The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Friday. It shows that total assets were up ($19.9 billion) in July to $2.917 trillion, and Prime funds rose for the 7th month in a row. Prime MMFs gained $9.5 billion (after gaining $4.0 billion in June and $2.5 billion in May) and rose to $624.9 billion. Government money funds increased by $8.0 billion, and Tax Exempt MMFs rose by $2.3 billion. Gross yields rose again for Prime and Govt MMFs, but decreased 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. We review their latest numbers below.
Money market fund assets increased by $19.9 billion in July to $2.917 trillion. (The SEC's series includes some private and internal funds not reported to ICI or other reporting agencies; note that Crane Data has now added many of these to our collections.) Overall assets decreased by $23.7 in June, increased $3.8 billion in May, and decreased by $12.7 billion in April. Over the past 12 months through 7/31/17, total MMF assets have declined by $96.7 billion, or 3.2%.
Of the $2.917 trillion in assets, $624.9 billion was in Prime funds, which increased by $9.5 billion in July. Prime MMFs increased $4.0 billion in June, $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 21.4% of total assets at the end of July. They've declined by $609.4 billion the past 12 months, or -49.4%, but they've increased by $74.6 billion, or 13.5%, YTD.
Government & Treasury funds totaled $2.157 billion, or 73.9% of assets,, up $8.0 billion in July, just their second monthly increase this year. They were down $26.9 in June, up $0.4 billion in May, 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, and $148.0 billion in October. Govt & Treas MMFs are up $567.6 billion over 12 months (26.3%). Tax Exempt Funds increased $2.3 billion to $135.4 billion, or 4.6% of all assets. The number of money funds is 406, down 4 funds from last month and down 47 from 7/31/16.
Yields were up again in July for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on July 31 was 1.27%, up 4 basis point from the previous month, and more than double the 0.55% of July 2016. Gross yields increased to 1.06% for Government/Treasury funds, up 0.06% from the previous month and up 0.65% since 7/16. Tax Exempt Weighted Average Gross Yields decreased 0.05% in July to 0.88%, but they've almost doubled since 7/31/16.
The Weighted Average Net Prime Yield was 1.05%, up 0.04% from the previous month and up 0.71% since 7/16. The Weighted Average Prime Expense Ratio was 0.22% in July (unchanged from the previous month). Prime expense ratios have remained relatively flat over the past year, rising by just one basis point. (Note: These averages are asset-weighted.)
WALs and WAMs were up mixed in July, up for Prime and Tax Exempt but down for Govt funds. The average Weighted Average Life, or WAL, was 65.1 days (up 0.3 days from last month) for Prime funds, 87.1 days (down 0.3 days) for Government/Treasury funds, and 23.5 days (up 0.4 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 31.2 days (up 0.8 days from the previous month) for Prime funds, 32.3 days (down 1.3 days) for Govt/Treasury funds, and 20.7 days (up 0.2 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 32.1% in July (down 3.4% from previous month). Total Weekly Liquidity was 49.6% (down 0.5%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $79.4 billion, followed by the U.S. with $61.0 billion, France with $56.6 billion, Japan with $48.3B, then Sweden ($39.1B), Australia/New Zealand ($36.5B), Germany ($27.0B), and the UK ($25.7B). The Netherlands ($24.2B) and Switzerland ($12.9B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: France (up $11.3B), Germany (up $8.2 billion), the Netherlands (up $8.0B), Belgium (up $6.2B), Norway (up $2.8B), the U.K. (up $2.7B), the U.S. (up $1.7B), China (up $85M), and Spain (up $46M).. The biggest drops came from Sweden (down $3.7B), Switzerland (down $2.7B), Australia/New Zealand (down $1.7B), Japan (down $1.1B), Canada (down $1.0B), Other (down $945M), and Singapore(down $762M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $210.8B (up $32.0B from last month), while the Eurozone subset had $120.5 billion (up $33.6B). The Americas had $140.8 billion (up from $140.2B), while Asian and Pacific had $98.3 billion (down from $101.9B).
Of the $622.3 billion in Prime MMF Portfolios as of July 31, $255.8B (41.1%) was in CDs (up from $231.7B), $136.5B (21.9%) was in Government securities (including direct and repo), down from $154.7B, $88.5B (14.2%) was held in Non-Financial CP and Other Short Term Securities (up from $83.5B), $103.9B (16.7%) was in Financial Company CP (up from $101.6B), and $37.7B (6.1%) was in ABCP (down from $38.0B).
The Proportion of Non-Government Securities in All Taxable Funds was 17.5% at month-end, up from 16.8% the previous month. All MMF Repo with Federal Reserve decreased to $184.0B in July from $364.4B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 38.3% were in maturities of 60 days and over (down from 39.7%), while 10.3% were in maturities of 180 days and over (up from 8.8%).
