Money Market Fund Statistics - Q3 2016

• The net asset value of money market funds (MMFs) resident in Ireland decreased by €16 billion to €444 billion in September 2016. This decrease was driven by  negative revaluations of €9 billion largely due to currency fluctuations, as 43 percent of MMFs are denominated in sterling;
• Total debt securities held by MMFs at end September 2016 amounted to €337 billion, compared to €353 billion at end June 2016. Net flows into euro area debt securities amounted to €5.2 billion over the quarter, with outflows in July of €6.3 billion more than offset by positive inflows over the rest of the quarter;
• In September 2016, €53 billion of debt securities held by MMFs reported a negative yield (54 percent of which related to debt issued in euro area countries), compared to just €18 billion in September 2015

The Central Bank has released Money Market Fund Statistics for Q3 2016.

The net asset value of money market funds (MMFs) resident in Ireland decreased by 3 per cent (€16 billion), to €444 billion at end-September. This decrease was driven by negative revaluations of €9 billion largely due to currency fluctuations, as 43 percent of MMFs  are denominated in sterling.The €14 billion transaction outflow in July was largely due to a re-domicile and merger of an Irish resident MMF into another euro area resident MMF.

Total debt securities held by MMFs at end-September amounted to €337 billion, compared to €353 billion at end-June (Table 1).  There was an overall transaction decrease of €9 billion over the quarter. The largest outflow of €6.9 billion was from US debt securities, primarily US government debt. In contrast, the largest increase was €2.1 billion in holdings of Dutch debt securities.

MMFs’ holdings of government debt securities decreased to €53 billion at end September 2016, from €68 billion at end June 2016. While US government debt accounted for 68 percent (€36 billion) of this total at end-September, it registered the largest quarterly transaction decreases of €6.3 billion over the quarter, occurring evenly across the quarter. MMFs continued to search for yield, reducing exposure to lower yielding government debt.

Residual maturity remained broadly the same as the prior end-quarter with a slight increase in residual maturities of debt holdings between 4 and 6 months and a reduction in the very short term less than one-month category (Table 2).

The past year has seen a large increase in negative yielding debt securities holdings by MMFs. In September 2016, 16 percent (€53 billion) debt securities held by MMFs reported a negative yield (54 percent of which was debt issued in euro area countries), compared to just 5 percent (€18 billion) debt securities in September 2015.

Net flows into euro area debt securities increased by €5.2 billion over the quarter, with outflows in July of €6.3 billion more than offsetting by inflows over the rest of the quarter. The largest transactions increases occurred with sterling denominated funds increasing holdings of debt issued by euro area banks by €5.7 billion. These reflected portfolio rebalancing within euro area assets, however. The largest transaction outflows occurred within sterling denominated funds, of €3.4 billion from debt holdings issued by euro area ‘other’ government (debt issued by local government and social security funds).  Overall, euro denominated funds recorded the largest transaction inflows over the quarter of €2.9 billion.

Overall, equity liabilities stood at €444 billion in September 2016m with shares/units issued by sterling denominated funds accounting for 43 per cent (€190 billion). Sterling denominated funds saw €7.3 billion in transactions outflows over the quarter, though this partly reflected a large transaction outflow in July due to a re-domicile and merger of an Irish resident MMF into a euro area resident MMF. (Chart 2). 

The publication tables are published here.

Further information:

 Money Market funds statistics are collected on the basis of monthly security by security reporting. The reporting population comprises of those money market funds resident and authorised in Ireland. The reporting form and notes on compilation are also available on the website here.