The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $19.6 billion in June to a record high of $5.930 trillion. Assets at May month-end broke $5.9 trillion for the first time ever peaking above their previous $5.9 trillion May 2023 record. The SEC shows that Prime MMFs increased by $11.0 billion in June to $1.211 trillion, Govt & Treasury funds increased $4.9 billion to $4.597 trillion and Tax Exempt funds increased $3.7 billion to $122.3 billion. Taxable yields jumped again in June after surging 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. (Month-to-date in June through 7/21, total MMF assets have increased by $30.1 billion to $5.876 trillion, according to our separate MFI Daily series.) (Note: Register for our July 27 at 2pm Eastern for a "Money Fund Wisdom Demo & Training" session, where we'll review Crane Data's product suite with a focus on our MFI Daily asset series. We'll also comment on the data disclosure changes pending from the SEC's recent Money Market Fund Reforms.)
June's overall asset increase follows an increase of $156.6 billion in May, $49.9 billion in April, $364.4 billion in March, $52.1 billion in February, $53.2 billion in January, $54.8 billion in December, $48.5 billion in November and $35.6 billion in October. Assets decreased $9.4 billion in September, but 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. Over the 12 months through 6/30/23, total MMF assets have increased by $886.2 billion, or 17.6%, according to the SEC's series.
The SEC's stats show that of the $5.930 trillion in assets, $1.211 trillion was in Prime funds, up $11.0 billion in June. Prime assets were up $13.7 billion in May, $36.0 billion in April, down $22.2 billion in March, up $35.4 billion in February, $86.2 billion in January, $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 and $8.5 billion in June. Prime funds represented 20.4% of total assets at the end of June. They've increased by $351.1 billion, or 40.8%, 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 $4.597 trillion, or 77.5% of assets. They increased $4.9 billion in June, $137.4 billion in May, $19.3 billion in April, $387.9 billion in March, $16.1 billion in February, decreased $33.2 billion in January and 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. Govt & Treasury MMFs are up $524.3 billion over 12 months, or 12.9%. Tax Exempt Funds increased $3.7 billion to $122.3 billion, or 2.1% of all assets. The number of money funds was 293 in June, unchanged from the previous month and down 14 funds from a year earlier.
Yields for Taxable and Tax Exempt MMFs moved higher yet again in June. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on June 30 was 5.22%, up 4 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.28%, up 3 bps from the previous month. Gross yields were 5.16% for Government Funds, up 1 basis point from last month. Gross yields for Treasury Funds were up 8 bps at 5.17%. Gross Yields for Tax Exempt Institutional MMFs were up 52 basis points to 4.06% in June. Gross Yields for Tax Exempt Retail funds were up 49 bps to 3.91%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.16%, up 4 bps from the previous month and up 372 basis points from 6/30/22. The Average Net Yield for Prime Retail Funds was 5.01%, up 2 bps from the previous month, and up 368 bps since 6/30/22. Net yields were 4.93% for Government Funds, up 1 bp from last month. Net yields for Treasury Funds were up 8 bps from the previous month at 4.95%. Net Yields for Tax Exempt Institutional MMFs were up 52 bps from May to 3.94%. Net Yields for Tax Exempt Retail funds were up 50 bps at 3.67% in June. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in June. The average Weighted Average Life, or WAL, was 46.9 days (up 2.0 days) for Prime Institutional funds, and 39.7 days for Prime Retail funds (up 1.4 days). Government fund WALs averaged 67.5 days (up 1.5 days) while Treasury fund WALs averaged 56.6 days (up 0.4 days). Tax Exempt Institutional fund WALs were 10.4 days (up 0.1 days), and Tax Exempt Retail MMF WALs averaged 21.2 days (up 4.4 days).
The Weighted Average Maturity, or WAM, was 23.0 days (up 2.7 days from the previous month) for Prime Institutional funds, 21.6 days (up 4.3 days from the previous month) for Prime Retail funds, 24.4 days (up 3.8 days from previous month) for Government funds, and 23.1 days (up 1.3 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.4 days to 9.9 days, while Tax Exempt Retail WAMs were up 4.5 days from previous month at 20.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.4% in June (down 0.8% from the previous month), and DLA for Prime Retail funds was 45.2% (down 3.2% from previous month) as a percent of total assets. The average DLA was 71.0% for Govt MMFs and 97.8% for Treasury MMFs. Total Weekly Liquid Assets was 67.5% (up 2.1% from the previous month) for Prime Institutional MMFs, and 61.4% (down 1.9% from the previous month) for Prime Retail funds. Average WLA was 82.0% for Govt MMFs and 99.2% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for June 2023," the largest entries included: Canada with $130.4 billion, the U.S. with $116.9B, Japan with $95.6 billion, France with $82.1 billion, the Netherlands with $41.6B, the U.K. with $41.4B, Germany with $25.8B, Aust/NZ with $25.6B and Switzerland with $7.1B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $14.7B), the U.S. (up $7.4B), Japan (up $4.5B), Aust/NZ (up $2.6B), Switzerland (up $1.7B) and the U.K. (up $1.0B). Decreases were shown by: Germany (down $14.7B), France (down $9.8B) and Netherlands (down $3.7B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $247.4 billion (up $22.2B), while Eurozone had $162.9B (down $37.5B). Asia Pacific subset had $140.0B (down $0.6B), while Europe (non-Eurozone) had $98.6B (down $2.4B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.201 trillion in Prime MMF Portfolios as of June 30, $579.8B (48.3%) was in Government & Treasury securities (direct and repo) (up from $544.0B), $269.7B (22.5%) was in CDs and Time Deposits (down from $297.3B), $164.2B (13.7%) was in Financial Company CP (down from $170.2B), $132.8B (11.1%) was held in Non-Financial CP and Other securities (up from $129.9B), and $54.0B (4.5%) was in ABCP (up from $47.6B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $292.6 billion, Canada with $145.1 billion, France with $119.5 billion, the U.K. with $81.6 billion, Germany with $19.7 billion, Japan with $112.9 billion and Other with $42.7 billion. All MMF Repo with the Federal Reserve was down $138.0 billion in June to $1.906 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.9%, Prime Retail MMFs with 3.7%, Tax Exempt Inst MMFs with 0.9%, Tax Exempt Retail MMFs with 2.9%, Govt MMFs with 13.5% and Treasury MMFs with 8.1%.
