The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday (it was posted late this month), which shows that total money fund assets jumped again last month, rising by $76.3 billion in August to $3.767 trillion. It was the 14th straight month of gains for money funds overall. Prime MMFs increased $10.6 billion in August to close at $1.051 trillion, their highest level since July 2016, while Govt & Treasury funds rose by $66.0 billion to a record $2.575 trillion. Tax Exempt funds fell by $78 million to $140.8 billion. Yields fell again for Prime MMFs and Govt MMFs in August, Tax Exempt yields fell too. 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 $75.6 billion in July, $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 $61.3 billion in September through 9/30.) Over the 12 months through 8/31/19, total MMF assets have increased $623.0 billion, or 19.8%, according the SEC's series. (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 $3.767 trillion in assets, $1.051 trillion was in Prime funds, which rose $10.6 billion in August after increasing $22.3 billion in July, $9.6 billion in June, $8.9 billion in May and $27.8 billion in April. Prime funds represented 27.9% of total assets at the end of August. They've increased by a stunning $318.8 billion, or 43.5%, over the past 12 months. Government & Treasury funds totaled $2.574 trillion, or 68.3% of assets. They rose by $66.0 billion in August, $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 $298.5 billion over 12 months, or 13.1%. Tax Exempt Funds decreased $78M to $140.8 billion, or 3.7% of all assets. The number of money funds was 370 in August, unchanged from the previous month but down 13 funds from a year earlier.
Yields for Taxable MMFs were lower in August for the fifth 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 August 31 was 2.26%, down 18 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 2.30%, down 17 basis points. Gross yields fell to 2.18% for Government Funds, down 21 bps from last month. Gross yields for Treasury Funds decreased 16 basis point to 2.14%. Gross Yields for Muni Institutional MMFs fell from 1.47% in July to 1.42%. Gross Yields for Muni Retail funds fell from 1.48% to 1.42% in August.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.18%, down 18 bps from the previous month but up 0.13% since 7/31/18. The Average Net Yield for Prime Retail Funds was 2.05%, down 16 bps from the previous month but up 0.12% since 7/31/18. (Note: These averages are asset-weighted.)
WALs and WAMs were predominately up in August, with only Prime Institutional funds falling in WAM. The average Weighted Average Life, or WAL, was 61.5 days (up 2.7 days from last month) for Prime Institutional funds, and 66.8 days for Prime Retail funds (up 3.9 days). Government fund WALs averaged 97.0 days (up 2.3 days) while Treasury fund WALs averaged 97.0 days (up 3.4 days). Muni Institutional fund WALs were 14.0 days (up 1.2 days), and Muni Retail MMF WALs averaged 37.2 days (up 5.8 days).
The Weighted Average Maturity, or WAM, was 32.6 days (up 0.4 days from the previous month) for Prime Institutional funds, 32.6 days (down 0.3 days from the previous month) for Prime Retail funds, 27.6 days (up 0.7 days) for Government funds, and 36.1 days (up 2.8 days) for Treasury funds. Muni Inst WAMs were up 1.4 days to 13.8 days, while Muni Retail WAMs increased by 5.8 days to 34.7 days.
Total Daily Liquid Assets for Prime Institutional funds were 39.3% in July (up by 0.9% from the previous month), and DLA for Prime Retail funds was 24.7% (up 2.5% from previous month) as a percent of total assets. The average DLA was 47.6% for Govt MMFs and 91.0% for Treasury MMFs. Total Weekly Liquid Assets was 54.5% (up 1.4% from the previous month) for Prime Institutional MMFs, and 42.5% (up 1.9% from the previous month) for Prime Retail funds. Average WLA was 71.8% for Govt MMFs and 97.6% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for August 2019," the largest entries included: Canada with $144.8 billion, the U.S. with $126.1 billion, Japan with $104.3 billion, France with $90.5B, Germany with $53.5B, the UK with $45.8B, Australia/New Zealand with $43.5B, the Netherlands with $35.3B and Switzerland with $24.2B. The biggest gainers among the "Prime MMF Holdings by Country" include: Australia/New Zealand (up $3.6B), Japan (up $2.3B), Germany (up $2.1B) and the US (up $975M). The biggest decreases were the UK (down $6.4B), Canada (down $5.8B) and France (down $5.5B), the Netherlands (down $2.8B) and Switzerland (down $1.9B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $309.1B (down $7.6B from last month), the Eurozone subset had $189.7B (down $5.6B). The Americas had $271.6 billion (down $4.9B), while Asia Pacific, which was back after oddly missing from the SEC's July update, had $172.3B (up $6.2B).
The "Prime MMF Portfolio Composition" chart shows that of the $1.051 trillion in Prime MMF Portfolios as of August 31, $333.3B (31.7%) was in CDs and Time Deposits (up from $320.3B), $310.1B (29.5%) was in Government & Treasury securities (direct and repo) (up from $290.7B), $139.9B (13.3%) was held in Non-Financial CP and Other securities (down from $149.0B), $213.5B (20.3%) was in Financial Company CP (down from $216.6B) and $63.8B (6.1%) was in ABCP (down from $63.9B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $218.1 billion, Canada with $162.5 billion, France with $239.3 billion, Germany with $20.9 billion, Japan with $144.0 billion, the U.K. with $116.5 billion and Other with $35.8 billion. All MMF Repo with the Federal Reserve rose by $4.7 billion in August to $12.1 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 9.8%, Prime Retail MMFs with 9.8%, Muni Inst MMFs with 1.5%, Muni Retail MMFs with 7.9%, Govt MMFs with 17.9% and Treasury MMFs with 15.5%.
