The SEC released its "Money Market Fund Statistics" for June 2016 yesterday, and the latest data shows that assets fell slightly (with yet another sharp drop in Prime and jump in Govt MMFs) and yields increased slightly. The SEC's Division of Investment Management summarizes monthly Form N-MFP data and includes asset totals and averages for yields, liquidity levels, WAMs, WALs, holdings, and other money market fund trends. The Commission's latest statistics show total money market fund assets dropped by $20.7 billion in June to $2.993 trillion. (The SEC's series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Assets fell $18.7 billion in May, $40.5 billion in April, and $50.1 billion in March, but rose $58.5 billion in February. Year-to-date, total assets are down $92.9 billion, or 3.0%, through 6/30. We analyze the latest numbers below, and also quote from a new Fitch piece on Chinese money market funds.
Of the $2.992 trillion in assets, $1.278 trillion was in Prime funds, which dropped by $124.5 billion in June after falling $66.9 billion in May, $48.0 billion in April and $68.5 billion in March. Prime funds now represent 42.7% of total assets; they've declined by $293.2 billion YTD, or 18.7%, and they've fallen $512.1 billion, or 28.6% since 10/31/15. Government & Treasury funds total $1.512 trillion, or 51.0%% of assets, up $120.0 billion in June and up $53.7 billion in May. Govt & Treas MMFs are up $262.5 billion YTD and $470.9 billion since 10/31/15, just prior to the start of the Prime to Govt conversion trend. Tax Exempt Funds were down again, dropping $16.3 billion to $201.6 billion, or 6.7% of all assets. The number of money funds was 464, down 2 for the month and down 73 from 6/31/15.
Yields increased slightly in June. The Weighted Average Gross 7-Day Yield for Prime Funds on June 30 was 0.57%, up 2 basis point from the previous month, and more than doubled the 0.27% of November 2015. Gross yields were 0.43% for Government/Treasury funds, up 0.04% from the previous month and up 0.28% from 11/15. Tax Exempt Weighted Gross Yields rose 4 basis point in June to 0.46% after jumping 8 bps in April and 25 bps in March. The `Weighted Average Net Prime Yield was 0.35%, increasing by 0.01% from the previous month and up 0.24% since 11/15. For the year-to-date, 7-day gross yields are up 16 basis points and net yields are up 13 basis points. The Weighted Average Prime Expense Ratio was 0.22% in June (unchanged from May). Prime expense ratios have risen from 0.16% in November 2015.
Maturities continued to move lower and liquidity continued to inch higher in June. The average Weighted Average Life, or WAL, was 45.1 days (down 1.7 from last month) for Prime funds, 99.2 days (up 4.2 days) for Government/Treasury funds, and 25.3 days (up 4.2 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM was 29.0 days (down 1.5 days from the previous month) for Prime funds, 40.7 days (up 1.7 days) for Govt/Treasury funds, and 23.3 days (up 4.9 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 30.5% in June (down 2.0% from previous month). Total Weekly Liquidity was 48.8% (up 0.9%).
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Japan topped the list with $145.9 billion, followed by the U.S. with $143.5 and Canada with $137.7 billion. France was fourth with $111.5 billion, followed by Sweden ($92.4B), Australia/New Zealand ($63.1B), the UK ($57.5B) and Germany ($44.3B). The Netherlands ($39.6B) and Switzerland ($29.1B) round up the top 10.
The biggest gainers among Prime MMF bank related securities for the month were Singapore (up $4.6B), Australia/New Zealand (up $1.0B) and China (up $888M). The biggest drops came from France (down $53.3B), Norway (down $32.0B), Sweden (down $28.5B), Japan (down $14.9B), Belgium (down $10.4B), Germany (down $9.6B) and Switzerland (down $7.4B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $392.0 billion (down from $545.7 last month), while the Eurozone subset had $202.0 billion (down from 281.6B). The Americas had $282.6 billion (down from $292.4B), while Asian and Pacific had $241.9 billion (down from $251.0B).
Of the $1.272 trillion in Prime MMF Portfolios as of June 30, $493.6B (38.8%) was in CDs (down from $610.7B), $315.9B (24.8%) was in Government securities (including direct and repo), up from $283.0B, $188.1B (14.8%) was held in Non-Financial CP and Other Short Term Securities (down from $211.4B), $192.0B (15.1%) was in Financial Company CP (down from $219.1B), and $82.3B (6.5%) was in ABCP (down from $88.4B).
The Proportion of Non-Government Securities in All Taxable Funds was 34.9% at month-end, down from 40.5% the previous month. All MMF Repo with Federal Reserve rebounded to $242.8B in June from a $90.9B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 25.9% were in maturities of 60 days and over (down from 28.8%), while 3.6% were in maturities of 180 days and over (up from 3.5%).
In other news, Fitch Ratings writes "Chinese Money Funds See Institutional Demand Surge." They explain, "Assets under management (AUM) in Chinese money market funds (MMFs) were CNY4.4trn (USD657bn) at end-June 2016, down from CNY4.6trn at end-2015. This stabilisation belies the growth in this segment in recent years; assets more than doubled in 2015 and AUM at end-June 2016 were 10 times larger than three years ago.... Growth from institutional investors surpassed retail investors and represented 63% of money fund assets at end-2015, according to the last available data. Retail demand triggered the rapid expansion of the Chinese money funds market from mid-2013 and dominated this market until mid-2015 when institutional demand surged following the extreme volatility in the Chinese stock market in June 2015."
The piece adds, "China has become the second-largest MMF domicile following the US representing 13% of the global market compared with just 2% at the beginning of 2013. In the Chinese mutual fund industry, money funds became the largest asset class, representing 55% of the market.... Money market ETFs surged in 2H15 after the extreme volatility in the stock market. At June 2016 there were a total of 16 money market ETFs with assets totalling CNY317bn (USD48bn)."
Finally, Fitch writes, "The new Chinese MMF regulations launched in December 2015 have taken effect. Almost all money funds have become compliant with the maturity constraints as of March 2016, limiting the weighted average maturity (WAM) within 120 days.... The new rules require asset managers to implement redemption management tools under certain circumstances. Fitch-rated MMFs' contracts have been updated with liquidity fees and redemption gate provisions. They maintain high portfolio liquidity relative to peers and regulatory minimums.... Negotiable certificates of deposit (NCDs) are eligible to MMFs under the new regulation. The growth of NCDs volumes and their improved secondary market liquidity contribute to the liquidity of MMFs' portfolios."
