The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets dropped by $127.3 billion in June to $5.104 trillion, only the 2nd decrease in the past 24 months. (Month-to-date in July through 7/17, assets have decreased by $85.2 billion according to our MFI Daily.) The SEC shows that Prime MMFs increased $21.3 billion in June to $1.162 trillion, while Govt & Treasury funds plummeted $145.1 billion to $3.806 trillion. Tax Exempt funds decreased by $3.5 billion to $136.6 billion. Yields were down across the board in June, except for a slight increase in Tax Exempt Institutional yields. 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: We'll be hosting "Crane's Money Fund Webinar: Portfolio Manager Perspectives" on Wednesday, July 22 at 1:00pm EDT, which will feature Federated Hermes' Sue Hill, Northern Trust Asset Management's Peter Yi and UBS Asset Management's David Walczak. Click here to register.)
June's overall asset decrease follows increases of $31.0 billion May, $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 6/30/20, total MMF assets have increased by an incredible $1.489 trillion, or 41.2%, 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 $5.104 trillion in assets, $1.162 trillion was in Prime funds, up $21.3 billion in June. This follows an increase of $50.6 billion in May and $105.2 billion in April, decreases of $124.5 billion in March and $13.9 billion in February, increases 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 22.8% of total assets at the end of June. They've increased by $144.0 billion, or 14.1%, over the past 12 months.
Government & Treasury funds totaled $3.806 trillion, or 74.6% of assets. They dropped $145.1 billion in June after falling $18.6 billion in May, 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 $1.351 trillion over 12 months, or 55.0%. Tax Exempt Funds decreased $3.5B to $136.6 billion, or 2.7% of all assets. The number of money funds was 359 in June, down one from the previous month, and down 11 funds from a year earlier.
Yields for Taxable MMFs were down almost entirely across the board in June. Steady declines over the past 15 months follow almost 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on June 30 was 0.33%, down 7 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.42%, down 11 basis points. Gross yields were 0.26% for Government Funds, down 3 bps from last month. Gross yields for Treasury Funds were down 2 bps at 0.26%. Gross Yields for Muni Institutional MMFs remained flat at 0.21% in June. Gross Yields for Muni Retail funds dropped from 0.42% to 0.33% in June.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.26%, down 7 bps from the previous month and down 2.16% since 6/30/19. The Average Net Yield for Prime Retail Funds was 0.19%, down 9 bps from the previous month and down 2.09% since 6/30/19. Net yields were 0.07% for Government Funds, down 2 bps from last month. Net yields for Treasury Funds decreased 2 basis points to 0.07%. Net Yields for Muni Institutional MMFs inched up from 0.08% in May to 0.09%. Net Yields for Muni Retail funds decreased from 0.16% to 0.10% in June. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in June. The average Weighted Average Life, or WAL, was 57.6 days (up 0.4 days from last month) for Prime Institutional funds, and 62.0 days for Prime Retail funds (up 2.0 days). Government fund WALs averaged 102.9 days (up 0.6 days) while Treasury fund WALs averaged 97.1 days (down 0.9 days). Muni Institutional fund WALs were 17.7 days (up 1.8 days), and Muni Retail MMF WALs averaged 32.9 days (up 2.3 days).
The Weighted Average Maturity, or WAM, was 40.4 days (down 2.8 days from the previous month) for Prime Institutional funds, 46.1 days (down 1.5 days from the previous month) for Prime Retail funds, 41.3 days (up 0.9 days) for Government funds, and 45.8 days (down 1.4 days) for Treasury funds. Muni Inst WAMs were up 1.8 days to 17.2 days, while Muni Retail WAMs increased 2.2 days to 30.7 days.
Total Daily Liquid Assets for Prime Institutional funds were 50.3% in June (up 0.3% from the previous month), and DLA for Prime Retail funds was 43.6% (up 1.5% from previous month) as a percent of total assets. The average DLA was 61.9% for Govt MMFs and 97.1% for Treasury MMFs. Total Weekly Liquid Assets was 62.6% (up 0.4% from the previous month) for Prime Institutional MMFs, and 51.6% (up 1.1% from the previous month) for Prime Retail funds. Average WLA was 76.1% for Govt MMFs and 99.5% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for June 2020," the largest entries included: Canada with $140.8 billion, Japan with $95.8 billion, France with $84.8 billion, the U.S. with $79.7B, the U.K. with $45.3B, Germany with $35.8B, the Netherlands with $30.2B, Aust/NZ with $26.6B and Switzerland with $18.9B. The biggest gainers among the "Prime MMF Holdings by Country" were: Japan (up $6.1 billion), Canada (up $5.2B) and the U.S. (up $0.8B). The biggest decreases were: France (down $9.0B), the Netherlands (down $6.8B), Germany (down $5.7B), Aust/NZ (down $4.5B) and the U.K. (down $0.3B). Switzerland remained unchanged.
The SEC's "Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $105.2B (up $0.4B from last month), the Eurozone subset had $156.9B (down $25.8B). The Americas had $221.2 billion (up $6.2B), while Asia Pacific had $141.6B (up $4.4B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.172 trillion in Prime MMF Portfolios as of June 30, $534.0B (45.6%) was in Government & Treasury securities (direct and repo) (up from $489.3B), $252.7B (21.6%) was in CDs and Time Deposits (down from $275.5B), $174.0B (14.8%) was in Financial Company CP (up from $171.6B), $149.0B (12.7%) was held in Non-Financial CP and Other securities (down from $157.7B), and $62.6B (5.3%) was in ABCP (up from $62.1B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $172.1 billion, Canada with $131.4 billion, France with $146.1 billion, the U.K. with $67.6 billion, Germany with $22.4 billion, Japan with $118.5 billion and Other with $36.5 billion. All MMF Repo with the Federal Reserve fell by $0.3 billion in June to $1.0 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 6.9%, Prime Retail MMFs with 5.1%, Muni Inst MMFs with 2.4%, Muni Retail MMFs 5.9%, Govt MMFs with 16.1% and Treasury MMFs with 15.5%.
