SEC Statistics: MMFs Now $3.3 Trillion
The Securities and Exchange Commission released its December "Money Market Fund Statistics" summary, which was delayed due to the Government shutdown. It shows that total money fund assets rose by $44.7 billion in December to $3.298 trillion. Prime MMFs gave up $7.5 billion to settle at $764.2 billion, while Govt & Treasury funds increased $45.8 billion to $2.384 trillion. Tax Exempt funds rose $6.5 billion to $149.7 billion. Yields rose for Prime, Government and Tax Exempt MMFs in December. 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 the latest numbers below. Overall assets increased $44.7 billion, after growing $89.3 billion in November, and increasing $8.2 billion in October, $12.1 billion in September, $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 and $31.0 billion in April. Over the 12 months through 12/31/18, total MMF assets increased $172.4 billion, or 5.5%. (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 $3.298 trillion in assets, $764.2 billion was in Prime funds, which declined by $7.5 billion after growing by $28.4 billion in November. Prime decreased $3.1 billion in October, but increased $13.9 billion in September, $31.2 billion in August and $24.3 billion in July. Prime funds represented 23.2% of total assets at the end of December. They've increased by $98.0 billion, or 14.7%, over the past 12 months, and they've increased by $213.8 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 $2.384 trillion, or 72.3% of assets. They rose $45.8 billion in December, and were up $55.8 billion in November and up $8.3 billion in October, but down $1.9 billion in September, $1.8 billion in August, $4.4 billion in July, and $39.4 billion in June. Govt & Treas MMFs are up $59.1 billion over 12 months, or 2.5%. Tax Exempt Funds increased $6.5B to $149.7 billion, or 4.5% of all assets. The number of money funds was 370 in December, down 9 funds from the prior month. Yields for Taxable MMFs moved higher again in December, their 15th month in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Funds on Dec. 31 was 2.60%, up 17 basis points from the previous month and up 1.08% from December 2017. Gross yields increased to 2.45% for Government/Treasury funds, up 0.17% from the previous month, and up 112 bps from December 2017. Tax Exempt Weighted Average Gross Yields rose to 1.76%; they've increased by 17 bps since 12/31/17. The Weighted Average Net Prime Yield was 2.42%, up 0.17% from the previous month and up 1.11% since 12/31/17. The Weighted Average Prime Expense Ratio was 0.19% in December (after sitting at 0.18% since April 30, 2018. Prime expense ratios are down by 2 bps over the past year. (Note: These averages are asset-weighted.) WALs and WAMs mostly declined in December. The average Weighted Average Life, or WAL, was 60.2 days (down 5.1 days from last month) for Prime funds, 88.3 days (up 1.3 days) for Government/Treasury funds, and 28.0 days (down 1.7 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 28.7 days (down 2.2 days from the previous month) for Prime funds, 30.6 days (unchanged) for Govt/Treasury funds, and 26.1 days (down 1.6 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 34.1% in December (up 1.7% from the previous month). Total Weekly Liquidity was 48.9% (up 0.9% from the previous month) for Prime MMFs. In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country, December 2018" table, the largest entries included: Canada with $123.3 billion, the U.S. with $92.4 billion, Japan with $83.0 billion, France with $53.8B, Australia/New Zealand with $40.2B), and the U.K. with $35.4B. Sweden ($33.4B), Switzerland ($23.9B), Germany ($23.1B), and the Netherlands ($15.6B), rounded out the top 10 countries. The gainers among the "Change in Prime MMF Bank-Related Securities, by Country" for the month included: Canada (up 20.0B), Japan (up $11.9B), the U.S. (up $9.5 billion), Switzerland (up $2.6B), Other (up $1.2B), Australia/New Zealand (up $1.1B), Singapore (up $851M), and Spain (up $703M). The `biggest drops came from Germany (down $16.5B), France (down $14.5B), the UK (down $13.9B), Sweden (down $9.7B), the Netherlands (down $8.2B), Belgium (down $4.7B), Norway (down $2.3B), and China (down $1.1B). The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $202.7B (down $66.2B from last month), while the Eurozone subset had $103.4B (down $42.8B). The Americas had $216.5 billion (up $29.7B), while Asia Pacific had $138.1 billion (up $13.3B). The "Trends in Prime MMF Portfolio Composition" chart shows that of the $764.2 billion in Prime MMF Portfolios as of Dec. 31, $245.8B (32.2%) was in CDs (down from $263.0B), $212.8B (27.9%) was in Government securities (including direct and repo) (up from $190.3B), $99.9B (13.1%) was held in Non-Financial CP and Other Short Term Securities (down from $106.6B), $149.1B (19.5%) was in Financial Company CP (down from $156.4B), and $55.2B (7.2%) was in ABCP (up from $51.9B). The Proportion of Non-Government Securities in All Taxable Funds was 17.3% at year-end, down 1.6% since November. All MMF Repo with the Federal Reserve zoomed to $39.6B in December from $2.5B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 36.0% were in maturities of 60 days and over (down from 40.7%), while 7.2% were in maturities of 180 days and over (down from 8.3%).
