Money fund assets declined slightly in the latest week but they continue to remain above the $2.8 trillion level. ICI's weekly statistics show assets decreasing by $5.57 billion to $2.812 trillion in the week ended June 30. For the month, money funds lost approximately $28 billion, following another relatively modest outflow ($32 billion) in May. In the second quarter, money fund assets declined by $170.4 billion, and year-to-date money funds have dropped by $481 billion, or 14.6%. While its far too soon to declare the large declines of 2009 and early 2010 over, it does appear that assets are levelling off here.
Asset declines in 2010 have been twice as fast for institutional investors, a reveral of 2009's retail-led outflows. YTD, institutional money funds, those sold to corporations and other large buyers usually in blocks of well over $1 million, have declined by $395 billion, or 17.8%, to $1.830 trillion. Retail money funds, on the other hand, which broke below the $1 trillion level for the first time since early 2007, have declined by $86 billion, or 8.0%, to $982 billion. In 2009, retail assets fell by $287 billion, or 21.2% while institutional assets fell by $260 billion, or 10.5%.
The Investment Company Institute's latest "Month-End Portfolio Holdings of Taxable Money Market Funds report shows money funds selling CDs in large quantities in May and adding Repo. While CDs remain the largest segment of money fund holdings, at 20.9% or $519.6 billion (we add both CDs and Eurodollar CDs), they declined by $43.1 billion on the month. Meanwhile, repurchase agreement holdings rose to 20.5%, or $39.5 billion, to $509.9 billion. Clearly funds were reducing European exposure and adding liquidity in May.
Money funds also reduced their third-largest holding, U.S. Government Agency securities, by $8.1 billion to $437.6 billion (17.6%), and they reduced their (fourth-largest) holdings of Commercial Paper by $11.6 billion to $398.6 billion (16.0%). Corporate Notes, which together with Bank Notes represent just 7.1% of holdings, saw a sharp decline, falling $9.3 billion to $119.5 billion (Bank Notes total an additional $56.1 billion).
Holdings of Treasury Bills and securities increased by $7.7 billion to $353.3 billion, or 14.2%. Banker's Acceptances, which in the past accounted for a significant portion of money fund holdings, have attrophied to almost nothing. Funds hold just $205 million in BAs.
ICI's statistics showed the Average Maturity of taxable portfolios declining to 41 days, its lowest level in over 2 years. The report also showed the Number of Accounts Outstanding falling by 34.5 thousand to 28.96 million. This series showed total assets of taxable funds falling $19.6 billion to $2.485 trillion in May.
