The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets dropped by $117.8 billion in September to $4.863 trillion, the fourth decrease in a row but just the fifth over the past 25 months. (Month-to-date in October through 10/19, assets have decreased by $50.9 billion according to our MFI Daily.) The SEC shows that Prime MMFs dropped by $145.6 billion in September to $992.8 billion (reflecting the reclassification of Vanguard Prime MMF), while Govt & Treasury funds rose by $35.3 billion to $3.749 trillion. Tax Exempt funds decreased $7.5 billion to $121.1 billion. Yields were mixed in September with Prime and Govt & Treasury yields falling while Tax Exempt yields increased. 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 reminder, we'll be hosting Crane's Money Fund Symposium Online on Tuesday, Oct. 27 from 1-4pmET. To register, click here.)
September's overall asset decrease follows declines of $57.0 billion in August, $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 9/30/20, total MMF assets have increased by an incredible $1.013 trillion, or 26.3%, 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 $4.863 trillion in assets, $992.8 billion was in Prime funds, down $145.6 billion in September. This follows a decrease of $7.1 billion in August, and increases of $16.4 billion in July, $21.3 billion in June, $50.6 billion in May and $105.2 billion in April. Prime funds saw 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 20.4% of total assets at the end of September. They've decreased by $70.3 billion, or -6.6%, over the past 12 months.
Government & Treasury funds totaled $3.749 trillion, or 77.1% of assets. They rose $35.3 billion in September after falling $49.3 billion in August, $42.6 billion in July, plummeting $145.1 billion in June, falling $18.6 billion in May, and skyrocketing $347.3 billion in April and $838.3 billion in March. Government & Treasury funds increased $32.0 billion in February, they fell $31.4 billion in January, and rose $64.7 billion in December and $24.2 billion in November. Govt & Treasury MMFs are up a staggering $1.102 trillion over 12 months, or 41.6%. Tax Exempt Funds decreased $7.5 billion to $121.1 billion, or 2.5% of all assets. The number of money funds was 352 in September, down five from the previous month, and down 17 funds from a year earlier.
Yields for Taxable MMFs were down across the board in September. Steady declines over the past 18 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on September 30 was 0.20%, down 2 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.24%, down a basis point. Gross yields were 0.17% for Government Funds, down 2 bps from last month. Gross yields for Treasury Funds were down 3 bps at 0.17%. Gross Yields for Muni Institutional MMFs were up 5 bps to 0.17% in September. Gross Yields for Muni Retail funds were up a basis point at 0.23% in September.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.13%, down 2 bps from the previous month and down 2.05% since 9/30/19. The Average Net Yield for Prime Retail Funds was 0.04%, down 2 bps from the previous month and down 2.01% since 9/30/19. Net yields were 0.02% for Government Funds, down a basis point from last month. Net yields for Treasury Funds decreased 2 basis point to 0.01%. Net Yields for Muni Institutional MMFs were up from 0.04% in August to 0.07%. Net Yields for Muni Retail funds were up a basis point at 0.04% in September. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in September. The average Weighted Average Life, or WAL, was 58.5 days (down 0.7 days from last month) for Prime Institutional funds, and 56.8 days for Prime Retail funds (down 9.7 days). Government fund WALs averaged 100.9 days (up 1.2 days) while Treasury fund WALs averaged 101.2 days (up 4.1 days). Muni Institutional fund WALs were 18.4 days (up 2.9 days), and Muni Retail MMF WALs averaged 34.4 days (down 1.2 days).
The Weighted Average Maturity, or WAM, was 40.1 days (up 0.1 days from the previous month) for Prime Institutional funds, 49.2 days (up 1.5 days from the previous month) for Prime Retail funds, 43.0 days (up 3.1 days) for Government funds, and 48.4 days (up 1.7 days) for Treasury funds. Muni Inst WAMs were up 2.7 days to 17.6 days, while Muni Retail WAMs decreased 0.9 days to 32.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.1% in September (up 1.9% from the previous month), and DLA for Prime Retail funds was 42.0% (down 4.3% from previous month) as a percent of total assets. The average DLA was 64.5% for Govt MMFs and 95.9% for Treasury MMFs. Total Weekly Liquid Assets was 65.6% (up 2.8% from the previous month) for Prime Institutional MMFs, and 51.0% (down 7.6% from the previous month) for Prime Retail funds. Average WLA was 79.1% for Govt MMFs and 99.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for September 2020," the largest entries included: Canada with $102.0 billion, Japan with $90.8 billion, France with $75.6 billion, the U.S. with $71.9B, the U.K. with $43.1B, the Netherlands with 37.2B, Germany with $34.4B, Aust/NZ with $19.6B and Switzerland with $18.5B. The biggest gainers among the "Prime MMF Holdings by Country" were the Netherlands (up $6.2 billion), the U.K. (up $0.7B) and Switzerland (up $0.2B). The biggest decreases were: Canada (down $17.0B), Germany (down $11.0B), France (down $10.4B), Japan (down $4.1B), Aust/NZ (down $2.1B) and the U.S. (down $0.1B).
The SEC's "Prime Holdings of Bank-Related Securities by Major Region" table shows Europe had $98.4B (down $6.7B from last month), the Eurozone subset had $153.1B (down $17.9B). The Americas had $174.5 billion (down $17.2B), while Asia Pacific had $123.2B (down $7.5B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $999.0 billion in Prime MMF Portfolios as of September 30, $455.2B (45.6%) was in Government & Treasury securities (direct and repo) (down from $542.5B), $212.1B (21.2%) was in CDs and Time Deposits (down from $249.0B), $143.4B (14.4%) was in Financial Company CP (down from $157.8B), $134.9B (13.5%) was held in Non-Financial CP and Other securities (down from $144.1B), and $53.4B (5.3%) was in ABCP (down from $56.2B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $172.5 billion, Canada with $132.8 billion, France with $189.5 billion, the U.K. with $81.3 billion, Germany with $22.8 billion, Japan with $120.7 billion and Other with $41.3 billion. All MMF Repo with the Federal Reserve rose by $0.8 billion in September to $0.8 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.2%, Prime Retail MMFs with 3.2%, Muni Inst MMFs with 3.4%, Muni Retail MMFs 7.0%, Govt MMFs with 14.8% and Treasury MMFs with 14.3%.
