The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $79.7 billion in September to a record high of $6.153 trillion. The SEC shows Prime MMFs jumping $14.3 billion in September to $1.273 trillion, Govt & Treasury funds increased $64.6 billion to $4.757 trillion and Tax Exempt funds increased $0.8 billion to $123.4 billion. Taxable yields inched higher in September after rising in August. 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. (Month-to-date in October through 10/19, total money fund assets have decreased by $82.2 billion to $5.991 trillion, according to our separate, and slightly smaller, MFI Daily series.)
September's overall asset increase follows an increase of $114.2 billion in August, $28.8 billion in July, $19.6 billion in June, $156.6 billion in May, $49.9 billion in April, $364.4 billion in March, $52.1 billion in February, $53.2 billion in January, $54.8 billion in December, $48.5 billion in November and $35.6 billion in October. Over the 12 months through 9/30/23, total MMF assets have increased by $1.058 trillion, or 20.8%, according to the SEC's series.
The SEC's stats show that of the $6.153 trillion in assets, $1.273 trillion was in Prime funds, up $14.3 billion in September. Prime assets were up $18.5 billion in August, $28.9 billion in July, $11.0 billion in June, $13.7 billion in May and $36.0 billion in April. They were down $22.2 billion in March, but up $35.4 billion in February, $86.2 billion in January, $10.5 billion in December, $28.0 billion in November and $36.6 billion in October. Prime funds represented 20.7% of total assets at the end of September. They've increased by $297.0 billion, or 30.4%, over the past 12 months. (Note that the SEC's series includes a number of internal money funds not tracked by ICI, though Crane Data includes most of these assets in its collections.)
Government & Treasury funds totaled $4.757 trillion, or 77.3% of assets. They increased $64.6 billion in September, $92.2 billion in August, $3.1 billion in July, $4.9 billion in June, $137.4 billion in May, $19.3 billion in April, $387.9 billion in March and $16.1 billion in February. They decreased $33.2 billion in January but increased $41.3 billion in December and $23.1 billion in November. Govt MMFs decreased $12.8 billion in October. Govt & Treasury MMFs are up $743.9 billion over 12 months, or 18.5%. Tax Exempt Funds increased $0.8 billion to $123.4 billion, or 2.0% of all assets. The number of money funds was 292 in September, down 1 from the previous month and down 12 funds from a year earlier.
Yields for Taxable MMFs inched higher while Tax Exempt MMFs fell in September. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Sept. 30 was 5.48%, up 2 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.55%, up 2 bps from the previous month. Gross yields were 5.40% for Government Funds, up 1 basis point from last month. Gross yields for Treasury Funds were up 1 bp at 5.40%. Gross Yields for Tax Exempt Institutional MMFs were down 5 basis points to 4.27% in September. Gross Yields for Tax Exempt Retail funds were down 14 bps to 4.00%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.41%, up 1 basis point from the previous month and up 249 bps from 9/30/22. The Average Net Yield for Prime Retail Funds was 5.28%, up 2 bps from the previous month, and up 237 bps since 9/30/22. Net yields were 5.16% for Government Funds, up 1 bp from last month. Net yields for Treasury Funds were up 2 bps from the previous month at 5.19%. Net Yields for Tax Exempt Institutional MMFs were down 6 bps from August to 4.15%. Net Yields for Tax Exempt Retail funds were down 13 bps at 3.76% in September. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in September. The average Weighted Average Life, or WAL, was 43.5 days (down 0.3 days) for Prime Institutional funds, and 46.4 days for Prime Retail funds (down 0.6 days). Government fund WALs averaged 71.4 days (up 3.3 days) while Treasury fund WALs averaged 59.7 days (up 1.6 days). Tax Exempt Institutional fund WALs were 9.3 days (up 0.9 days), and Tax Exempt Retail MMF WALs averaged 25.5 days (up 2.9 days).
The Weighted Average Maturity, or WAM, was 25.0 days (up 2.9 days from the previous month) for Prime Institutional funds, 27.4 days (up 2.1 days from the previous month) for Prime Retail funds, 27.3 days (up 2.5 days from previous month) for Government funds, and 25.0 days (up 1.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.7 days to 9.1 days, while Tax Exempt Retail WAMs were up 3.0 days from previous month at 24.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 50.5% in September (down 2.6% from the previous month), and DLA for Prime Retail funds was 42.5% (down 0.8% from previous month) as a percent of total assets. The average DLA was 69.8% for Govt MMFs and 97.2% for Treasury MMFs. Total Weekly Liquid Assets was 66.7% (up 0.1% from the previous month) for Prime Institutional MMFs, and 60.1% (down 0.8% from the previous month) for Prime Retail funds. Average WLA was 82.2% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for September 2023," the largest entries included: the U.S. with $146.3B, Canada with $136.5 billion, Japan with $119.3 billion, France with $85.5 billion, the Netherlands with $42.8B, the U.K. with $38.4B, Germany with $36.7B, Aust/NZ with $26.2B and Switzerland with $9.3B. The gainers among the "Prime MMF Holdings by Country" included: the U.S. (up $9.0B), Canada (up $5.5B), Aust/NZ (up $2.7B) and Japan (up $2.1B). Decreases were shown by: France (down $8.5B), the U.K. (down $3.0B), Netherlands (down $0.2B), Switzerland (down $0.2B) and Germany (down $0.2B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $282.8 billion (up $14.5B), while Eurozone had $177.5B (down $17.9B). Asia Pacific subset had $169.3B (up $4.8B), while Europe (non-Eurozone) had $96.2B (down $14.1B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.259 trillion in Prime MMF Portfolios as of Sept. 30, $564.5B (44.8%) was in Government & Treasury securities (direct and repo) (up from $545.2B), $303.7B (24.1%) was in CDs and Time Deposits (down from $326.6B), $187.8B (14.9%) was in Financial Company CP (up from $183.9B), $143.0B (11.4%) was held in Non-Financial CP and Other securities (up from $138.2B), and $59.9B (4.8%) was in ABCP (up from $58.6B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $320.3 billion, Canada with $177.3 billion, France with $143.5 billion, the U.K. with $76.6 billion, Germany with $20.0 billion, Japan with $124.7 billion and Other with $41.3 billion. All MMF Repo with the Federal Reserve was down $81.3 billion in September to $1.484 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.1%, Prime Retail MMFs with 6.6%, Tax Exempt Inst MMFs with 0.6%, Tax Exempt Retail MMFs with 5.1%, Govt MMFs with 13.8% and Treasury MMFs with 8.7%.
