The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets declined by $125.1 billion in January to $5.090 trillion (after almost hitting a record the previous month). The SEC shows that Prime MMFs increased by $10.7 billion in January to $827.0 billion, Govt & Treasury funds decreased $135.2 billion to $4.169 trillion and Tax Exempt funds decreased $0.6 billion to $93.6 billion. Gross yields for Taxable funds were higher while net yields were flat in January. 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.
January's asset decrease follows gains of $122.9 billion in December, $53.7 billion 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 and $30.5 billion in February. Over the 12 months through 1/31/22, total MMF assets have increased by $272.1 billion, or 5.7%, 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 $5.090 trillion in assets, $827.0 billion was in Prime funds, up $10.7 billion on January, 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 and $19.4 billion in July. Prime funds represented 16.2% of total assets at the end of January. They've decreased by $122.9 billion, or -12.9%, over the past 12 months. (Month-to-date in February through 2/16, total MMF assets have fallen by $47.6 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.169 trillion, or 81.9% of assets. They decreased by $135.2 billion in January after increasing 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. Govt & Treasury MMFs are up $352.5 billion over 12 months, or 9.2%. Tax Exempt Funds decreased $0.6 billion to $93.6 billion, or 1.8% of all assets. The number of money funds was 312 in December, unchanged from the previous month and down 29 funds from a year earlier.
Yields for Taxable and Tax Exempt MMFs were mostly flat or higher in January. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on January 31st was 0.12%, unchanged from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.18%, up 2 bps from the previous month. Gross yields were 0.09% for Government Funds, up 2 basis points from last month. Gross yields for Treasury Funds were also up 2 bps at 0.09%. Gross Yields for Tax Exempt Institutional MMFs were down 2 basis points to 0.09% in January. Gross Yields for Tax Exempt Retail funds were down 4 bps to 0.10%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.08%, unchanged from the previous month but down 2 basis points from 1/31/21. The Average Net Yield for Prime Retail Funds was 0.02%, unchanged from the previous month, and down a basis point since 1/31/21. 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 down 1 bps from December to 0.04%. Net Yields for Tax Exempt Retail funds were unchanged at 0.01% in January. (Note: These averages are asset-weighted.)
WALs and WAMs were sharply lower in January. The average Weighted Average Life, or WAL, was 48.4 days (down 5.6 days) for Prime Institutional funds, and 46.5 days for Prime Retail funds (down 5.1 days). Government fund WALs averaged 76.7 days (down 1.6 days) while Treasury fund WALs averaged 78.1 days (down 5.7 days). Tax Exempt Institutional fund WALs were 13.9 days (unchanged from the previous month), and Tax Exempt Retail MMF WALs averaged 21.4 days (down 2.8 days).
The Weighted Average Maturity, or WAM, was 29.8 days (down 6.3 days from the previous month) for Prime Institutional funds, 36.4 days (down 7.3 days from the previous month) for Prime Retail funds, 30.3 days (down 3.3 days from previous month) for Government funds, and 33.4 days (down 6.6 days) for Treasury funds. Tax Exempt Inst WAMs were down 0.3 days to 13.5 days, while Tax Exempt Retail WAMs decreased 3.3 days to 20.4 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.5% in January (up 0.8% from the previous month), and DLA for Prime Retail funds was 28.9% (down 3.6% from previous month) as a percent of total assets. The average DLA was 80.0% for Govt MMFs and 97.2% for Treasury MMFs. Total Weekly Liquid Assets was 65.2% (up 2.3% from the previous month) for Prime Institutional MMFs, and 44.2% (down 1.1% from the previous month) for Prime Retail funds. Average WLA was 89.8% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Jan. 2022," the largest entries included: Canada with $96.4 billion, France with $70.0 billion, Japan with $64.6 billion, the U.S. with $49.8B, Germany with $33.8B, the U.K. with $28.4B, Aust/NZ with $27.7B, the Netherlands with $252.9B and Switzerland with $11.5B. The gainers among the "Prime MMF Holdings by Country" included: France (up $20.4B), Germany (up $18.7B), the Netherlands (up $13.0B), the U.K. (up $9.0B) and the U.S. (up $3.7B). Decreases were shown by: Canada (down $17.0 billion), Japan (down $6.7B), Aust/NZ (down $4.9B) and Switzerland (down $0.6B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows the Eurozone subset had $147.5B (up $65.3B), while Europe (non-Eurozone) had $94.0B (up $43.0B from last month). The Americas had $146.3 billion (down $13.3B), while Asia Pacific had $111.3B (down $9.4B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $824.7B billion in Prime MMF Portfolios as of Jan. 31, $282.9B (34.3%) was in Government & Treasury securities (direct and repo) (down from $362.0B), $226.9B (27.5%) was in CDs and Time Deposits (up from $143.9B), $165.1B (20.0%) was in Financial Company CP (up from $157.7B), $114.7B (13.9%) was held in Non-Financial CP and Other securities (up from $112.3B), and $35.1B (4.3%) was in ABCP (down from $35.9B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $123.3 billion, Canada with $124.4 billion, France with $129.0 billion, the U.K. with $50.8 billion, Germany with $11.1 billion, Japan with $127.7 billion and Other with $27.6 billion. All MMF Repo with the Federal Reserve was down $265.1 billion in January to $1.475 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.1%, Prime Retail MMFs with 3.9%, Tax Exempt Inst MMFs with 0.4%, Tax Exempt Retail MMFs with 2.3%, Govt MMFs with 13.9% and Treasury MMFs with 13.8%.
