The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets dropped by $57.0 billion in August to $4.981 trillion, the third decrease in a row but just the fourth over the past 25 months. (Month-to-date in September through 8/22, assets have decreased by $117.2 billion according to our MFI Daily.) The SEC shows that Prime MMFs decreased by $7.1 billion in August to $1.138 trillion, but Govt & Treasury funds fell by $49.3 billion to $3.714 trillion. Tax Exempt funds decreased $0.6 billion to $128.6 billion. Yields were down again across the board in August. 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: As a final reminder, we'll be hosting Crane's Bond Fund Webinar: Ultra-Shorts & Alt-Cash later today, Thursday, Sept. 24 from 1-2pmET. To register, click here. Crane Data's Peter Crane will give a brief update on the ultra-short bond fund and "enhanced cash" market, and will host a panel including J.P. Morgan Asset Management's Cecilia Junker, UBS Asset Management's David Walczak and J.P. Morgan Securities' Alex Roever.)
August's overall asset decrease follows a decline of $66.4 billion in July, $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 8/31/20, total MMF assets have increased by an incredible $1.214 trillion, or 32.2%, 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 $4.981 trillion in assets, $1.138 trillion was in Prime funds, down $7.1 billion in August. This follows increases of $16.4 billion in July, $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, an increase of $28.1 billion in January, a decrease of $26.5 billion in December and an increase of $20.2 billion in November. Prime funds represented 22.9% of total assets at the end of August. They've increased by $87.0 billion, or 8.3%, over the past 12 months.
Government & Treasury funds totaled $3.714 trillion, or 74.6% of assets. They fell $49.3 billion in August after falling $42.6 billion in July, plummeting $145.1 billion in June, 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 $1.139 trillion over 12 months, or 44.2%. Tax Exempt Funds decreased $0.6 billion to $128.6 billion, or 2.6% of all assets. The number of money funds was 357 in August, down two from the previous month, and down 13 funds from a year earlier.
Yields for Taxable MMFs were down across the board in August. Steady declines over the past 17 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on August 31 was 0.22%, down 5 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.25%, down 6 basis points. Gross yields were 0.19% for Government Funds, down 4 bps from last month. Gross yields for Treasury Funds were down 4 bps at 0.20%. Gross Yields for Muni Institutional MMFs were down 11 bps to 0.12% in August. Gross Yields for Muni Retail funds were down 11 bps at 0.22% in August.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.15%, down 4 bps from the previous month and down 2.03% since 8/31/19. The Average Net Yield for Prime Retail Funds was 0.06%, down 3 bps from the previous month and down 1.99% since 8/31/19. Net yields were 0.03% for Government Funds, down 3 bp from last month. Net yields for Treasury Funds decreased 3 basis point to 0.03%. Net Yields for Muni Institutional MMFs were down from 0.11% in July to 0.04%. Net Yields for Muni Retail funds were down 7 bps at 0.03% in August. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed but predominantly down in August. The average Weighted Average Life, or WAL, was 59.2 days (down 3.6 days from last month) for Prime Institutional funds, and 66.5 days for Prime Retail funds (down 1.3 days). Government fund WALs averaged 99.7 days (down 2.0 days) while Treasury fund WALs averaged 97.1 days (up 0.2 days). Muni Institutional fund WALs were 15.5 days (down 1.3 days), and Muni Retail MMF WALs averaged 35.6 days (up 2.2 days).
The Weighted Average Maturity, or WAM, was 40.0 days (down 2.6 days from the previous month) for Prime Institutional funds, 47.7 days (down 0.6 days from the previous month) for Prime Retail funds, 39.9 days (down 1.3 days) for Government funds, and 46.7 days (up 0.7 days) for Treasury funds. Muni Inst WAMs were down 1.0 days to 14.9 days, while Muni Retail WAMs increased 2.6 days to 33.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.2% in August (up 1.6% from the previous month), and DLA for Prime Retail funds was 46.3% (up 4.6% from previous month) as a percent of total assets. The average DLA was 63.4% for Govt MMFs and 96.4% for Treasury MMFs. Total Weekly Liquid Assets was 62.8% (up 1.8% from the previous month) for Prime Institutional MMFs, and 58.6% (up 7.2% from the previous month) for Prime Retail funds. Average WLA was 78.6% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for August 2020," the largest entries included: Canada with $119.0 billion, Japan with $94.9 billion, France with $86.0 billion, the U.S. with $72.0B, Germany with $45.4B, the U.K. with $42.4B, the Netherlands with $31.0B, Aust/NZ with $21.7B and Switzerland with $18.3B. The only gainer among the "Prime MMF Holdings by Country" was Switzerland (up $1.0 billion). The biggest decreases were: Japan (down $3.8B), the Netherlands (down $2.9B), Canada (down $2.8B), France (down $1.4B) and Aust/NZ (down $0.9B), the U.K. (down $0.9B) and the U.S. (down $0.9B). Germany was flat for the month.
The SEC's "Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $105.1B (up $5.1B from last month), the Eurozone subset had $171.0B (down $4.1B). The Americas had $191.7 billion (down $3.7B), while Asia Pacific had $130.7B (down $8.2B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.150 trillion in Prime MMF Portfolios as of August 31, $542.5B (47.2%) was in Government & Treasury securities (direct and repo) (up from $513.4B), $249.0B (21.7%) was in CDs and Time Deposits (down from $257.3B), $157.8B (13.7%) was in Financial Company CP (down from $163.8B), $144.1B (12.5%) was held in Non-Financial CP and Other securities (down from $156.3B), and $56.2B (4.9%) was in ABCP (down from $59.4B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $179.8 billion, Canada with $134.4 billion, France with $197.2 billion, the U.K. with $78.4 billion, Germany with $21.0 billion, Japan with $132.0 billion and Other with $44.8 billion. All MMF Repo with the Federal Reserve fell by $0.2 billion in August to $0.0 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.3%, Prime Retail MMFs with 6.3%, Muni Inst MMFs with 2.6%, Muni Retail MMFs 7.2%, Govt MMFs with 15.9% and Treasury MMFs with 13.8%.
