The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total assets were down ($23.7 billion) in June, but Prime funds rose for the 6th month in a row. Prime MMFs gained $4.0 billion (after gaining $2.5 billion in May and $9.8 billion in April). Government money funds decreased by $26.9 billion, while Tax Exempt MMFs lost $0.8 billion. Gross yields rose for Prime, Govt and Tax Exempt MMFs as the Fed hiked rates for the third time in 2 years in June. 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 decreased by $23.7 billion in June to $2.897 trillion. (The SEC's series includes some private and internal funds not reported to ICI or other reporting agencies; note that Crane Data has been adding many of these to our collections.) Overall assets increased by $3.8 billion in May, decreased by $12.7 billion in April and $1.7 billion in March, and increased by $14.2 in February. Over the past 12 months through 6/30/17, total MMF assets have declined by $95.3 billion, or 3.2%.
Of the $2.897 trillion in assets, $615.4 billion was in Prime funds, which increased by $4.0 billion in June. Prime MMFs increased $2.5 billion in May, $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., and decreased by $177.4 billion in October. Prime funds represented 21.2% of total assets at the end of June. They've declined by $663.5 billion the past 12 months, or -51.9%, but they've increased by $65.0 billion, or 11.8%, YTD.
Government & Treasury funds totaled $2.149 billion, or 74.2% of assets,, down $26.9 billion in June. They were down $0.4 billion in May, $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, and $148.0 billion in October. Govt & Treas MMFs are up $636.7 billion over 12 months (42.1%). Tax Exempt Funds decreased $0.8 billion to $133.1 billion, or 4.6% of all assets. The number of money funds is 410, down 1 fund from last month and down 54 from 6/30/16.
Yields were up again in June for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on June 30 was 1.23%, up 14 basis point from the previous month, and more than double the 0.57% of June 2016. Gross yields increased to 1.00% for Government/Treasury funds, up 0.16% from the previous month and up 0.57% since 6/16. Tax Exempt Weighted Average Gross Yields increased 0.09% in June to 0.93%, and they've doubled since 6/30/16.
The Weighted Average Net Prime Yield was 0.86%, up 0.12% from the previous month and up 0.56% since 6/16. The Weighted Average Prime Expense Ratio was 0.19% in June (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 up in June. The average Weighted Average Life, or WAL, was 64.8 days (up 4.7 days from last month) for Prime funds, 87.4 days (up 3.9 days) for Government/Treasury funds, and 23.1 days (up 3.5 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.4 days (up 1.6 days from the previous month) for Prime funds, 33.6 days (up 1.8 days) for Govt/Treasury funds, and 20.5 days (up 3.7 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 35.5% in June (up 1.1% from previous month). Total Weekly Liquidity was 50.1% (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 $80.4 billion, followed by the U.S. with $59.3 billion. Japan was third with $49.4B, followed by France with $45.2 billion, Sweden ($42.8B), Australia/New Zealand ($38.2B), the UK ($23.0B) and Germany ($18.8B). The Netherlands ($16.1B) and Switzerland ($15.5B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: Canada (up $11.2 billion), Singapore (up $4.3B), the U.S. (up $2.1B), Japan (up $1.7B), Australia/New Zealand (up $766M), Other (up $764M), and Sweden (up $203M).. The biggest drops came from France (down $17.8B), Germany (down $6.7B), Belgium (down $6.4B), the Netherlands (down $5.1B), Norway (down $4.0B), the UK (down $3.1B), Switzerland (down $679M), Spain (down $271M), and China (down $210M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $178.4B (down $43.5B from last month), while the Eurozone subset had $86.7 billion (down $36.0B). The Americas had $140.2 billion (up from $126.9B), while Asian and Pacific had $101.9 billion (up from $95.2B).
Of the $615.4 billion in Prime MMF Portfolios as of June 30, $231.7B (38.0%) was in CDs (down from $257.7B), $154.71B (25.4%) was in Government securities (including direct and repo), up from $120.1B, $83.5B (13.7%) was held in Non-Financial CP and Other Short Term Securities (down from $94.6B), $101.6B (16.7%) was in Financial Company CP (down from $103.1B), and $38.0B (6.2%) was in ABCP (up from $34.9B).
The Proportion of Non-Government Securities in All Taxable Funds was 16.8% at month-end, down from 18.0% the previous month. All MMF Repo with Federal Reserve increased to $364.4B in June from $243.6B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 39.7% were in maturities of 60 days and over (up from 35.0%), while 8.8% were in maturities of 180 days and over (up from 8.6%).
