The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday, which shows that total money fund assets were up sharply last month, rising by $75.6 billion in July to $3.690 trillion. It was the 13th straight month of gains for money funds overall. Prime MMFs increased $22.3 billion in July to close at $1.041 trillion, their highest level since August 2016, while Govt & Treasury funds rose by $53.5 billion to a record $2.509 trillion. Tax Exempt funds fell by $290 million to $140.9 billion. Yields fell again for Prime MMFs and Govt MMFs in July. 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.

Last month's big asset gains follow increases of $41.9 billion in June, $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. (Our MFI Daily product shows money fund assets up by another $87.8 billion in August month-to-date through 8/20.) Over the 12 months through 7/31/19, total MMF assets have increased $576.7 billion, or 18.5%. (Note that the SEC's series includes a number of internal money funds not reported to ICI or others, though Crane Data tracks most of these.)

Of the $3.690 trillion in assets, $1.041 trillion was in Prime funds, which rose $22.3 billion in July after increasing $9.6 billion in June, $8.9 billion in May and $27.8 billion in April. Prime funds represented 28.2% of total assets at the end of July. They've increased by a stunning $339.3 billion, or 48.4%, over the past 12 months. Government & Treasury funds totaled $2.509 trillion, or 68.0% of assets. They rose by $53.5 billion in July, $31.8 billion in June and $67.3 billion in May, but fell $20.7 billion in April. Govt & Treas MMFs are up $230.9 billion over 12 months, or 10.1%. Tax Exempt Funds decreased $290M to $140.9 billion, or 3.8% of all assets. The number of money funds was 370 in July, unchanged from the previous month but down 12 funds from a year earlier.

Yields for Taxable MMFs were lower in July for the fourth month in a row (the 6th 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 July 31 was 2.44%, down 6 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 2.47%, down 8 basis points. Gross yields fell to 2.39% for Government Funds, down 4 bps from last month. Gross yields for Treasury Funds decreased 7 basis point to 2.30%. Gross Yields for Muni Institutional MMFs fell from 1.88% in June to 1.47%. Gross Yields for Muni Retail funds fell from 1.88% to 1.48% in July.

The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.36%, down 6 bps from the previous month but up 0.31% since 7/31/18. The Average Net Yield for Prime Retail Funds was 2.21%, down 7 bps from the previous month but up 0.28% since 7/31/18. (Note: These averages are asset-weighted.)

WALs and WAMs were mixed in July. The average Weighted Average Life, or WAL, was 58.8 days (up 0.6 days from last month) for Prime Institutional funds, and 62.9 days for Prime Retail funds (up 0.1 days). Government fund WALs averaged 94.7 days (down 0.8 days) while Treasury fund WALs averaged 93.6 days (up 2.5 days). Muni Institutional fund WALs were 12.8 days (down 1.3 days), and Muni Retail MMF WALs averaged 31.4 days (down 1.1 days).

The Weighted Average Maturity, or WAM, was 32.2 days (down 0.2 days from the previous month) for Prime Institutional funds, 32.9 days (unchanged from the previous month) for Prime Retail funds, 26.9 days (down 0.8 days) for Government funds, and 33.3 days (up 1.7 days) for Treasury funds. Muni Inst WAMs were down 1.3 days to 12.4 days, while Muni Retail WAMs decreased by 1.7 days to 28.9 days.

Total Daily Liquid Assets for Prime Institutional funds were 38.4% in July (up by 0.6% from the previous month), and DLA for Prime Retail funds was 22.2% (up 0.7% from previous month) as a percent of total assets. The average DLA was 45.3% for Govt MMFs and 90.2% for Treasury MMFs. Total Weekly Liquid Assets was 53.1% (down 0.6% from the previous month) for Prime Institutional MMFs, and 40.6% (unchanged from the previous month) for Prime Retail funds. Average WLA was 69.9% for Govt MMFs and 97.9% for Treasury MMFs.

In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for July 2019," the largest entries included: Canada with $150.6 billion, the U.S. with $125.2 billion, Japan with $102.1 billion, France with $96.1B, the UK with $52.2B, Germany with $51.4B, Australia/New Zealand with $39.9B, the Netherlands with $38.2B and Switzerland with $26.1B. The biggest gainers among the "Prime MMF Holdings by Country" include: France (up $23.7B), the Netherlands (up $9.4B), Germany (up $8.4B) and Japan (up $5.3B). The smallest increases include: Australia (up $1.7B), Canada (up $2.8B), the UK (up $3.5B) and Switzerland (up $4.2B).

The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $316.7B (up $38.9B from last month), the Eurozone subset had $195.3B (up $43.1B). The Americas had $276.6 billion (up $7.0B), while Asia Pacific was oddly missing from the SEC's latest update.

The "Prime MMF Portfolio Composition" chart shows that of the $1.041 trillion in Prime MMF Portfolios as of July 31, $320.3B (30.8%) was in CDs and Time Deposits (down from $321.8B), $290.7B (27.9%) was in Government & Treasury securities (direct and repo) (up from $281.6B), $149.0B (14.3%) was held in Non-Financial CP and Other securities (up from $147.7B), $216.6B (20.8%) was in Financial Company CP (up from $205.1B) and $63.9B (6.1%) was in ABCP (up from $62.7B).

The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $221.8 billion, Canada with $130.3 billion, France with $232.5 billion, Germany with $19.3 billion, Japan with $138.2 billion, the U.K. with $115.4 billion and Other with $37.9 billion. All MMF Repo with the Federal Reserve plunged by $36.2 billion in July to $7.4 billion.

Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 9.5%, Prime Retail MMFs with 8.4%, Muni Inst MMFs with 0.9%, Muni Retail MMFs with 6.1%, Govt MMFs with 18.1% and Treasury MMFs with 17.8%.

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