Crane Data's latest Money Fund Portfolio Holdings dataset, with data as of October 31, 2012, were released to Money Fund Wisdom subscribers Friday. Our latest collection shows money market securities held by Taxable U.S. money funds increased by $31.0 billion in October to $2.304 trillion. Following last month's quarter-end plunge (-$67.9 billion), Repurchase Agreements held by money funds soared $81.0 billion to $595.5 billion, a record-high 25.9% of assets (up 3.2% in overall share). Also, reversing their quarter-end increases, Government Agency Debt fell by $20.4 billion to $305.0 billion (13.2% of assets, down 1.1% of share) and Certificates of Deposit (CDs) fell by $21.7 billion to $413.6 billion (18.0% of assets, down from 19.2%). European-affiliated holdings (includes repo) jumped in October, rising $56.4 billion to $700.8 billion, or 30.4% of securities, and Eurozone-affiliated holdings also jumped by $53.9 billion in October and now account for 15.1% of overall taxable money fund holdings ($347.6 billion). The largest increases among Issuers of money market securities (including Repo) were shown by Societe Generale (up $24.3 billion to $55.6 billion), Deutsche Bank (up $19.0B to $80.0B), and BNP Paribas (up $14.3B to $47.8B), while Federal Home Loan (down $14.6B to $142.8B), Barclays Bank (down $14.6B to $69.8B) and Bank of Montreal (down $11.1B to $23.2B) all showed sharp declines in issuance.

Repo widened its lead as the largest segment of taxable money fund holdings in October 2012; total repo was comprised of 13.9% (of total holdings) Government Agency Repurchase Agreements ($321.1 billion), 8.4% Treasury Repurchase Agreements ($193.7 billion), and 3.6% of Other Repurchase Agreements ($81.7 billion). Treasury Debt remains the second largest holding though it fell by $3.8 billion (0.4%) to $459.5 billion (19.9% of taxable assets). Certificates of Deposit (CDs) remain the third largest segment; they fell by $21.7 billion (-1.2%) to $413.6 billion (18.0% of taxable holdings). Commercial Paper still ranks fourth, with the combined total of Financial Company Commercial Paper's 8.1% ($185.9 billion), Asset Backed Commercial Paper's 4.6% ($105.6 billion), and Other Commercial Paper's 2.2% ($51.5 billion). Government Agencies are the fifth-largest portfolio composition segment at 13.2% ($305.0B), "Other" Instruments (including Time Deposits and Other Notes) are the sixth largest sector with $126.6 billion (5.5%) and VRDNs (including Other Muni Debt) were the smallest segment with $59.8 billion (2.6% of holdings) in October.

The 20 largest Issuers to taxable money market funds as of Oct. 31, 2012, include the US Treasury (20.0%, $459.7 billion), Federal Home Loan Bank (6.2%, $142.8 billion), Deutsche Bank AG (3.5%, $80.0B), Barclays Bank (3.0%, $69.8B), Credit Suisse (2.9%, $67.7B), Bank of America (2.9%, $66.7B), Federal Home Loan Mortgage Co (2.9%, $65.6B), Federal National Mortgage Association (2.8%, $65.1B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.5%, $56.6B), Societe Generale (2.4%, $55.6B), Sumitomo Mitsui Banking Co (2.3%, $53.4B), `RBC (2.2%, $51.6B), Bank of Nova Scotia (2.1%, $49.2B), BNP Paribas (2.1%, $47.8B), JP Morgan (2.1%, $47.2B), RBS (1.9%, $43.8B), Citi (1.8%, $40.5B), Goldman Sachs (1.7%, $39.3B), Mizuho Corporate Bank Ltd (1.5%, $35.2B), and Rabobank (1.5%, $34.8B).

Looking only at Repurchase Agreements, the 20 largest dealers as of 10/31 include: Bank of America ($63.0B), Deutsche Bank AG ($60.8B), Barclays Bank ($47.4B), Credit Suisse ($47.0B), BNP Paribas ($40.9B), RBS ($39.7B), Goldman Sachs ($39.1B), Societe Generale ($29.8B), Citi ($25.8B), JP Morgan ($23.5B), RBC ($20.2B), Credit Agricole ($19.3B), Morgan Stanley ($17.7B), HSBC ($17.5B), Wells Fargo ($16.1B), UBS AG ($15.1B), ABN Amro Bank ($13.8B), Bank of Nova Scotia ($13.4B), Mizuho Corporate Bank Ltd ($11.1B), and ING Bank ($10.6B).

The United States is still the largest segment of country-affiliations with 50.0%, or $1.152 trillion. Canada (8.0%, $184.6B), Japan (7.2%, $165.1B), the UK (7.0%, $162.1B), and France (6.6%, $151.4B) remain ranked second through fifth among the largest countries affiliated with U.S. money fund securities. Germany (5.2%, $118.6B) jumped ahead of Switzerland (4.3%, $98.6B), as Deutsche Bank's repo rebounded. `Australia (4.0%, $92.4B), Netherlands (3.2%, $74.7B) and Sweden (3.1%, $72.4B) remained ranked eighth through 10th.

As of Oct. 31, Taxable money funds hold 27.2% of their assets in securities maturing Overnight, and another 12.7% maturing in 2-7 days (39.9% total in 1-7 days). Another 18.8% matures in 8-30 days, while 20.9% matures in the 31-90 day period. The next bucket, 91-180 days, holds 15.6% of taxable securities, and just 4.9% matures beyond 180 days. Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday, while our MFI International "offshore" Portfolio Holdings and our Tax Exempt MF Holdings will be updated this Wednesday. (Visit our Content center to download files or visit our Money Fund Portfolio Laboratory to access our "transparency" module.)

As we mentioned last month, Crane Data is pleased to announce the availability of a new Weekly Money Fund Portfolio Holdings module, a data set of institutional money market funds that provide daily, weekly or twice-monthly portfolio holdings reports to investors. Let us know if you'd like to see this new collection, or if you'd like to see our latest monthly "Reports & Pivot Tables" Holdings file which the above information is based upon. Finally, for any financial advisors attending Charles Schwab's IMPACT Conference in Chicago this week, our Peter Crane will be speaking with Schwab's Rick Holland on "What's in Your Wallet? Understanding Money Funds."

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