The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets rose by $7.9 billion in October to $5.038 trillion. (Month-to-date in November, assets are up $22.4 billion through 11/17, according to our MFI Daily.) The SEC shows that Prime MMFs declined by $12.0 billion in October to $857.8 billion, Govt & Treasury funds increased $21.0 billion to $4.084 trillion and Tax Exempt funds decreased $1.1 billion to $96.5 billion. Yields were flat or slightly higher in October. 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.
October's asset increase follows gains of $19.9 billion in September and $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 10/31/21, total MMF assets have increased by $249.2 billion, or 5.2%, 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 $5.038 trillion in assets, $857.8 billion was in Prime funds, down $12.1 billion in October. This follows an increase of $2.6 billion in September, 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 17.0% of total assets at the end of October. They've decreased by $104.2 billion, or -10.8%, over the past 12 months.
Government & Treasury funds totaled $4.084 trillion, or 81.1% of assets. They increased by $21.0 billion in October, $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 $376.5 billion over 12 months, or 10.2%. Tax Exempt Funds decreased $1.1 billion to $96.5 billion, or 1.9% of all assets. The number of money funds was 314 in October, the same as the previous month but down 37 funds from a year earlier.
Yields for Taxable MMFs were flat or higher in October. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on October 31 was 0.09%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.15%, up 1 bps from the 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 one basis points to 0.07% in October. Gross Yields for Tax Exempt Retail funds were up two bps to 0.10%.
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 up one bps from September at 0.03%. Net Yields for Tax Exempt Retail funds were unchanged at 0.01% in October. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly higher in October. The average Weighted Average Life, or WAL, was 54.0 days (up 3.7 days) for Prime Institutional funds, and 60.0 days for Prime Retail funds (up 7.4 days). Government fund WALs averaged 80.1 days (up 4.3 days) while Treasury fund WALs averaged 87.7 days (down 1.3 days). Tax Exempt Institutional fund WALs were 15.3 days (down 1.3 days from the previous month), and Tax Exempt Retail MMF WALs averaged 27.0 days (up 0.3 days).
The Weighted Average Maturity, or WAM, was 37.8 days (up 4.2 days from the previous month) for Prime Institutional funds, 50.6 days (up 8.1 days from the previous month) for Prime Retail funds, 34.6 days (up 4.1 days) for Government funds, and 39.0 days (down 0.7 days) for Treasury funds. Tax Exempt Inst WAMs were down 1.1 days to 15.1 days, while Tax Exempt Retail WAMs increased 0.2 days to 26.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 50.6% in October (down 3.6% from the previous month), and DLA for Prime Retail funds was 25.7% (down 9.6% from previous month) as a percent of total assets. The average DLA was 75.8% for Govt MMFs and 96.4% for Treasury MMFs. Total Weekly Liquid Assets was 63.6% (up 0.4% from the previous month) for Prime Institutional MMFs, and 43.3% (down 5.2% from the previous month) for Prime Retail funds. Average WLA was 86.5% for Govt MMFs and 98.7% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Oct. 2021," the largest entries included: Canada with $94.0 billion, France with $80.6 billion, Japan with $71.6 billion, the U.S. with $47.3B, Germany with $36.4B, the Netherlands with $33.5B, the U.K. with $27.0B, Aust/NZ with $26.9B and Switzerland with $8.0B. The gainers among the "Prime MMF Holdings by Country" were: France (up $15.2 billion), Japan (up $4.9B), Germany (up $4.0B), the U.S. (up $2.1B), Aust/NZ (up $0.9B) and Switzerland (up $0.4B). Decreases were shown by: Canada (down $2.9B), the Netherlands (down $2.7B) and the U.K. (down $0.9).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows the Eurozone subset had $168.9B (up $25.9B), while Europe (non-Eurozone) had $78.6B (up $4.1B from last month). The Americas had $141.4 billion (down $0.7B), while Asia Pacific had $116.3B (up $10.1B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $857.2B billion in Prime MMF Portfolios as of Oct. 31, $298.3B (34.8%) was in Government & Treasury securities (direct and repo) (down from $355.8B), $223.0B (26.0%) was in CDs and Time Deposits (up from $179.9B), $175.7B (20.5%) was in Financial Company CP (up from $172.6B), $123.8B (14.4%) was held in Non-Financial CP and Other securities (up from $119.4B), and $36.4B (4.2%) was in ABCP (up from $35.9B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $133.3 billion, Canada with $138.7 billion, France with $158.8 billion, the U.K. with $47.1 billion, Germany with $21.4 billion, Japan with $124.2 billion and Other with $27.2 billion. All MMF Repo with the Federal Reserve was down $93.2 billion in October to $1.346 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.7%, Prime Retail MMFs with 7.5%, Tax Exempt Inst MMFs with 2.1%, Tax Exempt Retail MMFs with 5.0%, Govt MMFs with 14.3% and Treasury MMFs with 15.1%.
