The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $54.8 billion in December to an all-time record of $5.235 trillion. Assets at yearend were above their previous record ($5.232T) from May 2020. The SEC shows that Prime MMFs increased by $10.5 billion in December to $1.051 trillion, Govt & Treasury funds increased $41.3 billion to $4.065 trillion and Tax Exempt funds increased $3.0 billion to $119.0 billion. Taxable yields jumped again in December after surging in November. 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.
December's overall asset increase follows an increase of $48.5 billion in November and $35.6 billion in October, but a decrease of $9.4 billion in September. MMFs increased $3.5 billion in August, $57.4 billion in July, and $26.6 billion in June. They decreased $19.7 billion in May and $63.3 billion in April, but increased $40.1 billion in March. MMFs decreased $29.3 billion in February and $125.1 billion in January. Over the 12 months through 12/31/22, total MMF assets have increased by $19.6 billion, according to the SEC's series. (Month-to-date in January through 1/19, total MMF assets have increased by $5.8 billion, according to our MFI Daily.)
The SEC's stats show that of the $5.235 trillion in assets, $1.051 trillion was in Prime funds, up $10.5 billion in December. Prime assets were up $28.0 billion in November, $36.6 billion in October, $15.8 billion in September, $43.5 billion in August, $56.6 billion in July, $8.5 billion in June and $9.4 billion in May. Prime was down $11.7 billion in April, up $29.5 billion in March, down $2.7 billion in February and up $10.7 billion in January. Prime funds represented 20.1% of total assets at the end of December. They've increased by $234.6 billion, or 28.7%, over the past 12 months. (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.)
Government & Treasury funds totaled $4.065 trillion, or 77.6% of assets. They increased $41.3 billion in December and $23.1 billion in November, decreased $12.8 billion in October, $20.8 billion in September and $47.1 billion in August. Govt MMFs increased $8.2 billion in July and $14.4 billion in June. But they decreased by $36.7 billion in May and $57.1 billion in April. They increased $8.7 billion in March, decreased by $25.8 billion in February and $135.2 billion in January. Govt & Treasury MMFs are down $239.8 billion over 12 months, or -5.6%. Tax Exempt Funds increased $3.0 billion to $119.0 billion, or 2.3% of all assets. The number of money funds was 298 in December, down 1 from the previous month and down 14 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs jumped yet again in December. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on December 31 was 4.42%, up 45 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 4.58%, up 47 bps from the previous month. Gross yields were 4.27% for Government Funds, up 50 basis points from last month. Gross yields for Treasury Funds were up 40 bps at 4.18%. Gross Yields for Tax Exempt Institutional MMFs were up 200 basis points to 3.57% in December. Gross Yields for Tax Exempt Retail funds were up 165 bps to 3.55%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.35%, up 44 bps from the previous month and up 427 basis points from 12/31/21. The Average Net Yield for Prime Retail Funds was 4.31%, up 48 bps from the previous month, and up 429 bps since 12/31/21. Net yields were 4.03% for Government Funds, up 50 bps from last month. Net yields for Treasury Funds were also up 41 bps from the previous month at 3.97%. Net Yields for Tax Exempt Institutional MMFs were up 199 bps from November to 3.46%. Net Yields for Tax Exempt Retail funds were up 164 bps at 3.30% in December. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in December. The average Weighted Average Life, or WAL, was 38.9 days (down 1.6 days) for Prime Institutional funds, and 41.3 days for Prime Retail funds (down 5.8 days). Government fund WALs averaged 59.6 days (down 1.9 days) while Treasury fund WALs averaged 59.1 days (down 0.7 days). Tax Exempt Institutional fund WALs were 9.5 days (up 0.3 days), and Tax Exempt Retail MMF WALs averaged 16.2 days (down 0.6 days).
The Weighted Average Maturity, or WAM, was 17.3 days (up 0.1 days from the previous month) for Prime Institutional funds, 14.5 days (up 1.8 days from the previous month) for Prime Retail funds, 11.0 days (down 1.0 days from previous month) for Government funds, and 22.9 days (up 0.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.6 days to 9.2 days, while Tax Exempt Retail WAMs were down 0.1 days from previous month at 15.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.4% in December (up 2.7% from the previous month), and DLA for Prime Retail funds was 47.7% (up 7.3% from previous month) as a percent of total assets. The average DLA was 76.2% for Govt MMFs and 98.7% for Treasury MMFs. Total Weekly Liquid Assets was 66.3% (up 2.3% from the previous month) for Prime Institutional MMFs, and 56.8% (up 3.8% from the previous month) for Prime Retail funds. Average WLA was 86.6% for Govt MMFs and 99.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for December 2022," the largest entries included: Canada with $123.4 billion, Japan with $91.2 billion, the U.S. with $81.4B, France with $52.3 billion, Aust/NZ with $36.1B, the U.K. with $27.7B, the Netherlands with $15.3B, Germany with $13.7B and Switzerland with $8.3B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $15.6B), the U.S. (up $10.7B), Aust/NZ (up $1.0B) and France (up $0.1B). Decreases were shown by: Netherlands (down $22.9B), Germany (down $14.7B), Japan (down $8.9B), the U.K. (down $6.7B) and Switzerland (down $0.3B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $204.8 billion (up $26.3B), while Asia Pacific had $144.0B (down $10.2B). Eurozone subset had $90.2B (down $45.2B), while Europe (non-Eurozone) had $67.9B (down $30.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.044 trillion in Prime MMF Portfolios as of December 31, $527.9B (50.6%) was in Government & Treasury securities (direct and repo) (up from $443.0B), $191.4B (18.3%) was in CDs and Time Deposits (down from $251.8B), $170.9B (16.4%) was in Financial Company CP (down from $178.7B), $109.8B (10.5%) was held in Non-Financial CP and Other securities (down from $119.7B), and $43.5B (4.2%) was in ABCP (up from $41.0B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $107.2 billion, Canada with $103.2 billion, France with $49.8 billion, the U.K. with $39.5 billion, Germany with $10.8 billion, Japan with $77.8 billion and Other with $20.7 billion. All MMF Repo with the Federal Reserve was up $336.1 billion in December to $2.340 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 4.5%, Prime Retail MMFs with 4.2%, Tax Exempt Inst MMFs with 0.9%, Tax Exempt Retail MMFs with 2.0%, Govt MMFs with 11.5% and Treasury MMFs with 8.6%.
