The SEC released its latest "Money Market Fund Statistics" last week. The latest data set shows that assets were down slightly in October, as over $177 billion shifted out of Prime and $148 billion shifted into Government MMFs. Gross yields jumped for Prime MMFs but dropped sharply 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 $30.0 billion in October to $2.915 trillion. (The SEC's series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Assets fell $35.2 billion in Sept., $33.7 billion in August, $21.2 billion in July, and $20.7 billion in June. Year-to-date, total assets are down $170.6 billion, or 5.5%, through 10/31.

Of the $2.915 trillion in assets, $562.5 billion was in Prime funds, which dropped by $177.4 billion in October after falling $293.2 billion in Sept., $201.3 billion in August, $44.5 billion in July, $124.5 billion in June, and $66.9B in May. Prime funds represented 19.3% of total assets at the end of Oct. They've declined by $1.010 trillion YTD, or 64.2%, and they've fallen $1.228 trillion, or 68.6% since 10/31/15.

Government & Treasury funds total $2.217 billion, or 76.0% of assets, up $148.0 billion in October, after being up $268.3 billion in Sept., $212.0 billion in August, $77.0 billion in July and $120B in June. Govt & Treas MMFs are up $967.8 billion YTD (77.5%) and $1.176 trillion (129.8%) since 10/31/15, just prior to the start of the Prime to Govt conversion trend. Tax Exempt Funds were down again, dropping $0.64 billion to $135.0 billion, or 4.6% of all assets. The number of money funds was 420, down 13 for the month and down 98 from 10/31/15.

Yields increased in October. The Weighted Average Gross 7-Day Yield for Prime Funds on October 31 was 0.71%, up 8 basis point from the previous month, and more than double the 0.27% of November 2015 (before the Fed hike). Gross yields remained at 0.42% for Government/Treasury funds, unchanged from the previous month but up 0.27% since 11/15. Tax Exempt Weighted Average Gross Yields decreased 12 basis points in October to 0.69% (after rising 19 bps in Sept. and rising 59 bps since 11/30/15).

The Weighted Average Net Prime Yield was 0.48%, up 0.08% from the previous month and up 0.37% since 11/15. For the year-to-date, 7-day gross yields for Prime are up 30 basis points and net yields are up 26 basis points. The Weighted Average Prime Expense Ratio was 0.24% in October (up one bps from September). Prime expense ratios have risen from 0.17% in November 2015. (Note: These averages are asset-weighted.)

Weighted Average Maturities jumped and liquidity plunged in October as the deadline for new money fund reforms passed. The average Weighted Average Life, or WAL, was 58.7 days (up 15.8 from last month) for Prime funds, 94.5 days (down 0.1 days) for Government/Treasury funds, and 25.9 days (down 1.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM was 35.2 days (up 9.4 days from the previous month) for Prime funds, 43.1 days (up 0.9 days) for Govt/Treasury funds, and 23.7 days (down 1.2 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 36.4% in October (down 6.6% from previous month). Total Weekly Liquidity was 52.5% (down 10.5%) for Prime MMFs.

In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $56.3 billion, followed by the U.S. with $55.2 billion. France was third with $53.2 billion, followed by Japan ($47.8B), Sweden with $38.6B and Australia/New Zealand ($28.2B), the UK ($25.7B) and Germany ($23.7B). The Netherlands ($20.3B) and Switzerland ($12.2B) round up the top 10.

The only gainers among Prime MMF bank related securities for the month included: Norway (up $2.8 billion), Belgium (up $2.7B), Other (up $622 million) and Singapore (up $599M). The biggest drops came from the US (down $21.9B), Canada (down $20.5B), Sweden (down $18.7B), Australia/New Zealand (down $9.1B) and Germany (down $5.0B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $189.5B (down $29.3B from last month), while the Eurozone subset had $102.6 billion (down $7.9B). The Americas had $112.1 billion (down from $154.3B), while Asian and Pacific had $84.3 billion (down $14.3B).

Of the $563.0 billion in Prime MMF Portfolios as of October 31, $212.5B (37.7%) was in CDs (down from $260.3B), $126.0B (22.4%) was in Government securities (including direct and repo), down from $223.0B, $106.5B (18.9%) was held in Non-Financial CP and Other Short Term Securities (down from $129.1B), $86.6B (15.4%) was in Financial Company CP (up from $86.1B), and $31.2B (5.5%) was in ABCP (down from $32.2B).

The Proportion of Non-Government Securities in All Taxable Funds was 16.3% at month-end, down from 18.7% the previous month. All MMF Repo with Federal Reserve decreased to $198.1B in October from $384.3B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 38.3% were in maturities of 60 days and over (up from 24.9%), while 6.2% were in maturities of 180 days and over (up from 3.6%).

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