The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets rose by $53.7 billion in November to $5.092 trillion, the 4th highest monthly total on record (behind March, April and May 2020). The SEC shows that Prime MMFs declined by $21.0 billion in November to $836.8 billion, Govt & Treasury funds increased $76.0 billion to $4.160 trillion and Tax Exempt funds decreased $1.3 billion to $95.2 billion. Yields were flat or mixed in November. 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.
November's asset increase follows gains of $7.9 billion in October, $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 11/30/21, total MMF assets have increased by $284.4 billion, or 5.9%, 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 $5.092 trillion in assets, $836.8 billion was in Prime funds, down $21 billion in November and $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 16.4% of total assets at the end of November. They've decreased by $119.4 billion, or -12.5%, over the past 12 months. (Month-to-date in December, assets are down $5.9 billion through 12/17, according to our MFI Daily.)
Government & Treasury funds totaled $4.160 trillion, or 81.7% of assets. They increased by $76.0 billion in November, $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 $424.8 billion over 12 months, or 11.4%. Tax Exempt Funds decreased $1.3 billion to $95.2 billion, or 1.9% of all assets. The number of money funds was 314 in November, the same as the previous month but down 34 funds from a year earlier.
Yields for Taxable MMFs were flat or higher in November, while Tax Exempt yields were flat or lower. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on November 30th was 0.10%, up 1 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.15%, unchanged 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 down one basis points to 0.06% in November. Gross Yields for Tax Exempt Retail funds were unchanged 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 unchanged from October at 0.03%. Net Yields for Tax Exempt Retail funds were unchanged at 0.01% in November. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly lower in November. The average Weighted Average Life, or WAL, was 51.7 days (down 2.3 days) for Prime Institutional funds, and 56.0 days for Prime Retail funds (down 4.0 days). Government fund WALs averaged 80.6 days (up 0.5 days) while Treasury fund WALs averaged 86.7 days (down 1.0 days). Tax Exempt Institutional fund WALs were 13.4 days (down 1.9 days from the previous month), and Tax Exempt Retail MMF WALs averaged 25.0 days (down 2.0 days).
The Weighted Average Maturity, or WAM, was 35.8 days (down 2.0 days from the previous month) for Prime Institutional funds, 47.6 days (down 3.0 days from the previous month) for Prime Retail funds, 34.6 days (unchanged) for Government funds, and 41.0 days (up 2.0 days) for Treasury funds. Tax Exempt Inst WAMs were down 2.1 days to 13.0 days, while Tax Exempt Retail WAMs decreased 2.2 days to 24.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 50.4% in November (down 0.2% from the previous month), and DLA for Prime Retail funds was 28.4% (up 2.7% from previous month) as a percent of total assets. The average DLA was 77.4% for Govt MMFs and 97.0% for Treasury MMFs. Total Weekly Liquid Assets was 61.4% (down 2.2% from the previous month) for Prime Institutional MMFs, and 43.6% (up 0.3% from the previous month) for Prime Retail funds. Average WLA was 88.7% for Govt MMFs and 99.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Nov. 2021," the largest entries included: Canada with $106.7 billion, France with $71.7 billion, Japan with $69.3 billion, the U.S. with $49.4B, Germany with $34.0B, Aust/NZ with $29.9B, the Netherlands with $28.6B, the U.K. with $25.8B and Switzerland with $10.0B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $12.7 billion), Aust/NZ (up $3.0B), the U.S. (up $2.1B) and Switzerland (up $2.0B). Decreases were shown by: France (down $8.9B), the Netherlands (down $4.9B) Germany (down $2.4B), Japan (down $2.3B) and the U.K. (down $1.2B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows the Eurozone subset had $151.2B (down $17.7B), while Europe (non-Eurozone) had $80.2B (up $1.6B from last month). The Americas had $156.1 billion (up $14.7B), while Asia Pacific had $117.1B (up $0.8B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $832.4B billion in Prime MMF Portfolios as of Nov. 30, $272.7B (32.8%) was in Government & Treasury securities (direct and repo) (down from $298.3B), $220.9B (26.5%) was in CDs and Time Deposits (down from $223.0B), $176.0B (21.1%) was in Financial Company CP (up from $175.7B), $127.4B (15.3%) was held in Non-Financial CP and Other securities (up from $123.8B), and $35.4B (4.3%) was in ABCP (down from $36.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $118.0 billion, Canada with $154.9 billion, France with $160.3 billion, the U.K. with $54.5 billion, Germany with $14.8 billion, Japan with $123.0 billion and Other with $33.4 billion. All MMF Repo with the Federal Reserve was up $51.3 billion in November to $1.397 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.9%, Prime Retail MMFs with 5.3%, Tax Exempt Inst MMFs with 2.1%, Tax Exempt Retail MMFs with 5.1%, Govt MMFs with 14.7% and Treasury MMFs with 13.6%.
