The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets fell by $86.9 billion in June to $5.026 trillion. (Month-to-date in July assets are down $67.8 billion through 7/15, according to our MFI Daily.) The SEC shows that Prime MMFs fell by $19.9 billion in June to $894.7 billion, Govt & Treasury funds decreased $67.8 billion to $4.029 trillion and Tax Exempt funds increased $0.8 billion to $102.3 billion. Yields were slightly higher in June, their first increase in 24 months. 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. (Reminder: Register for our "Money Fund Wisdom Product Training" webinar, which will take place tomorrow, Tuesday, July 20 from 2-3pm EDT.)
June's asset declines follow increases of $72.4 billion in May, $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 6/30/21, total MMF assets have decreased by $78.4 billion, or -1.5%, 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 $5.026 trillion in assets, $894.7 billion was in Prime funds, down $19.9 billion in June. This follows a decline of $14.6 billion in May, an increase of $1.3 billion in April and $7.2 billion in March, and a decrease of $29.2 billion in February. Prime funds represented 17.8% of total assets at the end of June. They've decreased by $267.2 billion, or -23.0%, over the past 12 months.
Government & Treasury funds totaled $4.096 trillion, or 80.1% of assets. They decreased by $67.8 billion in June, after increasing $90.3 billion in May, $48.4 billion in April, $140.9 billion in March and $64.3 billion in February. Govt & Treasury MMFs are up $223.1 billion over 12 months, or 5.9%. Tax Exempt Funds increased $0.8 billion to $102.3 billion, or 2.0% of all assets. The number of money funds was 319 in June, down one from the previous month and down 40 funds from a year earlier.
Yields for Taxable MMFs rebounded in June. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on June 30 was 0.09%, the same as the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.15%, also flat. Gross yields were 0.09% for Government Funds, up four basis points from last month. Gross yields for Treasury Funds were up two basis points to 0.06%. Gross Yields for Muni Institutional MMFs were down a basis point to 0.06% in June. Gross Yields for Muni Retail funds were down three basis points to 0.09%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.05%, unchanged from the previous month but down 6 basis points from 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 down one bps from May to 0.02%. Net Yields for Muni Retail funds were unchanged at 0.01% in June. (Note: These averages are asset-weighted.)
WALs and WAMs were also mixed in June. The average Weighted Average Life, or WAL, was 54.0 days (down 3.1 days) for Prime Institutional funds, and 48.2 days for Prime Retail funds (down 1.9 days). Government fund WALs averaged 82.4 days (down 0.5 days) while Treasury fund WALs averaged 89.1 days (up 4.2 days). Muni Institutional fund WALs were 15.7 days (up 2.0 days from the previous month), and Muni Retail MMF WALs averaged 25.6 days (up 3.0 days).
The Weighted Average Maturity, or WAM, was 36.8 days (down 3.4 days from the previous month) for Prime Institutional funds, 37.8 days (down 1.8 days from the previous month) for Prime Retail funds, 35.3 days (down 0.4 days) for Government funds, and 40.9 days (up 1.7 days) for Treasury funds. Muni Inst WAMs were up 1.8 days to 15.4 days, while Muni Retail WAMs increased 2.6 days to 24.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.7% in June (up 1.5% from the previous month), and DLA for Prime Retail funds was 41.4% (up 6.1% from previous month) as a percent of total assets. The average DLA was 73.8% for Govt MMFs and 96.6% for Treasury MMFs. Total Weekly Liquid Assets was 64.5% (down 0.2% from the previous month) for Prime Institutional MMFs, and 54.0% (up 6.8% from the previous month) for Prime Retail funds. Average WLA was 85.4% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for June 2021," the largest entries included: Canada with $97.7 billion, France with $66.0 billion, Japan with $65.5 billion, the U.S. with $55.1B, the U.K. with $29.9B, the Netherlands with $29.5B, Germany with $28.4B, Aust/NZ with $24.6B and Switzerland with $11.2B. The only gainer among the "Prime MMF Holdings by Country" was: Canada (up $2.3B). The biggest decreases were shown by: France (down $22.4 billion), Germany (down $9.5B), Japan (down $8.3B), the U.K. (down $6.0), Switzerland (down $3.2B), the Netherlands (down $2.0B), Aust/NZ (down $0.1B), and the U.S. (unch).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $76.1B (down $30.5B from last month), the Eurozone subset had $130.4B (down $46.2B). The Americas had $152.9 billion (up $2.3B), while Asia Pacific had $104.0B (down $9.2B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $890.7B billion in Prime MMF Portfolios as of June 30, $396.9B (44.6%) was in Government & Treasury securities (direct and repo) (down from $322.5B), $176.3B (19.8%) was in CDs and Time Deposits (down from $230.9B), $161.6B (18.1%) was in Financial Company CP (down from $190.5B), $119.3B (13.4%) was held in Non-Financial CP and Other securities (down from $122.3B), and $36.6B (4.1%) was in ABCP (down from $39.3B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $160.7 billion, Canada with $128.4 billion, France with $132.4 billion, the U.K. with $64.0 billion, Germany with $21.6 billion, Japan with $140.9 billion and Other with $33.3 billion. All MMF Repo with the Federal Reserve was up $385.1 billion in June to $843.7B billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 8.0%, Prime Retail MMFs with 6.2%, Muni Inst MMFs with 1.7%, Muni Retail MMFs with 4.0%, Govt MMFs with 13.8% and Treasury MMFs with 13.4%.
