Crane Data's latest Money Fund Portfolio Holdings collection, with taxable money fund data as of April 30, 2012, was released to our Money Fund Wisdom subscribers late last week. Our most recent statistics show Repurchase Agreement (Repo) holdings jumped by $55.4 billion in April to $556.3 billion, a record 24.4% of holdings. Treasury Debt fell by $40.5 billion, or 1.8%, after rising $28.8 billion over the last two months. Treasuries were briefly the largest segment of taxable fund composition last month, but they now again rank No. 2 with $468.2 billion (20.5% of holdings). CDs were the third largest holding segment with $404.7 billion, or 17.7% of taxable money fund assets.

Government Agency Debt fell for the second month in a row to $310.2 billion (13.6%). CP inched higher to $355.4 billion (15.6%). CP was comprised of $182.9 billion (8.0% of all holdings) in Financial Company CP, $115.5 billion (5.1%) in Asset Backed Commercial Paper, and $56.9 billion (2.5%) in Other CP. Repo holdings were comprised of $272.9 billion in Government Agency Repurchase Agreements (12.0%), $157.8 billion in Treasury Repo (6.9%) and $125.7 billion in Other Repo (5.5%). Other securities dropped to $113.3 billion (5.0%) with Other Notes (the largest subcategory of this segment) falling to $84.5 billion (3.7%). VRDNs accounted for $76.3 billion (3.3%) of the total securities held by taxable money funds as of April 30, 2012.

Among all Taxable money funds, the U.S. Treasury remains by far the largest issuer with 22.2% of all investments ($468.2 billion). (Treasuries are the largest segment of Prime money funds too at 9.8%, or $122.8 billion of the total.) Federal Home Loan Bank again ranked second among money market issuers with $137.2 billion (6.5%) of the money held in taxable money funds tracked by Crane Data's MF Portfolio Holdings collection. Barclays Bank remained in third place with $95.2 billion (4.5%) of Taxable holdings. Deutsche Bank moved into fourth place with $87.3 billion (4.2%), while Federal Home Loan Mortgage Co. ranked fifth with $70.3 billion (3.3%) of outstandings among taxable money fund holdings.

The rest of the top 10 issuers include: Credit Suisse ($66.8B, 3.2%), Federal National Mortgage Assoc. ($64.0B, 3.0%), Bank of America ($55.6B, 2.6%), UBS ($50.4B, 2.4%), and JPMorgan ($48.2B, 2.3%). Numbers 11-20 include: Bank of Nova Scotia ($47.3B), Citi ($47.1B), RBC ($45.9B), Bank of Tokyo-Mitsubishi UFJ Ltd ($42.0B), Societe Generale ($39.9B), BNP Paribas ($39.6B), Rabobank ($39.6B), National Australia Bank Ltd ($39.4B), RBS ($39.9B), and Sumitomo Mitsui Banking Co ($37.8B).

J.P. Morgan Securities' "Short-Term Market Research Note: Update on prime money fund holdings for April 2012 comments, "Prime MMF total exposures to bank credits were about flat at April month-end versus March month-end, remaining at a balance of about $1tn. However, there were changes in the exposure mix with total Eurozone bank exposures increasing by $14bn, total non-Eurozone European bank exposures falling by $20bn, and non-European bank exposures rising by $7bn. There was also a general shift away from time deposits in favor of repo, which experienced large seasonal declines last month. Total net bank unsecured CP/CD exposures were lower by $4bn month-over-month while ABCP exposures remained flat."

JPM's Alex Roever continues, "Total Eurozone bank exposures increased by $14bn in April driven by increases in repo by $15bn. Other notes, which consist mostly of time deposits declined by $5bn. ABCP declined by $1bn and unsecured CP/CD exposures were up by $5bn. We note that French bank unsecured CP/CD exposures increased by $12bn in April, which was the largest monthly increase in French bank unsecured CP/CD exposures since April 2011. Tenors, however, remain short with 59% of the French bank unsecured CP/CD holdings with maturities under a week and 72% under a month. It continues to be the case most of this added exposures are coming from the largest fund complexes with most of this month’s increase coming from fund complexes with over $100bn in AUM."

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