SEC Stats: Yields Jump in January
The SEC released its latest "Money Market Fund Statistics" report, with data as of Jan. 31, 2016. 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. The SEC's report shows total money market fund assets stood at $3.064 trillion overall at the end of January, down $21.5 billion, after jumping $6.0 billion in December, dropping $6.6 billion in November, and rising $62.3 billion in October, 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 $3.064 trillion in assets, $1.565 trillion was in Prime funds, down $6.3 billion in January, while $1.242 was in Government and Treasury funds, down $7.1 billion. Tax Exempt Funds were down $8.0 billion to $255.9 billion. The number of money funds was 497, down 5 for the month. The Weighted Average Gross 7-Day Yield for Prime Funds on Jan. 31 was 0.49% (up 0.08% from the previous month), 0.34% for Government/Treasury funds (up 0.06% from last month), and 0.07% for Tax-Exempt funds (unchanged). The Weighted Average Net Prime Yield was 0.29% (up 7 basis points). The Weighted Average Prime Expense Ratio was 0.20% (up 1 basis point from the previous month). The average Weighted Average Life, or WAL, was 60.4 days (up 2.4 days from last month) for Prime funds, 88.9 days (up 3.7 days) for Government/Treasury funds, and 28.1 days (down 1.3 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 34.5 days up 3.9 days from the previous month) for Prime funds, 39.4 days (down 0.9 days) for Govt/Treasury funds, and 26.1 days (down 1.3 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 27.8% in January (down 4.5% from last month). Total Weekly Liquidity was 42.5% (down 2.8%). In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, the United States topped the list with $182.1 billion, followed by France with $181.8 billion, and Canada with $177.6 billion. Japan was fourth with $161.6 billion, followed by Sweden ($116.0B), Australia/New Zealand ($84.3B), UK ($77.1B), The Netherlands ($50.0B), Germany ($43.5B), and Switzerland ($41.9B). The biggest gainers for the month were France (up 77.3B), Sweden (up $63.7B), Norway (up $26.4B), UK (up $19.4B), Belgium (up $11.1B), Germany (up $10.7B), Switzerland (up $10.2B), and The Netherlands (up $6.5B). The biggest drops came from US (down $5.6B), Canada (down $5.6B), Singapore (down $4.2B), Aust/NZ (down $3.1B), and Japan (down $635M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $564.9 billion (up from $339.2B from last month), while its subset, the Eurozone, had $291.9 billion (up from $186.6B). The Americas had $361.7 billion (down from $373.2B), while Asia and Pacific had $272.2 billion (down from $279.3B). Of the $1.565 trillion in Prime MMF Portfolios as of Jan. 31, $502.5B (32.1%) was in CDs (up from $448.0B), $338.2B (21.6%) was in Government (including direct and repo) (down from $511.3B), $393.3B (25.1%) was held in Non-Financial CP and Other Short term Securities (up from $284.5B), $233.4B (14.9%) was in Financial Company CP (up from $212.0B), and $97.2B (6.2%) was in ABCP (down from $100.0B). Also, the Proportion of Non-Government Securities in All Taxable Funds was 44.0% at month-end, up from 37.4% the previous month. All MMF Repo with Federal Reserve was $104.0 billion on Jan. 31, down big from $398.0B. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 37.3% were in maturities of 60 days and over (up from 35.4%), while 5.2% were in maturities of 180 days and over (unchanged).
