The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary last week. It shows that total money fund assets were up $46.2 billion in September to $3.034 trillion, with Prime funds increasing for the 9th month in a row. Prime MMFs gained $22.8 billion (after gaining $16.8 billion in August, $9.5 billion in July, and $4.0 billion in June) to $664.5 billion. Government money funds increased by $24.5 billion, while Tax Exempt MMFs fell by $1.0 billion. Gross yields were flat for Prime MMFs, but they increased 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.
Overall assets increased by $46.2 billion in September, $71.2 billion in August, and $19.9 billion in July. They decreased by $23.7 in June, increased $3.8 billion in May, and decreased $12.7 billion in April. Over the past 12 months through 9/30/17, total MMF assets have increased by $89.6 billion, or 3.0%. (Note that the SEC's series includes some private and internal money funds not reported to ICI or others, but Crane Data has added many of these to our collections.)
Of the $3.034 trillion in assets, $664.5 billion was in Prime funds, which increased by $22.8 billion in September. Prime MMFs increased by $16.8 billion in August, $9.5 billion in July, $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. Prime funds represented 21.9% of total assets at the end of September. They've increased by $114.1 billion, or 20.7%, YTD. But they've declined by $75.4 billion the past 12 months, or -10.2%, and by $1.084 trillion over the past 2 years.
Government & Treasury funds totaled $2.238 billion, or 73.8% of assets,, up $24.5 billion in September, their third monthly increase in a row and fourth this year. They were up $56.8 billion in August and $8.0 billion in July, down $26.9 in June, up $0.4 billion in May, and down $19.9 billion in April. Govt & Treas MMFs are up $168.6 billion over 12 months (81.5%). Tax Exempt Funds decreased $1.0B to $132.0 billion, or 4.4% of all assets. The number of money funds is 406, the same number as last month but down 73 from 9/30/16.
Yields were relatively flat in September for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on September 30 was 1.28%, unchanged from the previous month but more than double the 0.63% of September 2016. Gross yields increased to 1.08% for Government/Treasury funds, up 0.01% from the previous month, up 0.66% since September 2016. Tax Exempt Weighted Average Gross Yields increased by 0.10% in September to 0.96%; they've increased by 15 bps since 9/30/16.
The Weighted Average Net Prime Yield was 1.07%, up 0.01% from the previous month and up 0.67% since 9/30/16. The Weighted Average Prime Expense Ratio was 0.21% in September (down one basis point from the previous month). Prime expense ratios are down by two bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in September, down across all categories (except WAMs for Govt MMFs). The average Weighted Average Life, or WAL, was 61.9 days (down 2.1 days from last month) for Prime funds, 85.9 days (down 0.8 days) for Government/Treasury funds, and 28.2 days (down 0.9 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 27.7 days (down 2.9 days from the previous month) for Prime funds, 32.1 days (up 0.6 days) for Govt/Treasury funds, and 25.7 days (down 0.5 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 35.4% in September (up 3.9% from previous month). Total Weekly Liquidity was 51.5% (up 2.4%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $84.7 billion, followed by the U.S. with $55.8 billion, and France with $54.4 billion, Japan with $51.6B, then Sweden ($49.1B), Australia/New Zealand ($41.3B), Germany ($29.8) and the UK ($29.7). The Netherlands ($21.3B) and Switzerland ($15.0B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: Canada (up $7.8B), Sweden (up $5.7B), the UK (up $3.7B), Japan (up $3.1B), Australia/New Zealand (up $2.6B), Germany (up $1.4B), Singapore (up $1.1B), Switzerland (up $315M), and China (up $155M). The biggest drops came from France (down $10.5B), The Netherlands(down $10.2B), Belgium (down $5.6B), the US (down $5.6B), Other (down $594M), Norway (down $360M), and Spain (down $51M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $219.8B (down $16.4B from last month), while the Eurozone subset had $112.4 billion (down $25.2B). The Americas had $141.0 billion (up $2.1B), while Asian and Pacific had $107.7 billion (up from $7.3B).
Of the $660.4 billion in Prime MMF Portfolios as of Sept. 30, $263.1B (39.8%) was in CDs (down from $271.3B), $150.2B (22.7%) was in Government securities (including direct and repo), up from $117.6B, $93.9B (14.2%) was held in Non-Financial CP and Other Short Term Securities (up from $92.3B), $115.3B (17.4%) was in Financial Company CP (down from $118.8B), and $38.1B (5.7%) was in ABCP (down from $41.2B).
The Proportion of Non-Government Securities in All Taxable Funds was 17.9% at month-end, down from 18.5% the previous month. All MMF Repo with Federal Reserve increased to $298.5B in September from $204.1B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 36.1% were in maturities of 60 days and over (down from 38.6%), while 9.3% were in maturities of 180 days and over (down from 10.1%).
