The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total money fund assets fell $44.3 billion in January to $3.081 trillion, but Prime funds inched higher (after falling for the first time in 12 months last month). Prime MMF assets rose by $3.2 billion to $669.4 billion (after falling $13.6 billion in December, but gaining $14.3 billion in November, $1.0 billion in October, and $22.8 billion in September). Government money funds decreased by $54.7 billion, while Tax Exempt MMFs rose by $7.2 billion. Gross yields rose again for Prime and Government funds, but plunged 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 decreased by $44.3 billion in January, after increasing by $45.2 billion in December and $55.4 billion in November, but 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. Over the 12 months through 1/31/18, total MMF assets increased $164.1 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 $3.081 trillion in assets, $669.4 billion was in Prime funds, which increased by $3.2 billion in January. Prime MMFs decreased by $13.6 billion in December, but increased by $14.3 billion in November, $1.0 billion in October, $22.8 billion in September, and $16.8 billion in August. Prime funds represented 21.7% of total assets at the end of January. They've increased by $107.3 billion, or 19.1%, over the past 12 months. But they've decreased by $896.1 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 $2.270 billion, or 73.7% of assets,. They were down $54.7 billion in January, but up by $57.3 billion in December and $40.8 billion in November. Govt MMFs were down $11.2 billion in October, but they increased $24.5 billion in September, $56.8 billion in August and $8.0 billion in July. Govt & Treas MMFs are up $50.5 billion over 12 months (2.3%). Tax Exempt Funds increased $7.2B to $141.6 billion, or 4.3% of all assets. The number of money funds is 380, up one funds from last month but down 31 from 1/31/17.
Yields rose in January for Taxable MMFs after jumping in December (following the Fed move in Dec.). The Weighted Average Gross 7-Day Yield for Prime Funds on January 31 was 1.58%, up 6 basis points from the previous month and up 0.67% from January 2017. Gross yields increased to 1.38% for Government/Treasury funds, up 0.05% from the previous month, and up from 0.78% in January 2017. Tax Exempt Weighted Average Gross Yields plummeted 41 bps in January (after spiking in December) to 1.18%; they've increased by 46 bps since 1/31/17.
The Weighted Average Net Prime Yield was 1.38%, up 0.07% from the previous month and up 0.71% since 1/31/17. The Weighted Average Prime Expense Ratio was 0.20% in January (down 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 lower across all categories in January. The average Weighted Average Life, or WAL, was 60.2 days (down 2.5 days from last month) for Prime funds, 90.6 days (up 1.9 days) for Government/Treasury funds, and 26.0 days (down 4.0 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 27.0 days (down 2.3 days from the previous month) for Prime funds, 31.1 days (down 1.6 days) for Govt/Treasury funds, and 24.0 days (down 3.9 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 27.7% in January (down 6.6% from previous month). Total Weekly Liquidity was 49.8% (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 $88.7 billion, followed by the US with $72.4 billion, France with $62.1B, Japan ($50.2B), and Australia/New Zealand with $42.4B. Sweden ($39.1B), the Netherlands ($36.6B), the UK ($32.5B), Germany ($28.7B) and Switzerland ($20.9B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: France (up $23.0B), the Netherlands (up $22.2B), Sweden (up $11.0B), the US (up $4.9B), Switzerland (up $4.5B), Germany (up $4.2B), Belgium (up $4.0B), the UK (up $2.0B), and Norway (up $1.1B). The biggest drops came from Canada (down $13.2B), Australia/NZ (down $4.7B), Singapore (down $2.8B), Japan (down $1.7B), China (down $578M), and Spain (down $133M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $244.8B (up $72.7B from last month), while the Eurozone subset had $140.6B billion (up $53.8B). The Americas had $161.7 billion (down $8.4B), while Asian and Pacific had $104.4 billion (down $9.8B).
Of the $667.9 billion in Prime MMF Portfolios as of Jan. 31, $265.8B (39.7%) was in CDs (up from $229.6B), $120.8B (18.1%) was in Government securities (including direct and repo), down from $162.5B, $97.7B (14.6%) was held in Non-Financial CP and Other Short Term Securities (down from $98.8B), $141.6B (21.2%) was in Financial Company CP (up from $125.7B), and $42.0B (6.3%) was in ABCP (up from $41.4B). The Proportion of Non-Government Securities in All Taxable Funds was 18.7% at month-end, up from 16.9% the previous month. All MMF Repo with Federal Reserve plunged after quarter-end to $55.1B in January (the lowest level in over 2 years) from $288.1B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.1% were in maturities of 60 days and over (down from 37.4%), while 8.6% were in maturities of 180 days and over (the same percentage as last month).
