The Securities and Exchange Commission published its latest monthly "Money Market Fund Statistics" summary for September, which shows that total money fund assets rose by $166.6 billion in September to a record $6.834 trillion, after jumping $97.8 billion the month prior. The SEC shows Prime MMFs decreasing $5.6 billion in September to $1.158 trillion, Govt & Treasury funds increasing $171.2 billion to $5.542 trillion and Tax Exempt funds increasing $1.0 billion to $134.2 billion. Taxable yields fell in September after falling in August. 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. (For the month of October, total money fund assets increased by $97.5 billion to a record $6.862 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
September's overall asset increase follows an increase of $97.8 billion in August, $19.5 billion in July, $21.3 billion in June, and $89.7 billion in May. Assets decreased $17.7 billion in April and $68.5 billion in March, but increased $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 last October <b:>`_. Over the 12 months through 9/30/24, total MMF assets increased by $681.0 billion, or 11.1%, according to the SEC's series.
The SEC's stats show that of the $6.834 trillion in assets, $1.158 trillion was in Prime funds, down $5.6 billion in September. Prime assets were down $25.1 billion in August, $11.5 billion in July, $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 and $13.9 billion in October. Prime funds represented 16.9% of total assets at the end of September. They've decreased by $115.2 billion, or -9.1%, 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 $5.542 trillion, or 81.1% of assets. They increased $171.2 billion in September, $121.9 billion in August, $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 and decreased $62.4 billion last October. Govt & Treasury MMFs are up $785.4 billion over 12 months, or 16.5%. Tax Exempt Funds increased $1.0 billion to $134.2 billion, or 2.0% of all assets. The number of money funds was 280 in September, down 4 from the previous month and down 12 funds from a year earlier.
Yields for Taxable MMFs were lower while Tax Exempt MMFs were higher in September. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Sept. 30 was 5.04%, down 42 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.06%, down 41 bps from the previous month. Gross yields were 5.00% for Government Funds, down 36 bps from last month. Gross yields for Treasury Funds were down 29 bps at 5.03%. Gross Yields for Tax Exempt Institutional MMFs were up 24 basis points to 3.38% in September. Gross Yields for Tax Exempt Retail funds were up 8 bps to 3.30%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.94%, down 41 bps from the previous month and down 49 bps from 9/30/23. The Average Net Yield for Prime Retail Funds was 4.79%, down 41 bps from the previous month, and down 49 bps since 9/30/23. Net yields were 4.78% for Government Funds, down 36 bps from last month. Net yields for Treasury Funds were down 30 bps from the previous month at 4.81%. Net Yields for Tax Exempt Institutional MMFs were up 25 bps from August to 3.26%. Net Yields for Tax Exempt Retail funds were up 8 bps at 3.06% in September. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in September. The average Weighted Average Life, or WAL, was 45.4 days (up 0.6 days) for Prime Institutional funds, and 44.4 days for Prime Retail funds (unchanged). Government fund WALs averaged 80.6 days (down 0.5 days) while Treasury fund WALs averaged 77.9 days (down 3.9 days). Tax Exempt Institutional fund WALs were 4.4 days (down 1.3 days), and Tax Exempt Retail MMF WALs averaged 31.2 days (up 0.6 days).
The Weighted Average Maturity, or WAM, was 25.1 days (down 2.6 days from the previous month) for Prime Institutional funds, 20.9 days (down 5.3 days from the previous month) for Prime Retail funds, 28.6 days (down 2.7 days from previous month) for Government funds, and 36.5 days (down 2.7 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 1.3 days to 4.4 days, while Tax Exempt Retail WAMs were up 0.8 days from previous month at 30.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.1% in September (down 4.4% from the previous month), and DLA for Prime Retail funds was 44.6% (down 1.4% from previous month) as a percent of total assets. The average DLA was 67.0% for Govt MMFs and 93.5% for Treasury MMFs. Total Weekly Liquid Assets was 65.8% (down 2.6% from the previous month) for Prime Institutional MMFs, and 62.5% (down 0.6% from the previous month) for Prime Retail funds. Average WLA was 78.9% for Govt MMFs and 98.5% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for September 2024," the largest entries included: the U.S. with $176.2B, Canada with $164.2 billion, Japan with $119.9 billion, France with $86.7 billion, the Netherlands with $49.3B, Aust/NZ with $42.0B, the U.K. with $40.2B, Germany with $32.0B and Switzerland with $5.4B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $7.4B), Aust/NZ (up $6.6B), Netherlands (up $5.5B), Germany (up $4.6B) and the U.S. (up $1.0B). Decreases were shown by: the U.K. (down $15.4B), Japan (down $13.0B), France (down $8.3B) and Switzerland (down $0.8B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $340.4 billion (up $8.4B), while Eurozone had $182.0B (down $9.9B). Asia Pacific subset had $193.8B (down $12.3B), while Europe (non-Eurozone) had $104.4B (down $27.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.145 trillion in Prime MMF Portfolios as of September 30, $430.3B (37.6%) was in Government & Treasury securities (direct and repo) (up from $400.3B), $317.0B (27.7%) was in CDs and Time Deposits (down from $353.1B), $189.7B (16.6%) was in Financial Company CP (down from $192.8B), $129.2B (11.3%) was held in Non-Financial CP and Other securities (down from $129.6B), and $78.6B (6.9%) was in ABCP (up from $74.9B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $475.2 billion, Canada with $192.5 billion, France with $195.8 billion, the U.K. with $100.2 billion, Germany with $20.3 billion, Japan with $150.4 billion and Other with $44.5 billion. All MMF Repo with the Federal Reserve was up $38.3 billion in September to $429.8 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.6%, Prime Retail MMFs with 6.8%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 6.3%, Govt MMFs with 12.4% and Treasury MMFs with 11.0%.
