SEC's Jan. 31 MMF Statistics
The Securities and Exchange Commission released its latest "Money Market Fund Statistics" report, with data as of January 31, 2015. The report summarizes Form N-MFP data and which includes totals on assets, yields, liquidity, WAM, WAL, holdings, and other money market fund trends. The data is produced by the SEC's Division of Investment Management. Overall, total money market fund assets stood at $3.057 trillion at the end of January, down $24 billion from Dec. 31, 2014, according to the SEC's broad total (which includes many private and internal funds not reported to ICI, Crane Data or other reporting agencies). Of the $3.057 trillion, $1.769 trillion was in Prime funds (down $3B from Dec. 31), $1.019T was in Government/Treasury funds (down $19B), and $268 billion was in Tax-Exempt funds (down $2B). The number of funds dropped by 2 in Jan. 2015 to 544. Looking at other statistics, the Weighted Average Gross 7-Day Yield for Prime Funds was 0.21% on Jan. 31 (up 0.01%), 0.08% for Government/Treasury funds (unch.), and 0.06% for Tax-Exempt funds (down 0.01%). The Weighted Average Net Prime Yield was 0.05% (Govt and Tax-Exempt net yields were 0.01%), and the Weighted Average Prime Expense Ratio was 0.16% (up 0.01%). The Weighted Average Life, or WAL, for Prime funds at month-end was 77.8 days (up from 76.6 days on Dec. 31, 2014), for Government/Treasury funds was 79.7 days (up from 74.9), and for Tax Exempt funds was 34.0 days (down 3.2 days). The Weighted Average Maturity, or WAM, for Prime funds was 43.5 days (up 0.7 days), for Govt/Treasury funds was 43.7 days (up 0.2 days), and for Tax-Exempt funds was 33.0 days (down 3.3 days). Total Daily Liquidity for Prime funds was 25.7% in January (up 3.2% from last month), while Total Weekly Liquidity was 40.6% (down 0.8%). In the category Prime MMF Holdings of Bank Related Securities by Country, the US topped the list with $203.5 billion, just ahead of Canada at $200.8 billion. France was third with $184.7 billion, followed by Japan at $171.7B, Sweden at $116.0B, the U.K. at $101.8B, and Australia/New Zealand at $100.5B. The Netherlands ($60.8B), Switzerland ($50.9B), and Germany ($49.0B) round out the top 10. For Prime MMF Holdings of Bank-Related Securities by Region, Europe had $626.2 billion in while its subset, the Eurozone, had $315.4. The Americas was next with $407.1 billion, while Asia and Pacific had $303.5 billion. The Total Amortized Cost of Prime MMF Portfolios was $1.771 trillion as of Jan. 31, 2015. That was made up of $611 billion in CDs, $372 billion in Government (including direct and repo), $425 billion in Non-Financial CP and Other Short term Securities, $264 billion in Financial Company CP, and $98 billion in ABCP. Also, the Proportion of Non-Government Securities in All Taxable Funds was 49.5% at month-end. All MMF Repo with Federal Reserve was $173.2 billion on Jan. 31, 2015, down from $371.1 billion at year-end. Finally, the Trend in Longer Maturity Securities in Prime MMFs said 42.4% were in maturities of 60 days and over, while 11.6% were in maturities of 180 days and over.
