The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets jumped by $225.7 billion in November to a record $6.338 trillion. The SEC shows Prime MMFs rising $32.5 billion in November to $1.319 trillion, Govt & Treasury funds increasing $193.7 billion to $4.888 trillion and Tax Exempt funds decreasing $0.5 billion to $130.2 billion. Taxable yields were mixed in November after rising in October. 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 12/20, total money fund assets have decreased by $9.3 billion to $6.258 trillion, according to our separate, and slightly smaller, MFI Daily series.)
November's overall asset increase follows a decrease of $41.2 billion in October, 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 11/30/23, total MMF assets have increased by $1.158 trillion, or 22.4%, according to the SEC's series.
The SEC's stats show that of the $6.338 trillion in assets, $1.319 trillion was in Prime funds, up $32.5 billion in November. Prime assets were up $13.9 billion in October, $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 last November. Prime funds represented 20.8% of total assets at the end of November. They've increased by $278.7 billion, or 26.8%, 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 $4.888 trillion, or 77.1% of assets. They increased $193.7 billion in November, 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 last November. Govt & Treasury MMFs are up $864.9 billion over 12 months, or 21.5%. Tax Exempt Funds decreased $0.5 billion to $130.2 billion, or 2.1% of all assets. The number of money funds was 290 in November, unchanged from the previous month and down 9 funds from a year earlier.
Yields for Taxable MMFs inched higher while Tax Exempt MMFs fell in November. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Nov. 30 was 5.50%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.57%, up 1 bp from the previous month. Gross yields were 5.42% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were unchanged at 5.43%. Gross Yields for Tax Exempt Institutional MMFs were down 64 basis points to 3.41% in November. Gross Yields for Tax Exempt Retail funds were down 48 bps to 3.45%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.44%, up 1 basis point from the previous month and up 153 bps from 11/30/22. The Average Net Yield for Prime Retail Funds was 5.30%, unchanged from the previous month, and up 147 bps since 11/30/22. Net yields were 5.18% for Government Funds, up 1 bp from last month. Net yields for Treasury Funds were unchanged from the previous month at 5.21%. Net Yields for Tax Exempt Institutional MMFs were down 62 bps from October to 3.31%. Net Yields for Tax Exempt Retail funds were down 48 bps at 3.21% in November. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in November. The average Weighted Average Life, or WAL, was 48.2 days (up 4.3 days) for Prime Institutional funds, and 50.9 days for Prime Retail funds (up 3.7 days). Government fund WALs averaged 80.6 days (up 3.7 days) while Treasury fund WALs averaged 73.2 days (up 6.2 days). Tax Exempt Institutional fund WALs were 6.9 days (down 0.5 days), and Tax Exempt Retail MMF WALs averaged 26.1 days (down 0.3 days).
The Weighted Average Maturity, or WAM, was 32.9 days (up 6.6 days from the previous month) for Prime Institutional funds, 35.6 days (up 4.7 days from the previous month) for Prime Retail funds, 33.1 days (up 4.2 days from previous month) for Government funds, and 36.7 days (up 5.7 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.4 days to 6.9 days, while Tax Exempt Retail WAMs were down 0.1 days from previous month at 25.0 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.0% in November (unchanged from the previous month), and DLA for Prime Retail funds was 40.7% (down 1.5% from previous month) as a percent of total assets. The average DLA was 69.1% for Govt MMFs and 96.0% for Treasury MMFs. Total Weekly Liquid Assets was 65.1% (down 2.0% from the previous month) for Prime Institutional MMFs, and 58.4% (down 1.3% from the previous month) for Prime Retail funds. Average WLA was 80.8% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for November 2023," the largest entries included: Canada with $156.3 billion, the U.S. with $153.6B, Japan with $131.1 billion, France with $100.8 billion, the U.K. with $44.5B, the Netherlands with $42.0B, Aust/NZ with $36.8B, Germany with $33.6B and Switzerland with $10.8B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $19.7B), the U.S. (up $7.9B), Aust/NZ (up $5.0B), Japan (up $4.7B), France (up $1.9B), the U.K. (up $1.5B), Netherlands (up $0.7B) and Switzerland (up $0.5B). Decreases were shown by: Germany (down $3.9B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $309.8 billion (up $27.5B), while Eurozone had $200.3B (down $1.8B). Asia Pacific subset had $192.6B (up $12.9B), while Europe (non-Eurozone) had $112.1B (up $0.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.314 trillion in Prime MMF Portfolios as of Nov. 30, $550.5B (41.9%) was in Government & Treasury securities (direct and repo) (up from $526.4B), $351.5B (26.8%) was in CDs and Time Deposits (up from $347.0B), $206.2B (15.7%) was in Financial Company CP (up from $195.6B), $141.9B (10.8%) was held in Non-Financial CP and Other securities (down from $149.6B), and $63.7B (4.8%) was in ABCP (up from $61.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $381.5 billion, Canada with $201.4 billion, France with $167.0 billion, the U.K. with $139.6 billion, Germany with $32.4 billion, Japan with $138.5 billion and Other with $45.5 billion. All MMF Repo with the Federal Reserve was down $234.9 billion in November to $849.3 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.0%, Prime Retail MMFs with 7.0%, Tax Exempt Inst MMFs with 0.2%, Tax Exempt Retail MMFs with 5.7%, Govt MMFs with 13.6% and Treasury MMFs with 9.3%.
