Crane Data's latest Money Fund Portfolio Holdings collection, with taxable money fund data as of May 31, 2012, was released to our Money Fund Wisdom subscribers on Tuesday. Our most recent statistics show Repurchase Agreement (Repo) holdings increased by $8.5 billion in May to $564.8 billion, a record 25.0% of holdings. There was a pronounced shift away from Other Repo (down $35.6 billion to $90.0 billion, or 3.98% of all holdings) and a jump in Treasury Repo (up $26.6 billion to $184.4 billion, or 8.2% of holdings) and in Government Agency Repo (up $17.5 billion to $290.4 billion, or 12.8% of holdings). Treasury Debt plunged again by $38.4 billion, or 1.5%, to $429.8 billion, or 19.0% of holdings, the second largest segment after Repo. CDs remained the third largest holding segment with $406.0 billion, or 18.0% of taxable money fund assets.

Government Agency Debt rose slightly to $312.2 billion (13.8%). CP inched lower to $353.3 billion (15.6%). CP was comprised of $182.9 billion (8.1% of all holdings) in Financial Company CP, $110.8 billion (4.9%) in Asset Backed Commercial Paper, and $59.6 billion (2.6%) in Other CP. Other securities increased to $121.2 billion (5.4%) with Other Notes (the largest subcategory of this segment) falling to $81.7 billion (3.6%). VRDNs accounted for $74.5 billion (3.3%) of the total securities held by taxable money funds as of May 31, 2012.

Among all Taxable money funds, the U.S. Treasury remains by far the largest issuer with 19.0% of all investments ($429.8 billion). (Treasuries are the largest segment of Prime money funds too at 9.4%, or $117.8 billion of the total.) Federal Home Loan Bank again ranked second among money market issuers with $140.0 billion (6.2%) of the money held in taxable money funds tracked by Crane Data's MF Portfolio Holdings collection. Barclays Bank remained in third place with $96.6 billion (4.3%) of Taxable holdings. Deutsche Bank remained in fourth place with $90.2 billion (4.0%), while Federal Home Loan Mortgage Co. ranked fifth with $71.1 billion (3.1%) of outstandings among taxable money fund holdings.

The rest of the top 10 issuers include: Bank of America ($66.1B, 2.9%), Federal National Mortgage Assoc. ($63.7B, 2.8%), Credit Suisse ($63.0B, 2.8%), Bank of Nova Scotia ($50.2B, 2.2%), and Citi ($46.8B, 2.1%). Numbers 11-20 include: JPMorgan ($45.8B). Bank of Tokyo-Mitsubishi UFJ Ltd ($45.4B), RBC ($44.9B), Sumitomo Mitsui Banking Co ($42.6B), Societe Generale ($42.5B), National Australia Bank Ltd ($41.5B), Goldman Sachs ($40.5B), Rabobank ($37.6B), RBS ($36.6B), and UBS ($33.1B).

J.P. Morgan Securities' latest "Short-Term Market Research Note: Update on prime money fund holdings for May 2012 comments, "Total bank exposures remained about flat at about $1tn but prime MMFs shifted some of their bank holdings away from European banks to non-European banks as Eurozone headlines intensified in May. Concerns surrounding the Eurozone and its banks has had limited impact on prime MMF portfolios this year as exposures to Eurozone banks were trimmed significantly last year. The larger concern for prime MMFs currently is the ongoing Moody's bank ratings review, particularly those of firms with global capital market operations (GCMIs).... This concern has been most visible in the repo markets, where fund managers have reallocated away from non-traditional repo driven by the impending downgrades. Most of this money has been reallocated to Treasury and agency repo, which are less impacted by the downgrades."

JPM's Alex Roever adds, "We estimate that GCMIs borrowed $220bn from prime MMFs in repo and another $290bn from government MMFs as of May month-end. Together ($510bn), this represents about 89% of all repo held by taxable MMFs. In anticipation of GCMI downgrades, MMFs (prime and government) decreased their exposures to repo collateralized by non-government securities (-$45bn) in favor of repo collateralized by Treasury or agency repo (+$68bn), much of which are overnight in maturity. Prime MMFs accounted for about $15bn of the decline in non-government repo and $20bn of the increase in government repo."

Note that Crane Data just added an online query tool to its Money Fund Portfolio Holdings spreadsheets and reports entitled, Money Fund Portfolio Laboratory. Our new "Laboratory," available to Money Fund Wisdom subscribers under the Wisdom option on our main menu or at: http://cranedata.com/lab/, allows users to "X-ray" portfolios of money funds and examine their holdings, country exposure, maturity distributions, composition, and Issuer concentrations. (E-mail Pete to request trial access or a demo, and to see our entire suite of "transparency" and portfolio holdings products.)

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