The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $28.8 billion in July to a record high of $5.959 trillion. The SEC shows Prime MMFs jumping $28.9 billion in July to $1.240 trillion, Govt & Treasury funds increased $3.1 billion to $4.600 trillion and Tax Exempt funds decreased $3.2 billion to $119.1 billion. Taxable yields jumped again in July after moving higher 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. (Month-to-date in August through 8/22, total money fund assets have increased by $84.5 billion to $5.965 trillion, according to our separate, and slightly smaller, MFI Daily series.) (Note: Register soon for our European Money Fund Symposium, which is Sept. 25-26, 2024 in Edinburgh, Scotland.)
July's overall asset increase follows an increase of $19.6 billion in June, $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 they increased $3.5 billion in August. Over the 12 months through 7/31/23, total MMF assets have increased by $857.5 billion, or 16.8%, according to the SEC's series.
The SEC's stats show that of the $5.959 trillion in assets, $1.240 trillion was in Prime funds, up $28.9 billion in July. Prime assets were up $11.0 billion in June, $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 and $43.5 billion in August. Prime funds represented 20.8% of total assets at the end of July. They've increased by $323.3 billion, or 35.3%, 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 $4.600 trillion, or 77.2% of assets. They increased $3.1 billion in July, $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. Govt & Treasury MMFs are up $519.2 billion over 12 months, or 12.7%. Tax Exempt Funds decreased $3.2 billion to $119.1 billion, or 2.0% of all assets. The number of money funds was 293 in July, unchanged from the previous month and down 13 funds from a year earlier.
Yields for Taxable MMFs moved higher yet again in July while Tax Exempt MMFs moved lower. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on July 31 was 5.35%, up 13 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.43%, up 15 bps from the previous month. Gross yields were 5.32% for Government Funds, up 16 basis points from last month. Gross yields for Treasury Funds were up 14 bps at 5.31%. Gross Yields for Tax Exempt Institutional MMFs were down 7 basis points to 3.99% in July. Gross Yields for Tax Exempt Retail funds were down 19 bps to 3.72%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.29%, up 13 bps from the previous month and up 351 basis points from 7/31/22. The Average Net Yield for Prime Retail Funds was 5.17%, up 16 bps from the previous month, and up 345 bps since 7/31/22. Net yields were 5.08% for Government Funds, up 15 bps from last month. Net yields for Treasury Funds were up 14 bps from the previous month at 5.09%. Net Yields for Tax Exempt Institutional MMFs were down 6 bps from June to 3.88%. Net Yields for Tax Exempt Retail funds were down 20 bps at 3.47% in July. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in July. The average Weighted Average Life, or WAL, was 44.2 days (down 2.7 days) for Prime Institutional funds, and 38.9 days for Prime Retail funds (down 0.8 days). Government fund WALs averaged 67.6 days (up 0.1 days) while Treasury fund WALs averaged 55.2 days (down 1.4 days). Tax Exempt Institutional fund WALs were 9.5 days (down 0.9 days), and Tax Exempt Retail MMF WALs averaged 20.8 days (down 0.4 days).
The Weighted Average Maturity, or WAM, was 20.9 days (down 2.1 days from the previous month) for Prime Institutional funds, 21.1 days (down 0.5 days from the previous month) for Prime Retail funds, 25.0 days (up 0.6 days from previous month) for Government funds, and 21.9 days (down 1.2 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.9 days to 9.0 days, while Tax Exempt Retail WAMs were down 0.7 days from previous month at 19.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.4% in July (up 1.0% from the previous month), and DLA for Prime Retail funds was 42.8% (down 2.4% from previous month) as a percent of total assets. The average DLA was 71.4% for Govt MMFs and 97.2% for Treasury MMFs. Total Weekly Liquid Assets was 67.2% (down 0.3% from the previous month) for Prime Institutional MMFs, and 62.2% (up 0.8% from the previous month) for Prime Retail funds. Average WLA was 83.8% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for July 2023," the largest entries included: Canada with $124.0 billion, the U.S. with $123.2B, Japan with $105.4 billion, France with $95.2 billion, the Netherlands with $47.1B, the U.K. with $42.4B, Germany with $36.6B, Aust/NZ with $25.8B and Switzerland with $8.1B. The gainers among the "Prime MMF Holdings by Country" included: France (up $13.1B), Germany (up $10.8B), Japan (up $9.8B), the U.S. (up $6.3B), Netherlands (up $5.5B), the U.K. (up $1.0B), Switzerland (up $1.0B) and Aust/NZ (up $0.2B). Decreases were shown by: Canada (down $6.4B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $247.2 billion (down $0.2B), while Eurozone had $201.8B (up $38.9B). Asia Pacific subset had $154.1B (up $14.1B), while Europe (non-Eurozone) had $106.6B (up $8.0B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.229 trillion in Prime MMF Portfolios as of July 31, $545.1B (44.3%) was in Government & Treasury securities (direct and repo) (down from $579.8B), $306.5B (24.9%) was in CDs and Time Deposits (up from $269.7B), $179.6B (14.6%) was in Financial Company CP (up from $164.2B), $138.0B (11.2%) was held in Non-Financial CP and Other securities (up from $132.8B), and $60.1B (4.9%) was in ABCP (up from $54.0B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $287.7 billion, Canada with $152.4 billion, France with $147.0 billion, the U.K. with $101.9 billion, Germany with $23.4 billion, Japan with $110.2 billion and Other with $40.3 billion. All MMF Repo with the Federal Reserve was down $152.8 billion in July to $1.753 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.3%, Prime Retail MMFs with 4.7%, Tax Exempt Inst MMFs with 0.8%, Tax Exempt Retail MMFs with 3.4%, Govt MMFs with 13.7% and Treasury MMFs with 8.4%.
