Money fund assets plunged in the week ended June 18, falling $67.6 billion to $2.878 trillion, according to Crane Data's Money Fund Intelligence Daily, presumably driven by massive quarterly tax payments inflated by now taxable offshore holdings. Yields moved higher in the latest week too, as our Crane 100 Money Fund Index rose by 6 basis points to 1.68% (as of Monday) and our broader all taxable Crane Money Fund Average rose by 6 bps to 1.49%. As was widely reported, money fund assets jumped the previous week. But this appears to be merely a cash buildup in preparation for Friday's June 15 tax payments. Yields are beginning to reflect the Federal Reserve's 7th interest rate hike from a week ago, but they still have a ways to go to reflect the full quarter-point increase. We review our most recent asset and yield totals below, and we also review our latest Weekly Money Fund Portfolio Holdings data below.
Total money fund assets covered by our MFI Daily increased by $3.4 billion June 18, but they've decreased by $67.6 billion the past week to $2.877 trillion. Government MMFs plunged, falling $66.7 billion over the week ended Monday to $2.134 trillion, while Prime MMF assets inched higher, rising $451 million to $604.0 billion. Tax Exempt MMFs fell $1.4 billion to $139.4 billion. Month-to-date, total money fund assets have decreased by $50.5 billion.
The highest-yielding money market funds are now paying over 2.0% (see the Top 5 tables on the homepage), and the overall averages range from 1.17% to 1.74%. Prime Institutional money funds are averaging 7-day yields of 1.74%, up 6 bps from a week ago, while Prime Retail money funds yield 1.62% on average (up 6 bps). Treasury Institutional money funds now have a 7-day yield of 1.55%, while Treasury Retail MMFs yield 1.26%. Govt Inst MMFs yield 1.57% on average while Govt Retail MMFs yield 1.17%.
In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary yesterday. Our weekly holdings track a shifting subset of our monthly Portfolio Holdings collection, and the latest cut (with data as of June 15) includes Holdings information from 68 money funds (down from 76 on June 1), representing $1.142 trillion (down from $1.437 billion on June 1) of the $2.925 (39.0%) in total money fund assets tracked by Crane Data.
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $422.3 billion (down from $543.5 billion on June 8), or 37.0%, Treasury debt totaling $372.8 billion (down from $436.8 billion) or 32.7%, and Government Agency securities totaling $232.9 billion (down from $298.3 billion), or 20.4%. Commercial Paper (CP) totaled $35.9 billion (down from $53.1 billion), or 3.1%, and Certificates of Deposit (CDs) totaled $25.2 billion (down from $43.6 billion), or 2.2%. A total of $23.9 billion or 2.1%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $28.7 billion, or 2.5%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $372.8 billion (32.7% of total holdings), Federal Home Loan Bank with $190.4B (16.7%), BNP Paribas with $65.2 billion (5.7%), Federal Farm Credit Bank with $36.7B (3.2%), RBC with $31.4B (2.7%), Wells Fargo with $30.5B (2.7%), Credit Agricole with $26.8B (2.3%), HSBC with $22.9B (2.0%), Societe Generale with $21.9B (1.9%), and Natixis with $21.9B (1.9%).
The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($126.1B), BlackRock Lq FedFund ($104.2B), Goldman Sachs FS Govt ($90.5B), Wells Fargo Govt MMkt ($76.1B), BlackRock Lq T-Fund ($72.1B), Dreyfus Govt Cash Mgmt ($61.4B), Morgan Stanley Inst Liq Govt ($57.6B), Goldman Sachs FS Trs Instruments ($54.6B), JP Morgan Prime MM ($41.0B), and JP Morgan 100% US Trs MMkt ($35.6B).(Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)
Finally, Morningstar recently wrote a piece entitled, "Cash is Not Always King," which says, "Cash is only one facet of liquidity management.... Cash is always helpful to meet redemptions, but it should not be the first -- and certainly not the only -- variable you look at when evaluating the liquidity of a fund. Indeed, the diversification of a portfolio and its overall investment process will usually prove more useful in assessing liquidity risks."
They write, "For instance, the high-yield segment of the credit market is often considered illiquid. Instinctively, one might think avoiding the largest funds in that Morningstar Category and opting for one with plenty of cash in the portfolio should help mitigate liquidity risk. Unfortunately, history has proven those instincts insufficient."
Morningstar explains, "The rise and fall of Third Avenue Focused Credit (TFCIX) is the perfect illustration of why keeping high cash levels is a short-term patch that can't make up for a concentrated portfolio, even for a comparatively small fund. When investors yank money out of a fund and its cash is used to fund those outflows, its portfolio concentration increases at every level, whether defined by credit quality, issue, or issuer, for example. To make things worse, TFCIX was lacking diversification at each of these levels even before it suffered major redemptions."
