The SEC released its latest "Money Market Fund Statistics" last week, and the latest data shows that assets were flat in August but that another $200 billion shifted from Prime to Government MMFs. Yields increased slightly for Prime MMFs and jumped for Tax Exempt MMFs. 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 decreased by $33.7 million in August to $2.980 trillion. (The SEC's series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Assets fell $21.2 billion in July, $20.7 billion in June, $18.7B in May, and $40.5B in April. Year-to-date, total assets are down $105.0 billion, or 3.4%, through 8/31. We analyze the latest numbers below, and also review S&P's ratings releases on 2 Federated "private" money funds. (See yesterday's "News".)
Of the $2.980 trillion in assets, $1.033 trillion was in Prime funds, which dropped by $201.3 billion in August after falling $44.5 billion in July, $124.5 billion in June, and $66.9B in May. Prime funds now represent 36.7% of total assets; they've declined by $538.9 billion YTD, or 34.3%, and they've fallen $757.8 billion, or 42.3% since 10/31/15. Government & Treasury funds total $1.787 trillion, or 60.6% of assets, up $198.7 billion in August, after being up $77.0 billion in July, $120 billion in June and $53.7B in May. Govt & Treas MMFs are up $538.3 billion YTD (43.1%) and $746.7 billion (71.7%) since 10/31/15, just prior to the start of the Prime to Govt conversion trend. Tax Exempt Funds were down sharply again, dropping $31.2 billion to $159.1 billion, or 5.3% of all assets. The number of money funds was 443, down 10 for the month and down 80 from 8/31/15.
Yields decreased slightly in August. The Weighted Average Gross 7-Day Yield for Prime Funds on August 31 was 0.57%, up 2 basis point from the previous month, and more than double the 0.27% of November 2015 (before the Fed hike). Gross yields were 0.41% for Government/Treasury funds, unchanged from the previous month but up 0.26% from 11/15. Tax Exempt Weighted Gross Yields jumped 13 basis points in August to 0.60%. The `Weighted Average Net Prime Yield was 0.35%, up 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 August (up one bps from July). Prime expense ratios have risen from 0.16% in November 2015.
Maturities continued to move lower and liquidity continued to inch higher in August. The average Weighted Average Life, or WAL, was 36.5 days (down 3.3 from last month) for Prime funds, 98.4 days (down 0.5 days) for Government/Treasury funds, and 29.0 days (up 2.3 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM was 21.8 days (down 3.0 days from the previous month) for Prime funds, 41.2 days (up 0.6 days) for Govt/Treasury funds, and 26.6 days (up 1.7 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 38.7% in August (up 4.1% from previous month). Total Weekly Liquidity was 62.2% (up 6.5%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, France topped the list with $145.5 billion, followed by the U.S. with $100.5 billion. Canada was third with $99.8 billion, followed by Sweden ($95.7B), Japan with $87.6 and Australia/New Zealand ($50.4B), the UK ($40.6B) and Germany ($39.5B). The Netherlands ($28.0B) and Switzerland ($24.6B) round up the top 10.
The biggest gainers among Prime MMF bank related securities for the month were Spain (up $2.5B) and China (up $1.1B). The biggest drops came from Japan (down $41.3B), the US (down $27.1B), Canada (down $12.8B), and the U.K. (down $12.0B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $414.7 billion (down from $478.2 last month), while the Eurozone subset had $227.8 billion (down from $256.2B). The Americas had $201.5 billion (down from $241.7B), while Asian and Pacific had $162.0 billion (down from $219.5B).
Of the $1.030 trillion in Prime MMF Portfolios as of August 31, $458.6B (44.5%) was in CDs (down from $528.7B), $220.1B (21.4%) was in Government securities (including direct and repo), down from $276.8B, $159.0B (15.4%) was held in Non-Financial CP and Other Short Term Securities (down from $177.2B), $141.5B (13.7%) was in Financial Company CP (down from $179.3B), and $50.5B (4.9%) was in ABCP (down from $70.8B).
The Proportion of Non-Government Securities in All Taxable Funds was 28.5% at month-end, down from 34.6% the previous month. All MMF Repo with Federal Reserve rebounded to $149.9B in August from $84.8B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 20.9% were in maturities of 60 days and over (down from 21.1%), while 3.0% were in maturities of 180 days and over (down from 3.5%).
In other news, we learned more about Federated's pending Prime Private Liquidity Fund. (See our Sept. 26 News.) Standard & Poor's also rated this new vehicle, and another new Federated private fund, AAA. S&P's release, entitled, "Federated Prime Private Liquidity Fund Rated 'AAAm'," explains, "S&P Global Ratings said today it assigned its 'AAAm' principal stability fund rating to the Federated Prime Private Liquidity Fund. The Federated Prime Private Liquidity Fund is a series of Federated Private Liquidity Funds, a Delaware statutory trust."
It continues, "The fund is a private money market fund that seeks to maintain a stable net asset value of $1.00 per share. The fund is exempt from registration as an investment company pursuant to Section 3(c)(7) of the Investment Company Act of 1940, as amended. The Federated Prime Private Liquidity Fund's investment objective is to provide current income consistent with stability of principal and liquidity by investing primarily in a portfolio of high-credit-quality, U.S.-dollar-denominated fixed-income securities that are issued by banks, corporations, and the U.S. government and mature in 397 days or less."
S&P adds, "The fund will offer four classes of shares: Founders, Builders, Premier, and Institutional. Although the fund will not register as an investment company under the 1940 Act, the fund will seek to maintain a weighted average maturity (WAM) of 60 days or less and maintain a weighted portfolio average life (WAL) of 120 days or less."
They add, "Federated Investment Counseling, a subsidiary of Federated Investors Inc., serves as investment adviser to the fund. Federated Investment Counseling performs services for its affiliated investment advisers, which manage investment company portfolios with combined assets of approximately $370 billion as of March 31, 2016. Federated Securities Corp., also a subsidiary of Federated Investors Inc. and an affiliate of Federated Investment Counseling, acts as primary placement agent to the fund. The fund's custodian, and administrator/fund accountant, is State Street Bank and Trust Co. The fund's transfer agent is State Street Bank and Trust Co. through its service company, Boston Financial Data Services Inc."
S&P also published the release, "Federated Prime Cash Collective Investment Fund Rated 'AAAm'." It explains, "S&P Global Ratings said today it assigned its 'AAAm' principal stability fund rating to the Federated Prime Cash Collective Investment Fund. The Federated Prime Cash Collective Investment Fund is a collective trust fund that seeks to provide current income consistent with stability of principal and liquidity by investing primarily in a portfolio of high-quality, dollar-denominated fixed income securities issued by banks, corporations, and the U.S. government, and mature in 365 days or less. The trust seeks to maintain a stable net asset value (NAV) of $1.00 per unit and is offered to eligible employee benefit trusts."
Finally, it adds, "To achieve its investment object, the Prime Cash Collective Investment Fund will invest in U.S. government obligations, bankers' acceptance, commercial paper, certificates of deposit, repurchase agreements, money market mutual funds, or other short-term investment funds for which the trust is an eligible participant. The fund will maintain a dollar-weighted average portfolio maturity of 60 days or less and a dollar-weighted average portfolio life maturity of 120 days or less."
