The Securities and Exchange Commission published its latest monthly "Money Market Fund Statistics" summary for August, which shows that total money fund assets rose by $97.8 billion in August to a record $6.668 trillion, after jumping $19.5 billion the month prior. The SEC shows Prime MMFs decreasing $25.1 billion in August to $1.163 trillion, Govt & Treasury funds increasing $121.9 billion to $5.371 trillion and Tax Exempt funds increasing $1.0 billion to $133.2 billion. Taxable yields fell in August after inching 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 9/24, total money fund assets increased by $145.6 billion to a record $6.761 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
August's overall asset increase follows an increase of $19.5 billion in July, $21.3 billion in June, $89.7 billion in May, a decrease of $17.7 billion in April, $68.5 billion in March, an increase of $65.9 billion in February, $87.7 billion in January, $34.0 billion in December and $225.7 billion in November. MMFs decreased $41.2 billion in October, but increased $79.7 billion in September. Over the 12 months through 8/31/24, total MMF assets increased by $594.0 billion, or 9.8%, according to the SEC's series.
The SEC's stats show that of the $6.668 trillion in assets, $1.163 trillion was in Prime funds, down $25.1 billion in August. Prime assets were down $11.5 billion in July, $204.6 billion in June, up $19.7 billion in May, down $30.0 billion in April, up $8.1 billion in March, $33.5 billion in February, $52.5 billion in January, $1.2 billion in December, $32.5 billion in November, $13.9 billion in October and $14.3 billion in September. Prime funds represented 17.4% of total assets at the end of August. They've decreased by $95.4 billion, or -7.6%, 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 $5.371 trillion, or 80.6% of assets. They increased $121.9 billion in August, $31.3 billion in July, $229.2 billion in June, $65.5 billion in May, increased $9.3 billion in April, decreased $78.8 billion in March, increased $33.1 billion in February, $39.7 billion in January, $31.7 billion in December, $193.7 billion in November, decreased $62.4 billion in October and increased $64.6 billion in September. Govt & Treasury MMFs are up $678.8 billion over 12 months, or 14.5%. Tax Exempt Funds increased $1.0 billion to $133.2 billion, or 2.0% of all assets. The number of money funds was 284 in August, down 6 from the previous month and down 9 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs were lower in August. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Aug. 31 was 5.46%, down 1 bp from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.47%, down 2 bps from the previous month. Gross yields were 5.36% for Government Funds, down 2 bps from last month. Gross yields for Treasury Funds were down 4 bps at 5.32%. Gross Yields for Tax Exempt Institutional MMFs were down 64 basis points to 3.14% in August. Gross Yields for Tax Exempt Retail funds were down 45 bps to 3.22%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.35%, down 1 bp from the previous month and up 6 bps from 8/31/23. The Average Net Yield for Prime Retail Funds was 5.20%, down 2 bps from the previous month, and down 7 bps since 8/31/23. Net yields were 5.14% for Government Funds, down 2 bps from last month. Net yields for Treasury Funds were down 4 bps from the previous month at 5.11%. Net Yields for Tax Exempt Institutional MMFs were down 62 bps from June to 3.01%. Net Yields for Tax Exempt Retail funds were down 45 bps at 2.98% in August. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in August. The average Weighted Average Life, or WAL, was 44.8 days (up 1.2 days) for Prime Institutional funds, and 44.4 days for Prime Retail funds (up 0.5 days). Government fund WALs averaged 81.1 days (down 0.2 days) while Treasury fund WALs averaged 81.8 days (down 0.4 days). Tax Exempt Institutional fund WALs were 5.7 days (up 1.3 days), and Tax Exempt Retail MMF WALs averaged 30.6 days (up 1.0 days).
The Weighted Average Maturity, or WAM, was 27.7 days (up 1.1 days from the previous month) for Prime Institutional funds, 26.2 days (down 0.9 days from the previous month) for Prime Retail funds, 31.3 days (down 1.0 days from previous month) for Government funds, and 39.2 days (down 0.8 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 1.3 days to 5.7 days, while Tax Exempt Retail WAMs were up 1.0 days from previous month at 29.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 56.5% in August (up 1.6% from the previous month), and DLA for Prime Retail funds was 46.0% (up 0.3% from previous month) as a percent of total assets. The average DLA was 67.0% for Govt MMFs and 93.9% for Treasury MMFs. Total Weekly Liquid Assets was 68.4% (down 0.5% from the previous month) for Prime Institutional MMFs, and 63.1% (up 1.5% from the previous month) for Prime Retail funds. Average WLA was 78.6% for Govt MMFs and 98.8% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for August 2024," the largest entries included: the U.S. with $175.2B, Canada with $156.8 billion, Japan with $132.9 billion, France with $95.0 billion, the U.K. with $55.6B, the Netherlands with $43.8B, Aust/NZ with $35.4B, Germany with $27.4B and Switzerland with $6.2B. The gainers among the "Prime MMF Holdings by Country" included: Canada (up $5.2B), the U.K. (up $4.5B) and Netherlands (up $1.7B),. Decreases were shown by: the U.S. (down $9.5B), Japan (down $5.5B), Aust/NZ (down $1.8B), Switzerland (down $1.8B), Germany (down $1.5B) and France (down $0.4B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $332.0 billion (down $4.3B), while Eurozone had $191.9B (up $0.3B). Asia Pacific subset had $206.1B (down $4.4B), while Europe (non-Eurozone) had $131.6B (up $1.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.151 trillion in Prime MMF Portfolios as of August 31, $400.3B (34.8%) was in Government & Treasury securities (direct and repo) (down from $432.9B), $353.1B (30.7%) was in CDs and Time Deposits (down from $358.9B), $192.8B (16.8%) was in Financial Company CP (up from $187.2B), $129.6B (11.3%) was held in Non-Financial CP and Other securities (down from $132.1B), and $74.9B (6.5%) was in ABCP (down from $75.5B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $492.0 billion, Canada with $193.0 billion, France with $210.9 billion, the U.K. with $115.1 billion, Germany with $17.0 billion, Japan with $144.8 billion and Other with $45.6 billion. All MMF Repo with the Federal Reserve was up $21.5 billion in August to $391.4 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.8%, Prime Retail MMFs with 6.3%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 5.8%, Govt MMFs with 12.8% and Treasury MMFs with 11.4%.
