The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Wednesday, which confirmed that total money fund assets increased in December, rising by $37.2 billion, to a record $4.021 trillion. It was the 18th straight month of gains for money fund assets overall. Prime MMFs decreased $26.5 billion in December to close at $1.095 trillion, while Govt & Treasury funds rose by $64.7 billion to a record $2.783 trillion. Tax Exempt funds fell by $1.0 billion to $142.8 billion. Yields fell for Prime MMFs and Govt MMFs, while Tax-Exempt MMFs increased rates in December. 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.
December's asset gains follow increases of $45.6 billion in November, $88.6 billion in October, $82.9 billion in September, $76.3 billion in August, $75.6 billion in July, $41.9 billion in June, $78.2 billion in May, $690 million in April, $87.9 billion in March, $76.9 billion in February and $31.4 billion in January. Over the 12 months through 12/31/19, total MMF assets increased by $722.9 billion, or 21.9%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not reported to ICI or others, though Crane Data tracks most of these.)
The SEC's stats show that of the $4.021 trillion in assets, $1.095 trillion was in Prime funds, which fell $26.5 billion in December. This follows increases of $20.2 billion in November, $38.4 billion in October, $11.7 billion in September, $10.6 billion in August and $22.3 billion in July. Prime funds represented 27.2% of total assets at the end of December. They've increased by a stunning $330.9 billion, or 43.3%, over the past 12 months.
Government & Treasury funds totaled $2.783 trillion, or 69.2% of assets. They rose $64.7 billion in December, after rising $24.2 billion in November, $46.6 billion in October, $72.9 billion in September, $66.0 billion in August and $53.5 billion in July. Govt & Treas MMFs are up $399.0 billion over 12 months, or 16.7%. Tax Exempt Funds decreased $1.0B to $142.8 billion, or 3.6% of all assets. The number of money funds was 366 in December, up one from the previous month and down 4 funds from a year earlier.
Yields for Taxable MMFs were mixed in December. The declines of the past 9 months follow almost 24 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Dec. 31 was 1.80%, down 3 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 1.88%, down 2 basis points. Gross yields fell to 1.67% for Government Funds, down 4 bps from last month. Gross yields for Treasury Funds decreased 5 basis points to 1.66%. Gross Yields for Muni Institutional MMFs jumped from 1.14% in November to 1.58%. Gross Yields for Muni Retail funds rose from 1.17% to 1.54% in December.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 1.72%, down 4 bps from the previous month and down 77 bps since 12/31/18. The Average Net Yield for Prime Retail Funds was 1.64%, down 2 bps from the previous month and down 0.71% since 12/31/18. Net yields fell to 1.40% for Government Funds, down 4 bps from last month. Net yields for Treasury Funds decreased 5 basis points to 1.43%. Net Yields for Muni Institutional MMFs rose from 1.01% in November to 1.44%. Net Yields for Muni Retail funds increased from 0.90% to 1.26% in December. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly lower in December, with only Government WAMs increasing. The average Weighted Average Life, or WAL, was 62.1 days (down 2.6 days from last month) for Prime Institutional funds, and 70.2 days for Prime Retail funds (down 8.0 days). Government fund WALs averaged 96.1 days (down 1.5 days) while Treasury fund WALs averaged 97.7 days (down 1.9 days). Muni Institutional fund WALs were 18.8 days (down 0.5 days), and Muni Retail MMF WALs averaged 36.6 days (down 3.8 days).
The Weighted Average Maturity, or WAM, was 30.4 days (down 3.4 days from the previous month) for Prime Institutional funds, 36.5 days (down 7.2 days from the previous month) for Prime Retail funds, 35.5 days (up 1.1 days) for Government funds, and 42.6 days (down 1.5 days) for Treasury funds. Muni Inst WAMs were down 0.5 days to 18.5 days, while Muni Retail WAMs decreased 3.5 days to 34.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 37.0% in December (up by 1.5% from the previous month), and DLA for Prime Retail funds was 24.3% (up 0.4% from previous month) as a percent of total assets. The average DLA was 45.6% for Govt MMFs and 91.6% for Treasury MMFs. Total Weekly Liquid Assets was 53.3% (up 1.3% from the previous month) for Prime Institutional MMFs, and 39.4% (up 0.5% from the previous month) for Prime Retail funds. Average WLA was 70.3% for Govt MMFs and 98.4% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for December 2019," the largest entries included: Canada with $168.8 billion, the Japan with $117.3 billion, the U.S. with $106.9 billion, France with $76.7B, New Zealand/Australia with $54.6B, Germany with $35.8B, the UK with $35.8B, the Netherlands with $34.0B and Switzerland with $28.1B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $8.5B), Japan (up $5.7B) and Australia/New Zealand (up $2.7B). The biggest decreases were the France (down $16.6B), Germany (down $15.5B), the UK (down $13.5B), the Netherlands (down $8.5B), Switzerland (down $3.2B) and the US(down $1.3B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $105.2B (down $30.5B from last month), the Eurozone subset had $156.3B (down $42.9B). The Americas had $276.0 billion (up $6.9B), while Asia Pacific had $196.4B (up $8.4B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.090 trillion in Prime MMF Portfolios as of December 31, $307.9B (28.2%) was in CDs and Time Deposits (down from $346.1), $359.3B (33.0%) was in Government & Treasury securities (direct and repo) (up from $314.8B), $146.7B (13.5%) was held in Non-Financial CP and Other securities (down from $158.0B), $214.0B (19.6%) was in Financial Company CP (down from $236.5B) and $62.3B (5.7%) was in ABCP (down from $64.0B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $165.6 billion, Canada with $196.3 billion, France with $125.6 billion, Germany with $11.8 billion, Japan with $138.6 billion, the U.K. with $75.4 billion and Other with $33.9 billion. All MMF Repo with the Federal Reserve jumped by $46.9 billion in December to $46.9 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 9.8%, Prime Retail MMFs with 10.8%, Muni Inst MMFs with 2.4%, Muni Retail MMFs 7.0%, Govt MMFs with 17.7% and Treasury MMFs with 17.3%.
