SEC Statistics Show Yields Up
The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday. (The summary was delayed due to technical issues.) It shows that total money fund assets rose by $45.6 billion in May to $3.150 trillion, with most of the increase coming from Government & Treasury Funds. Prime MMF assets rose by $0.7 billion to $686.0 billion. Government money funds increased by $38.1 billion, while Tax Exempt MMFs rose by $6.8 billion. Gross yields rose again for Prime and Government & Treasury Funds, but Tax Exempt Funds fell in the latest month. 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 $45.6 billion in May, after increasing by $31.0 billion in April, decreasing $48.2 billion in March, and increasing $40.7 billion in February. Over the 12 months through 5/31/18, total MMF assets increased $233.3 billion, or 7.3%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, though Crane Data tracks many of these.) Prime MMFs increased by $22.1 billion in April, decreased by $3.4 billion in March, and decreased $2.8 billion in February. Prime funds represented 21.8% of total assets at the end of May. They've increased by $74.6 billion, or 10.9%, over the past 12 months. But they've decreased by $717.3 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 $2.322 billion, or 73.7% of assets. They were up $1.0 billion in April, down $41.7 billion in March, but up $44.9 billion in February. Govt & Treas MMFs are up $146.0 billion over 12 months (6.3%). Tax Exempt Funds increased $6.8B to $142.8 billion, or 4.5% of all assets. The number of money funds was 381 in May, the same as April. Yields moved higher again in May, after moving higher in April, jumping in March and increasing in February, January, and December. The Weighted Average Gross 7-Day Yield for Prime Funds on May 31 was 2.02%, up 6 basis points from the previous month and up 0.93% from May 2017. Gross yields increased to 1.80% for Government/Treasury funds, up 0.06% from the previous month, and up from 0.96% from May 2017. Tax Exempt Weighted Average Gross Yields dropped 47 bps in May to 1.71%; they've increased by 40 bps since 5/31/17. The Weighted Average Net Prime Yield was 1.84%, up 0.05% from the previous month and up 1.57% since 5/31/17. The Weighted Average Prime Expense Ratio was 0.18% in May (the same as the previous month). Prime expense ratios are down by 4 bps over the past year. (Note: These averages are asset-weighted.) WALs and WAMs were down across all categories in May. The average Weighted Average Life, or WAL, was 55.6 days (down 1.1 days from last month) for Prime funds, 85.0 days (down 2.6 days) for Government/Treasury funds, and 22.9 days (no change) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 26.1 days (down 0.8 days from the previous month) for Prime funds, 29.1 days (down 1.3 days) for Govt/Treasury funds, and 20.4 days (up 0.3 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 29.2% in May (down 3.1% from previous month). Total Weekly Liquidity was 49.6% (up 0.6%) for Prime MMFs. In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $89.5 billion, followed by the US with $68.1 billion, Japan with $63.9B, France with $56.6B, and The UK with $41.5B. Sweden ($39.0B), Germany ($34.4B), Australia/New Zealand ($32.4B), the Netherlands ($29.1B) and Switzerland ($25.3B) rounded out the top 10 countries. The gainers among Prime MMF bank related securities for the month included: Japan (up $6.2B), Canada (up $4.6B), Germany (up $3.2B), the UK (up $2.8B), the US (up $2.1M), China (up $1.3B), the Netherlands (up $986M) and Spain (up $642M). The biggest drops came from Singapore (down $762M), Norway (down $1.4B), Other (down $1.7B), Belgium (down $3.3B), Australia/New Zealand (down $4.3B), France (down $4.8B), Sweden (down $4.9B), and Switzerland (down $5.2B). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $242.8B (down $12.1B from last month), while the Eurozone subset had $127.4B billion (down $3.2B). The Americas had $158.4 billion (up $6.9B), while Asia Pacific had $109.1 billion (up $6.1B). Of the $682.2 billion in Prime MMF Portfolios as of May 31, $227.3B (33.3%) was in CDs (down from $242.6B), $161.9B (23.7%) was in Government securities (including direct and repo), down from $163.5B, $104.6B (15.3%) was held in Non-Financial CP and Other Short Term Securities (up from $97.6B), $146.7B (21.5%) was in Financial Company CP (up from $142.4B), and $41.7B (6.1%) was in ABCP (up from $38.0B). The Proportion of Non-Government Securities in All Taxable Funds was 17.5% at month-end, down from 17.7% the previous month. All MMF Repo with the Federal Reserve rose to $21.5B in May from $13.7B (the lowest level ever) the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 33.9% were in maturities of 60 days and over (down from 35.1%), while 6.1% were in maturities of 180 days and over (down from 7.0%).
