The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total money fund assets fell by $51.8 billion in June to $3.099 trillion, with most of the decrease coming from Government & Treasury Funds. Prime MMF assets fell by $8.9 billion to $677.1 billion. Government money funds decreased by $39.4 billion, while Tax Exempt MMFs fell by $3.7 billion. Gross yields rose for all categories in the latest month; both Prime and Government funds rose by 0.14% and Tax Exempt Funds rose 0.29%. 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 $51.8 billion in June, after increasing by $45.6 billion in May, increasing by $31.0 billion in April, and decreasing $48.2 billion in March. Total MMFs increased $40.7 billion in February and decreased by $44.3 billion in January. Over the 12 months through 6/30/18, total MMF assets increased $201.3 billion, or 6.9%. (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.)
Of the $3.098 trillion in assets, $677.1 billion was in Prime funds, which decreased by $8.9 billion in June. Prime MMFs increased by $0.7 billion in May, increased by $22.1 billion in April, and decreased by $3.4 billion in March. Prime funds represented 21.9% of total assets at the end of June. They've increased by $61.8 billion, or 10.0%, over the past 12 months. But they've decreased by $601.7 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 $2.282 billion, or 73.7% of assets. They were up $38.1 in May, up $10.0 billion in April, and down $41.7 billion in March. Govt MMFs were up $44.9 billion in February, but down $54.7 billion in January. Govt & Treas MMFs are up $133.5 billion over 12 months (6.2%). Tax Exempt Funds decreased $3.7B to $139.1 billion, or 4.5% of all assets. The number of money funds was 381 in June, the same as in May and April.
Yields jumped again in June, after moving higher in each of the past 9 months. The Weighted Average Gross 7-Day Yield for Prime Funds on June 30 was 2.16%, up 14 basis points from the previous month and up 0.93% from June 2017. Gross yields increased to 1.94% for Government/Treasury funds, up 0.14% from the previous month, and up 94 bps from June 2017. Tax Exempt Weighted Average Gross Yields rose 29 bps in June to 1.53%; they've increased by 60 bps since 6/30/17.
The Weighted Average Net Prime Yield was 1.98%, up 0.14% from the previous month and up 0.97% since 6/30/17. The Weighted Average Prime Expense Ratio was 0.18% in June (the same as the previous two months). Prime expense ratios are down by 4 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were up across all categories in June. The average Weighted Average Life, or WAL, was 58.4 days (up 2.8 days from last month) for Prime funds, 87.7 days (up 2.7 days) for Government/Treasury funds, and 23.9 days (up 1 day) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 29.1 days (up 3.0 days from the previous month) for Prime funds, 31.4 days (up 2.3 days) for Govt/Treasury funds, and 21.1 days (up 0.7 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 29.8% in June (up 0.6% from previous month). Total Weekly Liquidity was 48.7% (down 0.9%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $91.8 billion, followed by the US with $66.3 billion, Japan with $59.6B, France with $48.0B, and Sweden with $44.2B. Australia/New Zealand ($35.7B), Germany ($32.6B), the U.K. ($32.0B), the Netherlands ($19.0B) and Switzerland ($17.8B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: Sweden (up $5.1B), Norway (up $4.6B), Australia/New Zealand (up $3.2B), Canada (up $2.3B), Spain (up $1.6B), Singapore (up $922M), and China (up $406M). The biggest drops came from the Netherlands (down $10.2B), the U.K. (down $9.6B), France (down $8.7B), Switzerland (down $7.5B), Japan (down $4.8B), Germany (down $2.0B), the U.S. (down $2.0B), Belgium (down $1.8B), and Other (down $282M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $214.1B (down $29.3B from last month), while the Eurozone subset had $106.8B (down $21.1B). The Americas had $158.7 billion (up $218M), while Asia Pacific had $110.0 billion (up $1.8B).
Of the $669.4 billion in Prime MMF Portfolios as of June 30, $230.1B (34.4%) was in CDs (up from $227.3B), $159.0B (23.8%) was in Government securities (including direct and repo) (down from $161.9B), $94.6B (14.1%) was held in Non-Financial CP and Other Short Term Securities (down from $104.6B), $143.8B (21.5%) was in Financial Company CP (down from $146.7), and $41.9B (6.3%) was in ABCP (up from $41.6B).
The Proportion of Non-Government Securities in All Taxable Funds was 17.5% at month-end, the same as the previous month. All MMF Repo with the Federal Reserve rose to $88.8B in June from $21.5B 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 (up from 33.9%), while 7.6% were in maturities of 180 days and over (up from 6.1%).
