The SEC's latest "Money Market Fund Statistics" data summary shows that total assets decreased in January, with Prime funds gaining $11.7 billion, Tax Exempt MMFs gaining $0.9 billion and Government funds losing $53.8 billion. Gross yields continued higher for Prime MMFs and Govt MMFs, but declined 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 $41.1 billion in January to $2.917 trillion. (The SEC's series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies, though we're in the process of adding many of these to our collections.) Overall assets decreased by $16.6 billon in December, increased by $60.1 billion in November, and fell $30.0 billion in October. Over 12 months through 1/31/17, total MMF assets declined by $146.7 billion, or 4.8%.
Of the $2.917 trillion in assets, $562.1 billion was in Prime funds, which increased by $11.7 billion in Jan., after decreasing $15.5 billion in December, increasing $3.4 billion in Nov., and falling $177.4 billion in October, $293.2 billion in Sept., and $201.3 billion in August. Prime funds represented 19.3% of total assets at the end of January. They've declined by $1.003 trillion the past 12 months, or 64.1%.
Government & Treasury funds totaled $2.220 billion, or 76.1% of assets,, down $53.8 billion in January, after falling $10.2 billion in Dec., and 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 $977 billion over 12 months (78.7%). Tax Exempt Funds increased $0.9 billion to $135.4 billion, or 4.6% of all assets. The number of money funds was 411, down 2 from last month and down 86 from 1/31/16.
Yields increased in January for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on Jan. 31 was 0.91%, up 4 basis point from the previous month, and more than double the 0.49% of January 2016. Gross yields increased to 0.60% for Government/Treasury funds, up 0.04% from the previous month and up 0.26% since 1/16. Tax Exempt Weighted Average Gross Yields decreased 0.05% in January to 0.72%, but they've risen 65 bps since 1/31/16).
The Weighted Average Net Prime Yield was 0.67%, up 0.05% from the previous month and up 0.38% since 1/16. Over 12 months, 7-day gross yields for Prime are up 42 basis points (to 0.91%) and up 4 basis points the past month. The Weighted Average Prime Expense Ratio was 0.24% in January (down one bps from December). Prime expense ratios have risen from 0.20% in January 2016. (Note: These averages are asset-weighted.)
Weighted Average Maturities shortened and liquidity moved lower in January. The average Weighted Average Life, or WAL, was 60.4 days (down 1.1 days from last month) for Prime funds, 96.2 days (up 0.1 days) for Government/Treasury funds, and 26.9 days (down 1.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.8 days (down 0.5 days from the previous month) for Prime funds, 43.5 days (down 2.1 days) for Govt/Treasury funds, and 24.5 days (down 1.9 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 33.6% in January (down 2.0% from previous month). Total Weekly Liquidity was 50.0% (down 1.2%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $64.2 billion, followed by the US with $58.0 billion. France was third with $55.0B, followed by Japan with $43.6 billion, Sweden ($38.9B), Australia/New Zealand with $33.0B, Germany ($25.3B) and the UK ($24.1B). The Netherlands ($16.8B) and Switzerland ($11.8B) rounded out the top 10.
The only gainers among Prime MMF bank related securities for the month included: Sweden (up $15.5 billion), France (up $13.4B), the UK (up $10.5B), Belgium (up $6.0B), Germany (up $5.5B), and the Netherlands (up $4.4B). The biggest drops came from Canada (down $6.3B), Australia/New Zealand (down $1.5B), Japan (down $1.2B), and the US (down $477M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $191.9B (up $59.6B from last month), while the Eurozone subset had $107.6 billion (up $29.1B). The Americas had $122.8 billion (down from $129.7B), while Asian and Pacific had $86.1 billion (down from $88.7B).
Of the $562.1 billion in Prime MMF Portfolios as of Jan. 31, $232.3B (41.5%) was in CDs (up from $191.4B), $105.9B (18.9%) was in Government securities (including direct and repo), down from $138.1B, $104.0B (18.6%) was held in Non-Financial CP and Other Short Term Securities (down from $104.5B), $86.9B (15.5%) was in Financial Company CP (up from $78.6B), and $31.3B (5.6%) was in ABCP (down from $32.5B).
The Proportion of Non-Government Securities in All Taxable Funds was 16.8% at month-end, up from 15.0% the previous month. All MMF Repo with Federal Reserve decreased to $165.2B in January from $403.4B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 38.1% were in maturities of 60 days and over (up from 37.4%), while 6.9% were in maturities of 180 days and over (unchanged).
