The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday, which confirmed that total money fund assets jumped again last month, rising by $82.9 billion in September to $3.850 trillion. It was the 15th straight month of gains for money funds overall. Prime MMFs increased $11.7 billion in September to close at $1.063 trillion, their highest level since July 2016, while Govt & Treasury funds rose by $72.9 billion to a record $2.647 trillion. Tax Exempt funds fell by $1.7 billion to $139.1 billion. Yields fell again for Prime MMFs and Govt MMFs in September, while Tax Exempt yields rose. 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 their latest numbers below.

Last month's big asset gains follow increases of $76.3 billion in August, $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 $53.0 billion in October through 10/22.) Over the 12 months through 9/30/19, total MMF assets have increased $693.8 billion, or 22.0%, 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 $3.850 trillion in assets, $1.063 trillion was in Prime funds, which rose $11.7 billion in September after increasing $10.6 billion in August, $22.3 billion in July, $9.6 billion in June and $8.9 billion in May. Prime funds represented 27.6% of total assets at the end of September. They've increased by a stunning $316.7 billion, or 42.4%, over the past 12 months. Government & Treasury funds totaled $2.647 trillion, or 68.8% of assets. They rose $72.9 billion in September, $66.0 billion in August, $53.5 billion in July, $31.8 billion in June and $67.3 billion in May. Govt & Treas MMFs are up $373.0 billion over 12 months, or 16.4%. Tax Exempt Funds decreased $1.8B to $139.0 billion, or 3.6% of all assets. The number of money funds was 369 in September, down one from the previous month and down 14 funds from a year earlier.

Yields for Taxable MMFs were lower in September for the 7th month in a row. This year's declines follow 24 months of (almost straight) increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Sept. 30 was 2.13%, down 13 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 2.18%, down 12 basis points. Gross yields fell to 2.03% for Government Funds, down 15 bps from last month. Gross yields for Treasury Funds decreased 11 basis point to 2.03%. Gross Yields for Muni Institutional MMFs rose from 1.42% in August to 1.58%. Gross Yields for Muni Retail funds rose from 1.42% to 1.56% in September.

The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.05%, down 13 bps from the previous month and the same as 7/31/18. The Average Net Yield for Prime Retail Funds was 1.92%, down 13 bps from the previous month an down 0.01% since 7/31/18. Net yields fell to 1.76% for Government Funds, down 15 bps from last month. Net yields for Treasury Funds decreased 11 basis point to 1.80%. Net Yields for Muni Institutional MMFs rose from 1.30% in August to 1.45%. Net Yields for Muni Retail funds rose from 1.15% to 1.28% in September. (Note: These averages are asset-weighted.)

WALs and WAMs were predominately up in September, with only Prime Institutional funds falling in WAM and Treasury falling in WAL. The average Weighted Average Life, or WAL, was 32.1 days (up 0.6 days from last month) for Prime Institutional funds, and 72.8 days for Prime Retail funds (up 5.9 days). Government fund WALs averaged 98.1 days (up 1.1 days) while Treasury fund WALs averaged 95.2 days (day 1.8 days). Muni Institutional fund WALs were 16.2 days (up 2.2 days), and Muni Retail MMF WALs averaged 38.5 days (up 1.3 days).

The Weighted Average Maturity, or WAM, was 31.0 days (down 1.6 days from the previous month) for Prime Institutional funds, 40.7 days (up 4.0 days from the previous month) for Prime Retail funds, 29.8 days (up 2.2 days) for Government funds, and 36.9 days (up 0.8 days) for Treasury funds. Muni Inst WAMs were up 2.1 days to 15.9 days, while Muni Retail WAMs increased by 1.2 days to 35.9 days.

Total Daily Liquid Assets for Prime Institutional funds were 37.6% in September (down by 1.7% from the previous month), and DLA for Prime Retail funds was 25.5% (up 0.8% from previous month) as a percent of total assets. The average DLA was 46.6% for Govt MMFs and 91.3% for Treasury MMFs. Total Weekly Liquid Assets was 53.8% (down 0.7% from the previous month) for Prime Institutional MMFs, and 41.9% (down 0.6% from the previous month) for Prime Retail funds. Average WLA was 71.9% for Govt MMFs and 98.2% for Treasury MMFs.

In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for September 2019," the largest entries included: Canada with $158.4 billion, the U.S. with $132.8 billion, Japan with $105.1 billion, France with $75.2B, Germany with $56.0B, Australia/New Zealand with $44.7B, the UK with $38.8B, the Netherlands with $37.4B and Switzerland with $21.4B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $13.6B), the US (up $6.3B), Germany (up $2.5B), the Netherlands (up $2.1B), Australia/New Zealand (up $1.2B) and Japan (up $0.8B). The biggest decreases were France (down $15.3B), the UK (down $7.0B) and Switzerland (down $2.8B).

The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $287.8B (down $21.3B from last month), the Eurozone subset had $178.4B (down $11.3B). The Americas had $291.8 billion (up $19.8B), while Asia Pacific had $175.8B (up $3.5B).

The "Prime MMF Portfolio Composition" chart shows that of the $1.063 trillion in Prime MMF Portfolios as of September 30, $316.3B (29.8%) was in CDs and Time Deposits (down from $333.3B), $326.3B (30.7%) was in Government & Treasury securities (direct and repo) (up from $310.1B), $141.7B (13.3%) was held in Non-Financial CP and Other securities (up from $139.9B), $226.7B (21.3%) was in Financial Company CP (up from $213.5B) and $63.5B (6.0%) was in ABCP (down from $63.8B).

The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $237.2 billion, Canada with $167.0 billion, France with $196.7 billion, Germany with $22.2 billion, Japan with $136.4 billion, the U.K. with $88.5 billion and Other with $36.6 billion. All MMF Repo with the Federal Reserve fell by $5.0 billion in September to $7.1 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 9.2%, Muni Inst MMFs with 2.2%, Muni Retail MMFs with 8.7%, Govt MMFs with 17.8% and Treasury MMFs with 15.8%.

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