SEC staffers published a paper entitled, "Prime MMFs at the Onset of the Pandemic: Asset Flows, Liquidity Buffers, and NAVs," which tells us, "Using weekly data filed by prime money market funds (MMFs) on a monthly Form N-MFP, this article offers a granular view of the funds' cash flows, liquidity buffers, and net asset values (NAVs) per share during the heightened market volatility at the onset of the pandemic in March 2020." Authors Viktoria Baklanova, Isaac Kuznits and Trevor Tatum explain, "Prime MMFs can invest in a broad range of short-term, high quality fixed-income instruments such as U.S. Treasury bills, federal agency notes, certificates of deposit, corporate commercial paper, repurchase agreements, and obligations of states, cities, or other types of municipal agencies. At the onset of the pandemic, in mid-March 2020, amidst heightened volatility throughout financial markets, investors redeemed $134 billion from prime and tax-exempt MMFs, while government MMFs received inflows of $838 billion.... Although the MMF industry as a whole grew during this period, the large outflows from prime MMFs highlighted the remaining structural vulnerabilities in these funds."
They write, "In February 2020, before the events in mid-March, there were 82 prime MMFs (excluding feeder funds), comprising 50 prime institutional MMFs and 32 prime retail MMFs, managed by 35 fund families. A number of fund families revised their MMF offerings in 2020, resulting in a 13% decrease in the number of prime MMFs available. By February 2021, there were 71 prime MMFs, including 44 institutional funds and 27 retail funds."
The SEC piece comments, "Prime institutional MMFs can be further divided into publicly offered funds and funds that are not offered to the public. A few U.S. asset managers established non-public prime institutional MMFs that are used mainly for internal cash management needs. These funds are sometimes referred to as 'internal' or 'central' MMFs. In February 2020, there were seven 'internal' prime institutional MMFs. This number did not change through February 2021.... In March 2020, investors withdrew roughly $125 billion from prime MMFs, both institutional and retail, or around 11% of their net assets.... In the last three weeks of March these funds lost around $95 billion, or roughly 14% of their total net assets, including around $88 billion in outflows in the third week of the month."
It adds, "The largest outflows in mid-March were from the publicly offered prime institutional MMFs with advisers owned by banking firms.... For example, the funds with advisers owned by the largest U.S. banks designated as global systemically important banks ('G-SIBs') accounted for 56% of the outflows in the third week of March even though these funds managed only around 28% of net assets in publicly offered prime institutional MMFs."
Finally, the SEC states, "The MMF filings data did not show any apparent relationship between the level of the funds' NAV per share and outflows in the third week of March 2020. For example, the prime institutional MMF with the lowest NAV per share had only modest outflows of around $6 million, which was less than 1% of the fund's net assets. On the other hand, the prime institutional MMF with the largest outflow as a percentage of its net assets (54%) during that week had a $1.0001 NAV per share."
In other news, Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds inched higher over the last month to $998.7 billion, following a decline in February. These U.S.-style funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, increased by $10.1 billion over the last 30 days (through 4/14); they're down $60.7 billion (-5.7%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January 2020, are up $12.9 billion over the last 30 days and are down $8.1 billion YTD to $527.6 billion. Euro funds are down E47 million over the past month, and YTD they're down E22.9 billion to E134.5 billion. GBP money funds have fallen by L2.1 billion over 30 days, and are down by L19.4 billion YTD to L237.2B. U.S. Dollar (USD) money funds (193) account for half (50.6%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 16.5% and Pound Sterling (GBP) funds (116) total 29.4%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers last Monday), below.
Offshore USD MMFs yield 0.03% (7-Day) on average (as of 04/14/21), down from 1.59% on 12/31/19 and 2.29% at the end of 2018. EUR MMFs yield -0.66% on average, compared to -0.59% at year-end 2019 and -0.49% on 12/31/18. Meanwhile, GBP MMFs yielded 0.01%, down from 0.64% as of 12/31/19 and 0.64% at the end of 2018. (See our latest MFI International for more on the "offshore" money fund marketplace. Note that these funds are only available to qualified, non-U.S. investors.)
Crane's March MFII Portfolio Holdings, with data as of 03/31/21, show that European-domiciled US Dollar MMFs, on average, consist of 27.0% in Commercial Paper (CP), 16.1% in Certificates of Deposit (CDs), 12.5% in Repo, 33.0% in Treasury securities, 10.3% in Other securities (primarily Time Deposits) and 1.0% in Government Agency securities. USD funds have on average 29.6% of their portfolios maturing Overnight, 7.1% maturing in 2-7 Days, 17.0% maturing in 8-30 Days, 14.3% maturing in 31-60 Days, 10.5% maturing in 61-90 Days, 15.7% maturing in 91-180 Days and 5.9% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (41.3%), France (12.4%), Canada (8.0%), Sweden (6.4%), Japan (6.3%), Germany (4.9%), the Netherlands (3.9%), the U.K. (3.4%), Belgium (2.2%) and Australia (2.2%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $187.3 billion (33.0% of total assets), BNP Paribas with $17.1B (3.0%), Fixed Income Clearing Corp with $14.8B (2.6%), Societe Generale with $13.3B (2.3%), Skandinaviska Enskilda Banken AB with $13.2B (2.3%), Svenska Handelsbanken with $11.2B (2.0%), Toronto-Dominion Bank with $10.9B (1.9%), RBC with $10.1B (1.8%), JP Morgan with $9.8B (1.7%) and Agence Central de Organismes de Securite Sociale with $9.7B (1.7%).
Euro MMFs tracked by Crane Data contain, on average 38.5% in CP, 20.8% in CDs, 24.6% in Other (primarily Time Deposits), 10.3% in Repo, 4.8% in Treasuries and 1.0% in Agency securities. EUR funds have on average 30.6% of their portfolios maturing Overnight, 6.8% maturing in 2-7 Days, 16.6% maturing in 8-30 Days, 13.6% maturing in 31-60 Days, 12.0% maturing in 61-90 Days, 16.6% maturing in 91-180 Days and 3.7% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (33.4%), Japan (12.7%), the U.S. (10.0%), Sweden (6.8%), Switzerland (5.7%), Germany (5.5%), the U.K. (3.4%), Austria (3.3%), Belgium (3.3%) and Canada (3.2%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E6.8B (5.7%), Credit Agricole with E6.3B (5.3%), Societe Generale with E6.2B (5.2%), Republic of France with E5.2B (4.4%), Zürcher Kantonalbank with E4.2B (3.5%), Sumitomo Mitsui Banking Corp with E4.0B (3.4%), Mizuho Corporate Bank Ltd with E4.0B (3.4%), BPCE SA with E4.0B (3.3%), Svenska Handelsbanken with E3.9B (3.3%) and Mitsubishi UFJ Financial Group Inc with E3.5B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 03/31/21): 37.4% in CDs, 21.3% in CP, 20.0% in Other (Time Deposits), 19.0% in Repo, 2.0% in Treasury and 0.4% in Agency. Sterling funds have on average 30.3% of their portfolios maturing Overnight, 11.8% maturing in 2-7 Days, 12.7% maturing in 8-30 Days, 10.1% maturing in 31-60 Days, 11.6% maturing in 61-90 Days, 17.1% maturing in 91-180 Days and 6.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (20.2%), the U.K. (16.8%), Japan (15.2%), Canada (10.3%), the U.S. (6.0%), the Netherlands (4.7%), Switzerland (4.0%), Sweden (4.0%), Australia (3.3%), and Spain (3.1%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L15.4B (7.5%), Mitsubishi UFJ Financial Group Inc with L10.2B (5.0%), BNP Paribas with L9.6B (4.7%), RBC with L8.5B (4.1%), Sumitomo Mitsui Banking Corp with L7.8B (3.8%), Agence Central de Organismes de Securite Sociale with L7.6B (3.7%), Mizuho Corporate Bank Ltd with L7.2B (3.5%), BPCE SA with L7.0B (3.4%), Standard Chartered Bank with L6.9B (3.4%) and Barclays PLC with L6.6B (3.2%).
