, 1.7%), Rabobank ($35B, 1.6%), Svenska Handelsbanken ($32B, 1.5%), `Bank of Montreal ($30B, 1.4%), `Mizuho Corporate Bank Ltd ($28B, 1.3%), `Credit Agricole ($28B, 1.3%), `Commonwealth Bank of Australia ($26B, 1.2%), `Federal Farm Credit Bank ($26B, 1.2%), `Toronto-Dominion Bank ($26B, 1.2%), `BNP Paribas ($24B, 1.1%), `Nordea Bank ($24, 1.1%), HSBC ($23B, 1.1%).

As we've noted before, money market mutual funds have never has exposure to Greek-affiliated debt, and they have not owned any Ireland for years. They have not owned any Portugal, Italy or Spain in months either. Money funds continue to shrink their French bank exposure towards zero; money funds now own about $79.1 billion, or 3.4%, in France, with over 70% of this in Treasury and government-backed repo (and just $2.8 billion in unsecured CD debt). Looking through to the underlying affiliations, the largest Country exposures include: US ($1,225B, 53.1%), Canada ($182B, 7.9%), UK ($173B, 7.5%), Switzerland ($138B, 6.0%), Japan ($124, 5.4%), Australia ($116B, 5.0%), Germany ($95, 4.1%), France ($79B, 3.4%), Netherlands ($75B, 3.2%), and Sweden ($53B, 2.3%).

Taxable money funds now have 26.3% of their securities maturing overnight (as of 12/31/11) versus 29.4% maturing overnight a month ago. Another 12.2% matures in 2-7 days, so the weekly "liquid" total is 38.5% (not counting Treasuries and Agencies with maturities greater than 7 days, both of which are also included in the SEC's mandated "liquidity" buckets). Funds hold another 22.6% in securities maturing from 8 to 30 days, so 61.1% of money fund portfolios matures in a month or less. Almost 25.5% matures in the 31 to 90 day range, 8.6% matures in the 91 to 180 day range, and 4.7% matures in the 181 to 365 day range. Virtually zero (0.12%) has a maturity over 365 days. Contact Crane Data to request a copy of our new Money Fund Portfolio Holdings Reports & Pivot Tables to see these breakout by category or by fund.

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