The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total money fund assets rose $45.2 billion in December to $3.126 trillion, but Prime funds broke their 11-month run of increases. Prime MMF assets fell by $13.6 billion to $666.2 billion (after gaining $14.3 billion in November, $1.0 billion in October, and $22.8 billion in September). Government money funds increased by $57.3 billion, while Tax Exempt MMFs rose by $1.5 billion. Gross yields jumped 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 $45.2 billion in December, after increasing by $55.4 billion in November and decreasing by $9.5 billion in October. Total 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. Over the 12 months through 12/31/17, total MMF assets increased $167.1 billion, or 5.6%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, which Crane Data also now tracks.)
Of the $3.125 trillion in assets, $666.2 billion was in Prime funds, which decreased by $13.6 billion in December. Prime MMFs increased by $14.3 billion in November, $1.0 billion in October, $22.8 billion in September, $16.8 billion in August, and $9.5 billion in July. Prime funds represented 21.3% of total assets at the end of December. They increased by $115.8 billion, or 21.0%, in 2017. But they've decreased by $905.9 billion over the past 2 years. (Over $1.1 trillion shifted from Prime to Government money market funds in the year leading up to October 2016's Money Fund Reforms.)
Government & Treasury funds totaled $2.325 billion, or 74.4% of assets,. They were up $57.3 billion in December and $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 up $51.4 billion over 12 months (2.3%). Tax Exempt Funds increased $1.5B to $134.4 billion, or 4.3% of all assets. The number of money funds is 379, down 3 funds from last month and down 34 from 12/31/16.
Yields jumped in December for Taxable and Tax Exempt MMFs as the Fed moved rates higher. The Weighted Average Gross 7-Day Yield for Prime Funds on December 31 was 1.52%, up 20 basis points from the previous month and up 0.65% from December 2016. Gross yields increased to 1.33% for Government/Treasury funds, up 0.19% from the previous month, and up from 0.56% in December 2016. Tax Exempt Weighted Average Gross Yields skyrocketed 59 bps in December to 1.59%; they've increased by 82 bps since 12/31/16.
The Weighted Average Net Prime Yield was 1.31%, up 0.19% from the previous month and up 0.69% since 12/31/16. The Weighted Average Prime Expense Ratio was 0.21% in December (up one bps from the previous month). Prime expense ratios are down by four bps over the past year. (Note: These averages are asset-weighted.)
WALs were mixed but WAMs were higher across all categories in December. The average Weighted Average Life, or WAL, was 62.7 days (down 1.8 days from last month) for Prime funds, 88.7 days (up 3.5 days) for Government/Treasury funds, and 30.0 days (up 2.9 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 29.3 days (up 1.3 days from the previous month) for Prime funds, 32.7 days (up 2.2 days) for Govt/Treasury funds, and 27.9 days (up 3.1 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 34.3% in December (up 2.0% from previous month). Total Weekly Liquidity was 50.4% (down 0.3%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $101.9 billion, followed by the US with $67.4 billion, Japan with $51.9B and Australia/New Zealand with $47.1B, then France ($39.1B), the UK ($30.5B), Sweden ($28.1B), and Germany ($24.5B). Switzerland ($16.4B) and the Netherlands ($14.5B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: Canada (up $8.8B), Aust/NZ (up $4.7B), the US (up $2.4B), Other (up $2.1B), Singapore (up $1.9B), Switzerland (up $565M), and Spain (up $108M). The biggest drops came from France (down $26.6B), the Netherlands (down $14.7B), Sweden (down $14.4B), Germany (down $8.6B), Belgium (down $5.3B), the UK (down $2.4B), Japan (down $2.2B), Norway (down $1.8B) and China (down $272 million). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $172.1B (down $71.3B from last month), while the Eurozone subset had $86.7B billion (down $54.9B). The Americas had $170.1 billion (up $11.4B), while Asian and Pacific had $114.2 billion (up $4.3B).
Of the $658.0 billion in Prime MMF Portfolios as of Dec. 31, $229.6B (34.9%) was in CDs (up from $283.6B), $162.5B (24.7%) was in Government securities (including direct and repo), down from $132.1B, $98.8B (15.0%) was held in Non-Financial CP and Other Short Term Securities (up from $95.7B), $125.7B (19.1%) was in Financial Company CP (up from $126.7B), and $41.4B (6.3%) was in ABCP (up from $40.2B).
The Proportion of Non-Government Securities in All Taxable Funds was 16.9% at month-end, down from 18.7% the previous month. All MMF Repo with Federal Reserve surged at quarter-end to $288.1B in December from $96.2B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 37.4% were in maturities of 60 days and over (down from 39.1%), while 8.6% were in maturities of 180 days and over (down from 10.4%).
