The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased $72.4 billion in May to $5.112 trillion. (Month-to-date in June assets are down $15.4 billion through 6/15, according to our MFI Daily.) The SEC shows that Prime MMFs fell by $14.6 billion in May to $914.6 billion, Govt & Treasury funds increased $90.3 billion to $4.096 trillion and Tax Exempt funds decreased $3.3 billion to $101.5 billion. Yields were down again in May. 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. (Last Call: Register for this morning's "Asian Money Fund Symposium" webinar, Thursday, June 17 from 10:00am-12:00pm EDT.)
May's overall asset increase follows an increase of $46.3 billion in April, $146.1 billion in March, $30.5 billion in February and $35.4 billion in January. Over the 12 months through 5/31/21, total MMF assets have decreased by $119.1 billion, or -2.3%, 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 assets in its collections.)
The SEC's stats show that of the $5.112 trillion in assets, $929.2 billion was in Prime funds, down $14.6 billion in May. This follows an increase of $1.3 billion in April, $7.2 billion in March, a decrease of $29.2 billion in February, an increase of $36.4 billion in January. Prime funds represented 17.9% of total assets at the end of May. They've decreased by $226 billion, or -19.8%, over the past 12 months.
Government & Treasury funds totaled $4.096 trillion, or 80.1% of assets. They increased $90.3 billion in May, after increasing $48.4 billion in April, $140.9 billion in March, $64.3 billion in February and decreasing $2.0 billion in January. Govt & Treasury MMFs are up $145.6 billion over 12 months, or 3.7%. Tax Exempt Funds decreased $3.3 billion to $101.5 billion, or 2.0% of all assets. The number of money funds was 320 in May, down 10 from the previous month, and down 40 funds from a year earlier.
Yields for Taxable MMFs were down again in May. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on May 31 was 0.09%, down a basis point from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.15%, down a basis point. Gross yields were 0.05% for Government Funds, down two basis points from last month. Gross yields for Treasury Funds were also down two basis points at 0.04%. Gross Yields for Muni Institutional MMFs were down two basis points at 0.07% in April. Gross Yields for Muni Retail funds were down a basis point at 0.12% in May.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.05%, down a basis point from the previous month and down 6 basis points since 12/31/20. The Average Net Yield for Prime Retail Funds was 0.02%, unchanged from the previous month, and down a basis point 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 unchanged from April at 0.03%. Net Yields for Muni Retail funds were unchanged at 0.01% in May. (Note: These averages are asset-weighted.)
WALs and WAMs largely mixed in May. The average Weighted Average Life, or WAL, was 57.1 days (down 1.1 days) for Prime Institutional funds, and 50.1 days for Prime Retail funds (up 1.5 days). Government fund WALs averaged 82.9 days (down 5.7 days) while Treasury fund WALs averaged 84.9 days (down 6.2 days). Muni Institutional fund WALs were 13.7 days (up 0.9 days from the previous month), and Muni Retail MMF WALs averaged 22.6 days (down 0.2 days).
The Weighted Average Maturity, or WAM, was 40.2 days (down 1.0 days from the previous month) for Prime Institutional funds, 39.6 days (down 1.5 days from the previous month) for Prime Retail funds, 35.7 days (down 5.0 days) for Government funds, and 39.2 days (down 4.5 days) for Treasury funds. Muni Inst WAMs were up 1.2 days to 13.6 days, while Muni Retail WAMs decreased 0.2 days to 21.7 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.2% in May (up 1.4% from the previous month), and DLA for Prime Retail funds was 35.3% (up 4.4% from previous month) as a percent of total assets. The average DLA was 71.9% for Govt MMFs and 96.4% for Treasury MMFs. Total Weekly Liquid Assets was 64.7% (up 1.5% from the previous month) for Prime Institutional MMFs, and 47.2% (up 3.0% from the previous month) for Prime Retail funds. Average WLA was 84.8% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Mayl 2021," the largest entries included: Canada with $95.4 billion, France with $88.4 billion, Japan with $73.8 billion, the U.S. with $55.1B, Germany with $37.9B, the U.K. with $35.9B, the Netherlands with 31.5B, Aust/NZ with $24.7B and Switzerland with $14.4B. The biggest gainers among the "Prime MMF Holdings by Country" were: France (up $6.5 billion) and Japan (up $3.1B). The biggest decreases were: Canada (down $6.1B), the Netherlands (down $3.7B), Switzerland (down $1.9B), Aust/NZ (down $1.4B), the U.K. (down $1.4B), Germany (down $1.1B) and the U.S. (down $0.2B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $106.6B (down $5.6B from last month), the Eurozone subset had $176.6B (up $1.8B). The Americas had $150.6 billion (down $6.3B), while Asia Pacific had $113.2B (up $2.7B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $905.5B billion in Prime MMF Portfolios as of May 31, $322.5B (35.6%) was in Government & Treasury securities (direct and repo) (down from $329.0B), $230.9B (25.5%) was in CDs and Time Deposits (down from $233.1B), $190.5B (21.0%) was in Financial Company CP (up from $189.9B), $122.3B (13.5%) was held in Non-Financial CP and Other securities (down from $128.4B), and $39.3B (4.6%) was in ABCP (down from $41.8B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $177.9 billion, Canada with $145.3 billion, France with $190.6 billion, the U.K. with $79.9 billion, Germany with $23.1 billion, Japan with $150.2 billion and Other with $37.9 billion. All MMF Repo with the Federal Reserve was up $278.8 billion in May at $458.6B billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 8.0%, Prime Retail MMFs with 6.1%, Muni Inst MMFs with 0.7%, Muni Retail MMFs with 2.9%, Govt MMFs with 12.7% and Treasury MMFs with 11.6%.
