Weighted average maturities, or WAMs, of money market funds continued inching higher in the latest week, led by a lengthening among Treasury funds. While overall fund maturities have remained relatively stable since September -- our Crane Money Fund Average increased from 43 days to 45 days after bottoming at 39 days in October -- Treasury WAMs have almost doubled.
The Crane Treasury Institutional Money Fund Index, tracked in our Money Fund Intelligence Daily, has climbed steadily from an average of 27 days as of Sept. 12, 2008, to 36 days at the end of October, 42 days at the end of November, 45 days at yearend, and 48 days as of Jan. 30, 2008. Our Crane Treasury Individual MF Index rose from 28 days on Sept. 26, 2008, to 41 days on Oct. 31, 46 days on Nov. 28, 48 days on Dec. 26, and 51 days on Jan. 30, 2009.
The Crane Money Fund Average, our broadest measure of taxable money market funds, averaged 43 days prior to `Reserve Primary Fund "breaking-the-buck". It then decreased to 39 days in the first week of October and remained there for the month. During November, December, and January, maturities edged out to 42, 44, and 45 days, respectively.
While Treasury funds have exended maturities, Prime money market funds have remained cautious overall. Prime Institutional funds moved from 46 days to 40 days from Sept. 12, 2008, through Oct. 10, while Prime Individual funds shortened from 49 days to 42 days during this peak month of the money fund crisis. Prime Institutional funds average a WAM of just one day higher, 41 days, currently, while Prime Individual funds have moved out to 45 days.
Money fund average maturities tend to stick to a relatively tight range overall, rarely falling below 40 days and almost never moving beyond 60 days (the upper boundary for most AAA-rated money funds). The effectiveness of the WAM indicator has been diluted in recent years, however, by the use of floating-rate and variable-rate securities. Rule 2a-7 allows money funds to look to the reset date for these securities in calculating WAMs.
