The SEC's latest "Money Market Fund Statistics" data summary shows that assets increased in November, with Prime funds gaining $3.4 billion, Tax Exempt MMFs gaining $0.3 billion and Government funds gaining $56.4 billion. Gross yields continued higher for Prime MMFs but dropped again 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. Total money market fund assets increased by $60.1 billion in November to $2.975 trillion. (The SEC's series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Overall assets fell $30.0 billion in October, $35.2 billion in Sept., and $33.7 billion in August. Year-to-date, total assets are down $110.6 billion, or 3.6%, through 11/30.
Of the $2.975 trillion in assets, $566.0 billion was in Prime funds, which increased by $3.4 billion after falling $177.4 billion in October, $293.2 billion in Sept., and $201.3 billion in August. Prime funds represented 19.0% of total assets at the end of November. They've declined by $1.006 trillion YTD, or 64.0%, and they've fallen $1.225 trillion, or 68.4% since 10/31/15.
Government & Treasury funds totaled $2.274 billion, or 76.4% of assets,, up $56.4 billion, after rising $148.0 billion in October, $268.3 billion in Sept., and $212.0 billion in August. Govt & Treas MMFs are up $1.024 trillion YTD (82.0%) and $1.223 trillion (118.4%) since 10/31/15, just prior to the start of the Prime to Govt conversion trend. Tax Exempt Funds rose $0.3 billion to $135.3 billion, or 4.5% of all assets. The number of money funds was 415, down 5 from last month and down 99 from 11/30/15.
Yields increased in November for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on Nov. 30 was 0.73%, up 2 basis point from the previous month, and more than double the 0.27% of November 2015 (before the Fed hike). Gross yields increased to 0.44% for Government/Treasury funds, up 0.02% from the previous month but up 0.27% since 11/15. Tax Exempt Weighted Average Gross Yields decreased 0.07% in November to 0.62% (after rising 19 bps in Sept. and rising 59 bps since 11/30/15).
The Weighted Average Net Prime Yield was 0.49%, up 0.01% from the previous month and up 0.38% since 11/15. For the year-to-date, 7-day gross yields for Prime are up 32 basis points and net yields are up 27 basis points. The Weighted Average Prime Expense Ratio was 0.23% in November (down one bps from October). Prime expense ratios have risen from 0.17% in November 2015. (Note: These averages are asset-weighted.)
Weighted Average Maturities were mixed and liquidity dipped in November. The average Weighted Average Life, or WAL, was 62.3 days (up 3.6 days from last month) for Prime funds, 94.6 days (up 0.1 days) for Government/Treasury funds, and 27.2 days (up 1.3 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 34.6 days (down 0.6 days from the previous month) for Prime funds, 43.3 days (up 0.2 days) for Govt/Treasury funds, and 24.9 days (up 1.2 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 32.1% in November (down 4.3% from previous month). Total Weekly Liquidity was 51.1% (down 1.4%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $60.3 billion, followed by France with $57.6 billion. The US was third with $52.9 billion, followed by Japan ($43.8B), Sweden with $39.2B, Australia/New Zealand ($29.0B), Germany ($22.7B) and the Netherlands ($21.8B). The UK ($21.8B) and Switzerland ($10.5B) rounded out the top 10.
The only gainers among Prime MMF bank related securities for the month included: France (up $4.4 billion), Canada (up $4.0B), the Netherlands (up $1.5B) and Australia/New Zealand (up $747M). The biggest drops came from Japan (down $4.1B), the UK (down $3.9B), the US (down $2.4B), Switzerland (down $1.8B) and Germany (down $1.1B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $189.4B (down $154M from last month), while the Eurozone subset had $108.1 billion (up $5.5B). The Americas had $113.8 billion (up from $112.2B), while Asian and Pacific had $80.5 billion (down $3.7B).
Of the $568.0 billion in Prime MMF Portfolios as of Nov. 30, $211.1B (37.2%) was in CDs (down from $212.5B), $125.2B (22.1%) was in Government securities (including direct and repo), down from $126.0B, $112.7B (19.8%) was held in Non-Financial CP and Other Short Term Securities (up from $106.5B), $86.1B (15.2%) was in Financial Company CP (down from $86.7B), and $32.6B (5.7%) was in ABCP (up from $31.2B).
The Proportion of Non-Government Securities in All Taxable Funds was 15.8% at month-end, down from 16.2% the previous month. All MMF Repo with Federal Reserve decreased to $177.3B in November from $198.1B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 38.2% were in maturities of 60 days and over (down from 38.3%), while 6.2% were in maturities of 180 days and over (unchanged from the prior month).
In other news, the Treasury's Office of Financial Research has also updated its U.S. Money Market Fund Monitor with Nov. 30, 2016 data. OFR's tool "is designed to track the investment portfolios of money market funds by funds asset types, investments in different countries, counterparties, and other characteristics."
