The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $31.0 billion in May to a record $5.231 trillion, the 22nd increase in the past 23 months. (Month-to-date in June through 6/23, assets have decreased by $63.9 billion according to our MFI Daily.) The SEC shows that Prime MMFs increased $50.6 billion in May to $1.141 trillion, while Govt & Treasury funds fell by $18.6 billion to $3.951 trillion. Tax Exempt funds decreased by $1.0 billion to $140.1 billion. Yields were down across the board for Prime, Govt and Tax-Exempt MMFs 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. (Note: Crane's Money Fund Webinar: Portfolio Holdings Update takes place today at 2:00pm EDT. Crane Data's Peter Crane and J.P. Morgan Securities' Teresa Ho will discuss the latest trends in money funds and portfolios. To register, click here.)
May's overall asset increase follows increases of $461.6 billion in April, $704.8 billion in March and $17.3 billion in February. This followed a decrease of $4.3 billion in January but increases of $37.2 billion in December, $45.6 billion in November and $88.6 billion in October. Over the 12 months through 5/31/20, total MMF assets have increased by an incredible $1.658 trillion, or 46.4%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not tracked by ICI, though Crane Data includes most of these in its collections.)
The SEC's stats show that of the $5.231 trillion in assets, $1.141 trillion was in Prime funds, up $50.6 billion in May. This follows an increase of $105.2 billion in April and decreases of $124.5 billion in March and $13.9 billion in February, an increase of $28.1 billion in January, a decrease of $26.5 billion in December and increases of $20.2 billion in November and $38.4 billion in October. Prime funds represented 21.8% of total assets at the end of May. They've increased by $132.0 billion, or 13.1%, over the past 12 months.
Government & Treasury funds totaled $3.951 trillion, or 75.5% of assets. They fell $18.6 billion in May after skyrocketing $347.3 billion in April and $838.3 billion in March, and increasing $32.0 billion in February. They fell $31.4 billion in January, but rose $64.7 billion in December, $24.2 billion in November and $46.6 billion in October. Govt & Treas MMFs are up a staggering $1.528 trillion over 12 months, or 63.1%. Tax Exempt Funds decreased $1.0B to $140.1 billion, or 2.7% of all assets. The number of money funds was 360 in May, down one from the previous month, and down ten funds from a year earlier.
Yields for Taxable MMFs were down across the board in May. Steady declines over the past 14 months follow almost 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on May 31 was 0.40%, down 19 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.53%, down 32 basis points. Gross yields were 0.29% for Government Funds, down 10 bps from last month. Gross yields for Treasury Funds were down 9 bps at 0.28%. Gross Yields for Muni Institutional MMFs fell from 0.30% in April to 0.21%. Gross Yields for Muni Retail funds dropped from 0.51% to 0.42% in May.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.33%, down 20 bps from the previous month and down 2.13% since 5/31/19. The Average Net Yield for Prime Retail Funds was 0.28%, down 30 bps from the previous month and down 2.04% since 5/31/19. Net yields were 0.09% for Government Funds, down 8 bps from last month. Net yields for Treasury Funds decreased 8 basis points to 0.09%. Net Yields for Muni Institutional MMFs dropped from 0.16% in April to 0.08%. Net Yields for Muni Retail funds decreased from 0.25% to 0.16% in May. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in May. The average Weighted Average Life, or WAL, was 57.2 days (down 0.8 days from last month) for Prime Institutional funds, and 60.0 days for Prime Retail funds (down 0.6 days). Government fund WALs averaged 102.3 days (up 2.2 days) while Treasury fund WALs averaged 98.0 days (up 1.6 days). Muni Institutional fund WALs were 15.9 days (up 2.5 days), and Muni Retail MMF WALs averaged 30.6 days (down 0.6 days).
The Weighted Average Maturity, or WAM, was 43.2 days (up 2.4 days from the previous month) for Prime Institutional funds, 47.6 days (up 5.0 days from the previous month) for Prime Retail funds, 40.3 days (up 4.4 days) for Government funds, and 47.1 days (up 0.9 days) for Treasury funds. Muni Inst WAMs were up 2.4 days to 15.4 days, while Muni Retail WAMs decreased 0.4 days to 28.4 days.
Total Daily Liquid Assets for Prime Institutional funds were 50.0% in May (up 2.4% from the previous month), and DLA for Prime Retail funds was 42.1% (up 4.2% from previous month) as a percent of total assets. The average DLA was 58.4% for Govt MMFs and 95.6% for Treasury MMFs. Total Weekly Liquid Assets was 62.2% (up 2.2% from the previous month) for Prime Institutional MMFs, and 50.5% (up 2.0% from the previous month) for Prime Retail funds. Average WLA was 73.8% for Govt MMFs and 98.8% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for May 2020," the largest entries included: Canada with $135.6 billion, France with $93.8 billion, Japan with $89.7 billion, the U.S. with $78.9B, the U.K. with $45.6B, Germany with $41.5B, the Netherlands with $37.0B, Aust/NZ with $31.1B and Switzerland with $18.9B. The biggest gainers among the "Prime MMF Holdings by Country" were: France (up $5.4 billion), Canada (up $3.1B) and Germany (up $1.2B). The biggest decreases were: the U.S. (down $8.8B), Japan (down $7.5B), Aust/NZ (down $1.7B), Switzerland (down $1.2B) and the Netherlands (down $0.2B). The U.K. remained unchanged.
The SEC's "Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $104.8B (down $7.1B from last month), the Eurozone subset had $182.7B (up $3.2B). The Americas had $215.0 billion (down $5.8B), while Asia Pacific had $137.2B (down $6.8B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.156 trillion in Prime MMF Portfolios as of May 31, $489.3B (42.3%) was in Government & Treasury securities (direct and repo) (up from $420.0B), $275.5B (23.8%) was in CDs and Time Deposits (down from $290.0B), $171.6B (14.8%) was in Financial Company CP (down from $180.4B), $157.7B (13.6%) was held in Non-Financial CP and Other securities (up from $149.4B), and $62.1B (5.4%) was in ABCP (up from $55.7B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $177.3 billion, Canada with $139.8 billion, France with $190.6 billion, the U.K. with $78.2 billion, Germany with $29.8 billion, Japan with $142.3 billion and Other with $40.0 billion. All MMF Repo with the Federal Reserve fell by $0.5 billion in May to $1.3 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 6.1%, Prime Retail MMFs with 3.1%, Muni Inst MMFs with 1.4%, Muni Retail MMFs 4.2%, Govt MMFs with 16.4% and Treasury MMFs with 13.7%.
