The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday, which shows that total money fund assets were up sharply last month, rising by $78.2 billion in May to $3.573 trillion. Prime MMFs increased $8.9 billion in May to close at $1.009 trillion, Govt & Treasury funds rose by $67.3 billion to $2.423 trillion, and Tax Exempt funds rose by $2.0 billion to $140.6 billion. Yields fell across the board in May. The SEC's Division of Investment Management summarizes monthly Form N-MFP data and includes asset totals and averages for yields, liquidity levels, WAMs, WALs, holdings, and other money market fund trends. (The SEC revised this report earlier this year to include more history and to split Prime into Prime Inst and Prime Retail and Muni into Muni Inst and Muni Retail.) We review their latest numbers below.
Overall assets surged $78.2 billion in May, following increases of $690 million in April, $87.9 billion in March, $76.9 billion in February and $31.4 billion in January. Over the 12 months through 5/31/19, total MMF assets increased $422.5 billion, or 13.4%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, though Crane Data tracks most of these.)
Of the $3.573 trillion in assets, $1.009 trillion was in Prime funds, which rose $8.9 billion in May after increasing $27.8 billion in April, $99.2 billion in March and $57.9 billion in February. Prime funds represented 28.2% of total assets at the end of May. They've increased by a whopping $322.8 billion, or 47.1%, over the past 12 months! Government & Treasury funds totaled $2.423 trillion, or 67.8% of assets. They rose by $67.3 billion in May after declining by $20.7 billion in April and $12.7 billion in March but increasing $21.1 billion in February. Govt & Treas MMFs are up $101.8 billion over 12 months, or 4.4%. Tax Exempt Funds increased $2.0B to $140.6 billion, 3.9% of all assets. The number of money funds was 370 in May, unchanged from the previous month but down 11 funds from a year earlier.
Yields for Taxable MMFs were lower in May following two mixed months (and 16 months in a row of increases). The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on May 31 was 2.54%, down 4 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was `2.58%, down 5 basis points from the previous month. Gross yields fell to 2.45% for Government Funds, down 4 bps from last month. Gross yields for Treasury Funds decreased 5 basis point to 2.43%. Gross Yields for Muni Institutional MMFs plunged from 2.23% in April to 1.58%. Gross Yields for Muni Retail funds decreased from 2.20% to 1.52% in May.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.46%, down 4 bps from the previous month but up 0.57% since 5/31/18. The Average Net Yield for Prime Retail Funds was 2.32%, down 5 bps from the previous month but up 0.54% since 5/31/18. (Note: These averages are asset-weighted.)
WALs and WAMs were higher to mixed in May. The average Weighted Average Life, or WAL, was 60.1 days (up 3.7 days from last month) for Prime Institutional funds, and 63.1 days for Prime Retail funds (up 0.6 days). Government fund WALs averaged 93.3 days (up 2.4 days) while Treasury fund WALs averaged 91.2 days (down 1.4 days). Muni Institutional fund WALs were 14.1 days (down 1.2 day), and Muni Retail MMF WALs averaged 25.0 days (down 0.1 days).
The Weighted Average Maturity, or WAM, was 33.6 days (up 0.7 days from the previous month) for Prime Institutional funds, 32.7 days (down 1.5 days from the previous month) for Prime Retail funds, 27.7 days (down 0.5 days) for Government funds, and 32.4 days (up 0.8 days) for Treasury funds. Muni Inst WAMs were up 0.8 days to 13.8 days, while Muni Retail WAMs decreased by 0.1 days to 22.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 37.6% in May (down by 2.3% from the previous month), and DLA for Prime Retail funds was 23.6% (down 2.4% from previous month) as a percent of total assets. The average DLA was 42.5% for Govt MMFs and 90.6% for Treasury MMFs. Total Weekly Liquid Assets was 52.6% (down 1.6% from the previous month) for Prime Institutional MMFs, and 41.5% (up 0.3% from the previous month) for Prime Retail funds. Average WLA was 69.4% for Govt MMFs and 98.5% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for May 2019," the largest entries included: Canada with $129.5 billion, the U.S. with $117.5 billion, Japan with $99.9 billion, France with $86.7B, Germany with $43.6B, the U.K. with $42.6B, Australia/New Zealand with $36.1B, the Netherlands with $31.7B and Switzerland with $26.0B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $5.2B), the U.K. (up $2.3B), Germany (up $2.3B), Australia/New Zealand (up $2.3B), the US (up $444M), France (up $272M) and the Netherlands (down $105M). The biggest (and only) drop came from Switzerland (down $2.3B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $287.4B (down $6.2B from last month), the Eurozone subset had $168.8B (down $0.3B). The Americas had $247.6 billion (up $5.7B), while Asia Pacific had $159.1 billion (up $6.2B).
The "Prime MMF Portfolio Composition" chart shows that of the $1.009 trillion in Prime MMF Portfolios as of May 31, $302.6B (30.0%) was in CDs and Time Deposits (up from $298.7B), $301.0B (29.8%) was in Government & Treasury securities (direct and repo) (down from $310.3B), $145.4B (14.4%) was held in Non-Financial CP and Other securities (up from $140.9B), $197.0B (19.5%) was in Financial Company CP (up from $192.1B), and $62.0B (6.1%) was in ABCP (up from $59.5B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $202.3 billion, Canada with $145.6 billion, France with $223.6 billion, Germany with $19.6 billion, Japan with $139.0 billion, the U.K. with $100.9 billion and Other with $37.9 billion. All MMF Repo with the Federal Reserve increased by $850 million in May to $855 million.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 9.0%, Prime Retail MMFs with 6.0%, Muni Inst MMFs with 1.0%, Muni Retail MMFs with 3.1%, Govt MMFs with 17.8% and Treasury MMFs with 14.7%.
