The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary, now back on track with its scheduled releases following the temporary government shutdown. It shows that total money fund assets rose by $31.4 billion in January to $3.329 trillion. Prime MMFs reversed December's asset declines with an increase of $50.7 billion in January to close at $814.9 billion, while Govt & Treasury funds dropped by $15.5 billion to $2.369 trillion. Tax Exempt funds also fell by $3.9 billion to $145.8 billion. Yields rose for Prime and Government funds, but slipped for Tax Exempt MMFs in January. 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 gained $31.4 billion, continuing the upward trend that included an increase of $44.7 billion in December, after growing $89.3 billion in November, increasing $8.2 billion in October, $12.1 billion in September, $29.9 billion in August, and $15.2 billion in July. Total MMFs had 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 01/31/19, total MMF assets increased $248.1 billion, or 8.1%. (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 $3.329 trillion in assets, $814.9 billion was in Prime funds, up $50.7 billion in January, after declining by $7.5 billion in December. Prime grew by $28.4 billion in November, 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 24.5% of total assets at the end of January. They've increased by $145.6 billion, or 21.7%, over the past 12 months, and they've increased by $252.8 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 $2.369 trillion, or 71.1% of assets. They fell $15.5 billion in January, but rose $45.8 billion in December, and were up $55.8 billion in November and up $8.3 billion in October, but were 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 $98.3 billion over 12 months, or 4.3%. Tax Exempt Funds decreased $3.9B to $145.8 billion, or 4.4% of all assets. The number of money funds was 369 in January, down one fund since year-end 2018.
Yields for Taxable MMFs moved higher again in January, their 16th month in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Funds on Jan. 31 was 2.64%, up 4 basis points from the previous month and up 1.06% from January 2018. Gross yields flattened to 2.45% for Government/Treasury funds, unchanged from December, but up 107 bps from January 2018. Tax Exempt Weighted Average Gross Yields declined from 1.76% in December to 1.45% in January; they've increased by 27 bps since 01/31/18. The Weighted Average Net Prime Yield was 2.46%, up 0.04% from the previous month and up 1.08% since 01/31/18. The Weighted Average Prime Expense Ratio was 0.18% in January, compared to 0.19% in December. Prime expense ratios are down by 2 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs declined in January, except for a rise in WAM for Prime funds. The average Weighted Average Life, or WAL, was 60.0 days (down 0.2 days from last month) for Prime funds, 88.0 days (down 0.3 days) for Government/Treasury funds, and 27.9 days (down 0.1 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.4 days (up 1.7 days from the previous month) for Prime funds, 28.7 days (down 1.9 days) for Govt/Treasury funds, and 26.0 days (down 0.1 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 34.2% in January (up 0.1% from the previous month). Total Weekly Liquidity was 48.7% (down 0.2% from the previous month) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country, January, 2019" table, the largest entries included: Canada with $105.7 billion, Japan with $103.9 billion, the U.S. with $94.9 billion, France with $75.6B, Sweden ($44.6B), the U.K. with $42.3B, and Australia/New Zealand with $35.9B. The Netherlands ($32.8B), Germany ($31.0B), and Switzerland ($24.0B), 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 21.8B), Japan (up $20.9B), the Netherlands (up $17.3B), Sweden (up $11.2B), Germany (up $8.0B), the U.K. (up $6.8B), Belgium (up $5.1B), and the U.S. (up $2.5 billion). The `biggest drops came from Canada (down $17.6B), Australia/New Zealand (down $4.2B), Singapore (down $2.4B), and Other (down $91 million).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $275.6B (up $72.9B from last month), while the Eurozone subset had $155.8B (up $52.4B). The Americas had $201.2 billion (down $15.3B), while Asia Pacific had $153.6 billion (up $15.5B).
The "Trends in Prime MMF Portfolio Composition" chart shows that of the $814.9 billion in Prime MMF Portfolios as of Jan. 31, $289.4B (35.1%) was in CDs (up from $245.8B), $216.2B (26.2%) was in Government securities (including direct and repo) (up from $212.8B), $99.4B (12.1%) was held in Non-Financial CP and Other Short Term Securities (down from $99.9B), $160.7B (19.5%) was in Financial Company CP (up from $149.1B), and $58.3B (7.1%) was in ABCP (up from $55.2B). The Proportion of Non-Government Securities in All Taxable Funds was 19.1% in January, up 1.8% since year-end 2018. All MMF Repo with the Federal Reserve nosedived by $38.6 billion in December to just $1.0B in January.
Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 36.3% were in maturities of 60 days and over (up from 36.0%), while 7.9% were in maturities of 180 days and over (up from 7.2%).
In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary late Tuesday, which tracks a shifting subset of our monthly Portfolio Holdings collection. The latest cut, with data as of Friday, Feb. 15, 2019, includes Holdings information from 37 money funds (down from 64 on Feb. 1, 2019), representing $606.00 billion, compared to $1.132 trillion on Feb. 1. That represents 19.7% of the $3.082 trillion in total money fund assets tracked by Crane Data. (For our latest monthly Money Fund Portfolio Holdings numbers, see our Feb. 12 News, "Feb. MF Portfolio Holdings: Repo, CD, CP, TD Jump; Treasuries Drop.")
Our latest Weekly MFPH Composition summary shows Government assets again dominated the holdings list with Repurchase Agreements (Repo) totaling $241.0 billion (a decline from $436.2 billion on Feb. 1), or 39.8% of holdings, Treasury debt totaling $210.0 billion (down from $374.3 billion), or 34.7%, and Government Agency securities totaling $102.5 billion (down from $204.9 billion), or 16.9%. Commercial Paper (CP) totaled $23.1 billion (down from $47.1 billion), or 3.8%, and Certificates of Deposit (CDs) totaled $15.2 billion (down from $38.8 billion), or 2.5%. A total of $5.4 billion or 0.9% was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $8.6 billion, or 1.4%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $210.0 billion (34.7% of total holdings), Federal Home Loan Bank with $69.6B (11.5%), Federal Farm Credit Bank with $26.0B (4.3%), BNP Paribas with $23.8B (3.9%), RBC with $22.5B (3.7%), JP Morgan with $19.4B (3.2%), Societe Generale with $16.3B (2.7%), Credit Agricole with $14.2B (2.3%), Barclays PLC with $13.1B (2.2%), and Wells Fargo with $12.0B (2.0%).
The Ten Largest Funds tracked in our latest Weekly Holdings update include: BlackRock Lq FedFund ($86.7B), Wells Fargo Govt MMkt ($76.4B), BlackRock Lq T-Fund ($70.2B), Morgan Stanley Inst Liq Govt ($58.2B), State Street Inst US Govt ($44.0B), BlackRock Lq Trs Trust ($36.8B), Invesco Treasury ($23.8B), Invesco Govt&Agency ($22.0B), Morgan Stanley Inst Liq Trs Sec ($21.7B), and Morgan Stanley Inst Liq Trs ($19.0B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
