The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Friday. It shows that total money fund assets rose by $15.2 billion in July to $3.114 trillion. Prime MMFs showed a big jump, breaking above the $700 billion level for the first time since Sept. 2016 (a month before the SEC's Money Fund Reforms went live). But Govt and Tax Exempt funds declined. Gross yields rose for Prime and Government Funds in the latest month, but plunged for Tax Exempts. 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 $15.2 billion in July, after decreasing by $51.8 billion in June, increasing by $45.6 billion in May, and increasing by $31.0 billion in April. Total MMFs decreased $48.2 billion in March, increased $40.7 billion in February and decreased by $44.3 billion in January. Over the 12 months through 7/31/18, total MMF assets increased $196.7 billion, or 6.7%. (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 most of these.)
Of the $3.114 trillion in assets, $701.4 billion was in Prime funds, which increased by $24.3 billion in July. Prime MMFs decreased by $8.9 billion in June, increased by $0.7 billion in May, and increased by $22.1 billion in April. Prime funds represented 22.5% of total assets at the end of July. They've increased by $76.5 billion, or 12.2%, over the past 12 months. But they've decreased by $533.0 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 $2.278 trillion, or 73.2% of assets. They were down $39.4 billion in June, but up $38.1 billion in May and $10.0 billion in April. Govt MMFs were down $41.7 billion in March, but up $44.9 billion in February. Govt & Treas MMFs are up $121.0 billion over 12 months, or 5.6%. Tax Exempt Funds decreased $4.6B to $134.5 billion, or 4.3% of all assets. The number of money funds was 382 in July, up 1 from last month.
Yields on Taxable MMFs moved higher again in July, their 10th month in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Funds on July 31 was 2.18%, up 2 basis points from the previous month and up 0.91% from July 2017. Gross yields increased to 1.96% for Government/Treasury funds, up 0.02% from the previous month, and up 90 bps from July 2017. Tax Exempt Weighted Average Gross Yields fell 43 bps in July to 1.10%; they've increased by 22 bps since 7/31/17.
The Weighted Average Net Prime Yield was 2.00%, up 0.02% from the previous month and up 0.95% since 7/31/17. The Weighted Average Prime Expense Ratio was 0.18% in July (the same as the previous three months). Prime expense ratios are down by 4 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were lower for most categories in July. The average Weighted Average Life, or WAL, was 57.9 days (down 0.5 days from last month) for Prime funds, 85.5 days (down 2.2 days) for Government/Treasury funds, and 22.8 days (down 1.1 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.0 days (up 0.9 days from the previous month) for Prime funds, 28.9 days (down 2.5 days) for Govt/Treasury funds, and 19.3 days (down 1.8 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 30.9% in July (up 1.1% from previous month). Total Weekly Liquidity was 49.5% (up 0.8%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $86.0 billion, followed by the US with $66.1 billion, Japan with $65.7B, France with $60.5B, and Sweden with $44.1B. The U.K. ($41.4B), the Netherlands ($36.3B), Germany ($35.0B), Australia/New Zealand ($28.9B), and Switzerland ($19.9B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: The Netherlands (up $17.4B), France (up $12.5B), the U.K. (up $9.4B), Japan (up $6.2B), Germany (up $2.4B), Switzerland (up $2.2B), and Other (up $1.8B). The biggest drops came from Australia/New Zealand (down $6.7B), Canada (down $5.8B), Norway (down $3.8B), Singapore (down $873M), the U.S. (down $138M), and Sweden (down $99M). For `Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $255.8B (up $41.7B from last month), while the Eurozone subset had $140.1B (up $33.2B). The Americas had $152.7 billion (down $6.0B), while Asia Pacific had $110.0 billion (down $0.1B).
Of the $707.1 billion in Prime MMF Portfolios as of July 31, $244.0B (34.5%) was in CDs (up from $230.1B), $156.5B (22.2%) was in Government securities (including direct and repo) (down from $159.0B), $108.4B (15.3%) was held in Non-Financial CP and Other Short Term Securities (up from $94.6B), $153.9B (21.8%) was in Financial Company CP (up from $143.8), and $44.4B (6.3%) was in ABCP (up from $41.9B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.3% at month-end. All MMF Repo with the Federal Reserve fell to $9.0B in July from $88.8B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 34.7% were in maturities of 60 days and over (down from 37.4%), while 7.5% were in maturities of 180 days and over (up from 7.6%).
