The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets dropped by $66.4 billion in July to $5.038 trillion, the second decrease in a row (and the third over the past 25 months). (Month-to-date in August through 8/20, assets have decreased by $25.0 billion according to our MFI Daily.) The SEC shows that Prime MMFs decreased by $16.4 billion in July to $1.146 trillion, while Govt & Treasury funds fell by $42.6 billion to $3.763 trillion. Tax Exempt funds decreased $7.4 billion to $129.2 billion. Yields were down again for Taxable funds in July, while Tax Exempt yields inched higher. 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.
July's overall asset decrease follows a decline of $127.3 billion in June, and increases of $31.0 billion May, $461.6 billion in April and $704.8 billion in March. This followed an increase of $17.3 billion in February, a decrease of $4.3 billion in January, and increases of $37.2 billion in December and $45.6 billion in November. Over the 12 months through 7/31/20, total MMF assets have increased by an incredible $1.347 trillion, or 36.5%, 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 $5.038 trillion in assets, $1.146 trillion was in Prime funds, up $16.4 billion in July. This follows an increase $21.3 billion in June, $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 increase of $20.2 billion in November. Prime funds represented 22.7% of total assets at the end of July. They've increased by $104.8 billion, or 10.1%, over the past 12 months.
Government & Treasury funds totaled $3.763 trillion, or 74.7% of assets. They fell $42.6 billion in July after plummeting $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 and $24.2 billion in November. Govt & Treas MMFs are up a staggering $1.254 trillion over 12 months, or 48.8%. Tax Exempt Funds decreased $7.4 billion to $129.2 billion, or 2.7% of all assets. The number of money funds was 359 in July, the same number as the previous month, and down 11 funds from a year earlier.
Yields for Taxable MMFs were down across the board in July. Steady declines over the past 16 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on July 31 was 0.27%, down 6 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.31%, down 9 basis points. Gross yields were 0.23% for Government Funds, down 3 bps from last month. Gross yields for Treasury Funds were down 2 bps at 0.24%. Gross Yields for Muni Institutional MMFs were up 2 bps to 0.23% in July. Gross Yields for Muni Retail funds were unchanged at 0.33% in July.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.19%, down 7 bps from the previous month and down 2.17% since 7/31/19. The Average Net Yield for Prime Retail Funds was 0.09%, down 10 bps from the previous month and down 2.12% since 7/31/19. Net yields were 0.06% for Government Funds, down 1 bp from last month. Net yields for Treasury Funds decreased 1 basis point to 0.06%. Net Yields for Muni Institutional MMFs inched up from 0.09% in June to 0.11%. Net Yields for Muni Retail funds was unchanged at 0.10% in July. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in July. The average Weighted Average Life, or WAL, was 62.5 days (up 4.9 days from last month) for Prime Institutional funds, and 67.8 days for Prime Retail funds (up 5.8 days). Government fund WALs averaged 101.7 days (down 1.2 days) while Treasury fund WALs averaged 96.9 days (down 0.2 days). Muni Institutional fund WALs were 16.8 days (down 0.9 days), and Muni Retail MMF WALs averaged 33.4 days (up 0.5 days).
The Weighted Average Maturity, or WAM, was 42.4 days (up 2.0 days from the previous month) for Prime Institutional funds, 48.3 days (up 2.2 days from the previous month) for Prime Retail funds, 41.2 days (down 0.1 days) for Government funds, and 46.0 days (up 0.2 days) for Treasury funds. Muni Inst WAMs were down 1.2 days to 16.0 days, while Muni Retail WAMs increased 0.5 days to 31.2 days.
Total Daily Liquid Assets for Prime Institutional funds were 49.6% in July (down 0.7% from the previous month), and DLA for Prime Retail funds was 41.7% (down 1.9% from previous month) as a percent of total assets. The average DLA was 61.8% for Govt MMFs and 96.5% for Treasury MMFs. Total Weekly Liquid Assets was 61.0% (down 1.6% from the previous month) for Prime Institutional MMFs, and 51.4% (down 0.2% from the previous month) for Prime Retail funds. Average WLA was 77.8% for Govt MMFs and 99.5% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for July 2020," the largest entries included: Canada with $121.9 billion, Japan with $98.7 billion, France with $87.5 billion, the U.S. with $72.9B, Germany with $45.4B, the U.K. with $43.3B, the Netherlands with $33.9B, Aust/NZ with $22.6B and Switzerland with $17.3B. The biggest gainers among the "Prime MMF Holdings by Country" were: Germany (up $9.6 billion), the Netherlands (up $3.7B), Japan ($2.9B) and France (up $2.7B). The biggest decreases were: Canada (down $18.9B), the US (down $6.8B), Aust/NZ (down $4.0B), the UK (down $2.0B) and Switzerland (down $1.6B).
The SEC's "Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $99.5B (down $5.7B from last month), the Eurozone subset had $175.1 156.9B (up $18.2B). The Americas had $195.4 billion (down $25.4B), while Asia Pacific had $138.9B (up $2.7B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.150 trillion in Prime MMF Portfolios as of July 31, $513.4B (44.6%) was in Government & Treasury securities (direct and repo) (down from $534.0B), $257.3B (22.4%) was in CDs and Time Deposits (up from $252.7B), $163.8B (14.2%) was in Financial Company CP (down from $174.0B), $156.3B (13.6%) was held in Non-Financial CP and Other securities (up from $149.0B), and $59.4B (5.2%) was in ABCP (down from $62.6B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $168.3 billion, Canada with $129.4 billion, France with $189.1 billion, the U.K. with $76.7 billion, Germany with $27.5 billion, Japan with $118.6 billion and Other with $44.1 billion. All MMF Repo with the Federal Reserve fell by $0.8 billion in July to $0.2 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 8.2%, Prime Retail MMFs with 6.7%, Muni Inst MMFs with 2.7%, Muni Retail MMFs 7.0%, Govt MMFs with 16.5% and Treasury MMFs with 15.0%.
