The SEC released its latest "Money Market Fund Statistics" report, which confirmed our earlier reports that yields jumped in December and assets rose slightly, showing a big shift from Prime to Government MMFs. The $6.0 billion increase in December results in assets being up a total $4.7 billion in 2015. It also shows that net and gross yields jumped in December while expense ratios only inched higher. 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. We also review the Investment Company Institute's latest "Money Market Fund Holdings" summary (with data as of Dec. 31, 2015) below.
The SEC's report shows total money market fund assets stood at $3.085 trillion overall at the end of December, up $6.0 billion, after dropping $6.6 billion in November, rising $62.3 billion in October, and dropping $2.6 billion in September, according to the SEC's broad total. (This series includes many private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Of the $3.085 trillion in assets, $1.572 trillion was in Prime funds, down a whopping $154.0 billion in December. Prime funds now represent 51.0% of total assets, down from 58.0% in November. Government funds made up the difference, jumping $152.1 billion to $1.250 trillion, or 40.5% of assets (up from 33.7% in November). Tax Exempt Funds were up $7.9 billion to $263.9 billion, or 8.6% of all assets.
For the year, total assets were up $4.7 billion (0.2%) through December 31. Prime assets ended the year down $200.4 billion, or 11.3%, to $1.572 trillion, which should come as no surprise. Some $172 billion in Prime money funds converted to Government in funds in 2015 in response to MMF reforms. Consequently, Government/Treasury fund assets were up $211.4 billion, or 20.4%, to $1.250 trillion in 2015. Tax exempt assets were down $6.3 billion (2.3%) for the year to $263.9 billion The number of money funds was 502, down 44 for the year, reflecting industry consolidation due to MMF reforms.
The Federal Reserve's decision to raise interest rates off the zero bound to the 0.25% to 0.50% range had an immediate impact on MMF yields in December. The Weighted Average Gross 7-Day Yield for Prime Funds on Dec. 31 was 0.41% (up 0.14% from 0.27% the previous month), 0.28% for Government/Treasury funds (nearly double the 0.15% from last month), and 0.07% for Tax-Exempt funds (up 1 basis point). The Weighted Average Net Prime Yield was 0.22% (doubling from 0.11% the month before). The Weighted Average Prime Expense Ratio was 0.19% (up 3 basis points from the previous month). Gross yields for Prime MMFs were up 21 basis points in 2015; expense ratios for Prime MMFs were up 4 basis points for the year (to 0.19%); and net yields for Prime MMFs were up 17 basis points for 2015 (to 0.22%).
The average Weighted Average Life, or WAL, was 57.6 days (down 9.1 days from last month) for Prime funds, 85.2 days (up 0.6 days) for Government/Treasury funds, and 29.4 days (down 2.3 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.6 days (down 2.2 days from the previous month) for Prime funds, 40.3 days (up 2.0 days) for Govt/Treasury funds, and 27.4 days (down 1.8 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 32.3% in December (up 2.2% from last month). Total Weekly Liquidity was 45.7% (up 2.2%).
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, the United States topped the list with $187.7 billion, followed by Canada with $183.2 billion, and Japan at $162.3 billion. France was fourth with $104.5 billion, followed by Australia/New Zealand ($87.4B), the UK ($57.7B), Sweden ($52.3B), and The Netherlands ($43.5B). Germany ($32.7B) and Switzerland ($31.8B) round out the top 10.
The only gainers for the month were Singapore (up $2.7B) and China (up $1.4B). The biggest drops came from France (down $75.4B), Sweden (down $56.2B), Norway (down $27.2B), Canada (down $17.2B), UK (down $15.9B), Switzerland (down $13.3B), Japan (down $9.8B), Belgium (down $8.7B), The Netherlands (down $7.5B), and Germany (down 6.0B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $339.2 billion (down from $550.2B from last month), while its subset, the Eurozone, had $186.6 billion (down from $284.5B). The Americas had $373.2 billion (down from $391.8B), while Asia and Pacific had $279.3 billion (down from $285.6B).
Of the $1.556 trillion in Prime MMF Portfolios as of Dec. 31, $448.0B (28.8%) was in CDs (down from $509.0B), $511.3B (32.9%) was in Government (including direct and repo) (up from $477.5B), $284.5B (18.3%) was held in Non-Financial CP and Other Short term Securities (down from $409.0B), $212.0B (13.6%) was in Financial Company CP (down from $232.8B), and $100.0B (6.4%) was in ABCP (up from $98.1B).
Also, the Proportion of Non-Government Securities in All Taxable Funds was 37.4% at month-end, down from 44.3% the previous month. All MMF Repo with Federal Reserve was $398.0 billion on Dec. 31, up from $133.9B. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.4% were in maturities of 60 days and over (down from 40.9%), while 5.2% were in maturities of 180 days and over (down from 7.5%).
In other news, ICI released its latest "Money Market Fund Holdings" summary (with data as of Dec. 31, 2015) last week, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. See our Jan. 13 News, "Jan. Portfolio Holdings: Fed Repo Jumps to Record; TDs, Europe Plunge" for more on holdings.
ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets" table shows Prime Money Market Funds' Daily liquid assets at 33.1% as of Dec. 31, up from 30.1% on Nov. 30. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 28.4% (vs. 24.8% last month) and "Other treasury securities," which added 4.7% (up from 5.3% last month). Prime funds' Weekly liquid assets totaled 44.6% (vs. 42.3% last month), which was made up of "All securities maturing within 5 days" (37.4% vs. 34.0% in November), Other treasury securities (4.7% vs. 5.2% in November), and Other agency securities (2.7% vs. 3.0% a month ago).
The report says, Government Money Market Funds' Daily liquid assets totaled 61.3% as of Dec. 31 vs. 64.3% the previous month. All securities maturing within 1 day totaled 27.5% vs. 25.1% last month. Other treasury securities added 33.8% (vs. 39.2% in November). Weekly liquid assets totaled 77.4% (vs. 80.7%), which was comprised of All securities maturing within 5 days (36.7% vs. 35.4%), Other treasury securities (31.1% vs. 37.2%), and Other agency securities (9.6% vs. 8.1%).
ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 55.5% in the Americas (vs. 46.2% last month), 20.1% in Asia Pacific (vs. 18.4%), 24.1% in Europe (vs. 35.2%), and 0.3% in Other and Supranational (vs. 0.2% last month). Government Money Market Funds held 93.9% in the Americas (vs. 86.6% last month), 0.8% in Asia Pacific (vs. 0.8%), 5.3% in Europe (vs. 12.6%), and 0.0% in Supranational (vs. 0.0%). The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 31 days as of Dec. 31, down from 33 days last month. WALs were at 56 days, down from 65 days last month. Government MMFs' WAMs was at 40 days, down from 38 days last month, while Government fund WALs was at 86 days, down from 85 days.
The release explains, "Each month, ICI reports numbers based on the Securities and Exchange Commission's Form N-MFP data, which many fund sponsors provide directly to the Institute. ICI's data report for June covers funds holding 94 percent of taxable money market fund assets." (Note: ICI publishes aggregates but doesn't publish individual fund holdings.)
