The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $114.2 billion in August to a record high of $6.073 trillion. The SEC shows Prime MMFs jumping $18.5 billion in August to $1.259 trillion, Govt & Treasury funds increased $92.2 billion to $4.692 trillion and Tax Exempt funds increased $3.5 billion to $122.6 billion. Taxable yields jumped again in August after moving higher in July. 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 September through 9/27, total money fund assets have increased by $52.5 billion to $6.032 trillion, according to our separate, and slightly smaller, MFI Daily series.) (Note: Thank you to everyone who joined us at our European Money Fund Symposium last week in Edinburgh. Mark your calendars for next year's European MFS, which is scheduled for Sept. 19-20, 2024 in London.)
August's overall asset increase follows an increase of $28.8 billion in July, $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 last September. Over the 12 months through 8/31/23, total MMF assets have increased by $968.4 billion, or 19.0%, according to the SEC's series.
The SEC's stats show that of the $6.073 trillion in assets, $1.259 trillion was in Prime funds, up $18.5 billion in August. Prime assets were up $28.9 billion in July, $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 20.7% of total assets at the end of August. They've increased by $298.5 billion, or 31.1%, 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 $4.692 trillion, or 77.3% of assets. They increased $92.2 billion in August, $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 $658.5 billion over 12 months, or 16.3%. Tax Exempt Funds increased $3.5 billion to $122.6 billion, or 2.0% of all assets. The number of money funds was 293 in August, unchanged from the previous month and down 11 funds from a year earlier.
Yields for Taxable and Tax Exempt MMFs both moved higher in August. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Aug. 31 was 5.46%, up 11 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.53%, up 10 bps from the previous month. Gross yields were 5.39% for Government Funds, up 7 basis points from last month. Gross yields for Treasury Funds were up 8 bps at 5.39%. Gross Yields for Tax Exempt Institutional MMFs were up 33 basis points to 4.32% in August. Gross Yields for Tax Exempt Retail funds were up 42 bps to 4.14%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.40%, up 11 bps from the previous month and up 311 basis points from 8/31/22. The Average Net Yield for Prime Retail Funds was 5.26%, up 9 bps from the previous month, and up 303 bps since 8/31/22. Net yields were 5.15% for Government Funds, up 7 bps from last month. Net yields for Treasury Funds were up 8 bps from the previous month at 5.17%. Net Yields for Tax Exempt Institutional MMFs were up 33 bps from July to 4.21%. Net Yields for Tax Exempt Retail funds were up 42 bps at 3.89% in August. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly mixed in August. The average Weighted Average Life, or WAL, was 43.8 days (down 0.4 days) for Prime Institutional funds, and 47.0 days for Prime Retail funds (up 8.1 days). Government fund WALs averaged 68.1 days (up 0.5 days) while Treasury fund WALs averaged 58.1 days (up 2.9 days). Tax Exempt Institutional fund WALs were 8.4 days (down 1.1 days), and Tax Exempt Retail MMF WALs averaged 22.6 days (up 1.8 days).
The Weighted Average Maturity, or WAM, was 22.1 days (up 1.2 days from the previous month) for Prime Institutional funds, 25.3 days (up 4.2 days from the previous month) for Prime Retail funds, 24.8 days (down 0.2 days from previous month) for Government funds, and 23.4 days (up 1.5 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.6 days to 8.4 days, while Tax Exempt Retail WAMs were up 2.2 days from previous month at 21.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.1% in August (up 0.7% from the previous month), and DLA for Prime Retail funds was 43.3% (up 0.5% from previous month) as a percent of total assets. The average DLA was 71.2% for Govt MMFs and 97.4% for Treasury MMFs. Total Weekly Liquid Assets was 66.6% (down 0.6% from the previous month) for Prime Institutional MMFs, and 60.9% (down 1.3% from the previous month) for Prime Retail funds. Average WLA was 83.0% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for August 2023," the largest entries included: the U.S. with $137.3B, Canada with $131.0 billion, Japan with $117.2 billion, France with $94.0 billion, the Netherlands with $43.0B, the U.K. with $41.4B, Germany with $36.9B, Aust/NZ with $23.5B and Switzerland with $9.5B. The gainers among the "Prime MMF Holdings by Country" included: the U.S. (up $14.1B), Japan (up $11.8B), Canada (up $7.0B), Switzerland (up $1.4B) and Germany (up $0.3B). Decreases were shown by: Netherlands (down $4.1B), Aust/NZ (down $2.3B), France (down $1.2B) and the U.K. (down $1.0B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $268.3 billion (up $21.1B), while Eurozone had $195.4B (down $6.4B). Asia Pacific subset had $164.5B (up $10.4B), while Europe (non-Eurozone) had $110.3B (up $3.7B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.253 trillion in Prime MMF Portfolios as of Aug. 31, $545.2B (43.5%) was in Government & Treasury securities (direct and repo) (up from $545.1B), $326.6B (26.1%) was in CDs and Time Deposits (up from $306.5B), $183.9B (14.7%) was in Financial Company CP (up from $179.6B), $138.2B (11.0%) was held in Non-Financial CP and Other securities (up from $138.0B), and $58.6B (4.7%) was in ABCP (down from $60.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $292.2 billion, Canada with $160.4 billion, France with $167.3 billion, the U.K. with $112.5 billion, Germany with $25.9 billion, Japan with $113.4 billion and Other with $41.8 billion. All MMF Repo with the Federal Reserve was down $188.0 billion in August to $1.565 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.1%, Prime Retail MMFs with 7.3%, Tax Exempt Inst MMFs with 0.5%, Tax Exempt Retail MMFs with 4.1%, Govt MMFs with 13.4% and Treasury MMFs with 8.0%.
