It's been a long time since bad news for stocks meant good news for money funds, but we think we've seen a little of the old relationship return over the past week. As the stock market has fallen, with the Dow Jones Industrial Average dropping a total of 1,674 points from August 18 to August 24, money market fund assets have surged. According to the latest numbers from our Money Fund Intelligence Daily product, money fund assets have gained $46.8 billion over the past week (through 8/24). (Note that these were inflated slightly by the addition of several new Fidelity and Federated funds.) The Wall Street Journal's CFO Journal detailed this trend in its story, "Money Funds Raking in Money," which we excerpt from below. Also, the Securities & Exchange Commission released its latest "Money Market Fund Statistics" report, which shows assets up $40.9 billion for the month ended July 31, 2015 (and up $69.7 billion over 3 months) as total assets climbed back over the $3.0 trillion.
The Wall Street Journal blog on money fund inflows features commentary from Crane Data's Peter Crane. The article explains, "Investors are pouring cash into money-market funds, even as stock markets around the world crumble. Companies, pension funds, and individual investors dropped $37.77 billion into money market funds in the week ended Aug. 21, according to Westborough, Mass.-based Crane Data LLC, which tracks the market. That's increased the assets in the funds to $2.6 trillion." (For the 7 day period ended August 24 assets are up $46 billion. Year-to-date through August 19, money market fund assets are now down just $47 billion, or 1.7%, according to ICI's weekly series.)
The Journal story continues, "Crane Data's founder, Peter Crane, said it's unusual to see money flowing into the funds in the summertime, as that's usually when investors are quiet. Last year, for example, investors only put in a total $4 billion into money-market funds between May and August. This year, money-fund assets grew by $85 billion between May and mid-August. Mr. Crane said that banks, beset by new capital rules, have recently been encouraging companies and investment funds to keep less money in their deposit accounts. That's forcing corporate treasurers and fund managers to look for other places to park their cash."
The positive trend for money fund assets began in earnest back in July, the S.E.C. verifies in its latest "Money Market Fund Statistics" report. For the month ended July 31, 2015, assets were up $40.9 billion, pushing total assets back over $3.0 trillion for the first time since March 2015. The report, produced by the SEC's Division of Investment Management, summarizes monthly Form N-MFP data and includes totals on assets, yields, liquidity, WAM, WAL, holdings, and other money market fund trends.
Overall, total money market fund assets stood at $3.005 trillion at the end of July, up $40.9 billion, after falling $3.4 billion in June and rising $32.2 billion in May, 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 $3.005 trillion in assets, $1.727 trillion was in Prime funds (up $20.6B from June 30), $1,024B was in Government/Treasury funds (up $17.0B), and $254.0 billion was in Tax-Exempt funds (up $3.4B). Total assets were down $75.3 billion year to date through July 31, according to the SEC report. Prime assets were down $45.3 billion year-to-date, while Government/Treasury MMF assets were down $14.1 billion year-to-date. Tax exempt assets were down $15.8 billion year-to-date. The number of money funds was 531, down 6 from last month and down 15 year-to-date.
The Weighted Average Gross 7-Day Yield for Prime Funds on July 31 was 0.24% (up from 0.23%), 0.11% for Government/Treasury funds (up from 0.10%), and 0.07% for Tax-Exempt funds (down from 0.10%). The Weighted Average Net Prime Yield was 0.08% (up from 0.07% last month). The Weighted Average Prime Expense Ratio was 0.16% (unchanged). Gross yields for Prime MMFs are up 4 bps YTD (to 0.24%) and up 5 bps since a year ago, expense ratios for Prime MMFs are up just one bps YTD and over the past year (to 0.16%), and net yields for Prime MMFs are up 3 bps YTD and 4 bps over 1 year (to 0.08%).
The Weighted Average Life, or WAL, was 72.6 days (down from 72.9 days last month) for Prime funds, 76.8 days (up from 75.4 days last month) for Government/Treasury funds, and 34.3 days (up from 33.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 36.6 days (down from 36.8) for Prime funds, 40.6 days (up from 39.5) for Govt/Treasury funds, and 32.2 days (up from 31.6) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 26.4% in July (down from 26.2% last month). Total Weekly Liquidity was 40.0% (down from 41.0%).
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, the US topped the list with $218.2 billion, jumping ahead of Canada with $208.8 billion. France was third Japan was third with $184.9 billion, followed by Japan with $176.7 billion, Sweden ($122.1B), the UK ($93.4B), Australia/New Zealand ($89.8B), The Netherlands ($54.5B), Switzerland ($52.5B), and Germany ($46.4B). The biggest gainers for the month were France (up $73.1B), Sweden (up $34.2B), US (up $27.4B), the UK (up $25.9B), and Norway (up $20.4B). The biggest drops came from Canada (down $7.9B), Australia/New Zealand (down $7.6B), Japan (down $3.2B), The Netherlands (down $2.3B), and China (down $1.4B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $597.2 billion, while its subset, the Eurozone, had $300.0. The Americas was next with $429.7 billion, while Asia and Pacific had $297.8 billion.
Of the $1.727 trillion in Prime MMF Portfolios as of July 31, $572.6B was in CDs, $338.1B was in Government (including direct and repo), $459.6B was held in Non-Financial CP and Other Short term Securities, $261.6B was in Financial Company CP, and $95.8B was in ABCP. Also, the Proportion of Non-Government Securities in All Taxable Funds was 50.8% at month-end, down from 45.9% the previous month. All MMF Repo with Federal Reserve was $129.4 billion on June 30, down from $372.2B at the end of June. Finally, the Trend in Longer Maturity Securities in Prime MMFs said 41.4% were in maturities of 60 days and over (down from 41.7% last month), while 10.9% were in maturities of 180 days and over (up from 10.6% last month).
