SEC Analyzes May MMF Stats
The Securities and Exchange Commission released its "Money Market Fund Statistics" report for May, which shows assets up and maturities shorter in May. The report, with data as of May 31, 2015, summarizes Form N-MFP data and which includes totals on assets, yields, liquidity, WAM, WAL, holdings, and other money market fund trends. The data is produced by the SEC's Division of Investment Management. Overall, total money market fund assets stood at $2.968 trillion at the end of May, up $32.2 billion from April 30, according to the SEC's broad total (which includes many private and internal funds not reported to ICI, Crane Data or other reporting agencies). Of the $2.968 trillion, $1.731 trillion was in Prime funds (up $26.6B from April 30), $983.9B was in Government/Treasury funds (up $4.5B), and $253.3 billion was in Tax-Exempt funds (up $1.1B). Total assets were down $113.0 billion year to date through May 31. Prime assets were down $41 billion year-to-date, while Government/Treasury MMF assets were down $54 billion year-to-date. Tax exempt assets were down $16.9 billion year-to-date. The number of money funds was 537, 5 less than last month. The Weighted Average Gross 7-Day Yield for Prime Funds on May 31 was 0.22% (unchanged), 0.10% for Government/Treasury funds (unchanged), and 0.13% for Tax-Exempt funds (up from 0.12%). The Weighted Average Net Prime Yield was 0.06% -- same as last month. The Weighted Average Prime Expense Ratio was 0.16% (unchanged). The Weighted Average Life, or WAL, was 74.4 days (down from 76.3 last month) for Prime funds, 78.2 days (down from 80.2 days last month) for Government/Treasury funds, and 28.3 days (down from 30.8 days) for Tax Exempt funds. The `Weighted Average Maturity, or WAM, was 38.5 days (down from 39.6) for Prime funds, 40.9 days (down from 42.8) for Govt/Treasury funds, and 26.7 days (down from 29.1) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 25.7% in May up from 24.6% last month. Total Weekly Liquidity was 39.8% (unchanged). In the category Prime MMF Holdings of Bank Related Securities by Country, Canada topped the list with $213.5 billion, followed by the US at $188.7 billion. Japan was third with $177.0 billion, followed by France with $164.5 billion, Sweden ($113.2B), the UK ($106.8B), Australia/New Zealand ($95.4B), The Netherlands ($60.8B), Switzerland ($52.3B), and Germany ($47.9B). The biggest gainers for the month were Sweden (up $11.1B), Canada (up $8.5B), and The Netherlands ($5.0B). The biggest drops came from US (down $8.3B), Switzerland (down $4.6B), and France ($2.9B). For Prime MMF Holdings of Bank-Related Securities by Region, Europe had $598.8 billion, while its subset, the Eurozone, had $287.7. The Americas was next with $405.0 billion, while Asia and Pacific had $298.5 billion. The Total Amortized Cost of Prime MMF Portfolios was $1.724 trillion as of May 31, 2015. That was made up of $576.5B in CDs, $344.7B in Government (including direct and repo), $452.6B in Non-Financial CP and Other Short term Securities, $259.0B in Financial Company CP, and $91.6B in ABCP. Also, the Proportion of Non-Government Securities in All Taxable Funds was 51.4% at month-end, up from 50.7% the previous month. All MMF Repo with Federal Reserve was $149.0 billion on May 31, up from $1212B . Finally, the Trend in Longer Maturity Securities in Prime MMFs said 40.7% were in maturities of 60 days and over, while 10.0% were in maturities of 180 days and over.
