The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets fell by $39.9 billion in July to $4.986 trillion. (Month-to-date in August assets are down $27.8 billion through 8/13, according to our MFI Daily.) The SEC shows that Prime MMFs fell by $19.4 billion in July to $875.3 billion, Govt & Treasury funds decreased $18.7 billion to $4.010 trillion and Tax Exempt funds decreased $1.8 billion to $100.5 billion. Yields were mixed in July, after their first increase in 24 months the prior month. 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.
July's asset declines follow a decrease of $86.9 billion in June, and 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 7/31/21, total MMF assets have decreased by $52.0 billion, or -1.0%, 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 $4.986 trillion in assets, $875.3 billion was in Prime funds, down $19.4 billion in July. This follows a decline of $19.9 billion in June and $14.6 billion in May, and increases of $1.3 billion in April and $7.2 billion in March. Prime funds represented 17.6% of total assets at the end of July. They've decreased by $270.2 billion, or -23.6%, over the past 12 months.
Government & Treasury funds totaled $4.010 trillion, or 80.4% of assets. They decreased by $18.7 billion in July, after decreasing $67.8 billion in June and increasing $90.3 billion in May, $48.4 billion in April and $140.9 billion in March. Govt & Treasury MMFs are up $246.9 billion over 12 months, or 6.6%. Tax Exempt Funds decreased $1.8 billion to $100.5 billion, or 2.0% of all assets. The number of money funds was 318 in July, down one from the previous month and down 41 funds from a year earlier.
Yields for Taxable MMFs were mixed in July after rebounding in June. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on July 31 was 0.10%, up a basis point from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.14%, down one bp. Gross yields were 0.07% for Government Funds, down two basis points from last month. Gross yields for Treasury Funds were unchanged at 0.06%. Gross Yields for Tax Exempt Institutional MMFs were down a basis point to 0.05% in July. Gross Yields for Tax Exempt Retail funds were down one bp to 0.08%.
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 Tax Exempt Institutional MMFs were unchanged from June at 0.02%. Net Yields for Tax Exempt Retail funds were unchanged at 0.01% in July. (Note: These averages are asset-weighted.)
WALs and WAMs were also mixed in July. The average Weighted Average Life, or WAL, was 54.2 days (up 0.2 days) for Prime Institutional funds, and 48.9 days for Prime Retail funds (up 0.7 days). Government fund WALs averaged 82.3 days (down 0.1 days) while Treasury fund WALs averaged 90.7 days (up 1.6 days). Tax Exempt Institutional fund WALs were 17.2 days (up 1.5 days from the previous month), and Tax Exempt Retail MMF WALs averaged 25.5 days (down 0.1 days).
The Weighted Average Maturity, or WAM, was 37.3 days (up 0.5 days from the previous month) for Prime Institutional funds, 40.1 days (up 2.3 days from the previous month) for Prime Retail funds, 35.3 days (unchanged) for Government funds, and 41.5 days (up 0.6 days) for Treasury funds. Tax Exempt Inst WAMs were up 1.6 days to 17.0 days, while Tax Exempt Retail WAMs increased 0.6 days to 24.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.4% in July (down 2.3% from the previous month), and DLA for Prime Retail funds was 36.5% (down 4.9% from previous month) as a percent of total assets. The average DLA was 72.8% for Govt MMFs and 95.3% for Treasury MMFs. Total Weekly Liquid Assets was 63.8% (down 0.7% from the previous month) for Prime Institutional MMFs, and 50.8% (down 3.2% from the previous month) for Prime Retail funds. Average WLA was 84.2% for Govt MMFs and 97.6% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for July 2021," the largest entries included: Canada with $91.7 billion, France with $72.1 billion, Japan with $71.2 billion, the U.S. with $51.1B, Germany with $38.0B, the Netherlands with $30.3B, the U.K. with $29.8B, Aust/NZ with $24.3B and Switzerland with $10.8B. The only gainers among the "Prime MMF Holdings by Country" were: Germany (up $9.6B), France (up $6.1 billion), Japan (up $5.7B) and the Netherlands (up $0.8B). The biggest decreases were shown by: Canada (down $6.0B), the U.S. (down $4.0B), Switzerland (down $0.4B), Aust/NZ (down $0.3B) and the U.K. (down $0.1).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $88.6B (up $12.5B from last month), the Eurozone subset had $158.3B (up $27.9B). The Americas had $142.9 billion (down $10.0B), while Asia Pacific had $109.2B (up $5.2B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $870.7B billion in Prime MMF Portfolios as of July 31, $328.1B (37.7%) was in Government & Treasury securities (direct and repo) (down from $396.9B), $217.8B (25.0%) was in CDs and Time Deposits (up from $176.3B), $167.0B (19.2%) was in Financial Company CP (up from $161.6B), $123.3B (14.2%) was held in Non-Financial CP and Other securities (up from $119.3B), and $34.5B (4.0%) was in ABCP (down from $36.6B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $160.2 billion, Canada with $124.1 billion, France with $165.7 billion, the U.K. with $72.3 billion, Germany with $30.0 billion, Japan with $138.7 billion and Other with $32.7 billion. All MMF Repo with the Federal Reserve was up $41.9 billion in July to $885.6B billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.9%, Prime Retail MMFs with 5.7%, Tax Exempt Inst MMFs with 2.0%, Tax Exempt Retail MMFs with 4.3%, Govt MMFs with 13.9% and Treasury MMFs with 14.8%.
