The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary earlier this week. It shows that total money fund assets were down $9.5 billion in October to $3.025 trillion, but Prime funds increased for the 10th month in a row. Prime MMF assets rose by $1.0 billion (after gaining $22.8 billion in September, $16.8 billion in August, and $9.5 billion in July) to $665.5 billion. Government money funds decreased by $11.2 billion, while Tax Exempt MMFs rose by $0.7 billion. Gross yields inched higher for Prime, Government & Treasury MMFs, but were flat for Tax Exempt funds. 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 decreased by $9.5 billion in October, after increasing by $46.2 billion in September, and increasing $71.2 billion in August. MMFs increased by $19.9 billion in July, decreased by $23.7 in June, and increased by $3.8 billion in May. Over the past 12 months through 10/31/17, total MMF assets have increased by $110.1 billion, or 3.8%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, but Crane Data has added many of these funds to our collections. over the past year)
Of the $3.025 trillion in assets, $665.5 billion was in Prime funds, which increased by $1.0 billion in October. Prime MMFs increased by $22.8 billion in September, $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, and $24.9 billion in February. Prime funds represented 22.0% of total assets at the end of October. They've increased by $115.1 billion, or 20.9%, YTD. They've increased by $103.2 billion the past 12 months, or 18.3%, but have decreased by $1.125 trillion over the past 2 years.
Government & Treasury funds totaled $2.227 billion, or 73.6% of assets,. They were down $11.2 billion in October, their first decrease since June, but they were up $24.5 billion in September. Govt MMFs were also up $56.8 billion in August and $8.0 billion in July, down $26.9 in June, and up $0.4 billion in May. Govt & Treas MMFs are up $9.3 billion over 12 months (0.4%). Tax Exempt Funds increased $0.7B to $132.7 billion, or 4.4% of all assets. The number of money funds is 399, down by seven funds from last month and down 21 from 10/31/16.
Yields were up fractionally in October for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on October 31 was 1.29%, up one basis point from the previous month but up 0.71% from October 2016. Gross yields increased to 1.10% for Government/Treasury funds, up 0.02% from the previous month, and more than double the 0.42% of October 2016. Tax Exempt Weighted Average Gross Yields remained the same in October at 0.96%; they've increased by 27 bps since 10/31/16.
The Weighted Average Net Prime Yield was 1.09%, up 0.02% from the previous month and up 0.61% since 10/31/16. The Weighted Average Prime Expense Ratio was 0.20% in October (down one basis point from the previous month). Prime expense ratios are down by four bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were lower in October, down across all categories (except WAMs for Prime MMFs). The average Weighted Average Life, or WAL, was 62.3 days (up 0.4 days from last month) for Prime funds, 82.1 days (down 3.8 days) for Government/Treasury funds, and 26.1 days (down 2.1 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 26.8 days (down 0.9 days from the previous month) for Prime funds, 30.1 days (down 2.0 days) for Govt/Treasury funds, and 23.6 days (down 2.1 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 33.2% in October (down 2.2% from previous month). Total Weekly Liquidity was 50.9% (down 0.6%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $78.5 billion, followed by France with $63.4 billion, the U.S. with $60.9 billion, Japan with $50.1B, then Sweden ($46.9B), Australia/New Zealand ($40.9B), the Netherlands ($34.7) and the UK ($31.3). Germany ($28.2B) and Switzerland ($16.7B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: the Netherlands (up $13.4B), France (up $8.9B), Belgium (up $8.0B), the U.S. (up $5.1B), Switzerland (up $1.7B), and the UK (up $1.6B). The biggest drops came from Canada (down $6.2B), Sweden (down $2.1B), Singapore (down $1.9B), Norway (down $1.8B), Germany (down $1.6B), Japan (down $1.6B), Aust/NZ (down $471 million), and China (down $435 million). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $247.7B (up $27.8B from last month), while the Eurozone subset had $141 billion (up $28.7B). The Americas had $140.0 billion (down $986 million), while Asian and Pacific had $103.3 billion (down $4.5B).
Of the $669.8 billion in Prime MMF Portfolios as of Oct. 31, $279.1B (41.7%) was in CDs (up from $263.1B), $137.3B (20.5%) was in Government securities (including direct and repo), down from $150.2B, $95.2B (14.2%) was held in Non-Financial CP and Other Short Term Securities (up from $93.9B), $119.3B (17.8%) was in Financial Company CP (up from $115.3B), and $38.9B (5.8%) was in ABCP (up from $38.1B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.2% at month-end, up from 17.9% the previous month. All MMF Repo with Federal Reserve plunged to $164.4B in October from $298.5B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 37.1% were in maturities of 60 days and over (up from 36.1%), while 9.7% were in maturities of 180 days and over (up from 9.3%).
