The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total assets were up slightly ($3.8 billion) in May, with Prime funds rising for the 5th month in a row, gaining $2.5 billion (after gaining $9.8 billion in April and $12.1B in March). Tax Exempt MMFs gained $1.0 billion and Government funds gained $0.4 billion. Gross yields rose for both Prime and Govt MMFs ahead of this month's Fed hike. 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. We review their latest recap below.
Money market fund assets increased by $3.8 billion in May to $2.921 trillion. (The SEC's series includes some private and internal funds not reported to ICI or other reporting agencies; note that Crane Data has adding many of these to our collections.) Overall assets decreased by $12.7 billion in April and $1.7 billion in March, increased by $14.2 in February, and decreased by $41.1 billion in January. Over the past 12 months through 5/31/17, total MMF assets have declined by $92.4 billion, or 3.1%.
Of the $2.921 trillion in assets, $611.4 billion was in Prime funds, which increased by $2.5 billion in May. Prime MMFs increased $9.8 billion in April, $12.1 billion in March, $24.9 billion in February and $11.7 billion in Jan. But they decreased $15.5 billion in December, increased $3.4 billion in Nov., decreased by $177.4 billion in October, and decreased $293.2 billion in Sept. Prime funds represented 20.9% of total assets at the end of May. They've declined by $792.0 billion the past 12 months, or -56.4%, but they've increased by $61.0 billion, or 11.1%, YTD.
Government & Treasury funds totaled $2.176 billion, or 74.5% of assets,, up $0.4 billion in May. They were down $19.9 billion in April, $14.5 billion in March, $10.1 billion in February, $53.8 billion in January and $10.2 billion in Dec. But Govt MMFs rose $56.4 billion in November, $148.0 billion in October, and $268.3 billion in Sept. Govt & Treas MMFs are up $783.6 billion over 12 months (56.3%). Tax Exempt Funds increased $1.0 billion to $133.9 billion, or 4.6% of all assets. The number of money funds is 411, down 1 fund from last month and down 55 from 5/31/16.
Yields were up again in May for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on May 31 was 1.09%, up 1 basis point from the previous month, and almost double the 0.56% of May 2016. Gross yields increased to 0.84% for Government/Treasury funds, up 0.04% from the previous month and up 0.45% since 5/16. Tax Exempt Weighted Average Gross Yields decreased 0.10% in May to 0.84%, and they've doubled since 5/31/16.
The Weighted Average Net Prime Yield was 0.87%, up 0.01% from the previous month and up 0.53% since 5/16. The Weighted Average Prime Expense Ratio was 0.22% in May (unchanged from the previous month). Prime expense ratios have remained flat over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in May. The average Weighted Average Life, or WAL, was 60.1 days (up 1.4 days from last month) for Prime funds, 83.5 days (down 2.7 days) for Government/Treasury funds, and 19.6 days (down 2.5 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 28.8 days (up 0.4 days from the previous month) for Prime funds, 31.8 days (down 3.4 days) for Govt/Treasury funds, and 16.8 days (down 2.7 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 34.4% in May (up 5.5% from previous month). Total Weekly Liquidity was 49.5% (up 0.6%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $68.9 billion, followed by France with $63.2 billion. The U.S. was third with $57.1B, followed by Japan with $47.7 billion, Sweden ($42.6B), Australia/New Zealand ($37.4B), the UK ($26.2B) and Germany ($24.7B). The Netherlands ($21.4B) and Switzerland ($16.2B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: France (up $3.6 billion), the Netherlands (up $1.5B), Switzerland (up $1.4B), Sweden (up $880M), the UK (up $293M), China (up $245M), Belgium (up $137M), and Canada (up $14M).. The biggest drops came from the US (down $4.0B), Norway (down $2.3B), Australia/New Zealand (down $1.7B), Singapore (down $1.0B), Japan (down $652M), Germany (down $326M), and Spain (down $272M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $221.3B (up $5.0B from last month), while the Eurozone subset had $121.9 billion (up $4.7B). The Americas had $126.5 billion (down from $130.5B), while Asian and Pacific had $95.1 billion (up from $98.1B).
Of the $610.5 billion in Prime MMF Portfolios as of May 31, $257.7B (42.2%) was in CDs (down from $259.2B), $120.1B (19.7%) was in Government securities (including direct and repo), up from $105.5B, $94.6B (15.5%) was held in Non-Financial CP and Other Short Term Securities (down from $101.8B), $103.1B (16.9%) was in Financial Company CP (up from $103.0B), and $34.9B (5.7%) was in ABCP (down from $34.3B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.6% at month-end, down from 19.2% the previous month. All MMF Repo with Federal Reserve increased to $243.6B in May from $173.8B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.0% were in maturities of 60 days and over (up from 33.1%), while 8.6% were in maturities of 180 days and over (up from 8.2%).
