The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets decreased by $19.7 billion in May to $5.018 trillion, after decreasing in April, increasing in March and declining sharply in Feb. The SEC shows that Prime MMFs increased by $9.4 billion in May to $851.5 billion, Govt & Treasury funds decreased $36.7 billion to $4.058 trillion and Tax Exempt funds increased $7.6 billion to $107.8 billion. Taxable yields jumped again in May. 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: For those attending our Money Fund Symposium, June 20-22, welcome to Minneapolis! Conference materials are available via our "Money Fund Symposium 2022 Download Center.")
May's asset decrease follows a decrease of $63.3 billion in April, an increase of $40.1 billion in March, and decreases of $29.3 billion in February and $125.1 billion in January. Assets gained $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. Over the 12 months through 5/31/22, total MMF assets have decreased by $94.7 billion, 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 $5.018 trillion in assets, $851.5 billion was in Prime funds, up $9.4 billion in May. Prime assets were down $11.7 billion in April, up $29.5 billion in March, down $2.7 billion in February, up $10.7 billion in January, and 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, and a decrease of $8.1 billion in August and $19.4 billion in July. Prime funds represented 17.0% of total assets at the end of May. They've decreased by $63.0 billion, or -6.9%, over the past 12 months. (Month-to-date in June through 6/16, total MMF assets have increased by $1.6 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.058 trillion, or 80.9% of assets. They decreased by $36.7 billion in May, decreased $57.1 billion in April, increased $8.7 billion in March, decreased by $25.8 billion in February and $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 down $38.0 billion over 12 months, or -0.9%. Tax Exempt Funds increased $7.6 billion to $107.8 billion, or 2.1% of all assets. The number of money funds was 308 in May, down 1 from the previous month and down 12 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs surged higher in May. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on May 31 was 0.88%, up 44 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.96%, up 46 bps from the previous month. Gross yields were 0.83% for Government Funds, up 43 basis points from last month. Gross yields for Treasury Funds were up 35 bps at 0.81. Gross Yields for Tax Exempt Institutional MMFs were up 32 basis points to 0.76% in May. Gross Yields for Tax Exempt Retail funds were up 33 bps to 0.82%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.83%, up 43 bps from the previous month and up 78 basis points from 5/31/21. The Average Net Yield for Prime Retail Funds was 0.65%, up 44 bps from the previous month, and up 63 bps since 5/31/21. Net yields were 0.59% for Government Funds, up 40 bps from last month. Net yields for Treasury Funds were also up 34 bps from the previous month at 0.59%. Net Yields for Tax Exempt Institutional MMFs were up 32 bps from April to 0.66%. Net Yields for Tax Exempt Retail funds were up 32 bps at 0.56% in May. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly lower in May. The average Weighted Average Life, or WAL, was 43.0 days (down 0.7 days) for Prime Institutional funds, and 48.1 days for Prime Retail funds (up 4.4 days). Government fund WALs averaged 71.2 days (down 1.2 days) while Treasury fund WALs averaged 79.1 days (up 3.4 days). Tax Exempt Institutional fund WALs were 7.6 days (down 2.2 days), and Tax Exempt Retail MMF WALs averaged 16.1 days (down 1.3 days).
The Weighted Average Maturity, or WAM, was 20.3 days (down 0.3 days from the previous month) for Prime Institutional funds, 15.2 days (down 4.0 days from the previous month) for Prime Retail funds, 25.7 days (down 0.3 days from previous month) for Government funds, and 35.7 days (up 0.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 2.2 days to 7.5 days, while Tax Exempt Retail WAMs were down 1.2 days from previous month at 15.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.5% in May (down 0.6% from the previous month), and DLA for Prime Retail funds was 36.7% (up 3.7% from previous month) as a percent of total assets. The average DLA was 80.0% for Govt MMFs and 98.5% for Treasury MMFs. Total Weekly Liquid Assets was 65.1% (down 4.4% from the previous month) for Prime Institutional MMFs, and 49.3% (down 1.5% from the previous month) for Prime Retail funds. Average WLA was 89.8% for Govt MMFs and 99.6% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for May 2022," the largest entries included: Canada with $83.7 billion, Japan with $63.3 billion, France with $63.2 billion, the U.S. with $46.7B, the Netherlands with $35.4B, Aust/NZ with $31.5B, Germany with $31.4B, the U.K. with $30.1B, and Switzerland with $10.8B. The gainers among the "Prime MMF Holdings by Country" included: the U.S. (up $6.0B), Japan (up $4.0B), the Netherlands (up $2.3B) and Aust/NZ (up $1.0B). Decreases were shown by: Switzerland (down $1.5B), France (down $1.0B) and the U.K. (down $0.9B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $130.4 billion (up $6.0B), while Asia Pacific had $110.9B (up $6.8B). Eurozone subset had $143.6B (up $1.2B), while Europe (non-Eurozone) had $86.9B (down $7.0B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $852.3B billion in Prime MMF Portfolios as of May 31, $333.6B (39.1%) was in Government & Treasury securities (direct and repo) (up from $317.1B), $210.7B (24.7%) was in CDs and Time Deposits (down from $211.6B), $157.5B (18.5%) was in Financial Company CP (up from $151.5B), $120.3B (14.1%) was held in Non-Financial CP and Other securities (down from $123.4B), and $30.2B (3.5%) was in ABCP (down from $31.2B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $114.0 billion, Canada with $88.6 billion, France with $108.3 billion, the U.K. with $46.5 billion, Germany with $10.0 billion, Japan with $106.3 billion and Other with $23.8 billion. All MMF Repo with the Federal Reserve was up $82.8 billion in May to $1.753 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.2%, Prime Retail MMFs with 6.2%, Tax Exempt Inst MMFs with 0.1%, Tax Exempt Retail MMFs with 1.6%, Govt MMFs with 13.2% and Treasury MMFs with 11.9%.
