The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late Tuesday, which shows that total money fund assets were up sharply again last month, rising by $41.9 billion in June to $3.615 trillion. Prime MMFs increased $9.6 billion in June to close at $1.018 trillion, Govt & Treasury funds rose by $31.8 billion to $2.455 trillion, and Tax Exempt funds rose by $0.4 billion to $141.1 billion. Yields fell for Prime MMFs and Govt MMFs in June. 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. (The SEC revised this report earlier this year to include more history and to split Prime into Prime Inst and Prime Retail and Muni into Muni Inst and Muni Retail.) We review their latest numbers below.
Overall assets surged $41.8 billion in June, following increases of $78.2 billion in May, $690 million in April, $87.9 billion in March, $76.9 billion in February and $31.4 billion in January. Over the 12 months through 6/30/19, total MMF assets have increased $516.3 billion, or 16.7%. (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 $3.615 trillion in assets, $1.018 trillion was in Prime funds, which rose $9.6 billion in June after increasing $8.9 billion in May, $27.8 billion in April and $99.2 billion in March. Prime funds represented 28.2% of total assets at the end of June. They've increased by a whopping $341.3 billion, or 50.4%, over the past 12 months! Government & Treasury funds totaled $2.455 trillion, or 67.9% of assets. They rose by $31.8 billion in June and $67.3 billion in May, but fell $20.7 billion in April and $12.7 billion in March. Govt & Treas MMFs are up $173.0 billion over 12 months, or 7.6%. Tax Exempt Funds increased $0.4B to $141.1 billion, or 3.9% of all assets. The number of money funds was 370 in June, unchanged from the previous month but down 11 funds from a year earlier.
Yields for Taxable MMFs were lower in June for the third month in a row (the 5th for Prime). This year's declines follow 24 months of (almost straight) increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on June 30 was 2.50%, down 4 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was `2.55%, down 3 basis points. Gross yields fell to 2.43% for Government Funds, down 2 bps from last month. Gross yields for Treasury Funds decreased 6 basis point to 2.37%. Gross Yields for Muni Institutional MMFs rose from 1.58% in May to 1.88%. Gross Yields for Muni Retail funds rose from 1.52% to 1.88% in June.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.42%, down 4 bps from the previous month but up 0.39% since 6/30/18. The Average Net Yield for Prime Retail Funds was 2.28%, down 4 bps from the previous month but up 0.37% since 6/30/18. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in June. The average Weighted Average Life, or WAL, was 58.2 days (down 1.9 days from last month) for Prime Institutional funds, and 62.8 days for Prime Retail funds (down 0.3 days). Government fund WALs averaged 95.5 days (up 2.2 days) while Treasury fund WALs averaged 91.1 days (down 0.1 days). Muni Institutional fund WALs were 14.1 days (the same as the previous month), and Muni Retail MMF WALs averaged 32.5 days (up 7.5 days).
The Weighted Average Maturity, or WAM, was 32.4 days (down 1.2 days from the previous month) for Prime Institutional funds, 32.9 days (up 0.2 days from the previous month) for Prime Retail funds, 27.7 days (unchanged) for Government funds, and 31.6 days (down 0.8 days) for Treasury funds. Muni Inst WAMs were down 0.1 days to 13.7 days, while Muni Retail WAMs increased by 8 days to 30.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 37.8% in June (up by 0.2% from the previous month), and DLA for Prime Retail funds was 21.5% (down 2.1% from previous month) as a percent of total assets. The average DLA was 43.4% for Govt MMFs and 90.1% for Treasury MMFs. Total Weekly Liquid Assets was 53.7% (up 1.1% from the previous month) for Prime Institutional MMFs, and 40.6% (down 0.9% from the previous month) for Prime Retail funds. Average WLA was 69.9% for Govt MMFs and 97.7% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for June 2019," the largest entries included: Canada with $147.8 billion, the U.S. with $121.1 billion, Japan with $96.8 billion, France with $72.4B, the UK with $48.7B, Germany with $42.9B, Australia/New Zealand with $38.2B, the Netherlands with $28.8B and Switzerland with $21.9B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $18.3B), the U.K. (up $6.1B), the US (up $3.6B) and Australian/New Zealand (up $2.1B). The biggest drops include: France (down $14.4B), Switzerland (down $4.1B), Japan (down $3.1B) and Germany (down $0.7B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $277.7B (down $9.6B from last month), the Eurozone subset had $152.3B (down $16.6B). The Americas had $269.6 billion (up $22.0B), while Asia Pacific had $161.3 billion (up $2.1B).
The "Prime MMF Portfolio Composition" chart shows that of the $1.018 trillion in Prime MMF Portfolios as of June 30, $321.8B (31.6%) was in CDs and Time Deposits (up from $302.6B), $281.6B (27.6%) was in Government & Treasury securities (direct and repo) (down from $301.1B), $147.7B (14.5%) was held in Non-Financial CP and Other securities (up from $145.4B), $205.1B (20.1%) was in Financial Company CP (up from $197.0B), and $62.07 (6.1%) was in ABCP (up from $62.0B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $209.5 billion, Canada with $164.1 billion, France with $180.0 billion, Germany with $18.7 billion, Japan with $130.7 billion, the U.K. with $98.3 billion and Other with $32.2 billion. All MMF Repo with the Federal Reserve surged by $42.8 billion in June to $43.6 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 8.6%, Prime Retail MMFs with 6.8%, Muni Inst MMFs with 0.9%, Muni Retail MMFs with 5.3%, Govt MMFs with 18.0% and Treasury MMFs with 16.0%.
