The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets rose by $19.9 billion in September to $5.030 trillion. (Month-to-date in October assets are down $12.1 billion through 10/20, according to our MFI Daily.) The SEC shows that Prime MMFs rose by $2.6 billion in September to $869.8 billion, Govt & Treasury funds increased $20.4 billion to $4.063 trillion and Tax Exempt funds decreased $3.1 billion to $97.6 billion. Yields were flat in September again, after their first increase in 24 months three months ago. 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. (Note: Thanks to the those who attended our European Money Fund Symposium yesterday! In case you missed it, the recording is available here.)
September's asset increase follows an increase of $24.9 billion in August, and decreases of $39.9 billion in July and $86.9 billion in June. Assets increased $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 9/30/21, total MMF assets have increased by $167.7 billion, or 3.4%, 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 $5.030 trillion in assets, $869.8 billion was in Prime funds, up $2.6 billion in September. This follows declines of $8.1 billion in August, $19.4 billion in July, $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 17.3% of total assets at the end of September. They've decreased by $122.9 billion, or -12.4%, over the past 12 months.
Government & Treasury funds totaled $4.063 trillion, or 80.8% of assets. They increased by $20.4 billion in Sept. and $32.8 billion in August, but decreased $18.7 billion in July and $67.8 billion in June. Govt MMFs also increased $90.3 billion in May, $48.4 billion in April and $140.9 billion in March. Govt & Treasury MMFs are up $314.1 billion over 12 months, or 8.4%. Tax Exempt Funds decreased $3.1 billion to $97.6 billion, or 2.0% of all assets. The number of money funds was 314 in September, down two from the previous month and down 38 funds from a year earlier.
Yields for Taxable MMFs were flat to mixed in September. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on September 30 was 0.09%, down one bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.14%, unchanged from previous month. Gross yields were 0.07% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were also unchanged at 0.06%. Gross Yields for Tax Exempt Institutional MMFs were up two basis points to 0.06% in September. Gross Yields for Tax Exempt Retail funds were up one bp to 0.08%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.06%, unchanged from the previous month but down 5 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 August at 0.02%. Net Yields for Tax Exempt Retail funds were unchanged at 0.01% in September. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly lower in September. The average Weighted Average Life, or WAL, was 50.3 days (down 1.8 days) for Prime Institutional funds, and 52.6 days for Prime Retail funds (down 0.2 days). Government fund WALs averaged 76.8 days (down 2.9 days) while Treasury fund WALs averaged 89.0 days (down 1.9 days). Tax Exempt Institutional fund WALs were 16.6 days (down 0.4 days from the previous month), and Tax Exempt Retail MMF WALs averaged 26.7 days (up 0.8 days).
The Weighted Average Maturity, or WAM, was 33.6 days (down 0.8 days from the previous month) for Prime Institutional funds, 42.5 days (down 0.8 days from the previous month) for Prime Retail funds, 30.5 days (down 3.1 days) for Government funds, and 39.7 days (down 1.4 days) for Treasury funds. Tax Exempt Inst WAMs were down 0.4 days to 16.2 days, while Tax Exempt Retail WAMs increased 1.0 day to 26.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 54.2% in September (up 0.7% from the previous month), and DLA for Prime Retail funds was 35.3% (up 1.2% from previous month) as a percent of total assets. The average DLA was 75.3% for Govt MMFs and 96.9% for Treasury MMFs. Total Weekly Liquid Assets was 63.2% (up 0.2% from the previous month) for Prime Institutional MMFs, and 48.5% (down 0.1% from the previous month) for Prime Retail funds. Average WLA was 87.5% for Govt MMFs and 99.5% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Sept. 2021," the largest entries included: Canada with $96.9 billion, Japan with $66.7 billion, France with $65.4 billion, the U.S. with $45.2B, the Netherlands with $36.2B, Germany with $32.4B, the U.K. with $28.1B, Aust/NZ with $26.0B and Switzerland with $7.6B. The gainers among the "Prime MMF Holdings by Country" were: France (up $8.2 billion), the Netherlands (up $5.3B), Canada (up $4.5B) and Aust/NZ (up $0.7B). Decreases were shown by: Germany (down $5.9B), the U.S. (down $3.1B), Switzerland (down $1.5B) and the U.K. (down $0.7). Japan was unchanged.
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $74.5B (down $13.3B from last month), the Eurozone subset had $143.0B (down $19.1B). The Americas had $142.1 billion (up $1.4B), while Asia Pacific had $106.2B (up $1.3B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $863.6B billion in Prime MMF Portfolios as of Sept. 30, $355.8B (41.2%) was in Government & Treasury securities (direct and repo) (up from $329.0B), $179.9B (20.8%) was in CDs and Time Deposits (down from $210.2B), $172.6B (20.0%) was in Financial Company CP (up from $168.2B), $119.4B (13.8%) was held in Non-Financial CP and Other securities (down from $120.1B), and $35.9B (4.2%) was in ABCP (unchanged).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $146.0 billion, Canada with $125.4 billion, France with $141.3 billion, the U.K. with $51.8 billion, Germany with $21.1 billion, Japan with $129.3 billion and Other with $28.1 billion. All MMF Repo with the Federal Reserve was up $389.3 billion in September to $1.439 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.2%, Prime Retail MMFs with 6.5%, Tax Exempt Inst MMFs with 2.3%, Tax Exempt Retail MMFs with 4.7%, Govt MMFs with 13.9% and Treasury MMFs with 13.7%.
