Crane Data released its June Money Fund Portfolio Holdings Wednesday, and our latest collection of taxable money market securities, with data as of May 31, 2014, shows a big jump in Repo and Commercial Paper, and a big drop in Treasuries and CDs. Money market securities held by Taxable U.S. money funds overall (those tracked by Crane Data) decreased by $5.5 billion in May to $2.386 trillion. Portfolio assets decreased by $39 billion in April, $43.0 billion in March, and $32.7 billion in February. CDs remained the largest holding among taxable money funds, followed by Repo, then by CP, Treasuries, Agencies, Other, and VRDNs. Money funds' European-affiliated holdings are now 30.8% of holdings (up from 29.2% last month). Below, we review the latest Money Fund Portfolio Holdings statistics.

Among all taxable money funds, Certificates of Deposit (CD) dropped in May, decreasing $11.0 billion to $549.5 billion, or 23.0% of holdings. Repurchase agreement (repo) holdings jumped by $33.3 billion to $515.8 billion, or 21.6% of fund assets, after plunging $51.5 billion in April. Commercial Paper (CP), now the third largest segment, increased by $19.7 billion to $409.0 billion (17.1% of holdings). Treasury holdings, the fourth largest segment, slid by $37.8 billion to $386.4 billion (16.2% of holdings).

Government Agency Debt was essentially flat, increasing by $621 million. Agencies now total $314.2 billion (13.2% of assets). Other holdings, which include Time Deposits, dropped slightly (down $5.8 billion) to $176.0 billion (7.4% of assets). VRDNs held by taxable funds decreased by $4.5 billion to $35.6 billion (1.5% of assets). (Crane Data's Tax Exempt fund data will be released in a separate series late Thursday and our "offshore" holdings will be released Friday.)

Among Prime money funds, CDs still represent over one-third of holdings with 36.5% (down from 37.2% a month ago), followed by Commercial Paper (27.2%, up from 25.8%). The CP totals are primarily Financial Company CP (17.2% of holdings) with Asset-Backed CP making up 5.8% and Other CP (non-financial) making up 4.2%. Prime funds also hold 4.9% in Agencies (up from 4.8%), 4.0% in Treasury Debt (down from 5.0%), 2.2% in Other Instruments, and 5.7% in Other Notes. Prime money fund holdings tracked by Crane Data total $1.505 trillion (down from $1.507), or 63.1% of taxable money fund holdings' total of $2.386 trillion.

Government fund portfolio assets totaled $436.8 billion, up from $433.2 billion last month, while Treasury money fund assets totaled $444.5 billion, down slightly from $451.6 billion at the end of April. Government money fund portfolios were made up of 54.7% Agency securities, 24.0% Government Agency Repo, 5.1% Treasury debt, and 15.7% Treasury Repo. Treasury money funds were comprised of 68.5% Treasury debt and 30.5% Treasury Repo.

European-affiliated holdings increased again, up $34.7 billion in May to $733.8 billion (among all taxable funds and including repos); their share of holdings is now 30.8%. Eurozone-affiliated holdings also jumped (up $27.0 billion) to $417.3 billion in May; they now account for 17.5% of overall taxable money fund holdings. Asia & Pacific related holdings rose by $3.9 billion to $284.0 billion (11.9% of the total), while Americas related holdings fell $45.0 billion to $1.367 trillion (57.3% of holdings).

The overall taxable fund Repo totals were made up of: Treasury Repurchase Agreements (up $12.8 billion to $260.8 billion, or 10.9% of assets), Government Agency Repurchase Agreements (up $20.7 billion to $171.1 billion, or 7.2% of total holdings), and Other Repurchase Agreements (down $158 million to $83.9 billion, or 3.5% of holdings). The Commercial Paper totals were comprised of Financial Company Commercial Paper (up $22.3 billion to $259.3 billion, or 10.9% of assets), Asset Backed Commercial Paper (down $4.5 billion to $87.0 billion, or 3.6%), and Other Commercial Paper (up $1.8 billion to $62.8 billion, or 2.6%).

The 20 largest Issuers to taxable money market funds as of May 31, 2014, include: the US Treasury ($386.4 billion, or 16.2%), Federal Home Loan Bank ($185.5B, 7.8%), Federal Reserve Bank of New York ($126.3B, 5.3%), BNP Paribas ($72.2B, 3.0%), Bank of Nova Scotia ($59.1B, 2.5%), Credit Agricole ($58.8B, 2.5%), Bank of Tokyo-Mitsubishi UFJ Ltd ($57.1B, 2.4%), Deutsche Bank AG ($52.2B, 2.2%), Barclays Bank ($52.0B, 2.2%), JP Morgan ($52.0B, 2.2%), RBC ($50.8B, 2.1%), Wells Fargo ($50.5, 2.1%), Citi ($48.8B, 2.1%), Bank of America ($45.7B, 1.9%), Sumitomo Mitsui Banking Co ($474.8B, 1.9%), Federal National Mortgage Association ($44.7B, 1.9%), Federal Home Loan Mortgage Co ($44.5B, 1.9%), Credit Suisse ($42.5B, 1.8%), Societe Generale ($40.1B, 1.7%), and Natixis ($38.2B, 1.6%).

In the repo space, Federal Reserve Bank of New York's RPP program issuance (held by MMFs) remained the largest program by far with 24.5% of the repo market. 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 ($126.3B, 24.5%), BNP Paribas ($46.0B, 8.9%), Deutsche Bank AG ($35.9B, 7.0%), Bank of America ($34.9B, 6.8%), Barclays ($33.1B, 6.4%), Societe Generale ($24.9B, 4.8%), Credit Agricole ($23.0B, 4.5%), Citi ($20.1B, 3.9%), Wells Fargo ($20.1B, 3.9%), and RBC ($19.2B, 3.7%). Crane Data shows 59 money funds buying the Fed's repo, with 10 funds investing $5 billion or more.

The 10 largest CD issuers include: Bank of Tokyo-Mitsubishi UFJ Ltd ($38.1B, 7.0%), Sumitomo Mitsui Banking Co ($37.2B, 6.8%), Bank of Nova Scotia ($34.7B, 6.4%), Toronto-Dominion Bank ($28.8B, 5.3%), Bank of Montreal ($24.1B, 4.4%), Rabobank ($23.4B, 4.3%), Mizuho Corporate Bank Ltd ($22.3B, 4.1%), Wells Fargo ($21.8B, 4.0%), Citi ($20.4B, 3.7%), and Natixis ($18.7B, 3.4%).

The 10 largest CP issuers (we include affiliated ABCP programs) include: JP Morgan ($22.3B, 6.4%), Westpac Banking Co ($16.5B, 4.8%), Commonwealth Bank of Australia ($14.4B, 4.1%), RBC ($12.3B, 3.6%), Barclays PLC ($11.6B, 3.4%), Lloyds TSB Bank PLC ($11.1B, 3.2%), Nordea ($10.6B, 3.1%), Skandinaviska Enskilda Banken AB ($10.6B, 3.1%), HSBC ($9.9B, 2.9%), and DnB NOR Bank ASA ($9.8B, 2.8%).

The largest increases among Issuers include: Barclays PLC (up $10.1B to $52.0B), BNP Paribas (up $6.8B to $72.2B), HSBC (up $6.5B to $29.3B), Wells Fargo (up $5.4B to $50.5B), Deutsche Bank AG (up $5.8B to $52.2B), and Societe Generale (up $4.4B to $40.2B). The largest decreases among Issuers of money market securities (including Repo) in May were shown by: the US Treasury (down $37.8B to $386.4B), the Federal Reserve Bank of New York (down $19.8B to $126.3B), Credit Suisse (down $4.3B to $42.5B), J.P. Morgan (down $2.8B to $52.0B), and Svenska Handelsbanken (down $2.5B to $26.6B).

The United States remained the largest segment of country-affiliations; it now represents 48.5% of holdings, or $1.153 trillion. France (10.0%, $239.3B) is in second place ahead of Canada (8.9%, $211.7B), and Japan (7.3%, $173.1B) remained the fourth largest country affiliated with money fund securities. The UK (5.1%, $122.1B) remained in fifth place, and Sweden (4.4%, $105.7B) remained in sixth. Germany (3.6%, $85.3B) moved into seventh place, edging past Australia (3.6%, $85.0B) which dropped to 8th. The Netherlands (3.1%, $74.9B) was ninth and Switzerland (2.5%, $59.7B) was tenth among country affiliations. (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 May 31, 2014, Taxable money funds held 24.7% of their assets in securities maturing Overnight, and another 14.1% maturing in 2-7 days (38.8% total in 1-7 days). Another 21.3% matures in 8-30 days, while 23.3% matures in the 31-90 day period. The next bucket, 91-180 days, holds 13.4% of taxable securities, and just 3.1% matures beyond 180 days.

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

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