The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $18.7 billion in November to $4.808 trillion, the first increase in the last six months. (Month-to-date in December through 12/21, assets have decreased by $15.6 billion according to our MFI Daily.) The SEC shows that Prime MMFs fell by $5.8 billion in November to $956.2 billion, Govt & Treasury funds rose by $27.7 billion to $3.735 trillion and Tax Exempt funds decreased $3.2 billion to $116.4 billion. Yields inched lower again in November. 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.
November's overall asset increase follows declines of $73.6 billion in October, $117.8 billion in September, $57.0 billion in August, $66.4 billion in July and $127.3 billion in June. Prior to this, we saw increases of $31.0 billion in May, $461.6 billion in April and $704.8 billion in March. Over the 12 months through 11/30/20, total MMF assets have increased by an incredible $824.2 billion, or 20.7%, 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 $4.808 trillion in assets, $956.2 billion was in Prime funds, down $5.8 billion in November. This follows decreases of $30.7 billion in October, $145.6 billion in September (when Vanguard converted its massive Prime MMF to Govt) and $7.1 billion in August. Earlier this year, we saw 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 19.9% of total assets at the end of November. They've decreased by $165.8 billion, or -14.8%, over the past 12 months.
Government & Treasury funds total $3.735 trillion, or 77.7% of assets. They increased $27.7 billion in November, after decreasing $41.4 billion in October, 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 $1.017 trillion over 12 months, or 37.4%. Tax Exempt Funds decreased $3.2 billion to $116.4 billion, or 2.4% of all assets. The number of money funds was 348 in November, down three from the previous month, and down 17 funds from a year earlier.
Yields for Taxable MMFs were lower again in November. Steady declines over the past 20 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on November 30 was 0.16%, down one basis point from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.20%, down one basis point. Gross yields were 0.14% for Government Funds, down two basis points from last month. Gross yields for Treasury Funds were also down two basis points at 0.14%. Gross Yields for Muni Institutional MMFs were down a basis point to 0.15% in November. Gross Yields for Muni Retail funds were down two basis points at 0.20% in November.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.10%, unchanged from the previous month and down 1.65% since 11/30/19. The Average Net Yield for Prime Retail Funds was 0.03%, unchanged from the previous month and down 1.62% since 11/30/19. 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 October at 0.07%. Net Yields for Muni Retail funds were down a basis point at 0.02% in November. (Note: These averages are asset-weighted.)
WALs and WAMs were predominantly down in November. The average Weighted Average Life, or WAL, was 56.6 days (down 3.8 days from last month) for Prime Institutional funds, and 53.2 days for Prime Retail funds (down 6.1 days). Government fund WALs averaged 99.0 days (down 2.1 days) while Treasury fund WALs averaged 97.8 days (unchanged). Muni Institutional fund WALs were 16.6 days (down 1.6 days), and Muni Retail MMF WALs averaged 29.0 days (down 3.3 days).
The Weighted Average Maturity, or WAM, was 39.4 days (down 2.3 days from the previous month) for Prime Institutional funds, 45.5 days (down 5.6 days from the previous month) for Prime Retail funds, 43.5 days (down 0.9 days) for Government funds, and 48.0 days (up 1.1 days) for Treasury funds. Muni Inst WAMs were down 1.9 days to 15.8 days, while Muni Retail WAMs decreased 3.4 days to 27.5 days.
Total Daily Liquid Assets for Prime Institutional funds were 55.1% in November (up 1.5% from the previous month), and DLA for Prime Retail funds was 39.3% (up 2.1% from previous month) as a percent of total assets. The average DLA was 65.9% for Govt MMFs and 95.3% for Treasury MMFs. Total Weekly Liquid Assets was 67.0% (up 1.4% from the previous month) for Prime Institutional MMFs, and 50.4% (up 1.2% from the previous month) for Prime Retail funds. Average WLA was 79.1% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for November 2020," the largest entries included: Canada with $107.3 billion, France with $87.5 billion, Japan with $81.8 billion, the U.S. with $71.3B, Germany with $36.7B, the Netherlands with 32.0B, the U.K. with $30.0B, Aust/NZ with $22.4B and Switzerland with $18.2B. The biggest gainers among the "Prime MMF Holdings by Country" were: Canada (up $13.6 billion), the U.S. (up $7.4B), France (up $5.2B), Aust/NZ (up $3.8B) and the Netherlands (up $2.0B). The biggest decreases were: the U.K. (down $5.2B), Japan (down $4.5B), Switzerland (down $3.6B) and Germany (down $2.2B).
The SEC's "`Prime Holdings of Bank-Related Securities by Major Region" table shows Europe had $85.1B (down $5.6B from last month), the Eurozone subset had $165.1B (up $5.6B). The Americas had $179.0 billion (up $20.9B), while Asia Pacific had $115.7B (down $1.4B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $963.0B billion in Prime MMF Portfolios as of November 30, $410.9B (42.7%) was in Government & Treasury securities (direct and repo) (down from $419.2B), $220.7B (22.9%) was in CDs and Time Deposits (up from $215.9B), $150.0B (15.6%) was in Financial Company CP (up from $141.2B), $134.7B (14.0%) was held in Non-Financial CP and Other securities (down from $135.0B), and $46.7B (4.8%) was in ABCP (down from $48.8B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $169.0 billion, Canada with $132.8 billion, France with $211.6 billion, the U.K. with $83.9 billion, Germany with $19.6 billion, Japan with $135.1 billion and Other with $45.2 billion. All MMF Repo with the Federal Reserve was unchanged in November at $0.0 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.0%, Prime Retail MMFs with 2.8%, Muni Inst MMFs with 3.1%, Muni Retail MMFs with 5.7%, Govt MMFs with 14.3% and Treasury MMFs with 12.5%.
