The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late Monday. It shows that total money fund assets were up sharply ($55.4 billion in November to $3.080 trillion, as Prime funds increased for the 11th month in a row. Prime MMF assets rose by $14.3 billion (after gaining $1.0 billion in October, $22.8 billion in September, and $16.8 billion in August) to $679.8 billion. Government money funds increased by $40.8 billion, while Tax Exempt MMFs rose by $0.2 billion. Gross yields moved higher for Prime, Government & Treasury, and 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 increased by $55.4 billion in November, after decreasing by $9.5 billion in October. MMFs increased by $46.2 billion in September, $71.2 billion in August, and $19.9 billion in July, but decreased by $23.7 in June and increased by $3.8 billion in May. Over the past 12 months through 11/30/17, total MMF assets have increased by $105.4 billion, or 3.5%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, which Crane Data now also tracks.)
Of the $3.080 trillion in assets, $679.8 billion was in Prime funds, which increased by $1.0 billion in October. Prime MMFs increased by $14.3 billion in November, $22.8 billion in September, $16.8 billion in August, $9.5 billion in July, and $4.0 billion in June. Prime funds represented 22.1% of total assets at the end of November. They've increased by $129.4 billion, or 23.5%, YTD. They've increased by $113.9 billion the past 12 months, or 20.1%, but they've decreased by $1.044 trillion over the past 2 years.
Government & Treasury funds totaled $2.268 billion, or 73.6% of assets,. They were up $40.8 billion in November, but they were down $11.2 billion in October. Govt MMFs increased by $24.5 billion in September, $56.8 billion in August and $8.0 billion in July, but were down $26.9 in June. Govt & Treas MMFs are down $6.2 billion over 12 months (-0.3%). Tax Exempt Funds increased $0.2B to $132.9 billion, or 4.3% of all assets. The number of money funds is 382, down 17 funds from last month and down 33 from 11/30/16.
Yields were up noticeably in November for Taxable and Tax Exempt MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on November 30 was 1.32%, up 3 basis points from the previous month and up 0.59% from November 2016. Gross yields increased to 1.14% for Government/Treasury funds, up 0.04% from the previous month, and more than double the 0.44% of November 2016. Tax Exempt Weighted Average Gross Yields were up 4 bps in November to 1.00%; they've increased by 38 bps since 11/30/16.
The Weighted Average Net Prime Yield was 1.12%, up 0.03% from the previous month and up 0.63% since 11/30/16. The Weighted Average Prime Expense Ratio was 0.20% in November (the same level as 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 higher in November, up across all categories. The average Weighted Average Life, or WAL, was 64.5 days (up 2.2 days from last month) for Prime funds, 85.2 days (up 3.1 days) for Government/Treasury funds, and 27.1 days (up 1.0 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 28.0 days (up 1.2 days from the previous month) for Prime funds, 30.5 days (up 0.4 days) for Govt/Treasury funds, and 24.8 days (up 1.2 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 32.3% in November (down 0.9% from previous month). Total Weekly Liquidity was 50.7% (down 0.2%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $93.1 billion, followed by France with $65.7 billion, the U.S. with $65.0 billion, Japan with $54.1B, then Sweden ($42.5B), Australia/New Zealand ($42.4B), Germany ($33.1B) and the UK ($32.9B). The Netherlands ($29.2B) and Switzerland ($15.8B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: Canada (up $14.6B), Germany (up $4.9B), the US (up $4.2B), Japan (up $4.1B), France (up $2.3B), the UK (up $1.6B), and Aust/NZ (up $1.5B). The biggest drops came from the Netherlands (down $5.5B), Sweden (down $4.4B), Belgium (down $1.5B), Switzerland (down $910M), Other (down $323M), and Norway (down $140 million). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $243.5B (down $4.3B from last month), while the Eurozone subset had $141.7B billion (up $415M). The Americas had $158.7 billion (up $18.7 B), while Asian and Pacific had $109.9 billion (up $6.7B).
Of the $678.3 billion in Prime MMF Portfolios as of Nov. 30, $283.6B (41.8%) was in CDs (up from $279.1B), $132.1B (19.5%) was in Government securities (including direct and repo), down from $137.3B, $95.7B (14.1%) was held in Non-Financial CP and Other Short Term Securities (up from $95.2B), $126.7B (18.7%) was in Financial Company CP (up from $119.3B), and $40.2B (5.9%) was in ABCP (up from $38.9B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.7% at month-end, up from 18.2% the previous month. All MMF Repo with Federal Reserve plunged (again) to $96.2B in November from $164.4B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 39.1% were in maturities of 60 days and over (up from 37.1%), while 10.4% were in maturities of 180 days and over (up from 9.7%).
