The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets rose by $122.9 billion in December to a near-record $5.215 trillion, the 2nd highest monthly total on record (behind May 2020). The SEC shows that Prime MMFs declined by $20.5 billion in December to $816.3 billion, Govt & Treasury funds increased $144.4 billion to $4.304 trillion and Tax Exempt funds decreased $1.0 billion to $94.2 billion. Gross yields were higher while net yields were flat to higher in December. 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 again to those who attended and supported our recent Money Fund University! Crane Data Subscribers and MFU Attendees may access conference recordings and materials in our "Money Fund University 2022 Download Center.")
December's big asset increase follows gains of $53.7 in November, $7.9 billion in October, $19.9 billion in September and $24.9 billion in August. MMFs saw 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 12/31/21, total MMF assets increased by $433.2 billion, or 9.1%, 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 $5.215 trillion in assets, $816.3 billion was in Prime funds, down $20.5 billion in December, $21 billion in November and $12.1 billion in October. This follows an increase of $2.6 billion in September, but declines of $8.1 billion in August, $19.4 billion in July, $19.9 billion in June and $14.6 billion in May. Prime funds increased $1.3 billion in April and $7.2 billion in March. Prime funds represented 15.7% of total assets at the end of December. They've decreased by $97.1 billion, or -10.6%, over the past 12 months. (Month-to-date in January, total MMF assets have plunged by $130.7 billion through 1/20, according to our MFI Daily.)
Government & Treasury funds totaled $4.304 trillion, or 82.5% of assets. They increased by $144.4 billion in December, $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 $550.0 billion over 12 months, or 14.6%. Tax Exempt Funds decreased $1.0 billion to $94.2 billion, or 1.8% of all assets. The number of money funds was 312 in December, down 2 from the previous month and down 32 funds from a year earlier.
Yields for Taxable and Tax Exempt MMFs were flat or higher in December. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on December 31st was 0.12%, up 2 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.16%, 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 up 1 bps at 0.07%. Gross Yields for Tax Exempt Institutional MMFs were up 5 basis points to 0.11% in December. Gross Yields for Tax Exempt Retail funds were up 4 bps to 0.14%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.08%, up 2 bps from the previous month but down 2 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 2 bps from November to 0.05%. Net Yields for Tax Exempt Retail funds were unchanged at 0.01% in December. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly lower in December. The average Weighted Average Life, or WAL, was 54.0 days (up 2.3 days) for Prime Institutional funds, and 51.6 days for Prime Retail funds (down 4.4 days). Government fund WALs averaged 78.3 days (down 2.3 days) while Treasury fund WALs averaged 83.8 days (down 2.9 days). Tax Exempt Institutional fund WALs were 13.9 days (up 0.5 days from the previous month), and Tax Exempt Retail MMF WALs averaged 24.2 days (down 0.8 days).
The Weighted Average Maturity, or WAM, was 36.1 days (up 0.3 days from the previous month) for Prime Institutional funds, 43.7 days (down 3.9 days from the previous month) for Prime Retail funds, 33.6 days (down 1.0 days from previous month) for Government funds, and 40.0 days (down 1.0 days) for Treasury funds. Tax Exempt Inst WAMs were up 0.8 days to 13.8 days, while Tax Exempt Retail WAMs decreased 0.4 days to 23.7 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.7% in December (up 2.3% from the previous month), and DLA for Prime Retail funds was 32.5% (up 4.1% from previous month) as a percent of total assets. The average DLA was 78.7% for Govt MMFs and 97.0% for Treasury MMFs. Total Weekly Liquid Assets was 62.9% (up 1.5% from the previous month) for Prime Institutional MMFs, and 45.3% (up 1.7% from the previous month) for Prime Retail funds. Average WLA was 89.8% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Dec. 2021," the largest entries included: Canada with $113.4 billion, Japan with $71.3 billion, France with $49.6 billion, the U.S. with $46.1B, Aust/NZ with $32.6B, the U.K. with $19.4B, Germany with $15.1B, the Netherlands with $12.9B and Switzerland with $12.1B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $6.7 billion), Aust/NZ (up $2.7B), Switzerland (up $2.1B) and Japan (up $2.0B). Decreases were shown by: France (down $22.1B), Germany (down $18.9B), the Netherlands (down $15.7B), the U.K. (down $6.4B) and the U.S. (down $3.3B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows the Eurozone subset had $82.2B (down $69.0B), while Europe (non-Eurozone) had $51.0B (down $29.2B from last month). The Americas had $159.6 billion (up $3.4B), while Asia Pacific had $120.7B (up $3.6B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $811.8B billion in Prime MMF Portfolios as of Dec. 31, $362.0B (44.6%) was in Government & Treasury securities (direct and repo) (up from $272.7B), $143.9B (17.7%) was in CDs and Time Deposits (down from $220.9B), $157.7B (19.4%) was in Financial Company CP (down from $176.0B), $112.3B (13.8%) was held in Non-Financial CP and Other securities (down from $127.4B), and $35.9B (4.4%) was in ABCP (up from $35.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $107.6 billion, Canada with $165.7 billion, France with $89.2 billion, the U.K. with $42.1 billion, Germany with $10.2 billion, Japan with $124.5 billion and Other with $22.3 billion. All MMF Repo with the Federal Reserve was up $342.7 billion in December to $1.740 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.8%, Prime Retail MMFs with 3.8%, Tax Exempt Inst MMFs with 1.3%, Tax Exempt Retail MMFs with 3.6%, Govt MMFs with 13.5% and Treasury MMFs with 12.9%.
