The SEC's latest "Money Market Fund Statistics" data summary shows that total assets decreased in December, with Prime funds losing $15.5 billion, Tax Exempt MMFs losing $0.8 billion and Government funds losing $0.2 billion. Gross yields continued higher for Prime MMFs and 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. Money market fund assets decreased by $16.6 billion in December to $2.958 trillion. (The SEC's series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Overall assets increased by $60.1 billion in November, but fell $30.0 billion in October, $35.2 billion in Sept., and $33.7 billion in August. In 2016, total assets were down $127.1 billion, or 4.1%, through 12/31.
Of the $2.958 trillion in assets, $550.4 billion was in Prime funds, which decreased by $15.5 billion in Dec., after increasing $3.4 billion in Nov., but falling $177.4 billion in October, $293.2 billion in Sept., and $201.3 billion in August. Prime funds represented 18.6% of total assets at the end of December. They declined by $1.022 trillion in 2016, or 65.0%, and they plunged $1.241 trillion, or 69.3% since 10/31/15.
Government & Treasury funds totaled $2.273 billion, or 76.9% of assets,, down $10.2 billion in December, after rising $56.4 billion in November, $148.0 billion in October, $268.3 billion in Sept., and $212.0 billion in August. Govt & Treas MMFs are up $1.024 trillion in 2016 (81.3%) and $1.232 trillion (118.4%) since 10/31/15, just prior to the start of the Prime to Govt conversion trend. Tax Exempt Funds declined $0.8 billion to $134.5 billion, or 4.5% of all assets. The number of money funds was 413, down 2 from last month and down 89 from 12/31/15.
Yields increased in December for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on Dec. 31 was 0.87%, up 14 basis point from the previous month, and more than triple the 0.27% of November 2015 (before the first Fed hike). Gross yields increased to 0.56% for Government/Treasury funds, up 0.12% from the previous month and up 0.41% since 11/15. Tax Exempt Weighted Average Gross Yields increased 0.15% in December to 0.77% (after falling 7 bps in Nov. and rising 70 bps since 11/30/15).
The Weighted Average Net Prime Yield was 0.62%, up 0.13% from the previous month and up 0.51% since 11/15. In 2016, 7-day gross yields for Prime were up 46 basis points (to 0.87%) and net yields are up 40 basis points. The Weighted Average Prime Expense Ratio was 0.24% in December (up one bps from November). Prime expense ratios have risen from 0.17% in November 2015. (Note: These averages are asset-weighted.)
Weighted Average Maturities were mixed and liquidity inched up in December. The average Weighted Average Life, or WAL, was 61.5 days (down 0.8 days from last month) for Prime funds, 96.1 days (up 1.5 days) for Government/Treasury funds, and 28.5 days (up 1.3 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 31.3 days (down 3.3 days from the previous month) for Prime funds, 45.6 days (up 2.3 days) for Govt/Treasury funds, and 26.4 days (up 1.5 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 35.6% in November (up 3.5% from previous month). Total Weekly Liquidity was 51.2% (up 0.1%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $70.6 billion, followed by the US with $58.5 billion. Japan was third with $44.8 billion, followed by France ($41.6B), Australia/New Zealand with $34.5B, Sweden ($23.4B), Germany ($19.9B) and the UK ($13.6B). The Netherlands ($12.4B) and Switzerland ($11.3B) rounded out the top 10.
The only gainers among Prime MMF bank related securities for the month included: Canada (up $10.3 billion), US (up $5.6B), Australia/New Zealand (up $5.5B) and Japan (up $996M). The biggest drops came from France (down $16.0B), Sweden (down $15.8B), Netherlands (down $9.4B), the UK (down $8.2B) and Norway (down $3.3B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $132.2B (down $57.2B from last month), while the Eurozone subset had $78.4 billion (down $29.7B). The Americas had $129.8 billion (up from $113.7B), while Asian and Pacific had $88.7 billion (up from $80.5B).
Of the $545.3 billion in Prime MMF Portfolios as of Dec. 31, $191.5B (35.1%) was in CDs (down from $211.1B), $138.1B (25.3%) was in Government securities (including direct and repo), up from $125.2B, $104.5B (19.2%) was held in Non-Financial CP and Other Short Term Securities (down from $112.7B), $78.7B (14.4%) was in Financial Company CP (down from $86.1B), and $32.5B (5.9%) was in ABCP (down from $32.6B).
The Proportion of Non-Government Securities in All Taxable Funds was 15.0% at month-end, down from 15.8% the previous month. All MMF Repo with Federal Reserve increased to $403.4B in December from $177.3B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 37.4% were in maturities of 60 days and over (down from 38.2%), while 6.9% were in maturities of 180 days and over (up from 6.2).
In other news, the Treasury's Office of Financial Research has also updated its U.S. Money Market Fund Monitor with Dec. 31, 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."
