The slow-motion run on Prime and Tax Exempt MMF assets picked up speed in the latest week. Prime assets had their steepest decline of the year and are now poised to break below $900 billion overall. Their declines since late 2015 now total over $550 billion, or 38.0%. The shift continues to be fueled by the conversion of sweep assets (more Morgan Stanley assets moved this week). But the carnage was widespread this week as 25 money funds saw outflows of over $1.0 billion, according to our Money Fund Intelligence Daily. ICI's weekly "Money Market Fund Assets" report shows all MMFs decreasing $34.9 billion in the latest week. Prime funds fell $40.0 billion -- their 13th decline out of the past 14 weeks (-$276.0B) and more than double the average rate of the past 13 weeks. Government funds gained just $15.1 billion, reversing a 2-week trend of Govt MMFs gaining more than the prime outflows.
Since Oct. 29, 2015, just prior to Fidelity Cash Reserves' huge conversion, Prime assets have fallen by a massive $554.0 billion, or 38.0%. Govt MMFs have increased by $628.9 billion during this same time while Tax Exempt MMFs have fallen by $82.0 billion (-33.5%). YTD in 2016, Prime MMFs are down by $379.4 billion, or 29.6% while Govt MMFs are up by $421.7 billion, or 34.5%. The shift was initially fueled by the conversion of over $300 billion of Prime funds into Govt funds, but since June appears to be driven by investors and investor segments.
ICI's latest weekly says, "Total money market fund assets decreased by $34.88 billion to $2.71 trillion for the week ended Wednesday, August 17, the Investment Company Institute reported today. Among taxable money market funds, government funds increased by $15.13 billion and prime funds decreased by $39.98 billion. Tax-exempt money market funds decreased by $10.02 billion." Government assets, including Institutional and Retail (and Treasury and Government) stand at $1.642 trillion, while Prime assets, which dipped below the $1.0 trillion level for the first time in 17 years 4 weeks ago, are at $904.4 billion.
The release explains, "Assets of retail money market funds decreased by $9.70 billion to $936.39 billion. Among retail funds, government money market fund assets increased by $6.14 billion to $487.49 billion, prime money market fund assets decreased by $8.49 billion to $324.12 billion, and tax-exempt fund assets decreased by $7.35 billion to $124.78 billion.... Assets of institutional money market funds decreased by $25.18 billion to $1.77 trillion. Among institutional funds, government money market fund assets increased by $8.99 billion to $1.15 trillion, prime money market fund assets decreased by $31.49 billion to $580.31 billion, and tax-exempt fund assets decreased by $2.67 billion to $38.20 billion."
In other news, we also discuss the latest on European, "International" or "offshore" money fund assets, yields, and portfolio holdings below. European money fund assets domiciled in Dublin and Luxembourg and denominated in USD, Euro and Sterling are down $20.1 billion month-to-date in August to $734.2 billion, but they're up $35.1 billion year-to-date, according to our Money Fund Intelligence International. U.S. Dollar (USD) funds (156) tracked by MFII account for over half ($367.7 billion, or 50.1%) of the total, while Euro (EUR) money funds (97) total just E87.2 billion (11.9%) and Pound Sterling (GBP) funds (107) total L186.1 (25.3%). (As a reminder, Crane Data will host its 4th Annual European Money Fund Symposium in one month -- Sept. 20-21, 2016 -- at the London Tower Bridge Hilton. We hope to see you there!)
USD funds are down $20.3 billion in August (through 8/15), down $22.6B since 6/30, and down $24.4 billion, or 6.5%, YTD. Euro funds are up E6.4 billion in August, up 2.3B since June 30, and up E11.7 billion YTD, while GBP funds are down L4.7 billion in August, up 13.8B since 6/30 and up L35.6 billion YTD. USD MMFs yield 0.35% (7-Day) on average (8/15/16), up 19 basis points from 12/31/15. EUR MMFs yield -0.41% on average, down 22 basis points YTD, while GBP MMFs yield 0.31%, down 6 bps YTD.
European-domiciled US Dollar MMFs, on average, consist of 21% in Certificates of Deposit (CDs), 25% in Commercial Paper (CP), 22% in Treasury securities, 18% in Other securities (primarily Time Deposits), 11% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 34.8% of their portfolios maturing Overnight, 10.9% maturing in 2-7 Days, 17.8% maturing in 8-30 Days, 13.1% maturing in 31-60 Days, 9.6% maturing in 61-90 Days, 10.4% maturing in 91-180 Days, and 3.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (33.6%), France (16.5%), Japan (9.7%), Canada (8.5%), Sweden (8.2%), Germany (4.9%), Australia (4.4%), the Netherlands (3.5%), Great Britain (2.3%), and Norway (2.1%), according to our latest MFII MF Portfolio Holdings report, with data as of July 31, 2016.
The 20 Largest Issuers to "offshore" USD money funds include: the US Treasury with $102.1 billion (22.2% of total portfolio assets), Credit Agricole with $16.5B (3.6%), BNP Paribas with $16.4B (3.6%), Mitsubishi UFJ with $14.5B (3.2%), Natixis with $11.9B (2.6%), Svenska Handelsbanken with $10.4B (2.3%), Societe Generale with $9.5B (2.1%), DnB NOR Bank ASA with $9.4B (2.0%), Skandinaviska Enskilda Banken AB with $9.3B (2.0%), Bank of Nova Scotia with $8.9B (1.9%), Swedbank AB with $8.9B (1.9%), RBC with $8.8B (1.9%), Credit Mutuel with $8.4B (1.8%), Sumitomo Mitsui Trust Bank Ltd with $8.2B (1.8%), Sumitomo Mitsui Banking Co with $7.6B (1.6%), Nordea Bank with $7.5B (1.6%), Wells Fargo with $7.0B (1.5%), Federal Reserve Bank of New York with $6.6B (1.4%), Australia & New Zealand Banking Group Ltd with $6.5B (1.4%), and Mizuho Corporate Bank Ltd with $6.4B (1.4%).
Euro MMFs tracked by Crane Data contain, on average 22% in CDs, 44% in CP, 18% in Other (primarily Time Deposits), 10% in Repo, 1% in Agency securities, and 5% in Treasury securities. EUR funds have on average 20.2% of their portfolios maturing Overnight, 6.9% maturing in 2-7 Days, 16.2% maturing in 8-30 Days, 16.3% maturing in 31-60 Days, 17.5% maturing in 61-90 Days, 19.3% maturing in 91-180 Days, and 3.6% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (28.9%), US (16.9%), Germany (11.0%), Japan (10.1%), Sweden (7.5%), Netherlands (5.9%), Belgium (5.3%), Switzerland (3.2%), Great Britain (1.6%), and Canada (1.6%).
The 15 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E4.5B (5.7%), Svenska Handelsbanken with E3.3B (4.2%), Proctor & Gamble with E3.1B (4.0%), Societe Generale with E2.9B (3.7%), Credit Mutuel with E2.6B (3.3%), Rabobank with E2.6B (3.3%), Credit Agricole with E2.4B (3.1%), Republic of Germany with E2.3B (3.0%), Mitsubishi UFJ with E2.1B (2.6%), Republic of France with E2.0B (2.6%), DZ Bank AG with E2.0B (2.6%), Sumitomo Mitsui Banking Co. with E2.0B (2.5%), Mizuho Corporate Bank with E2.0B (2.5%), Nordea Bank with E1.8B (2.3%) and KBC Group NV with E1.7B (2.2%).
The GBP funds tracked by MFI International contain, on average (as of 7/31/16): 34.0% in CDs, 18.0% in CP, 30.0% in Other (Time Deposits), 14.0% in Repo, 3.0% in Treasury, and 1.0% in Agency. Sterling funds have on average 17.9% of their portfolios maturing Overnight, 12.1% maturing in 2-7 Days, 16.3% maturing in 8-30 Days, 13.9% maturing in 31-60 Days, 13.5% maturing in 61-90 Days, 20.5% maturing in 91-180 Days, and 5.8% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (15.0%), Great Britain (14.0%), Japan (12.8%), Australia (9.4%), Netherlands (7.6%), Germany (7.5%), Canada (7.3%), US (7.1%), Sweden (5.9%), and Switzerland (2.0%).
The 15 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L8.7B (6.6%), Mitsubishi UFJ Ltd with L5.6B (4.2%), Rabobank with L5.3B (4.1%), Bank of America with L4.9B (3.7%) <b:>`_, BNP Paribas with L4.2B (3.2%), Mizuho Corporate Bank Ltd. with L3.9B (2.9%), Credit Agricole with L3.8B (2.9%), Commonwealth Bank of Australia with L3.8B (2.9%), Sumitomo Mitsui Banking Co with L3.7B (2.8%), Toronto Dominion Bank with L3.6B (2.7%), ING Bank with L3.6B (2.7%), Bank of Nova Scotia with L3.5B (2.6%), Erste Abwicklungsanstalt with L3.2B (2.5%), Westpac Banking Co. with L3.1B (2.4%), and Standard Chartered Bank with L3.0B (2.3%). (E-mail us at info@cranedata.com to request a copy of our latest MFI International or MFII Portfolio Holdings.
For more on European money fund reforms, see our June 16 News, "European Money Fund Reform Deal Poised to Pass; CNAVs to Be LVNAVs," our April 16 News, "European Compromise Moves MMF Reforms Closer; Sterling MFs Jump," and our March 2 News, "IMMFA on European Reforms; MFI Intl Review; European MF Symposium." (Let us know too if you'd like to see our Money Fund Intelligence International, which tracks these markets, or our MFI Intl Portfolio Holdings data.)
