The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Wednesday. It shows that total money fund assets rose by $29.9 billion in August to $3.144 trillion. Prime MMFs jumped $31.2 billion to $732.6 billion, while Govt & Treasury funds dipped $1.8 billion to $2.276 trillion. Tax Exempt funds rose $0.6 billion to $135.1 billion. Gross yields rose for all Prime, Government, and Tax Exempt Funds 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 $29.9 billion in August, after increasing $15.2 billion in July, decreasing by $51.8 billion in June, and increasing by $45.6 billion in May. Total MMFs increased by $31.0 billion in April, 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 8/31/18, total MMF assets increased $155.4 billion, or 5.2%. (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 $3.144 trillion in assets, $732.6 billion was in Prime funds, which increased by $31.2 billion in August. Prime MMFs increased by $24.3 billion in July, decreased by $8.9 billion in June, and increased by $0.7 billion in May. Prime funds represented 23.3% of total assets at the end of August, their highest level since 9/30/16. They've increased by $90.8 billion, or 14.2%, over the past 12 months. But they've decreased by $300.5 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 $2.276 trillion, or 72.4% of assets. They were down $1.8 billion in August, $4.4 billion in July, and $39.4 billion in June. But they were up $38.1 billion in May, and up $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 $62.5 billion over 12 months, or 2.8%. Tax Exempt Funds increased $0.6B to $135.1 billion, or 4.3% of all assets. The number of money funds was 383 in August, up 1 from last month.
Yields on Taxable MMFs moved higher again in August, their 11th month in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Funds on August 31 was 2.19%, up 1 basis point from the previous month and up 0.91% from August 2017. Gross yields increased to 2.01% for Government/Treasury funds, up 0.05% from the previous month, and up 94 bps from August 2017. Tax Exempt Weighted Average Gross Yields rose 49 bps in August to 1.59%; they've increased by 73 bps since 8/31/17.
The Weighted Average Net Prime Yield was 2.01%, up 0.01% from the previous month and up 0.95% since 8/31/17. The Weighted Average Prime Expense Ratio was 0.18% in August (the same as the previous four months). Prime expense ratios are down by 4 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were higher in August. The average Weighted Average Life, or WAL, was 60.0 days (up 2.1 days from last month) for Prime funds, 87.0 days (up 1.5 days) for Government/Treasury funds, and 24.3 days (up 1.5 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 31.2 days (up 1.2 days from the previous month) for Prime funds, 29.8 days (up 0.9 days) for Govt/Treasury funds, and 21.1 days (up 1.8 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 34.7% in August (up 3.8% from previous month). Total Weekly Liquidity was 49.5% (the same as in July) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country, August 2018" table, Canada topped the list with $90.4 billion, followed by the US with $71.8 billion, Japan with $66.4B, France with $59.7B, and Sweden with $46.5B. The UK ($44.6B), Germany ($34.3B), the Netherlands ($32.1B), Australia/New Zealand ($30.6B), and Switzerland ($19.0B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: The US (up $5.6B), Canada (up $4.4B), the UK (up $3.2B), Sweden (up $2.4B), Australia/New Zealand (up $1.7B), Japan (up $691M), Belgium (up $443M), and Other (up $37M). The biggest drops came from the Netherlands (down $4.2B), Norway (down $2.1B), Switzerland (down $951M), France (down $836M), Germany (down $617M), Singapore (down $443M), China (down $143M), and Spain (down $68M). For `Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $252.8B (down $3.0B from last month), while the Eurozone subset had $135.0B (down $5.1B). The Americas had $162.9 billion (up $10.2B), while Asia Pacific had $111.8 billion (up $1.9B).
Of the $730.4 billion in Prime MMF Portfolios as of August 31, $242.6B (33.2%) was in CDs (down from $244.0B), $188.1 B (25.7%) was in Government securities (including direct and repo) (up from $156.5B), $104.2B (14.3%) was held in Non-Financial CP and Other Short Term Securities (down from $108.4B), $150.5B (20.6%) was in Financial Company CP (down from $153.9), and $45.0B (6.2%) was in ABCP (up from $44.4B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.4% at month-end, up from 18.3%. All MMF Repo with the Federal Reserve fell to $0.4B in August from $9.0B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.8% were in maturities of 60 days and over (up from 34.7%), while 7.9% were in maturities of 180 days and over (up from 7.5%).
