Crane Data released its October Money Fund Portfolio Holdings data last week, and our latest collection of taxable money market securities, with data as of Sept. 30, 2013, shows a jump in Repos (the debut of the tri-party repo program from the New York Fed added $44.7 billion to repo totals), CDs and Agencies, increases in VRDNs, Treasuries and Treasuries, and a sharp drop in CP and "Other" holdings (which includes Time Deposits). Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $55.3 billion in September to $2.472 trillion. Portfolio assets rose by $1.1 billion in August and $68.9 billion in July, but fell $30.1 billion in June. CDs remained the largest holding among taxable money funds, followed by Repo, then Treasuries, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings (including repo) dropped to 27.5%. Below, we review our latest portfolio holdings statistics.

Among all taxable money funds, Certificates of Deposit (CD) holdings increased by $14.2 billion to $524.8 billion, or 21.2% of holdings. Repurchase agreement (repo) holdings moved into the second largest holdings spot with a jump of $41.4 billion to $489.0 billion, or 19.8% of fund assets. Even with concerns over the debt ceiling, Treasury holdings increased by $8.1 billion to $483.0 billion (19.5% of holdings) but dropped into the third place spot. Commercial Paper (CP), the fourth largest segment, plunged $22.5 billion to $391.8 billion (15.9% of holdings). Government Agency Debt increased by $14.2 billion; it now totals $362.8 billion (14.7% of assets). Other holdings, which include Time Deposits, fell by $11.7 billion to $162.8 billion (6.6% of assets). VRDNs held by taxable funds rebounded by $11.7 billion to $57.5 billion (2.3% of assets). (Crane Data's Tax Exempt fund data was released in a separate series on Friday.)

Among Prime money funds, CDs still represent about one-third of holdings, or 34.0%, followed by Commercial Paper (25.4%). The CP totals are primarily Financial Company CP (13.9% of holdings) with Asset-Backed CP making up 6.2% and Other CP (non-financial) making up 5.3%. Prime funds also hold 7.0% in Agencies, 6.3% in Treasury Debt, 2.3% in Other Instruments, 5.5% in Other Notes, and 2.6% in Other (including Time Deposits). Prime money fund holdings tracked by Crane Data total $1.544 trillion, or 62.5% of taxable money fund holdings' total of $2.472 trillion.

European-affiliated holdings decreased by $42 billion in September to $678.7 billion (among all taxable funds and including repos); their share of holdings fell to 27.5%. Eurozone-affiliated holdings fell too (down $8.8 billion) to $375.9 billion in Sept.; they now account for 15.2% of overall taxable money fund holdings. Asia & Pacific related holdings inched up by $2.2 billion to $291.8 billion (11.8% of the total), while Americas related holdings jumped by $94.9 billion to $1.500 trillion (60.7% of holdings).

The Repo totals were made up of: Government Agency Repurchase Agreements (up $2.7 billion to $223.7 billion, or 9.1% of total holdings), Treasury Repurchase Agreements (up $41.4 billion to $197.8 billion, or 8.0% of assets and Other Repurchase Agreements (down $2.8 billion to $67.4 billion, or 2.7% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $26.6 billion to $214.9 billion, or 8.7% of assets), Asset Backed Commercial Paper (up $317 million to $95.2 billion, or 3.9%), and Other Commercial Paper (up $3.8 billion to $81.6 billion, or 3.3%).

The 20 largest Issuers to taxable money market funds as of Sept. 30, 2013, include the US Treasury (19.6%, $483.4 billion), Federal Home Loan Bank (8.7%, $215.7 billion), BNP Paribas (2.6%, $65.1B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.5%, $62.7B), Bank of Nova Scotia (2.5%, $60.5B), Sumitomo Mitsui Banking Co (2.4%, $58.7B), JP Morgan (2.3%, $57.2B), Federal National Mortgage Association (2.3%, $56.5B), Federal Home Loan Mortgage Co (2.3%, $56.3B), Bank of America (2.2%, $54.9B), Credit Agricole (2.2%, $53.9B), Citi (2.1%, $53.8B), RBC (2.2%, $53.1B), Credit Suisse (1.9%, $46.3B), Barclays Bank (1.8%, $45.5B), Federal Reserve Bank of NY (1.8%, $44.7B), Deutsche Bank AG (1.8%, $43.8B), Bank of Montreal (1.5%, $37.6B), Wells Fargo (1.5%, $37.5B), and Toronto-Dominion Bank (1.5%, $37.3B).

The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Bank of America ($46.6B, 9.5%), Federal Reserve Bank of New York ($44.7B, 9.1%), BNP Paribas ($42.8B, 8.8%), Goldman Sachs ($29.8B, 6.1%), Barclays ($29.8B, 6.1%), Citi ($28.8B, 5.9%), Credit Agricole ($26.7B, 5.5%), RBC ($25.1B, 5.1%), Credit Suisse ($24.2B, 4.9%), and Deutsche Bank ($23.9B, 4.9%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($50.8B, 9.7%), Bank of Tokyo-Mitsubishi UFJ Ltd (8.6% $44.7B, 8.6%), Bank of Nova Scotia ($36.6B, 7.0%), Bank of Montreal ($33.4B, 6.4%), Toronto-Dominion Bank ($30.3B, 5.8%), Rabobank ($21.1B, 4.0%), Mizuho Corporate Bank Ltd ($196B, 3.7%), National Australia Bank Ltd ($17.4B, 3.3%), Credit Suisse ($14.8B, 2.8%), and Canadian Imperial Bank of Commerce ($13.9B, 2.7%). The 10 largest CP issuers include: JP Morgan ($25.2B, 7.7%), Commonwealth Bank of Australia ($15.4B, 4.7%), Westpac Banking Co ($14.7B, 4.5%), General Electric ($12.3B, 3.8%), FMS Wertmanagement ($12.1B, 3.7%), Toyota ($10.8B, 3.3%), RBC ($10.3B, 3.1%), NRW.Bank ($10.1B, 3.1%), HSBC ($9.4B, 2.9%), and DnB NOR Bank ASA ($9.4B, 2.9%).

The largest increases among Issuers of money market securities (including Repo) in September were shown by: Federal Reserve Bank of New York (up $44.7B to $44.7B), Federal Home Loan Bank (up $18.8B to $215.7B), Credit Agricole (up $11.6B to $53.9B), US Treasury (up $8.0B to $483.4B), BNP Paribas (up $8.0B to $65.1B), and Rabobank (up $6.1B to $26.5B). The largest decreases among Issuers included: Deutsche Bank (down $19.8B to $43.8B), Societe Generale (down $17.4B to $31.2B), Lloyds TSB Bank Plc (down $13.1B to $12.3B), Barclays (down $9.7B to $45.5B), Swedbank AB (down $7.6B to $10.1B), and DnB NOR Bank ASA (down $7.5B to $23.5B).

The United States is still by far the largest segment of country-affiliations with 51.4%, or $1.271 trillion. Canada remained in second place (9.2%, $227.7B) ahead of France (8.6%, $212.7B). Japan was again fourth (7.3%, $181.2B) and the UK (4.9%, $122.0B) remained fifth. Sweden (3.8%, $93.3B) and Australia (3.6%, $90.0B) moved into sixth and seventh place ahead of Germany (3.3%, $80.7B) among country-affiliated securities and dealers. The Netherlands (3.0%, $73.0B) and Switzerland (2.6%, $63.5B) continued to round out the top 10. (Note: Crane Data attributes Treasury and Government repo to the dealer's parent country of origin, though money funds themselves "look-through" and consider these U.S. government securities. All money market securities must be U.S. dollar-denominated.)

As of Sept. 30, 2013, Taxable money funds held 22.2% of their assets in securities maturing Overnight, and another 13.2% maturing in 2-7 days (35.5% total in 1-7 days). Another 20.9% matures in 8-30 days, while 25.0% matures in the 31-90 day period. The next bucket, 91-180 days, holds 14.4% of taxable securities, and just 4.2% matures beyond 180 days.

Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated last Wed. and Thursday, and our MFI International "offshore" Portfolio Holdings will be updated early this week (the Tax Exempt MF Holdings were released Friday). Visit our Content center to download files or visit our Portfolio Laboratory to access our "transparency" module and contact us if you'd like to see a sample of our latest Portfolio Holdings Reports or our new Weekly Money Fund Portfolio Holdings collection.

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