The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $57.4 billion in July to $5.102 trillion. The SEC shows that Prime MMFs increased by $56.6 billion in July to $916.6 billion, Govt & Treasury funds increased $8.2 billion to $4.081 trillion and Tax Exempt funds decreased $7.4 billion to $104.1 billion. Taxable yields jumped again in July after surging in June. 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: We hope to see you next month at our European Money Fund Symposium, which will take place Sept. 27-28 in Paris, France.)
July's asset increase follows an increase of $26.6 billion in June, decreases of $19.7 billion in May and $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. Over the 12 months through 7/31/22, total MMF assets have increased by $116.1 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 $5.102 trillion in assets, $916.6 billion was in Prime funds, up $56.6 billion in July. Prime assets were up $8.5 billion in June, $9.4 billion in May, 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, but a decrease of $8.1 billion in August. Prime funds represented 18.0% of total assets at the end of July. They've increased by $41.4 billion, or 4.7%, over the past 12 months. (Month-to-date in August through 8/15, total MMF assets have increased by $16.5 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.081 trillion, or 80.0% of assets. They increased $8.2 billion in July, $14.4 billion in June, 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 up $71.1 billion over 12 months, or 1.8%. Tax Exempt Funds decreased $7.4 billion to $104.1 billion, or 2.0% of all assets. The number of money funds was 306 in July, down 1 from the previous month and down 12 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs surged higher again in July. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on July 31 was 1.86%, up 37 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 2.08%, up 45 bps from the previous month. Gross yields were 1.88% for Government Funds, up 42 basis points from last month. Gross yields for Treasury Funds were up 48 bps at 1.82%. Gross Yields for Tax Exempt Institutional MMFs were up 37 basis points to 1.25% in July. Gross Yields for Tax Exempt Retail funds were up 17 bps to 1.15%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 1.77%, up 33 bps from the previous month and up 172 basis points from 7/31/21. The Average Net Yield for Prime Retail Funds was 1.72%, up 39 bps from the previous month, and up 170 bps since 7/31/21. Net yields were 1.60% for Government Funds, up 38 bps from last month. Net yields for Treasury Funds were also up 46 bps from the previous month at 1.58%. Net Yields for Tax Exempt Institutional MMFs were up 30 bps from June to 1.08%. Net Yields for Tax Exempt Retail funds were up 11 bps at 0.84% in July. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in July. The average Weighted Average Life, or WAL, was 43.5 days (down 0.5 days) for Prime Institutional funds, and 48.6 days for Prime Retail funds (up 0.3 days). Government fund WALs averaged 68.3 days (down 0.4 days) while Treasury fund WALs averaged 70.9 days (down 3.7 days). Tax Exempt Institutional fund WALs were 9.6 days (up 0.4 days), and Tax Exempt Retail MMF WALs averaged 16.9 days (up 0.2 days).
The Weighted Average Maturity, or WAM, was 21.4 days (up 0.9 days from the previous month) for Prime Institutional funds, 17.8 days (up 2.4 days from the previous month) for Prime Retail funds, 22.8 days (down 1.8 days from previous month) for Government funds, and 31.3 days (down 2.4 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.6 days to 9.6 days, while Tax Exempt Retail WAMs were up 0.2 days from previous month at 16.4 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.1% in July (down 1.2% from the previous month), and DLA for Prime Retail funds was 38.6% (down 1.2% from previous month) as a percent of total assets. The average DLA was 80.8% for Govt MMFs and 97.9% for Treasury MMFs. Total Weekly Liquid Assets was 66.1% (up 0.2% from the previous month) for Prime Institutional MMFs, and 53.8% (up 1.5% from the previous month) for Prime Retail funds. Average WLA was 88.7% for Govt MMFs and 98.9% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for July 2022," the largest entries included: Canada with $85.6 billion, Japan with $71.4 billion, France with $61.0 billion, the U.S. with $55.6B, the Netherlands with $32.5B, Aust/NZ with $28.4B, the U.K. with $24.6B, Germany with $22.2B and Switzerland with $8.0B. The gainers among the "Prime MMF Holdings by Country" included: France (up $10.0B), the Netherlands (up $10.0B), the U.S. (up $5.3B), Germany (up $3.1B) and Canada (up $0.8B). Decreases were shown by: the U.K. (down $5.0B), Aust/NZ (down $2.5B), Switzerland (down $1.3B) and Japan (down $0.4B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $141.2 billion (up $6.1B), while Eurozone subset had $130.5B (up $27.2B). Asia Pacific had $119.4B (down $1.6B), while Europe (non-Eurozone) had $78.5B (up $4.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $916.4B billion in Prime MMF Portfolios as of July 31, $402.0B (43.9%) was in Government & Treasury securities (direct and repo) (up from $384.7B), $210.7B (23.0%) was in CDs and Time Deposits (up from $188.6B), $154.1B (16.8%) was in Financial Company CP (up from $149.3B), $119.9B (13.1%) was held in Non-Financial CP and Other securities (up from $109.0B), and $29.7B (3.2%) was in ABCP (up from $27.6B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $93.3 billion, Canada with $83.9 billion, France with $92.9 billion, the U.K. with $33.4 billion, Germany with $9.8 billion, Japan with $78.6 billion and Other with $21.3 billion. All MMF Repo with the Federal Reserve was up $35.3 billion in July to $2.098 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 5.6%, Prime Retail MMFs with 8.0%, Tax Exempt Inst MMFs with 0.6%, Tax Exempt Retail MMFs with 1.6%, Govt MMFs with 12.8% and Treasury MMFs with 11.8%.
