The Securities and Exchange Commission published its latest monthly "Money Market Fund Statistics" summary for July, which shows that total money fund assets rose by $19.5 billion in July to a record $6.570 trillion, after jumping $21.3 billion the month prior. The SEC shows Prime MMFs decreasing $11.5 billion in July to $1.188 trillion, Govt & Treasury funds increasing $31.3 billion to $5.249 trillion and Tax Exempt funds decreasing $0.3 billion to $132.3 billion. Taxable yields mostly inched higher in July after falling in June. 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 8/29, total money fund assets increased by $104.8 billion to $6.610 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
July's overall asset increase follows an increase of $21.3 billion in June, $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 and $114.2 billion in August. Over the 12 months through 7/31/24, total MMF assets increased by $610.4 billion, or 10.2%, according to the SEC's series.
The SEC's stats show that of the $6.570 trillion in assets, $1.188 trillion was in Prime funds, down $11.5 billion in July. Prime assets were down $204.6 billion in June, 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 and $18.5 billion in August. Prime funds represented 18.1% of total assets at the end of July. They've decreased by $51.8 billion, or -4.1%, 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 $5.249 trillion, or 79.9% of assets. They increased $31.3 billion in July, $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, and $92.2 billion in August. Govt & Treasury MMFs are up $649.1 billion over 12 months, or 14.1%. Tax Exempt Funds decreased $0.3 billion to $132.2 billion, or 2.0% of all assets. The number of money funds was 290 in July, up 1 from the previous month and down 3 funds from a year earlier.
Yields for Taxable MMFs were mixed while Tax Exempt MMFs were lower in July. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on July 31 was 5.47%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.49%, up 1 bp from the previous month. Gross yields were 5.38% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were unchanged at 5.36%. Gross Yields for Tax Exempt Institutional MMFs were down 39 basis points to 3.78% in July. Gross Yields for Tax Exempt Retail funds were down 32 bps to 3.67%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.36%, unchanged from the previous month and up 6 bps from 7/31/23. The Average Net Yield for Prime Retail Funds was 5.22%, up 1 bp from the previous month, and up 5 bps since 7/31/23. Net yields were 5.16% for Government Funds, unchanged from last month. Net yields for Treasury Funds were down 1 bp from the previous month at 5.15%. Net Yields for Tax Exempt Institutional MMFs were down 40 bps from June to 3.63%. Net Yields for Tax Exempt Retail funds were down 32 bps at 3.43% in July. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in July. The average Weighted Average Life, or WAL, was 43.6 days (up 2.2 days) for Prime Institutional funds, and 43.9 days for Prime Retail funds (down 4.2 days). Government fund WALs averaged 81.3 days (down 1.6 days) while Treasury fund WALs averaged 82.2 days (up 2.0 days). Tax Exempt Institutional fund WALs were 4.4 days (down 2.0 days), and Tax Exempt Retail MMF WALs averaged 29.6 days (down 1.2 days).
The Weighted Average Maturity, or WAM, was 26.6 days (up 1.7 days from the previous month) for Prime Institutional funds, 27.1 days (down 2.4 days from the previous month) for Prime Retail funds, 32.3 days (down 1.3 days from previous month) for Government funds, and 40.0 days (up 1.1 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 2.0 days to 4.4 days, while Tax Exempt Retail WAMs were down 1.3 days from previous month at 28.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 54.9% in July (down 0.1% from the previous month), and DLA for Prime Retail funds was 45.7% (up 0.4% from previous month) as a percent of total assets. The average DLA was 67.6% for Govt MMFs and 94.5% for Treasury MMFs. Total Weekly Liquid Assets was 68.9% (down 0.1% from the previous month) for Prime Institutional MMFs, and 61.6% (up 0.6% from the previous month) for Prime Retail funds. Average WLA was 78.8% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for July 2024," the largest entries included: the U.S. with $184.1B, Canada with $151.1 billion, Japan with $136.5 billion, France with $94.6 billion, the U.K. with $51.1B, the Netherlands with $42.1B, Aust/NZ with $37.2B, Germany with $28.9B and Switzerland with $8.0B. The gainers among the "Prime MMF Holdings by Country" included: Japan (up $21.5B), France (up $6.8B), the U.S. (up $6.2B), Netherlands (up $4.6B), the U.K. (down $4.3B), Aust/NZ (up $3.6B). Decreases were shown by: Canada (down $9.5B) and Germany (down $0.4B) while Switzerland was unchanged.
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $335.2 billion (down $3.3B), while Eurozone had $190.8B (up $20.7B). Asia Pacific subset had $208.7B (up $27.9B), while Europe (non-Eurozone) had $130.4B (up $25.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.186 trillion in Prime MMF Portfolios as of July 31, $432.6B (36.5%) was in Government & Treasury securities (direct and repo) (down from $476.6B), $358.9B (30.3%) was in CDs and Time Deposits (up from $309.8B), $187.2B (15.8%) was in Financial Company CP (up from $178.7B), $132.1B (11.1%) was held in Non-Financial CP and Other securities (down from $141.7B), and $75.5B (6.4%) was in ABCP (up from $73.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $467.3 billion, Canada with $170.4 billion, France with $210.8 billion, the U.K. with $137.8 billion, Germany with $18.2 billion, Japan with $140.4 billion and Other with $39.8 billion. All MMF Repo with the Federal Reserve was down $230.7 billion in July to $368.2 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 8.7%, Prime Retail MMFs with 7.2%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 5.4%, Govt MMFs with 14.1% and Treasury MMFs with 12.6%.
