Crane Data released its January Money Fund Portfolio Holdings data Friday, and our latest collection of taxable money market securities, with data as of Dec. 31, 2013, shows a jump in Agencies, Repo and Treasuries, and a huge increase in repo purchased through the Federal Reserve Bank of New York's reverse repo program. CDs were flat while CP and Other (primarily Time Deposits) holdings dropped sharply. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) increased by $55.5 billion in December to $2.507 trillion. (The asset increase occurred primarily in Government and Treasury funds; last month assets had shifted into Prime funds on the heels of the Treasury debt ceiling scare.) Portfolio assets declined by $10.7 billion in November and by $9.4 billion in October, but rose by $55.3 billion in Sept., $1.1 billion in August and $68.9 billion in July. CDs remained the largest holding among taxable money funds, followed by Treasuries, Repo, CP, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings plummeted on the Repo shift into the Fed from dealer balance sheets and is now 23.3% of holdings (down from 30.0% last month). Below, we review our latest portfolio holdings statistics.

Among all taxable money funds, Certificates of Deposit (CD) holdings were flat, decreasing $447 million to $535.3 billion, or 21.4% of holdings. Treasury holdings, the second largest segment, increased by $28.3 billion to $505.1 billion (20.2% of holdings). Repurchase agreement (repo) holdings jumped $48.5 billion to $501.9 billion, or 20.0% of fund assets. (If you exclude the NY Fed’s massive $139.2 billion in repo, though, holdings would have plunged.) Government Agency Debt jumped by $49.0 billion and into fourth place among composition segments; agencies now total $391.3 billion (15.6% of assets). Commercial Paper (CP) fell to the fifth largest segment; it declined by $30.7 billion to $381.7 billion (15.2% of holdings). Other holdings, which includes Time Deposits, plunged $35.5 billion to $148.4 billion (5.9% of assets). VRDNs held by taxable funds dropped by $3.7 billion to $43.3 billion (1.7% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series Tuesday and our “offshore” holdings will be released Wednesday.)

Among Prime money funds, CDs still represent about one-third of holdings, or 34.1% (almost the same as the 34.2% of a month ago), followed by Commercial Paper (24.31%, down from 26.3%). The CP totals are primarily Financial Company CP (14.2% of holdings) with Asset-Backed CP making up 6.2% and Other CP (non-financial) making up 4.0%. Prime funds also hold 7.8% in Agencies (up from 6.8%), 6.0% in Treasury Debt (down from 6.3%), 2.4% in Other Instruments, and 4.8% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.570 trillion (up from $1.567T), or 62.6% (down from 63.9%) of taxable money fund holdings' total of $2.507 trillion. Government fund portfolio assets totaled $453.8 billion, up strongly from $439.9 billion last month, while Treasury money fund assets totaled $483.4 billion, up sharply from the $444.3 billion in November.

European-affiliated holdings plummeted by $151.1 billion in December to $583.5 billion (among all taxable funds and including repos); their share of holdings plunged to 23.3%. Eurozone-affiliated holdings also plummeted (down $94.8 billion) to $336.7 billion in Dec.; they now account for 13.4% of overall taxable money fund holdings. Asia & Pacific related holdings grew by $1.6 billion to $314.0 billion (12.5% of the total), while Americas related holdings skyrocketed $205.9 billion to $1.609 trillion (64.2% of holdings).

The Repo totals were made up of: Government Agency Repurchase Agreements (down $14.6 billion to $192.7 billion, or 7.7% of total holdings), Treasury Repurchase Agreements (up $60.4 billion to $231.2 billion, or 9.2% of assets and Other Repurchase Agreements (up $2.8 billion to $78.0 billion, or 3.1% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (down $24.4 billion to $222.0 billion, or 8.9% of assets), Asset Backed Commercial Paper (up $1.0 billion to $97.2 billion, or 3.9%), and Other Commercial Paper (down $7.3 billion to $62.4 billion, or 2.5%).

The 20 largest Issuers to taxable money market funds as of Dec. 31, 2013, include: the US Treasury ($505.1 billion, or 20.2%), Federal Home Loan Bank ($236.1B, 9.4%), Federal Reserve Bank of New York ($139.2B, 5.6%), Bank of Tokyo-Mitsubishi UFJ Ltd ($65.7B, 2.6%), Sumitomo Mitsui Banking Co ($63.0B, 2.5%), Federal National Mortgage Association ($61.3B, 2.4%), Bank of Nova Scotia ($59.6B, 2.4%), JP Morgan ($59.0B, 2.4%), Federal Home Loan Mortgage Co ($58.3B, 2.3%), BNP Paribas ($57.3B, 2.3%), Citi ($53.3B, 2.1%), RBC ($52.6B, 2.1%), Credit Suisse ($45.1B, 1.8%), Credit Agricole ($42.5B, 1.7%), Bank of America ($42.4B, 1.7%), Wells Fargo ($42.2, 1.7%), Deutsche Bank AG ($42.0B, 1.7%), Barclays Bank ($38.8B, 1.6%), Toronto-Dominion Bank ($37.7B, 1.5%) and Natixis ($36.5B, 1.5%).

In the repo space, the Federal Reserve took over issuance of more than an entire quarter of the repo market held by money funds; its RPP program issuance (held by MMFs) jumped by a spectacular $122.9 billion to $139.2B. The 10 largest Repo issuers (dealers) (with the amount of repo outstanding and market share among the money funds we track) include: Federal Reserve Bank of New York ($139.2B, 27.7%), Bank of America ($33.7B, 6.7%), BNP Paribas ($33.6B, 6.7%), Citi ($25.4B, 5.1%), Goldman Sachs ($23.7B, 4.7%), Barclays ($23.2B, 4.6%), Credit Suisse ($19.6B, 3.9%), RBC ($19.3B, 3.8%), Morgan Stanley ($19.2B, 3.8%), and Deutsche Bank ($18.8B, 3.7%).

The 10 largest CD issuers include: Sumitomo Mitsui Banking Co ($55.9B, 10.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($42.5B, 8.0%), Bank of Nova Scotia ($33.4B, 6.3%), Toronto-Dominion Bank ($31.8B, 6.0%), Bank of Montreal ($28.7B, 5.4%), Rabobank ($24.0B, 4.5%), Mizuho Corporate Bank Ltd ($23.3B, 4.4%), Credit Suisse ($20.1B, 3.8%), Wells Fargo ($18.0B, 3.4%), and Citi ($18.0B, 3.4%).

The 10 largest CP issuers include: JP Morgan ($27.1B, 8.1%), Westpac Banking Co ($17.5B, 5.2%), Commonwealth Bank of Australia ($16.5B, 4.9%), FMS Wertmanagement ($12.3B, 3.4%), Skandinaviska Enskilda Banken AB ($12.0B, 3.6%), RBC ($11.9B, 3.5%), Toyota ($10.6B, 3.1%), Nordea Bank ($10.4B, 3.1%), Societe Generale ($10.2B, 3.0%), and HSBC ($10.0B, 3.0%).

The largest increases among Issuers of money market securities (including Repo) in December were shown by: the Federal Reserve Bank of New York (up $122.9B to $139.2B), Federal Home Loan Bank (up $31.3B to $236.1B), the US Treasury (up $28.3B to $505.1B), Federal National Mortgage Association (up $18.5B to $61.3B), and Natixis (up $9.4B to $36.5B). The largest decreases among Issuers were primarily Repo dealers (who normally see quarter-end outflows, but they were unusually large in Dec.) and include: Deutsche Bank (down $27.5B to $42.0B), Societe Generale (down $20.6B to $31.3B), BNP Paribas (down $17.7B to $57.3B), DnB NOR Bank ASA (down $15.5B to $14.5B), Barclays (down $12.7B to $38.8B), and Credit Agricole (down $11.0B to $42.5B).

The United States substantially increased its position as the largest segment of country-affiliations and now represents 64.2% of holdings, or $1.388 trillion. Canada moved into second place (8.7%, $219.2B) and Japan (7.7%, $191.8B) moved into third place, ahead of now-fourth place ` France <b:>`_ (7.3%, $182.8B). Australia (3.8%, $96.4B) jumped up to fifth place, while the UK (3.5%, $86.7B) and Sweden (3.4%, $86.2B) dropped to sixth and seventh place among affiliated issuers. The Netherlands (3.0%, $74.4B), Germany (2.9%, $73.5B), which dropped sharply on the plunge in DB repo, and Switzerland (2.4%, $58.9B) 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 Dec. 31, 2013, Taxable money funds held 22.0% of their assets in securities maturing Overnight, and another 10.8% maturing in 2-7 days (32.8% total in 1-7 days). Another 21.7% matures in 8-30 days, while 27.7% matures in the 31-90 day period. The next bucket, 91-180 days, holds 14.1% of taxable securities, and just 3.7% matures beyond 180 days.

Crane Data's Taxable MF Portfolio Holdings (and Money Fund Portfolio Laboratory) were updated Friday and over the weekend, and our MFI International "offshore" Portfolio Holdings will be updated Wednesday (the Tax Exempt MF Holdings will be released tomorrow). 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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