The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $35.4 billion in January to $4.817 trillion. (Month-to-date in February through 2/17, assets have increased by $24.3 billion according to our MFI Daily.) The SEC shows that Prime MMFs rose by $36.4 billion in January to $949.9 billion, Govt & Treasury funds fell by $2.0 billion to $3.752 trillion and Tax Exempt funds increased $1.0 billion to $114.8 billion. Yields were flat or lower in January. 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.
January's overall asset increase follows a decrease of $26.1 billion in December, an increase of $18.7 billion in November and 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 1/31/21, total MMF assets have increased by a stunning $800.5 billion, or 19.9%, 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 $4.817 trillion in assets, $949.9 billion was in Prime funds, up $36.4 billion in January. This follows decreases of $42.7 billion in December, $5.8 billion in November, $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. Prime funds represented 19.7% of total assets at the end of January. They've decreased by $173.3 billion, or -15.4%, over the past 12 months.
Government & Treasury funds totaled $3.752 trillion, or 77.9% of assets. They decreased $2.0 billion in January, after increasing $19.2 billion in December, $27.7 billion in November, and 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. Govt & Treasury MMFs are up a staggering $1.001 trillion over 12 months, or 36.4%. Tax Exempt Funds increased $1.0 billion to $114.8 billion, or 2.4% of all assets. The number of money funds was 341 in January, down three from the previous month, and down 26 funds from a year earlier.
Yields for Taxable MMFs were flat or down in January. Steady declines over the past 22 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on January 31 was 0.15%, down a basis point the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.20%, down a basis point. Gross yields were 0.12% for Government Funds, down two basis points from last month. Gross yields for Treasury Funds were down a basis point at 0.12%. Gross Yields for Muni Institutional MMFs dropped seven basis points to 0.07% in January. Gross Yields for Muni Retail funds were down four basis points at 0.14% in January.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.10%, down a basis point from the previous month and down the same amount since 12/31/20. The Average Net Yield for Prime Retail Funds was 0.03%, unchanged from the previous month, and also unchanged since 12/31/20. 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 down four basis points from December at 0.02%. Net Yields for Muni Retail funds were unchanged at 0.01% in December. (Note: These averages are asset-weighted.)
WALs and WAMs were down in all categories except Prime Institutional in January. The average Weighted Average Life, or WAL, was 62.4 days (up 4.9 days from last month) for Prime Institutional funds, and 48.8 days for Prime Retail funds (down 2.7 days). Government fund WALs averaged 99.8 days (down 3.0 days) while Treasury fund WALs averaged 97.4 days (down 3.8 days). Muni Institutional fund WALs were 14.9 days (down 1.7 days from the previous month), and Muni Retail MMF WALs averaged 26.9 days (down 0.7 days).
The Weighted Average Maturity, or WAM, was 44.7 days (up 4.0 days from the previous month) for Prime Institutional funds, 42.5 days (down 1.8 days from the previous month) for Prime Retail funds, 47.4 days (down 0.7 days) for Government funds, and 48.1 days (down 2.4 days) for Treasury funds. Muni Inst WAMs were down 1.4 days to 14.3 days, while Muni Retail WAMs decreased 0.8 days to 25.4 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.6% in January (down 3.2% from the previous month), and DLA for Prime Retail funds was 34.1% (down 1.9% from previous month) as a percent of total assets. The average DLA was 65.5% for Govt MMFs and 93.7% for Treasury MMFs. Total Weekly Liquid Assets was 65.0% (down 2.3% from the previous month) for Prime Institutional MMFs, and 46.2% (up 0.7% from the previous month) for Prime Retail funds. Average WLA was 80.0% for Govt MMFs and 97.8% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for January 2021," the largest entries included: Canada with $117.2 billion, France with $85.8 billion, Japan with $71.3 billion, the U.S. with $70.5B, Germany with $42.0B, the Netherlands with 37.8B, the U.K. with $30.6B, Aust/NZ with $24.2B and Switzerland with $16.7B. The biggest gainers among the "Prime MMF Holdings by Country" were: The Netherlands (up $24.9 billion), France (up $18.8B), Germany (up $18.2B) and the U.K. (up $4.5B). The biggest decreases were: Canda (down $13.0B), Japan (down $10.7B), the U.S. (down $10.6B), Aust/NZ (down $1.6B) and Switzerland (down $0.5B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $107.1B (up $40.4B from last month), the Eurozone subset had $178.4B (up $70.1B). The Americas had $188.1 billion (down $23.6B), while Asia Pacific had $108.4B (down $10.7B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $950.0B billion in Prime MMF Portfolios as of January 31, $347.3B (36.6%) was in Government & Treasury securities (direct and repo) (down from $418.8B), $238.7B (25.1%) was in CDs and Time Deposits (up from $164.9B), $179.9B (18.9%) was in Financial Company CP (up from $153.1B), $137.6B (14.5%) was held in Non-Financial CP and Other securities (up from $127.3B), and $46.5B (4.9%) was in ABCP (up from $46.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $162.4 billion, Canada with $135.3 billion, France with $193.6 billion, the U.K. with $84.3 billion, Germany with $15.5 billion, Japan with $136.6 billion and Other with $37.2 billion. All MMF Repo with the Federal Reserve was down $4.3 billion in January at $5.4 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.8%, Prime Retail MMFs with 2.8%, Muni Inst MMFs with 1.4%, Muni Retail MMFs with 3.2%, Govt MMFs with 14.9% and Treasury MMFs with 15.5%.
