The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $53.2 billion in January to an all-time record of $5.288 trillion. Assets at January month-end were above their previous record of $5.24 trillion in December 2022. The SEC shows that Prime MMFs increased by $86.2 billion in January to $1.137 trillion, Govt & Treasury funds decreased $33.2 billion to $4.031 trillion and Tax Exempt funds increased $0.2 billion to $119.2 billion. Taxable yields jumped again in January after surging in December. 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 overall asset increase follows an increase of $54.8 billion in December, $48.5 billion in November and $35.6 billion in October. But assets decreased $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 last January. Over the 12 months through 1/31/23, total MMF assets have increased by $198.1 billion, according to the SEC's series. (Month-to-date in February through 2/21, total MMF assets have increased by $16.3 billion, according to our MFI Daily.)
The SEC's stats show that of the $5.288 trillion in assets, $1.137 trillion was in Prime funds, up $86.2 billion in January. Prime assets were up $10.5 billion in December, $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 21.5% of total assets at the end of January. They've increased by $310.3 billion, or 37.5%, 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 $4.031 trillion, or 76.2% of assets. They decreased $33.2 billion in January, increased $41.3 billion in December and $23.1 billion in November. Govt MMFs decreased $12.8 billion in October, $20.8 billion in September and $47.1 billion in August. They 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 $137.8 billion over 12 months, or -3.3%. Tax Exempt Funds increased $0.2 billion to $119.2 billion, or 2.3% of all assets. The number of money funds was 298 in January, unchanged from the previous month and down 14 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs moved higher yet again in January. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on January 31 was 4.50%, up 8 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 4.60%, up 2 bps from the previous month. Gross yields were 4.36% for Government Funds, up 9 basis points from last month. Gross yields for Treasury Funds were up 20 bps at 4.38%. Gross Yields for Tax Exempt Institutional MMFs were down 202 basis points to 1.55% in January. Gross Yields for Tax Exempt Retail funds were down 171 bps to 1.84%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.44%, up 9 bps from the previous month and up 436 basis points from 1/31/22. The Average Net Yield for Prime Retail Funds was 4.33%, up 2 bps from the previous month, and up 431 bps since 1/31/22. Net yields were 4.10% for Government Funds, up 7 bps from last month. Net yields for Treasury Funds were also up 18 bps from the previous month at 4.15%. Net Yields for Tax Exempt Institutional MMFs were down 202 bps from December to 1.44%. Net Yields for Tax Exempt Retail funds were down 171 bps at 1.59% in January. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in January. The average Weighted Average Life, or WAL, was 37.8 days (down 1.1 days) for Prime Institutional funds, and 39.4 days for Prime Retail funds (down 1.9 days). Government fund WALs averaged 60.5 days (up 0.9 days) while Treasury fund WALs averaged 56.7 days (down 2.4 days). Tax Exempt Institutional fund WALs were 10.4 days (up 0.9 days), and Tax Exempt Retail MMF WALs averaged 15.8 days (down 0.4 days).
The Weighted Average Maturity, or WAM, was 16.4 days (down 0.9 days from the previous month) for Prime Institutional funds, 15.4 days (up 0.9 days from the previous month) for Prime Retail funds, 9.1 days (down 1.9 days from previous month) for Government funds, and 20.4 days (down 2.5 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 1.1 days to 10.3 days, while Tax Exempt Retail WAMs were down 0.6 days from previous month at 15.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.0% in December (up 0.6% from the previous month), and DLA for Prime Retail funds was 45.8% (down 1.9% from previous month) as a percent of total assets. The average DLA was 74.5% for Govt MMFs and 98.8% for Treasury MMFs. Total Weekly Liquid Assets was 69.4% (up 3.1% from the previous month) for Prime Institutional MMFs, and 59.9% (up 3.1% from the previous month) for Prime Retail funds. Average WLA was 85.1% for Govt MMFs and 99.5% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for January 2023," the largest entries included: Canada with $115.7 billion, Japan with $98.8 billion, the U.S. with $89.0B, France with $71.9 billion, the Netherlands with $47.5B, the U.K. with $39.8B, Germany with $37.0B, Aust/NZ with $36.1B and Switzerland with $7.4B. The gainers among the "Prime MMF Holdings by Country" included: Netherlands (up $32.2B), Germany (up $23.3B), France (up $19.6B), the U.K. (up $12.1B), Japan (up $7.6B), the U.S. (up $7.6B) and Aust/NZ (up $0.0B). Decreases were shown by: Canada (down $7.7B) and Switzerland (down $0.9B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $204.7 billion (down $0.1B), while Eurozone had $177.8B (up $87.6B). Asia Pacific subset had $154.0B (up $10.0B), while Europe (non-Eurozone) had $102.8B (up $34.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.125 trillion in Prime MMF Portfolios as of January 31, $479.8B (42.6%) was in Government & Treasury securities (direct and repo) (down from $527.9B), $283.2B (25.1%) was in CDs and Time Deposits (up from $191.4B), $196.2B (17.4%) was in Financial Company CP (up from $170.9B), $118.2B (10.5%) was held in Non-Financial CP and Other securities (up from $109.8B), and $47.7B (4.2%) was in ABCP (up from $43.5B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $185.4 billion, Canada with $100.1 billion, France with $87.5 billion, the U.K. with $65.7 billion, Germany with $12.8 billion, Japan with $83.9 billion and Other with $25.1 billion. All MMF Repo with the Federal Reserve was down $350.7 billion in January to $1.989 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 5.4%, Prime Retail MMFs with 4.7%, Tax Exempt Inst MMFs with 0.7%, Tax Exempt Retail MMFs with 1.5%, Govt MMFs with 12.0% and Treasury MMFs with 8.8%.
