The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets decreased by $9.4 billion in September to $5.096 trillion. The SEC shows that Prime MMFs increased by $15.8 billion in September to $975.9 billion, Govt & Treasury funds decreased $20.8 billion to $4.013 trillion and Tax Exempt funds decreased $4.4 billion to $106.8 billion. Taxable yields skyrocketed in September after surging in August. 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 the AFP Conference in Philadelphia next week, October 23-25, please stop by to see us at booth #458! Also, register soon for our upcoming Money Fund University, which takes place Dec. 15-16 in Boston, Mass!)
September's asset decrease follows an increase of $3.5 billion in august, $57.4 billion in July, $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 and $7.9 billion in October. Over the 12 months through 9/30/22, total MMF assets have increased by $65.1 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 $5.096 trillion in assets, $975.9 billion was in Prime funds, up $15.8 billion in September. Prime assets were up $43.5 billion in August, $56.6 billion in July, $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. Prime funds represented 19.2% of total assets at the end of September. They've increased by $105.9 billion, or 12.2%, over the past 12 months. (Month-to-date in October through 10/19, total MMF assets have decreased by $4.0 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.013 trillion, or 78.8% of assets. They decreased $20.8 billion in September, $47.1 billion in August, 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 and $20.4 billion in Sept. Govt & Treasury MMFs are down $50.0 billion over 12 months, or -1.2%. Tax Exempt Funds decreased $4.4 billion to $106.8 billion, or 2.1% of all assets. The number of money funds was 304 in September, unchanged from the previous month and down 10 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs surged higher again in September. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on September 30 was 2.97%, up 63 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 3.19%, up 67 bps from the previous month. Gross yields were 2.91% for Government Funds, up 68 basis points from last month. Gross yields for Treasury Funds were up 61 bps at 2.81%. Gross Yields for Tax Exempt Institutional MMFs were up 75 basis points to 2.21% in September. Gross Yields for Tax Exempt Retail funds were up 51 bps to 2.15%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.92%, up 63 bps from the previous month and up 286 basis points from 9/30/21. The Average Net Yield for Prime Retail Funds was 2.91%, up 68 bps from the previous month, and up 289 bps since 9/30/21. Net yields were 2.68% for Government Funds, up 68 bps from last month. Net yields for Treasury Funds were also up 60 bps from the previous month at 2.59%. Net Yields for Tax Exempt Institutional MMFs were up 75 bps from August to 2.11%. Net Yields for Tax Exempt Retail funds were up 52 bps at 1.90% in September. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in September. The average Weighted Average Life, or WAL, was 37.9 days (down 1.1 days) for Prime Institutional funds, and 51.0 days for Prime Retail funds (up 2.2 days). Government fund WALs averaged 63.0 days (down 0.8 days) while Treasury fund WALs averaged 63.6 days (down 3.0 days). Tax Exempt Institutional fund WALs were 10.0 days (up 1.2 days), and Tax Exempt Retail MMF WALs averaged 17.9 days (up 0.8 days).
The Weighted Average Maturity, or WAM, was 14.8 days (down 2.0 days from the previous month) for Prime Institutional funds, 12.6 days (down 1.5 days from the previous month) for Prime Retail funds, 15.9 days (down 2.4 days from previous month) for Government funds, and 25.9 days (down 0.8 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 1.5 days to 10.0 days, while Tax Exempt Retail WAMs were up 1.2 days from previous month at 17.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.4% in September (down 0.3% from the previous month), and DLA for Prime Retail funds was 41.8% (down 0.3% from previous month) as a percent of total assets. The average DLA was 80.3% for Govt MMFs and 99.1% for Treasury MMFs. Total Weekly Liquid Assets was 68.2% (up 2.2% from the previous month) for Prime Institutional MMFs, and 52.6% (down 0.7% from the previous month) for Prime Retail funds. Average WLA was 88.6% for Govt MMFs and 99.7% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for September 2022," the largest entries included: Canada with $93.1 billion, Japan with $81.4 billion, the U.S. with $64.5B, France with $49.1 billion, the Netherlands with $34.5B, Aust/NZ with $29.8B, Germany with $27.7B, the U.K. with $25.8B and Switzerland with $7.2B. The gainers among the "Prime MMF Holdings by Country" included: the U.S. (up $9.7B), the Netherlands (up $4.1B), Canada (up $3.9B), Japan (up $2.2B), Germany (up $1.7B) and Aust/NZ (up $1.3B). Decreases were shown by: France (down $10.1B), the U.K. (down $4.2B) and Switzerland (down $0.1B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $157.7 billion (up $13.7B), while Asia Pacific had $130.4B (up $1.4B). Eurozone subset had $121.5B (down $11.5B), while Europe (non-Eurozone) had $73.3B (down $12.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $970.9B billion in Prime MMF Portfolios as of September 31, $447.3B (46.1%) was in Government & Treasury securities (direct and repo) (up from $414.9B), $211.3B (21.8%) was in CDs and Time Deposits (down from $221.9B), $159.0B (16.4%) was in Financial Company CP (down from $161.4B), $115.9B (11.9%) was held in Non-Financial CP and Other securities (down from $121.7B), and $37.4B (3.9%) was in ABCP (up from $36.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $103.4 billion, Canada with $75.3 billion, France with $54.9 billion, the U.K. with $26.6 billion, Germany with $10.1 billion, Japan with $74.0 billion and Other with $23.4 billion. All MMF Repo with the Federal Reserve was up $151.2 billion in September to $2.221 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 5.0%, Prime Retail MMFs with 6.6%, Tax Exempt Inst MMFs with 1.0%, Tax Exempt Retail MMFs with 2.3%, Govt MMFs with 12.3% and Treasury MMFs with 9.7%.
