The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary last week (it was posted yesterday). It shows that total money fund assets rose by $8.2 billion in October to $3.164 trillion. Prime MMFs dipped $3.1 billion to $743.3 billion, while Govt & Treasury funds increased $8.3 billion to $2.282 trillion. Tax Exempt funds rose $2.9 billion to $138.1 billion. Yields rose for Prime, Government and Tax Exempt MMFs 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 $8.2 billion in October, after increasing $12.1 billion in Sept., 29.9 billion in August, and $15.2 billion in July. Total MMFs decreased by $51.8 billion in June, but increased by $45.6 billion in May after increasing $31.0 billion in April. Over the 12 months through 10/31/18, total MMF assets increased $139.0 billion, or 4.6%. (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 $3.164 trillion in assets, $743.3 billion was in Prime funds, which decreased by $3.1 billion in October. Prime MMFs increased $13.9 billion in September, $31.2 billion in August and $24.3 billion in July. But they decreased by $8.9 billion in June. Prime funds represented 23.5% of total assets at the end of October. They've increased by $77.8 billion, or 11.7%, over the past 12 months. They've increased by $181.0 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 $2.274 trillion, or 72.1% of assets. They were up $8.3 billion in October, but down $1.9 billion in Sept., $1.8 billion in August, $4.4 billion in July, and $39.4 billion in June. Govt & Treas MMFs are up $55.7 billion over 12 months, or 2.5%. Tax Exempt Funds increased $2.9B to $138.1 billion, or 4.4% of all assets. The number of money funds was 381 in October, down 2 funds from the prior month.
Yields on Taxable MMFs moved higher again in October, their 13th month in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Funds on Oct. 31 was 2.37%, up 11 basis points from the previous month and up 1.08% from October 2017. Gross yields increased to 2.23% for Government/Treasury funds, up 0.11% from the previous month, and up 113 bps from October 2017. Tax Exempt Weighted Average Gross Yields rose to 1.66%; they've increased by 70 bps since 10/31/17.
The Weighted Average Net Prime Yield was 2.19%, up 0.10% from the previous month and up 1.10% since 10/31/17. The Weighted Average Prime Expense Ratio was 0.18% in October (the same as the previous 6 months). Prime expense ratios are down by 2 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in October. The average Weighted Average Life, or WAL, was 59.7 days (down 2.5 days from last month) for Prime funds, 89.1 days (up 0.2 days) for Government/Treasury funds, and 30.9 days (up 0.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 27.5 days (down 3.0 days from the previous month) for Prime funds, 32.2 days (down 1.2 days) for Govt/Treasury funds, and 28.5 days (up 1.2 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 31.9% in October (up 0.7% from previous month). Total Weekly Liquidity was 49.8% (up 0.2% from previous month) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country, October 2018" table, Canada topped the list with $98.5 billion, followed by France with $78.2B, the US with $77.0 billion, Japan with $69.0B, and the U.K. with $46.2B. Sweden ($43.0B), Germany ($40.3B), Australia/New Zealand ($33.8B), the Netherlands ($26.9B), and Switzerland ($20.4B) rounded out the top 10 countries.
The gainers among the "Change in Prime MMF Bank-Related Securities, by Country" for the month included: France (up $17.3B), Switzerland (up $9.8B), UK (up $7.9B), US (up $5.9B), Germany (up $4.9B), Belgium (up $4.5B), Australia/New Zealand (up $2.4B), Sweden (up $2.0B) and Spain (up $174M). The biggest drops came from Canada (down $6.5B), the Netherlands (down $2.7B), Japan (down $2.2B), Other (down $1.6B), Norway (down $957M), China (down $645M) and Singapore (down $394M). The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $276.9B (up $42.0B from last month), while the Eurozone subset had $158.0B (up $24.3B). The Americas had $176.2 billion (down $780M), while Asia Pacific had $118.5 billion (down $1.3B).
The "Trends in Prime MMF Portfolio Composition" chart shows that of the $746.1 billion in Prime MMF Portfolios as of Oct. 31, $262.8B (35.2%) was in CDs (up from $246.2BB), $172.4B (23.1%) was in Government securities (including direct and repo) (down from $186.7B), $107.4B (14.4%) was held in Non-Financial CP and Other Short Term Securities (down from $108.5B), $156.7B (21.0%) was in Financial Company CP (up from $154.7B), and $46.8B (6.3%) was in ABCP (down from $47.5B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.9% at month-end, up from 18.7%. All MMF Repo with the Federal Reserve fell to $4.8B in October from $44.9B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 36.2% were in maturities of 60 days and over (up from 35.2%), while 8.0% were in maturities of 180 days and over (up from 8.3%).
