The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets rose by $89.7 billion in May to $6.529 trillion (a new record), after falling $17.7 billion the month prior and hitting the previous record $6.525 trillion three months prior. The SEC shows Prime MMFs increasing $19.7 billion in May to $1.404 trillion, Govt & Treasury funds increasing $65.5 billion to $4.989 trillion and Tax Exempt funds increasing $4.5 billion to $135.8 billion. Taxable yields inched higher in May after dipping in April. 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 June through 6/28, total money fund assets increased by $15.7 billion to $6.489 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
May's overall asset increase follows a decrease of $17.7 billion in April, $68.5 billion in March, an increase of $65.9 billion in February, $87.7 billion in January, $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. Over the 12 months through 5/31/24, total MMF assets increased by $618.0 billion, or 10.5%, according to the SEC's series.
The SEC's stats show that of the $6.529 trillion in assets, $1.404 trillion was in Prime funds, up $19.7 billion in May. Prime assets were down $30.0 billion in April, up $8.1 billion in March, $33.5 billion in February, $52.5 billion in January, $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 and $11.0 billion in June. Prime funds represented 21.5% of total assets at the end of May. They've increased by $204.2 billion, or 17.0%, 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 $4.989 trillion, or 76.4% of assets. They increased $65.5 billion in May, increased $9.3 billion in April, decreased $78.8 billion in March, increased $33.1 billion in February, $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 and $4.9 billion in June. Govt & Treasury MMFs are up $396.6 billion over 12 months, or 8.6%. Tax Exempt Funds increased $4.5 billion to $135.8 billion, or 2.1% of all assets. The number of money funds was 289 in May, up 1 from the previous month and down 4 funds from a year earlier.
Yields for Taxable MMFs inched higher while Tax Exempt MMFs were lower in May. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on May 31 was 5.43%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.49%, unchanged from the previous month. Gross yields were 5.38% for Government Funds, up 1 bp from last month. Gross yields for Treasury Funds were up 1 bp at 5.37%. Gross Yields for Tax Exempt Institutional MMFs were down 12 basis points to 3.50% in May. Gross Yields for Tax Exempt Retail funds were down 18 bps to 3.51%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.36%, unchanged from the previous month and up 24 bps from 5/31/23. The Average Net Yield for Prime Retail Funds was 5.22%, unchanged from the previous month, and up 23 bps since 5/31/23. Net yields were 5.14% for Government Funds, up 1 bp from last month. Net yields for Treasury Funds were up 1 bp from the previous month at 5.15%. Net Yields for Tax Exempt Institutional MMFs were down 12 bps from April to 3.38%. Net Yields for Tax Exempt Retail funds were down 18 bps at 3.27% in May. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in May. The average Weighted Average Life, or WAL, was 47.6 days (up 2.8 days) for Prime Institutional funds, and 49.7 days for Prime Retail funds (up 1.7 days). Government fund WALs averaged 84.8 days (down 0.2 days) while Treasury fund WALs averaged 80.9 days (up 2.2 days). Tax Exempt Institutional fund WALs were 7.0 days (up 0.4 days), and Tax Exempt Retail MMF WALs averaged 25.4 days (up 0.5 days).
The Weighted Average Maturity, or WAM, was 28.7 days (up 1.1 days from the previous month) for Prime Institutional funds, 31.8 days (up 0.1 days from the previous month) for Prime Retail funds, 34.8 days (up 0.3 days from previous month) for Government funds, and 41.4 days (up 1.0 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.4 days to 7.0 days, while Tax Exempt Retail WAMs were up 0.3 days from previous month at 24.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 63.3% in May (up 1.7% from the previous month), and DLA for Prime Retail funds was 46.2% (up 0.4% from previous month) as a percent of total assets. The average DLA was 65.9% for Govt MMFs and 94.0% for Treasury MMFs. Total Weekly Liquid Assets was 75.6% (up 1.2% from the previous month) for Prime Institutional MMFs, and 62.3% (up 2.0% from the previous month) for Prime Retail funds. Average WLA was 80.3% for Govt MMFs and 99.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for May 2024," the largest entries included: the U.S. with $180.2B, Canada with $165.7 billion, Japan with $124.5 billion, France with $110.2 billion, the U.K. with $52.1B, the Netherlands with $40.8B, Germany with $29.7B, Aust/NZ with $27.7B and Switzerland with $8.1B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $19.9B), the U.S. (up $3.9B), France (up $2.4B), the U.K. (up $0.6B) and Switzerland (up $0.3B). Decreases were shown by: Germany (down $6.6B) Netherlands (down $3.8B), Japan (down $1.7B) and Aust/NZ (down $1.4B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $345.8 billion (up $23.7B), while Eurozone had $202.8B (down $5.2B). Asia Pacific subset had $182.0B (up $3.9B), while Europe (non-Eurozone) had $142.3B (up $11.1B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.391 trillion in Prime MMF Portfolios as of May 31, $628.6B (45.2%) was in Government & Treasury securities (direct and repo) (up from $620.1B), $371.4B (26.7%) was in CDs and Time Deposits (up from $358.2B), $179.9B (12.9%) was in Financial Company CP (up from $179.1B), $140.2B (10.1%) was held in Non-Financial CP and Other securities (down from $147.4B), and $70.9B (5.1%) was in ABCP (down from $72.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $507.4 billion, Canada with $200.8 billion, France with $200.3 billion, the U.K. with $141.6 billion, Germany with $25.2 billion, Japan with $139.6 billion and Other with $45.2 billion. All MMF Repo with the Federal Reserve was down $92.9 billion in May to $415.8 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 5.8%, Prime Retail MMFs with 7.0%, Tax Exempt Inst MMFs with 0.2%, Tax Exempt Retail MMFs with 3.4%, Govt MMFs with 15.5% and Treasury MMFs with 12.3%.
