Money Market Fund Statistics

Money Market Fund Statistics

Data as of December 31, 2018

February 5, 2019

U.S. Securities and Exchange Commission Division of Investment Management Analytics Office

This is a report of the Staff of the Division of Investment Management of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding this report or the information contained in it.

Table of Contents

Pa g e |2

TOPIC

12/31/2018 Change 11/30/2018 Page

Number of MoneyMarket Funds Reporting (Not Including Feeder Funds)

370

-9

379

3

Assets (in billions)

Total Money Market Funds

$3,297.9

$44.7

$3,253.2

4

Prime Funds

$764.2

-$7.5

$771.7

Government & Treasury Funds

$2,384.0

$45.8

$2,338.2

Tax Exempt Funds

$149.7

$6.5

$143.2

7-Day Yields Gross

Prime Funds

2.60%

0.17%

2.43%

5

Government & Treasury Funds

2.45%

0.17%

2.28%

Tax Exempt Funds

1.76%

0.02%

1.74%

7-Day Yields Prime Funds

Gross

2.60%

0.17%

2.43%

6

Net

2.42%

0.17%

2.25%

Weighted Average Life (WAL), Weighted by Fund Assets

Expense Ratio Prime Funds Government & Treasury Funds

0.19%

0.01%

0.18%

60.2 days -5.1 days 65.3 days

7

88.3 days 1.3 days 87.0 days

Weighted Average Maturity (WAM), Weighted by Fund Assets

Tax Exempt Funds Prime Funds Government & Treasury Funds

28.0 days -1.7 days 29.7 days

28.7 days -2.2 days 30.9 days

8

30.6 days

-

30.6 days

Liquidity of Prime Funds, As a Percent of Total Amortized Cost

Tax Exempt Funds Daily Liquidity Weekly Liquidity

26.1 days -1.6 days 27.7 days

34.1%

1.7%

32.4%

9

48.9%

0.9%

48.0%

Prime Funds' Bank Holdings

Holdings by Country

10

Change in Holdings by Country

11

Holdings by Major Region

12

Prime Funds' Portfolio Composition (in billions)

Certificates of Deposit

$245.8 (32.2%) -$17.2 $263.0 (34.2%) 13

Non-Financial Co. Commercial Paper (CP) & Other Short Term Instruments

$99.9 (13.1%)

-$6.7

$106.6 (13.9%)

Government & Treasury (Direct and Repo) $212.8 (27.9%) $22.5 $190.3 (24.8%)

Financial Co. Commercial Paper (CP)

$149.1 (19.5%) -$7.3 $156.4 (20.4%)

Asset Backed Commercial Paper (ABCP) $55.2 (7.2%) $3.3 $51.9 (6.8%)

Non-Government Securities

MMF Repo with the Fed (in billions) Longer-Maturity Securities

All Taxable Funds

60 Days and Over 180 Days and Over

17.3%

-1.6%

18.9%

14

$39.6

$37.1

$2.5

15

36.0%

-4.7%

40.7%

16

7.2%

-1.1%

8.3%

Information presented in this report is based upon data reported by filers for the period ending December 31, 2018, except where specifically noted that a chart incorporates staff judgments. The presented information does reflect data from amended filings submitted after the required reporting deadline. Some calculations in the change column in the above table of contents and in the tables below may not appear to total as expected due to rounding. If staff identify data in this report that requires correction, an amended report will be published with the corrected information.

Trend in Number of Money Market Funds

420

400

380

360

340

Does not include feeder funds

320

300

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12/31/2016 1/31/2017 2/28/2017 3/31/2017 4/30/2017 5/31/2017 6/30/2017 7/31/2017 8/31/2017 9/30/2017 10/31/2017 11/30/2017 12/31/2017 1/31/2018 2/28/2018 3/31/2018 4/30/2018 5/31/2018 6/30/2018 7/31/2018 8/31/2018 9/30/2018 10/31/2018 11/30/2018 12/31/2018

Number of Funds 413 411 411 411 412 411 410 406 406 406 399 382 379 380 379 379 381 381 381 382 383 383 381 379 370

Million s

Trend in Money Market Fund Assets, by Type of Fund

3,000,000

Prime

Govt & Treas

Tax Exempt

2,500,000

2,000,000

1,500,000

1,000,000

500,000

0

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12/31/2016 1/31/2017 2/28/2017 3/31/2017 4/30/2017 5/31/2017 6/30/2017 7/31/2017 8/31/2017 9/30/2017 10/31/2017 11/30/2017 12/31/2017 1/31/2018 2/28/2018 3/31/2018 4/30/2018 5/31/2018 6/30/2018 7/31/2018 8/31/2018 9/30/2018 10/31/2018 11/30/2018 12/31/2018

Prime $550,357 $562,085 $586,970 $599,142 $608,918 $611,372 $615,355 $624,925 $641,734 $664,471 $665,484 $679,795 $666,173 $669,379 $666,613 $663,172 $685,308 $686,014 $677,138 $701,413 $732,552 $746,446 $743,331 $771,749 $764,185

(Millions) Govt & Treas $2,273,496 $2,219,739 $2,209,607 $2,195,143 $2,175,191 $2,175,570 $2,148,708 $2,156,749 $2,213,514 $2,237,950 $2,226,755 $2,267,558 $2,324,868 $2,270,227 $2,315,094 $2,273,435 $2,283,454 $2,321,558 $2,282,219 $2,277,786 $2,275,969 $2,274,076 $2,282,414 $2,338,205 $2,384,001

Tax Exempt $134,470 $135,356 $134,789 $135,376 $132,925 $133,872 $133,083 $135,353 $132,996 $132,027 $132,691 $132,898 $134,427 $141,612 $140,201 $137,118 $135,953 $142,765 $139,103 $134,491 $135,093 $135,169 $138,142 $143,243 $149,687

Total $2,958,323 $2,917,180 $2,931,366 $2,929,662 $2,917,033 $2,920,815 $2,897,146 $2,917,026 $2,988,245 $3,034,448 $3,024,931 $3,080,251 $3,125,468 $3,081,218 $3,121,907 $3,073,725 $3,104,714 $3,150,337 $3,098,461 $3,113,690 $3,143,613 $3,155,690 $3,163,887 $3,253,196 $3,297,873

7-Day Gross Yield, Annualized

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Trend in Weighted Average 7-Day Gross Yield, by Type of Fund

Wtd Avg Gross Prime 3.00%

Wtd Avg Gross Govt & Treas

Wtd Avg Gross Tax Exempt

2.50%

2.00%

1.50%

1.00%

0.50%

0.00%

12/31/2016 1/31/2017 2/28/2017

3/31/2017 4/30/2017 5/31/2017 6/30/2017 7/31/2017 8/31/2017 9/30/2017 10/31/2017 11/30/2017 12/31/2017 1/31/2018 2/28/2018 3/31/2018 4/30/2018 5/31/2018 6/30/2018 7/31/2018 8/31/2018 9/30/2018 10/31/2018 11/30/2018 12/31/2018

Wtd Avg Gross Prime 0.87% 0.91% 0.91%

1.03% 1.08% 1.09% 1.23% 1.27% 1.28% 1.28% 1.29% 1.32% 1.52% 1.58% 1.63% 1.86% 1.96% 2.02% 2.16% 2.18% 2.19% 2.26% 2.37% 2.43% 2.60%

Wtd Avg Gross Govt & Treas 0.56% 0.60% 0.61%

0.76% 0.80% 0.84% 1.00% 1.06% 1.07% 1.08% 1.10% 1.14% 1.33% 1.38% 1.45% 1.69% 1.74% 1.80% 1.94% 1.96% 2.01% 2.12% 2.23% 2.28% 2.45%

Wtd Avg Gross Tax Exempt 0.77% 0.72% 0.70%

0.87% 0.94% 0.84% 0.93% 0.88% 0.86% 0.96% 0.96% 1.00% 1.59% 1.18% 1.16% 1.46% 1.71% 1.24% 1.53% 1.10% 1.59% 1.59% 1.66% 1.74% 1.76%

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