The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets decreased by $41.2 billion in October to $6.112 trillion. The SEC shows Prime MMFs jumping $13.9 billion in October to $1.287 trillion, Govt & Treasury funds decreased $62.4 billion to $4.695 trillion and Tax Exempt funds increased $7.3 billion to $130.7 billion. Taxable yields inched higher in October after rising in September. 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 November through 11/17, total money fund assets have increased by $83.2 billion to $6.124 trillion, according to our separate, and slightly smaller, MFI Daily series.)
October's overall asset decrease follows an increase of $79.7 billion in September, $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 and $48.5 billion last November. Over the 12 months through 10/31/23, total MMF assets have increased by $980.6 billion, or 19.1%, according to the SEC's series.
The SEC's stats show that of the $6.112 trillion in assets, $1.287 trillion was in Prime funds, up $13.9 billion in October. Prime assets were up $14.3 billion in September, $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 and $28.0 billion in November. Prime funds represented 21.1% of total assets at the end of October. They've increased by $274.2 billion, or 27.1%, 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 $4.695 trillion, or 76.8% of assets. They decreased $62.4 billion in October, 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 & Treasury MMFs are up $694.3 billion over 12 months, or 17.4%. Tax Exempt Funds increased $7.3 billion to $130.7 billion, or 2.1% of all assets. The number of money funds was 290 in October, down 2 from the previous month and down 10 funds from a year earlier.
Yields for Taxable MMFs inched higher while Tax Exempt MMFs fell in October. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Oct. 31 was 5.50%, up 2 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.56%, up 1 bp from the previous month. Gross yields were 5.42% for Government Funds, up 2 basis points from last month. Gross yields for Treasury Funds were up 3 bps at 5.43%. Gross Yields for Tax Exempt Institutional MMFs were down 22 basis points to 4.05% in October. Gross Yields for Tax Exempt Retail funds were down 7 bps to 3.93%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.43%, up 2 basis points from the previous month and up 228 bps from 10/31/22. The Average Net Yield for Prime Retail Funds was 5.30%, up 2 bps from the previous month, and up 223 bps since 10/31/22. Net yields were 5.17% for Government Funds, up 1 bp from last month. Net yields for Treasury Funds were up 2 bps from the previous month at 5.21%. Net Yields for Tax Exempt Institutional MMFs were down 22 bps from September to 3.93%. Net Yields for Tax Exempt Retail funds were down 7 bps at 3.69% in October. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in October. The average Weighted Average Life, or WAL, was 43.9 days (up 0.4 days) for Prime Institutional funds, and 47.2 days for Prime Retail funds (up 0.8 days). Government fund WALs averaged 76.9 days (up 5.5 days) while Treasury fund WALs averaged 67.0 days (up 7.3 days). Tax Exempt Institutional fund WALs were 7.4 days (down 1.9 days), and Tax Exempt Retail MMF WALs averaged 26.4 days (up 0.9 days).
The Weighted Average Maturity, or WAM, was 26.3 days (up 1.3 days from the previous month) for Prime Institutional funds, 30.9 days (up 3.5 days from the previous month) for Prime Retail funds, 28.9 days (up 1.6 days from previous month) for Government funds, and 31.0 days (up 6.0 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 1.8 days to 7.3 days, while Tax Exempt Retail WAMs were up 0.3 days from previous month at 25.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.0% in October (up 0.5% from the previous month), and DLA for Prime Retail funds was 42.2% (down 0.3% from previous month) as a percent of total assets. The average DLA was 69.8% for Govt MMFs and 96.9% for Treasury MMFs. Total Weekly Liquid Assets was 67.1% (up 0.4% from the previous month) for Prime Institutional MMFs, and 59.7% (down 0.4% from the previous month) for Prime Retail funds. Average WLA was 81.4% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for October 2023," the largest entries included: the U.S. with $145.7B, Canada with $136.6 billion, Japan with $126.4 billion, France with $98.9 billion, the U.K. with $43.0B, the Netherlands with $41.3B, Germany with $37.5B, Aust/NZ with $31.8B and Switzerland with $10.3B. The gainers among the "Prime MMF Holdings by Country" included: France (up $13.4B), Japan (up $7.1B), Aust/NZ (up $5.6B), the U.K. (up $4.6B), Switzerland (up $1.0B), Germany (up $0.8B), and Canada (up $0.1B). Decreases were shown by: Netherlands (down $1.5B) and the U.S. (down $0.6B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $282.3 billion (down $0.5B), while Eurozone had $202.1B (up $24.6B). Asia Pacific subset had $179.7B (up $10.4B), while Europe (non-Eurozone) had $111.2B (up $15.0B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.280 trillion in Prime MMF Portfolios as of Oct. 31, $526.4B (41.1%) was in Government & Treasury securities (direct and repo) (down from $564.5B), $347.0B (27.1%) was in CDs and Time Deposits (up from $303.7B), $195.6B (15.3%) was in Financial Company CP (up from $187.8B), $149.6B (11.7%) was held in Non-Financial CP and Other securities (up from $143.1B), and $61.1B (4.8%) was in ABCP (up from $59.9B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $334.0 billion, Canada with $174.6 billion, France with $159.0 billion, the U.K. with $106.7 billion, Germany with $29.2 billion, Japan with $117.8 billion and Other with $51.4 billion. All MMF Repo with the Federal Reserve was down $399.7 billion in October to $1.084 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.3%, Prime Retail MMFs with 7.0%, Tax Exempt Inst MMFs with 0.5%, Tax Exempt Retail MMFs with 5.8%, Govt MMFs with 14.7% and Treasury MMFs with 10.1%.
