The SEC released its latest "Money Market Fund Statistics" report, which like ICI (see today's News) shows assets down for the month of September. However, yields continue to tick up. 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. In the SEC report, total money market fund assets stood at $3.024 trillion overall at the end of September, down $2.6 billion after rising $20.9 billion in August, 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 $3.024 trillion in assets, $1.748 trillion was in Prime funds (down $1.4B from August 31), $1.022T was in Government/Treasury funds (up $2.7B), and $252.7 billion was in Tax-Exempt funds (down $3.9B). Total assets are down $57.0 billion year to date through September 30. Prime assets are down $24.1 billion year-to-date, while Government/Treasury MMF assets are down $15.4 billion year-to-date. Tax exempt assets are down $17.5 billion year-to-date. The number of money funds was 521, down 2 from last month and down 37 from a year ago. The Weighted Average Gross 7-Day Yield for Prime Funds on September 30 was 0.26% (up from 0.25% the previous month), 0.12% for Government/Treasury funds (unchanged), and 0.07% for Tax-Exempt funds (unchanged). The Weighted Average Net Prime Yield was 0.09% (up 1 basis point). The Weighted Average Prime Expense Ratio was 0.17% (unchanged). Gross yields for Prime MMFs are up 6 basis points YTD (to 0.26%); expense ratios for Prime MMFs are up 2 bps YTD (to 0.17%); and net yields for Prime MMFs are up 4 bps YTD (to 0.09%). Further, the Weighted Average Life, or WAL, was 67.7 days (down from 67.1 last month) for Prime funds, 82.8 days (up from 78.4 days last month) for Government/Treasury funds, and 34.0 days (up from 33.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 32.0 days (down from 32.3) for Prime funds, 38.0 days (down from 38.6) for Govt/Treasury funds, and 31.8 days (up from 32.2) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 24.3% in September (down from 27.7% last month). Total Weekly Liquidity was 42.2% (up from 41.0%). In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, the Canada topped the list with $206.4 billion, followed by the US at $183.4 billion. Japan was third with $174.7 billion, followed by France with $116.5 billion. Sweden ($83.7B), Australia/New Zealand ($79.4B), UK ($63.7B), The Netherlands ($56.2B), Germany ($48.4B), and Switzerland ($43.8B) round out the top 10. The only gainers for the month were The Netherlands (up $2.9B), Other (up $778M), and China (up $529M). The biggest drops came from France (down $73.5B), Sweden (down $36.5B), UK (down 33.8B), US (down $32.3B), and Norway (down $29.0). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $425.6 billion (down $607.5B from last month), while its subset, the Eurozone, had $226.8 (down from $306.7B). The Americas had $392.8 billion (down from $428.2B), while Asia and Pacific had $279.0 billion (down from $288.6B). Of the $1.752 trillion in Prime MMF Portfolios as of September 30, $518.8B was in CDs (down from $573.4B), $567.6B was in Government (including direct and repo) (up from $366.2B), $318.2B was held in Non-Financial CP and Other Short term Securities (down from $461.5B), $231.5B was in Financial Company CP (down from $252.3B), and $98.3B was in ABCP (down from $99.4B). Also, the Proportion of Non-Government Securities in All Taxable Funds was 42.4% at month-end, down from 49.8%. All MMF Repo with Federal Reserve was $414.4 billion on September 30, up from $143.9B. Finally, the Trend in Longer Maturity Securities in Prime MMFs said 38.3% were in maturities of 60 days and over (up from 36.9%), while 8.8% were in maturities of 180 days and over (down from 9.6%).
