The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets dropped by $73.6 billion in October to $4.789 trillion, the fifth decrease in a row. (Month-to-date in November through 11/20, assets have decreased by $39.0 billion according to our MFI Daily.) The SEC shows that Prime MMFs fell by $30.7 billion in October to $962.0 billion, Govt & Treasury funds dropped by $41.4 billion to $3.706 trillion and Tax Exempt funds decreased $1.5 billion to $119.6 billion. Yields inched lower again in October. 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.
October's overall asset decrease follows declines of $117.8 billion in September, $57.0 billion in August, $66.4 billion in July and $127.3 billion in June, and increases of $31.0 billion in May, $461.6 billion in April and $704.8 billion in March. Over the 12 months through 10/31/20, total MMF assets have increased by an incredible $851.0 billion, or 21.6%, 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 $4.789 trillion in assets, $962.0 billion was in Prime funds, down $30.7 billion in October. This follows decreases of $145.6 billion in September (when Vanguard converted its massive Prime MMF to Govt) and $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. Prime funds represented 20.1% of total assets at the end of October. They've decreased by $143.5 billion, or -13.0%, over the past 12 months.
Government & Treasury funds total $3.708 trillion, or 77.4% of assets. They decreased $41.4 billion in October, after rising $35.3 billion in September and falling $49.3 billion in August and $42.6 billion in July. They plummeted $145.1 billion in June, fell $18.6 billion in May, and skyrocketed $347.3 billion in April and $838.3 billion in March. Government & Treasury funds increased $32.0 billion in February, but fell $31.4 billion in January. Govt & Treasury MMFs are up a staggering $1.014 trillion over 12 months, or 37.6%. Tax Exempt Funds decreased $1.5 billion to $119.6 billion, or 2.5% of all assets. The number of money funds was 351 in October, down one from the previous month, and down 21 funds from a year earlier.
Yields for Taxable MMFs were lower again in October. Steady declines over the past 19 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on October 31 was 0.17%, down 3 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.21%, down 3 basis points. Gross yields were 0.16% for Government Funds, down a basis point from last month. Gross yields for Treasury Funds were also down a basis point at 0.16%. Gross Yields for Muni Institutional MMFs were down a basis point to 0.16% in October. Gross Yields for Muni Retail funds were down a basis point at 0.22% in October.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.10%, down 3 bps from the previous month and down 1.80% since 10/31/19. The Average Net Yield for Prime Retail Funds was 0.03%, down a basis point from the previous month and down 1.77% since 10/31/19. Net yields were 0.02% for Government Funds, unchanged from last month. Net yields for Treasury Funds were also unchanged from the previous month at 0.01%. Net Yields for Muni Institutional MMFs were unchanged from September at 0.07%. Net Yields for Muni Retail funds were down a basis point at 0.03% in October. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in October. The average Weighted Average Life, or WAL, was 60.4 days (up 1.9 days from last month) for Prime Institutional funds, and 59.3 days for Prime Retail funds (up 2.5 days). Government fund WALs averaged 101.1 days (up 0.2 days) while Treasury fund WALs averaged 97.8 days (down 3.4 days). Muni Institutional fund WALs were 18.2 days (down 0.2 days), and Muni Retail MMF WALs averaged 32.3 days (down 2.1 days).
The Weighted Average Maturity, or WAM, was 41.7 days (up 1.6 days from the previous month) for Prime Institutional funds, 51.1 days (up 1.9 days from the previous month) for Prime Retail funds, 44.4 days (up 1.4 days) for Government funds, and 46.9 days (down 1.5 days) for Treasury funds. Muni Inst WAMs were up 0.1 days to 17.7 days, while Muni Retail WAMs decreased 2.0 days to 30.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.6% in October (up 0.5% from the previous month), and DLA for Prime Retail funds was 37.2% (down 4.8% from previous month) as a percent of total assets. The average DLA was 63.4% for Govt MMFs and 94.8% for Treasury MMFs. Total Weekly Liquid Assets was 65.6% (unchanged from the previous month) for Prime Institutional MMFs, and 49.2% (down 1.8% from the previous month) for Prime Retail funds. Average WLA was 77.8% for Govt MMFs and 98.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for October 2020," the largest entries included: Canada with $93.7 billion, Japan with $86.3 billion, France with $82.3 billion, the U.S. with $63.9B, Germany with $38.9B, the U.K. with 35.2B, the Netherlands with $30.0B, Switzerland with $21.8B and Aust/NZ with $18.6B. The biggest gainers among the "Prime MMF Holdings by Country" were: France (up $6.7 billion), Germany (up $4.5B) and Switzerland (up $3.2B). The biggest decreases were: Canada (down $8.3B), the U.S. (down $8.0B), the U.K. (down $7.9B), the Netherlands (down $7.2B), Japan (down $4.5B) and Aust/NZ (down $0.9B).
The SEC's "`Prime Holdings of Bank-Related Securities by Major Region" table shows Europe had $90.7B (down $7.7B from last month), the Eurozone subset had $159.5B (up $6.4B). The Americas had $158.1 billion (down $16.4B), while Asia Pacific had $117.1B (down $6.1B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $960.1B billion in Prime MMF Portfolios as of October 31, $419.2B (43.7%) was in Government & Treasury securities (direct and repo) (down from $455.2B), $215.9B (22.5%) was in CDs and Time Deposits (up from $212.1B), $141.2B (14.7%) was in Financial Company CP (down from $143.4B), $135.0B (14.1%) was held in Non-Financial CP and Other securities (up from $134.9B), and $48.8B (5.1%) was in ABCP (down from $53.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $190.8 billion, Canada with $126.4 billion, France with $204.4 billion, the U.K. with $73.1 billion, Germany with $20.5 billion, Japan with $117.8 billion and Other with $44.1 billion. All MMF Repo with the Federal Reserve fell by $0.8 billion in October to $0.0 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.8%, Prime Retail MMFs with 4.3%, Muni Inst MMFs with 3.1%, Muni Retail MMFs with 6.0%, Govt MMFs with 14.3% and Treasury MMFs with 14.9%.
