ICI's latest "Money Market Fund Assets" report shows money funds falling $19.6 billion to $6.751 trillion in the latest week, after inching lower by $0.4 billion the previous week. Two weeks prior, assets jumped $95.9 billion to a record $6.771 trillion. Money fund assets have risen in 14 of the last 20, and 25 of the last 35, weeks, increasing by $447.5 billion (or 7.1%) since the Fed cut on 9/18 and increasing by $773.5 billion (or 12.9%) since April 24. MMF assets are up by $865 billion, or 14.7%, year-to-date in 2024 (through 12/18/24), with Institutional MMFs up $458 billion, or 12.7% and Retail MMFs up $407 billion, or 17.8%. Over the past 52 weeks, money funds have risen by $881 billion, or 15.0%, with Retail MMFs up by $420 billion (18.4%) and Inst MMFs rising by $461 billion (12.8%). (Note: Thank you to those who attended and supported our Money Fund University this week in Providence! Attendees and Crane Data Subscribers may access the MFU Conference Materials here.)
ICI's weekly release says, "Total money market fund assets decreased by $19.61 billion to $6.75 trillion for the week ended Wednesday, December 18, the Investment Company Institute reported.... Among taxable money market funds, government funds decreased by $18.35 billion and prime funds decreased by $160 million. Tax-exempt money market funds decreased by $1.10 billion." ICI's stats show Institutional MMFs decreasing $24.0 billion and Retail MMFs increasing $4.4 billion in the latest week. Total Government MMF assets, including Treasury funds, were $5.544 trillion (82.1% of all money funds), while Total Prime MMFs were $1.074 trillion (15.9%). Tax Exempt MMFs totaled $132.2 billion (2.0%).
It explains, "Assets of retail money market funds increased by $4.38 billion to $2.70 trillion. Among retail funds, government money market fund assets increased by $4.10 billion to $1.72 trillion, prime money market fund assets increased by $933 million to $855.75 billion, and tax-exempt fund assets decreased by $651 million to $121.07 billion." Retail assets account for over a third of total assets, or 39.9%, and Government Retail assets make up 63.8% of all Retail MMFs. They add, "Assets of institutional money market funds decreased by $23.99 billion to $4.05 trillion. Among institutional funds, government money market fund assets decreased by $22.45 billion to $3.82 trillion, prime money market fund assets decreased by $1.09 billion to $218.72 billion, and tax-exempt fund assets decreased by $451 million to $11.08 billion." Institutional assets accounted for 60.1% of all MMF assets, with Government Institutional assets making up 94.3% of all institutional MMF totals.
According to Crane Data's separate Money Fund Intelligence Daily series, money fund assets have risen by $9.2 billion in December through 12/18 to $7.072 trillion. On December 5, assets hit an all-time high of $7.124 trillion. But they've inched lower since. Assets rose by $200.5 trillion in November, $97.5 billion in October, $149.8 billion in September, $109.7 billion in August, $16.6 billion in July, $15.7 billion in June and $91.4 billion in May. They declined by $15.8 billion in April and $68.8 billion in March. They rose $72.1 billion in February, $93.9 billion in January and $32.7 billion last December. Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're about $340 billion lower than Crane's asset series.
In other news, J.P. Morgan writes in a "Mid-Week US Short Duration Update," titled, "November MMF holdings update: Sufficient supply meeting MMFs' demand." It states, "Taxable MMFs experienced another strong month of inflows in November, with AUMs increasing by nearly $200bn, bringing total balances to just under $7tn. Despite this significant rise in balances, MMFs successfully found enough supply to meet their demand throughout the month, aided by a rise in T-bill, repo, and time deposit outstandings. As a result, MMFs' use of ON RRP fell to an end-of-month low since May 2021."
JPM continues, "Almost all of November's inflows were directed towards government MMFs. Institutional government funds saw a drastic increase of $162bn, reaching a total of $4tn, while retail funds increased slightly by $21bn, bringing their total balance to approximately $1.8tn. From a holdings perspective, government funds significantly boosted their allocation to T-bills, absorbing over $220bn month over month."
They tell us, "This raised their portfolio's T-bills exposure to 44%, the highest level since May 2021. In terms of concentration, government MMFs allocated an additional $170bn towards T-bills with maturities in the 31–60 day range. Accordingly, Treasury and government WAMs increased by ~2 days and 1 day, respectively, during November. Meanwhile, repo exposure declined by $75bn, as government funds reduced their Treasury repo holdings by nearly $110bn, which was partially offset by a $31bn increase in Agency repo."
JPM says, "Prime funds, on the other hand, saw only a modest increase in balances during the month. Despite this, they shifted more of their allocations towards credit and non-Fed repo. From a credit perspective, these funds increased their exposure towards time deposits, which rose by $27bn in November. The majority of this increase was directed towards banks in the Eurozone, which saw a $10bn rise, and Canadian banks, with an $11bn increase. Non-Fed repo also grew by $20bn, with the increase concentrated in Treasury repo and other repo categories."
They state, "Notably, prime funds reduced their allocations to the ON RRP facility by $37bn, bringing their total balances down to just $21bn at the end of November, accounting for only 11% of the ON RRP facility's balance at November-end. Across all MMFs, their combined balances have decreased to $143bn, down $31bn month over month. From a percentage standpoint, total MMFs represent just 72% of the ON RRP balance, marking the lowest level since February 2021. At the end of November, the largest user of the facility allocated just $23bn to the ON RRP, while the second largest user allocated $10bn."
The update concludes, "Those outflows, combined with Treasury settlements, which raise Treasury repo supply, have caused ON RRP balances to drop to a low of $111bn on December 16. However, we anticipate that ON RRP balances will increase into 12/31, given the negative net T-bill supply in December and the typical year-end cash accumulation at the facility due to dealer balance sheet constraints. Additionally, MMF AUMs are likely to continue rising throughout the remainder of December given seasonal inflows, bringing total balances to ~$7tn."
