After a long delay, the Securities and Exchange Commission published its latest monthly "Money Market Fund Statistics" summary for June, which shows that total money fund assets rose by $21.3 billion in June to a record $6.550 trillion, after jumping $89.7 billion the month prior. The SEC shows Prime MMFs decreasing $204.6 billion in June to $1.200 trillion (due to the reclassification of Vanguard Market Liquidity Fund and American Funds Central Cash from Prime Inst to Govt Inst), Govt & Treasury funds increasing $229.2 billion to $5.218 trillion and Tax Exempt funds decreasing $3.3 billion to $132.5 billion. Taxable yields mostly inched lower in June after rising in May. 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 August through 8/14, total money fund assets increased by $62.8 billion to $6.568 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
June's overall asset increase follows an increase of $89.7 billion in May, 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. Over the 12 months through 6/30/24, total MMF assets increased by $619.8 billion, or 10.5%, according to the SEC's series.
The SEC's stats show that of the $6.550 trillion in assets, $1.200 trillion was in Prime funds, down $204.6 billion in June. Prime assets were up $19.7 billion in May, 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 and $28.9 billion in July. Prime funds represented 18.3% of total assets at the end of June. They've decreased by $11.3 billion, or -0.9%, 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 $5.218 trillion, or 79.7% of assets. They increased $229.2 billion in June, $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 and $3.1 billion in July. Govt & Treasury MMFs are up $620.9 billion over 12 months, or 13.5%. Tax Exempt Funds decreased $3.3 billion to $132.5 billion, or 2.0% of all assets. The number of money funds was 289 in June, unchanged from the previous month and down 4 funds from a year earlier.
Yields for Taxable MMFs were mixed while Tax Exempt MMFs were higher in June. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on June 30 was 5.47%, up 3 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.48%, down 1 bp from the previous month. Gross yields were 5.38% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were down 1 bp at 5.36%. Gross Yields for Tax Exempt Institutional MMFs were up 67 basis points to 4.17% in June. Gross Yields for Tax Exempt Retail funds were up 48 bps to 3.99%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.36%, down 1 bp from the previous month and up 19 bps from 6/30/23. The Average Net Yield for Prime Retail Funds was 5.21%, down 1 bp from the previous month, and up 19 bps since 6/30/23. Net yields were 5.16% for Government Funds, up 1 bp from last month. Net yields for Treasury Funds were unchanged from the previous month at 5.16%. Net Yields for Tax Exempt Institutional MMFs were up 65 bps from May to 4.03%. Net Yields for Tax Exempt Retail funds were up 48 bps at 3.75% in June. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in June. The average Weighted Average Life, or WAL, was 41.4 days (down 6.2 days) for Prime Institutional funds, and 48.1 days for Prime Retail funds (down 1.7 days). Government fund WALs averaged 82.9 days (down 1.9 days) while Treasury fund WALs averaged 80.1 days (down 0.8 days). Tax Exempt Institutional fund WALs were 6.4 days (down 0.6 days), and Tax Exempt Retail MMF WALs averaged 30.8 days (up 5.4 days).
The Weighted Average Maturity, or WAM, was 24.9 days (down 3.7 days from the previous month) for Prime Institutional funds, 29.5 days (down 2.3 days from the previous month) for Prime Retail funds, 33.6 days (down 1.2 days from previous month) for Government funds, and 38.9 days (down 2.5 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.6 days to 6.4 days, while Tax Exempt Retail WAMs were up 5.5 days from previous month at 30.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 55.0% in June (down 8.4% from the previous month), and DLA for Prime Retail funds was 45.3% (down 0.9% from previous month) as a percent of total assets. The average DLA was 66.6% for Govt MMFs and 92.8% for Treasury MMFs. Total Weekly Liquid Assets was 69.0% (down 6.7% from the previous month) for Prime Institutional MMFs, and 61.0% (down 1.3% from the previous month) for Prime Retail funds. Average WLA was 78.5% for Govt MMFs and 98.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for June 2024," the largest entries included: the U.S. with $178.8B, Canada with $161.1 billion, Japan with $116.6 billion, France with $88.2 billion, the U.K. with $46.8B, the Netherlands with $37.5B, Aust/NZ with $33.6B, Germany with $29.3B and Switzerland with $8.0B. The gainers among the "Prime MMF Holdings by Country" included: Aust/NZ (up $5.9B). Decreases were shown by: France (down $22.0B), Japan (down $7.9B), the U.K. (down $5.3B), Canada (down $4.6B), Netherlands (down $3.3B), the U.S. (down $1.4B), Germany (down $0.4B) and Switzerland (down $0.1B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $339.9 billion (down $5.9B), while Eurozone had $170.5B (down $32.3B). Asia Pacific subset had $182.4B (up $0.4B), while Europe (non-Eurozone) had $105.2B (down $37.1B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.180 trillion in Prime MMF Portfolios as of June 30, $477.4B (40.5%) was in Government & Treasury securities (direct and repo) (down from $628.6B), $309.8B (26.2%) was in CDs and Time Deposits (down from $371.4B), $178.7B (15.1%) was in Financial Company CP (down from $179.9B), $140.9B (11.9%) was held in Non-Financial CP and Other securities (up from $140.2B), and $73.4B (6.2%) was in ABCP (up from $70.9B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $477.0 billion, Canada with $208.1 billion, France with $183.4 billion, the U.K. with $101.0 billion, Germany with $12.5 billion, Japan with $148.7 billion and Other with $44.3 billion. All MMF Repo with the Federal Reserve was up $202.4 billion in June to $618.2 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.0%, Prime Retail MMFs with 7.1%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 4.8%, Govt MMFs with 14.1% and Treasury MMFs with 11.9%.
