The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets jumped by $87.7 billion in January to a record $6.459 trillion. The SEC shows Prime MMFs rising $52.5 billion in January to $1.373 trillion, Govt & Treasury funds increasing $39.7 billion to $4.960 trillion and Tax Exempt funds decreasing $4.5 billion to $126.8 billion. Taxable yields inched lower in January after inching up in December. 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 February through 2/16, total money fund assets have decreased by $914 million to $6.393 trillion, according to our separate, and slightly smaller, MFI Daily series.)
January's overall asset increase follows an increase of $34.0 billion in December and $225.7 billion in November. MMFs decreased $41.2 billion in October, but increased $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 and $52.1 billion in February. Over the 12 months through 1/31/24, total MMF assets increased by a record $1.171 trillion, or 22.2%, according to the SEC's series.
The SEC's stats show that of the $6.459 trillion in assets, $1.373 trillion was in Prime funds, up $52.5 billion in January. Prime assets were up $1.2 billion in December, $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. Prime funds represented 21.3% of total assets at the end of January. They've increased by $235.6 billion, or 20.7%, 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 $4.960 trillion, or 76.8% of assets. They increased $39.7 billion in January, $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. Govt & Treasury MMFs are up $928.2 billion over 12 months, or 23.0%. Tax Exempt Funds decreased $4.5 billion to $126.8 billion, or 2.0% of all assets. The number of money funds was 290 in January, down 1 from the previous month and down 8 funds from a year earlier.
Yields for Taxable MMFs mostly inched lower while Tax Exempt MMFs jumped in January. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Jan. 31 was 5.49%, down 1 bp from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.55%, down 4 bps from the previous month. Gross yields were 5.39% for Government Funds, down 3 bps from last month. Gross yields for Treasury Funds were down 2 bps at 5.38%. Gross Yields for Tax Exempt Institutional MMFs were up 16 basis points to 4.30% in January. Gross Yields for Tax Exempt Retail funds were up 20 bps to 4.24%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.41%, down 2 basis points from the previous month and up 97 bps from 1/31/23. The Average Net Yield for Prime Retail Funds was 5.28%, down 4 bps from the previous month, and up 95 bps since 1/31/23. Net yields were 5.15% for Government Funds, down 3 bps from last month. Net yields for Treasury Funds were down 4 bps from the previous month at 5.16%. Net Yields for Tax Exempt Institutional MMFs were up 16 bps from December to 4.19%. Net Yields for Tax Exempt Retail funds were up 20 bps at 4.00% in January. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in January. The average Weighted Average Life, or WAL, was 48.4 days (down 0.6 days) for Prime Institutional funds, and 44.5 days for Prime Retail funds (down 2.8 days). Government fund WALs averaged 84.4 days (up 1.3 days) while Treasury fund WALs averaged 80.4 days (up 3.0 days). Tax Exempt Institutional fund WALs were 6.4 days (down 0.9 days), and Tax Exempt Retail MMF WALs averaged 25.9 days (up 0.5 days).
The Weighted Average Maturity, or WAM, was 31.7 days (down 1.7 days from the previous month) for Prime Institutional funds, 29.6 days (down 4.3 days from the previous month) for Prime Retail funds, 35.3 days (down 1.2 days from previous month) for Government funds, and 44.2 days (up 2.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.8 days to 6.4 days, while Tax Exempt Retail WAMs were up 0.6 days from previous month at 25.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.8% in January (up 0.5% from the previous month), and DLA for Prime Retail funds was 43.8% (up 2.0% from previous month) as a percent of total assets. The average DLA was 69.6% for Govt MMFs and 95.6% for Treasury MMFs. Total Weekly Liquid Assets was 67.8% (up 2.7% from the previous month) for Prime Institutional MMFs, and 59.1% (up 1.9% from the previous month) for Prime Retail funds. Average WLA was 80.8% for Govt MMFs and 98.8% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for January 2024," the largest entries included: the U.S. with $162.5B,Canada with $160.4 billion, Japan with $134.7 billion, France with $110.1 billion, the U.K. with $60.0B, the Netherlands with $40.5B, Aust/NZ with $39.1B, Germany with $37.9B and Switzerland with $8.6B. The gainers among the "Prime MMF Holdings by Country" included: the U.K. (up $27.1B), France (up $21.3B), Netherlands (up $20.1B), Germany (up $18.6B), Japan (up $8.3B) and the U.S. (up $2.6B). Decreases were shown by: Canada (down $23.0B), Aust/NZ (down $3.9B) and Switzerland (down $1.5B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $322.9 billion (down $20.4B), while Eurozone had $210.5B (up $68.0B). Asia Pacific subset had $200.6B (up $11.2B), while Europe (non-Eurozone) had $141.0B (up $63.0B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.363 trillion in Prime MMF Portfolios as of Jan. 31, $569.2B (41.8%) was in Government & Treasury securities (direct and repo) (down from $618.2B), $373.5B (27.4%) was in CDs and Time Deposits (up from $294.5B), $199.4B (14.6%) was in Financial Company CP (up from $188.9B), $144.2B (10.6%) was held in Non-Financial CP and Other securities (up from $132.7B), and $76.3B (5.6%) was in ABCP (up from $72.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $451.8 billion, Canada with $182.6 billion, France with $188.7 billion, the U.K. with $132.7 billion, Germany with $31.7 billion, Japan with $141.4 billion and Other with $45.8 billion. All MMF Repo with the Federal Reserve was up $151.1 billion in January to $1.175 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.0%, Prime Retail MMFs with 6.4%, Tax Exempt Inst MMFs with 0.1%, Tax Exempt Retail MMFs with 3.6%, Govt MMFs with 15.0% and Treasury MMFs with 12.2%.
