Money market mutual fund assets fell on tax related declines in the latest week and fell for the sixth straight week. Since March 8, assets have fallen by $61.7 billion, or -2.3%, and year-to-date assets have fallen by $102.5 billion, or 3.8%. Prime assets fell by $3.0 billion in the latest week, which included the April 15 (18) tax deadline, but they've only declined by $843 million, or -0.2% over the past six weeks. YTD, Prime MMF assets are up by $20.1 billion, or 5.3%. Government MMF assets, meanwhile, fell $11.9 billion this week, $59.9 billion over 6 weeks, and $119.9 (-5.4%) YTD. We review the latest money fund asset totals, as well as J.P. Morgan's latest Portfolio Holdings update, below.

The Investment Company Institute's latest weekly "Money Market Mutual Fund Assets" report says, "Total money market fund assets decreased by $16.88 billion to $2.63 trillion for the week ended Wednesday, April 19, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $11.93 billion and prime funds decreased by $3.00 billion. Tax-exempt money market funds decreased by $1.94 billion." Total Government MMF assets, which include Treasury funds too stand at $2.102 trillion (80.0% of all money funds), while Total Prime MMFs stand at $396.4 billion (15.1%). Tax Exempt MMFs total $128.2 billion, or 4.9%.

The release explains, "Assets of retail money market funds decreased by $5.14 billion to $973.85 billion. Among retail funds, government money market fund assets decreased by $2.09 billion to $597.68 billion, prime money market fund assets decreased by $1.56 billion to $252.48 billion, and tax-exempt fund assets decreased by $1.49 billion to $123.69 billion." Retail assets account for over a third of total assets, or 37.0%, and Government Retail assets make up 61.4% of all Retail MMFs.

It continues, "Assets of institutional money market funds decreased by $11.74 billion to $1.65 trillion. Among institutional funds, government money market fund assets decreased by $9.85 billion to $1.50 trillion, prime money market fund assets decreased by $1.44 billion to $143.96 billion, and tax-exempt fund assets decreased by $450 million to $4.52 billion." Institutional assets account for 63.0% of all MMF assets, with Government Inst assets making up 91.0% of all Institutional MMFs.

The release adds, "ICI reports money market fund assets to the Federal Reserve each week. Data for previous weeks reflect revisions due to data adjustments, reclassifications, and changes in the number of funds reporting. Weekly money market assets for the last 20 weeks are available on the ICI website."

Crane Data's latest Money Fund Intelligence Daily, a separate data series from ICI's, shows total money fund assets down $16.2 billion in the latest week and down $21.9 billion month-to-date (through 4/19). Prime MMFs are up $1.1 billion so far in April while Govt MMFs are down $22.6 billion. Money fund assets normally fall due to tax payments on March 15 and especially on April 15, and we expect assets to remain weak next week as well as checks continue to clear.

In other news, J.P. Morgan Securities' latest "Taxable money market fund holdings update" explains, "Total taxable 2a-7 MMF AuM finished March down $22bn month-over-month. Prime fund AuM went unchanged and currently sits at $396bn. Government funds lost $22bn in AuM. Outflows from government funds are common during the first half of the year, and we do not think that March's outflows are indicative of any emerging trend in government funds."

Their update continues, "Prime fund exposures to banks increased modestly by $3bn month-over-month.... Holdings of Eurozone banks fell $15bn, while holdings of other Yankee and US banks increased $18bn. Away from banks, prime asset allocations went relatively unchanged with two exceptions.... RRP usage picked up temporarily at quarter-end as expected. Additionally, holdings of municipal VRDNs fell as SIFMA rates lost their relative yield pickup to repo and other liquid assets."

It adds, "Since MMF was finalized last October, prime-held CP/CD WALs have averaged roughly 95 days, almost 1m longer than the pre-reform average of 13m, and 1week longer than most of 2015. The post-reform extension in WALs is mostly a function of the Fed. Floaters have become a very popular way to extend on the curve while protecting against potential Fed moves."

Finally, J.P. Morgan writes, "Holdings data suggests that banks have shifted increasingly towards repo as a source for short-term funding in response to lower CP/CD demand from MMFs post-reform. As AuM left prime funds en masse banks turned to government funds for funding in the form of Treasury and agency repo. This trend is most pronounced for the Japanese, French, Canadians, and British, all of which have been historically active issuers in the USD money market."

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