The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Wednesday. It shows that total money fund assets were up $71.2 billion in August to $2.988 trillion, with Prime funds increasing for the 8th month in a row. Prime MMFs gained $16.8 billion (after gaining $9.5 billion in July, $4.0 billion in June and $2.5 billion in May) to $641.7 billion. Government money funds increased by $56.8 billion, while Tax Exempt MMFs fell by $2.4 billion. Gross yields inched higher for Prime and Govt MMFs, but decreased again for Tax Exempt MMFs. 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.
Overall assets increased by $71.2 billion in August and $19.9 billion in July, but decreased by $23.7 in June. They increased $3.8 billion in May and decreased by $12.7 billion in April. Over the past 12 months through 8/31/17, total MMF assets have declined by $5.1 billion, or 0.2%. (Note that the SEC's series includes some private and internal money funds not reported to ICI or others, but Crane Data has added many of these to our collections.)
Of the $2.988 trillion in assets, $624.9 billion was in Prime funds, which increased by $16.8 billion in August. Prime MMFs increased $9.5 billion in July, $4.0 billion in June, $2.5 billion in May, $9.8 billion in April, $12.1 billion in March, $24.9 billion in February, and $11.7 billion in Jan. But they decreased $15.5 billion in December, increased $3.4 billion in Nov., and decreased by $177.4 billion in October. Prime funds represented 21.5% of total assets at the end of August. They've increased by $91.4 billion, or 16.6%, YTD. But they've declined by $391.4 billion the past 12 months, or -37.9%, and by $1.108 trillion over the past 2 years.
Government & Treasury funds totaled $2.214 billion, or 74.0% of assets,, up $56.8 billion in August, their second monthly increase in a row and third this year. They were up $8.0 billion in July, down $26.9 in June, up $0.4 billion in May, and down $19.9 billion in April, $14.5 billion in March, $10.1 billion in February, $53.8 billion in January and $10.2 billion in Dec. But Govt MMFs rose $56.4 billion in November, and $148.0 billion in October. Govt & Treas MMFs are up $412.4 billion over 12 months (22.9%). Tax Exempt Funds decreased $2.4 billion to $133.0 billion, or 4.5% of all assets. The number of money funds is 406, the same number as last month but down 37 from 8/31/16.
Yields were up again in August for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on August 31 was 1.28%, up one basis point from the previous month, and more than double the 0.57% of August 2016. Gross yields increased to 1.07% for Government/Treasury funds, up 0.01% from the previous month and up 0.66% since 8/16. Tax Exempt Weighted Average Gross Yields decreased 0.02% in August to 0.86%, but they've increased by 26 bps since 8/31/16.
The Weighted Average Net Prime Yield was 1.06%, up 0.01% from the previous month and up 0.71% since 8/16. The Weighted Average Prime Expense Ratio was 0.22% in August (unchanged from the previous month). Prime expense ratios have remained flat over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were up mixed in August, down for Prime and Govt funds, but up for Tax Exempt funds. The average Weighted Average Life, or WAL, was 64.0 days (down 1.1 days from last month) for Prime funds, 86.7 days (down 0.4 days) for Government/Treasury funds, and 29.1 days (up 5.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.6 days (down 0.6 days from the previous month) for Prime funds, 31.5 days (down 0.8 days) for Govt/Treasury funds, and 26.2 days (up 5.5 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 31.5% in August (down 0.6% from previous month). Total Weekly Liquidity was 49.1% (down 0.5%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $76.9 billion, followed by France with $64.9 billion, the U.S. with $61.4 billion, Japan with $48.5B, then Sweden ($43.4B), Australia/New Zealand ($38.7B), the Netherlands ($31.5B), and Germany ($28.4B). The UK ($26.0B) and Switzerland ($12.9B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: France (up $8.3B), the Netherlands (up $7.3B), Sweden (up $4.3B), Australia/New Zealand (up $2.2B), Switzerland (up $1.8B), Norway (up $1.7B), Germany (up $1.4 billion), China (up $821M), the U.S. (up $446M), the U.K. (up $256M), Japan (up $233M), and Belgium (up $213M). The biggest drops came from Canada (down $2.5B), Singapore(down $814M), Other (down $21M), and Spain (down $7M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $236.2B (up $25.4B from last month), while the Eurozone subset had $137.6 billion (up $17.1B). The Americas had $139.0 billion (down from $140.8B), while Asian and Pacific had $100.5 billion (up from $98.3B).
Of the $641.1 billion in Prime MMF Portfolios as of August 31, $271.3B (42.3%) was in CDs (up from $255.8B), $117.6B (18.3%) was in Government securities (including direct and repo), down from $136.5B, $92.3B (14.4%) was held in Non-Financial CP and Other Short Term Securities (up from $88.5B), $118.8B (18.5%) was in Financial Company CP (up from $103.9B), and $41.2B (6.4%) was in ABCP (up from $37.7B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.5% at month-end, up from 17.5% the previous month. All MMF Repo with Federal Reserve increased to $200.0B in August from $189.7B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 38.6% were in maturities of 60 days and over (up from 38.3%), while 10.1% were in maturities of 180 days and over (down from 10.3%).
