The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Wednesday. It shows that total money fund assets rose by $12.1 billion in September to $3.156 trillion. Prime MMFs jumped $13.8 billion to $746.4 billion, while Govt & Treasury funds dipped $1.9 billion to $2.274 trillion. Tax Exempt funds rose $0.1 billion to $135.2 billion. Yields rose for all Prime and Government funds but were flat for Tax Exempt MMFs in the latest month. 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 $12.1 billion in September, after increasing $29.9 billion in August, $15.2 billion in July, and decreasing by $51.8 billion in June. Total MMFs increased by $45.6 billion in May, increased $31.0 billion in April, and decreased $48.2 billion in March. Over the 12 months through 9/30/18, total MMF assets increased $121.2 billion, or 4.0%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, though Crane Data tracks most of these.)

Of the $3.156 trillion in assets, $746.4 billion was in Prime funds, which increased by $13.9 billion in September. Prime MMFs increased by $31.2 billion in August, increased by $24.3 billion in July, and decreased by $8.9 billion in June. Prime funds represented 23.7% of total assets at the end of September, their highest level since 9/30/16. They've increased by $82.0 billion, or 12.3%, over the past 12 months. They've increased by $6.6 billion over the past 2 years. (Over $1.1 trillion shifted from Prime to Government money market funds in the year leading up to October 2016's Money Fund Reforms.)

Government & Treasury funds totaled $2.274 trillion, or 72.1% of assets. They were down $1.9 billion in Sept., $1.8 billion in August, $4.4 billion in July, and $39.4 billion in June. But they were up $38.1 billion in May and up $10.0 billion in April. Govt & Treas MMFs are up $36.1 billion over 12 months, or 1.6%. Tax Exempt Funds increased $0.1B to $135.2 billion, or 4.3% of all assets. The number of money funds was 383 in September, the same as last month.

Yields on Taxable MMFs moved higher again in September, their 12th month in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Funds on Sept. 30 was 2.26%, up 7 basis points from the previous month and up 0.98% from September 2017. Gross yields increased to 2.12% for Government/Treasury funds, up 0.11% from the previous month, and up 104 bps from September 2017. Tax Exempt Weighted Average Gross Yields remained flat at 1.59%; they've increased by 63 bps since 9/30/17.

The Weighted Average Net Prime Yield was 2.09%, up 0.08% from the previous month and up 1.02% since 9/30/17. The Weighted Average Prime Expense Ratio was 0.18% in September (the same as the previous five months). Prime expense ratios are down by 3 bps over the past year. (Note: These averages are asset-weighted.)

WALs and WAMs were mostly higher in September. The average Weighted Average Life, or WAL, was 62.2 days (up 2.2 days from last month) for Prime funds, 88.9 days (up 1.9 days) for Government/Treasury funds, and 30.3 days (up 6.0 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 30.5 days (down 0.7 days from the previous month) for Prime funds, 33.4 days (up 3.6 days) for Govt/Treasury funds, and 27.3 days (up 6.2 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 31.2% in September (down 3.6% from previous month). Total Weekly Liquidity was 49.6% (down 0.2% from previous month) for Prime MMFs.

In the SEC's "Prime MMF Holdings of Bank Related Securities by Country, September 2018" table, Canada topped the list with $105.0 billion, followed by Japan with $71.2B, the US with $71.0 billion, France with $60.9B, and Sweden with $40.9B. The UK ($38.3B), Germany ($35.4B), Australia/New Zealand ($31.4B), the Netherlands ($29.6B), and Switzerland ($10.7B) rounded out the top 10 countries.

The gainers among Prime MMF bank related securities for the month included: Canada (up $14.6B), Japan (up $4.8B), Norway (up $3.7B), Singapore (up $2.4B), France (up $1.2B), Germany (up $1.1B), Australia/New Zealand (up $836M), and China (up $106M). The biggest drops came from Switzerland (down $8.3B), the UK (down $6.3B), Sweden (down $5.6B), the Netherlands (down $2.6B), Belgium (down $787M), the US (down $652M), Other (down $386M), and Spain (down $51M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $234.9B (down $17.9B from last month), while the Eurozone subset had $133.7B (down $1.3B). The Americas had $177.0 billion (up $14.2B), while Asia Pacific had $119.7 billion (up $7.9B).

Of the $743.6 billion in Prime MMF Portfolios as of Sept. 30, $246.2B (33.1%) was in CDs (up from $240.4BB), $186.7B (25.1%) was in Government securities (including direct and repo) (down from $189.3B), $108.5B (14.6%) was held in Non-Financial CP and Other Short Term Securities (up from $103.7B), $154.7B (20.8%) was in Financial Company CP (up from $151.2B), and $47.5B (6.4%) was in ABCP (up from $45.8B).

The Proportion of Non-Government Securities in All Taxable Funds was 18.7% at month-end, up from 18.2%. All MMF Repo with the Federal Reserve rose to $44.9B in September from $0.4B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.2% were in maturities of 60 days and over (down from 35.8%), while 8.3% were in maturities of 180 days and over (up from 7.9%).

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