The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets jumped by $34.0 billion in December to a record $6.372 trillion. The SEC shows Prime MMFs rising $1.2 billion in December to $1.320 trillion, Govt & Treasury funds increasing $31.7 billion to $4.920 trillion and Tax Exempt funds increasing $1.1 billion to $131.3 billion. Taxable yields were mixed in December after inching up in November. 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 January through 1/18, total money fund assets have increased by $52.2 billion to $6.352 trillion, according to our separate, and slightly smaller, MFI Daily series.)
December's overall asset increase follows an increase of $225.7 billion in November, a decrease of $41.2 billion in October, and increases of $79.7 billion in September, $114.2 billion in August and $28.8 billion in July. Assets rose $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 and $53.2 billion last January. Over the 12 months through 12/31/23, total MMF assets increased by a record $1.137 trillion, or 21.7%, according to the SEC's series.
The SEC's stats show that of the $6.372 trillion in assets, $1.320 trillion was in Prime funds, up $1.2 billion in December. Prime assets were up $32.5 billion in November, $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 and $86.2 billion last January. Prime funds represented 20.7% of total assets at the end of December. They've increased by $269.4 billion, or 25.6%, 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 $4.920 trillion, or 77.2% of assets. They increased $31.7 billion in December, $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 last January. Govt & Treasury MMFs are up $855.3 billion over 12 months, or 21.0%. Tax Exempt Funds increased $1.1 billion to $131.3 billion, or 2.1% of all assets. The number of money funds was 291 in December, up 1 from the previous month and down 7 funds from a year earlier.
Yields for Taxable MMFs mostly inched lower while Tax Exempt MMFs jumped in December. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Dec. 31 was 5.50%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.59%, up 2 bp from the previous month. Gross yields were 5.42% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were down 3 bps at 5.40%. Gross Yields for Tax Exempt Institutional MMFs were up 73 basis points to 4.14% in December. Gross Yields for Tax Exempt Retail funds were up 59 bps to 4.04%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.43%, down 1 basis point from the previous month and up 108 bps from 12/31/22. The Average Net Yield for Prime Retail Funds was 5.32%, up 2 bps from the previous month, and up 101 bps since 12/31/22. Net yields were 5.18% for Government Funds, unchanged from last month. Net yields for Treasury Funds were down 1 bp from the previous month at 5.20%. Net Yields for Tax Exempt Institutional MMFs were up 72 bps from November to 4.03%. Net Yields for Tax Exempt Retail funds were up 59 bps at 3.80% in December. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in December. The average Weighted Average Life, or WAL, was 49.0 days (up 0.8 days) for Prime Institutional funds, and 47.3 days for Prime Retail funds (down 3.6 days). Government fund WALs averaged 83.1 days (up 2.5 days) while Treasury fund WALs averaged 77.4 days (up 4.2 days). Tax Exempt Institutional fund WALs were 7.3 days (up 0.4 days), and Tax Exempt Retail MMF WALs averaged 25.4 days (down 0.7 days).
The Weighted Average Maturity, or WAM, was 33.4 days (up 0.5 days from the previous month) for Prime Institutional funds, 33.9 days (down 1.7 days from the previous month) for Prime Retail funds, 36.5 days (up 3.4 days from previous month) for Government funds, and 41.6 days (up 4.9 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.3 days to 7.2 days, while Tax Exempt Retail WAMs were down 0.5 days from previous month at 24.5 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.3% in December (up 2.3% from the previous month), and DLA for Prime Retail funds was 41.8% (up 1.1% from previous month) as a percent of total assets. The average DLA was 69.3% for Govt MMFs and 95.5% for Treasury MMFs. Total Weekly Liquid Assets was 65.1% (unchanged from the previous month) for Prime Institutional MMFs, and 57.2% (down 1.2% from the previous month) for Prime Retail funds. Average WLA was 81.9% for Govt MMFs and 98.7% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for December 2023," the largest entries included: Canada with $183.4 billion, the U.S. with $159.9B, Japan with $126.4 billion, France with $88.8 billion, Aust/NZ with $43.0B, the U.K. with $32.9B, the Netherlands with $20.4B, Germany with $19.3B and Switzerland with $10.1B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $27.1B), the U.S. (up $6.3B), Aust/NZ (up $6.2B). Decreases were shown by: Netherlands (down $21.6B), Germany (down $14.3B), France (down $12.0B), the U.K. (down $11.6B), Japan (down $4.7B) and Switzerland (down $0.7B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $343.3 billion (up $33.5B), while Eurozone had $142.5B (down $57.8B). Asia Pacific subset had $189.4B (down $3.2B), while Europe (non-Eurozone) had $78.0B (down $34.1B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.306 trillion in Prime MMF Portfolios as of Dec. 31, $618.2B (47.3%) was in Government & Treasury securities (direct and repo) (up from $ 550.5B), $294.5B (22.5%) was in CDs and Time Deposits (down from $351.5B), $188.9B (14.5%) was in Financial Company CP (down from $206.2B), $132.7B (10.2%) was held in Non-Financial CP and Other securities (down from $141.9B), and $72.1B (5.5%) was in ABCP (up from $63.7B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $393.8 billion, Canada with $218.3 billion, France with $132.8 billion, the U.K. with $93.4 billion, Germany with $17.9 billion, Japan with $131.3 billion and Other with $36.1 billion. All MMF Repo with the Federal Reserve was down $82.3 billion in December to $1.024 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.3%, Prime Retail MMFs with 5.6%, Tax Exempt Inst MMFs with 0.1%, Tax Exempt Retail MMFs with 4.0%, Govt MMFs with 13.5% and Treasury MMFs with 10.9%.
