The Securities and Exchange Commission published its latest monthly "Money Market Fund Statistics" summary for October, which shows that total money fund assets rose by $93.3 billion in October to a record $6.927 trillion, after jumping $166.6 billion the month prior. The SEC shows Prime MMFs increasing $16.4 billion in October to $1.174 trillion, Govt & Treasury funds increasing $73.2 billion to $5.616 trillion and Tax Exempt funds increasing $3.7 billion to $137.9 billion. Taxable yields fell in October after plunging in September. 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. (For the month of November, through 11/25, total money fund assets increased by $146.5 billion to $7.009 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
October's overall asset increase follows an increase of $166.6 billion in September, $97.8 billion in August, $19.5 billion in July, $21.3 billion in June, and $89.7 billion in May. Assets decreased $17.7 billion in April and $68.5 billion in March, but increased $65.9 billion in February, $87.7 billion in January, $34.0 billion in December and $225.7 billion last November. Over the 12 months through 10/31/24, total MMF assets increased by $815.5 billion, or 13.3%, according to the SEC's series.
The SEC's stats show that of the $6.927 trillion in assets, $1.174 trillion was in Prime funds, up $16.4 billion in October. Prime assets were down $5.6 billion in September, $25.1 billion in August, $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, and $32.5 billion in November. Prime funds represented 16.9% of total assets at the end of October. They've decreased by $112.7 billion, or -8.8%, 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 $5.616 trillion, or 81.1% of assets. They increased $73.2 billion in October, $171.2 billion in September, $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 and $193.7 billion last November. Govt & Treasury MMFs are up $921.0 billion over 12 months, or 19.6%. Tax Exempt Funds increased $3.7 billion to $137.9 billion, or 2.0% of all assets. The number of money funds was 274 in October, down 6 from the previous month and down 16 funds from a year earlier.
Yields for Taxable MMFs were lower while Tax Exempt MMFs were higher in October. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Oct. 31 was 5.00%, down 4 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.00%, down 6 bps from the previous month. Gross yields were 4.90% for Government Funds, down 10 bps from last month. Gross yields for Treasury Funds were down 16 bps at 4.87%. Gross Yields for Tax Exempt Institutional MMFs were up 16 basis points to 3.54% in October. Gross Yields for Tax Exempt Retail funds were up 13 bps to 3.43%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.89%, down 5 bps from the previous month and down 55 bps from 10/31/23. The Average Net Yield for Prime Retail Funds was 4.73%, down 6 bps from the previous month, and down 57 bps since 10/31/23. Net yields were 4.68% for Government Funds, down 10 bps from last month. Net yields for Treasury Funds were down 16 bps from the previous month at 4.65%. Net Yields for Tax Exempt Institutional MMFs were up 14 bps from September to 3.40%. Net Yields for Tax Exempt Retail funds were up 14 bps at 3.20% in October. (Note: These averages are asset-weighted.)
WALs and WAMs were up in October. The average Weighted Average Life, or WAL, was 50.6 days (up 5.2 days) for Prime Institutional funds, and 51.5 days for Prime Retail funds (up 7.1 days). Government fund WALs averaged 91.0 days (up 10.4 days) while Treasury fund WALs averaged 85.8 days (up 7.9 days). Tax Exempt Institutional fund WALs were 4.7 days (up 0.3 days), and Tax Exempt Retail MMF WALs averaged 32.5 days (up 1.3 days).
The Weighted Average Maturity, or WAM, was 30.1 days (up 5.0 days from the previous month) for Prime Institutional funds, 26.6 days (up 5.7 days from the previous month) for Prime Retail funds, 36.1 days (up 7.5 days from previous month) for Government funds, and 42.3 days (up 5.8 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.3 days to 4.7 days, while Tax Exempt Retail WAMs were up 1.3 days from previous month at 31.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.1% in October (up 1.0% from the previous month), and DLA for Prime Retail funds was 44.6% (unchanged from previous month) as a percent of total assets. The average DLA was 65.4% for Govt MMFs and 93.5% for Treasury MMFs. Total Weekly Liquid Assets was 65.5% (down 0.3% from the previous month) for Prime Institutional MMFs, and 60.6% (down 1.9% from the previous month) for Prime Retail funds. Average WLA was 77.2% for Govt MMFs and 98.8% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for October 2024," the largest entries included: the U.S. with $176.1B, Canada with $161.8 billion, Japan with $131.0 billion, France with $88.2 billion, the U.K. with $50.5B, Aust/NZ with $47.5B, the Netherlands with $42.7B, Germany with $25.0B and Switzerland with $4.8B. The gainers among the "Prime MMF Holdings by Country" included: Japan (up $11.1B), the U.K. (up $10.3B), Aust/NZ (up $5.5B) and France (up $1.5B). Decreases were shown by: Germany (down $7.0B), Netherlands (down $6.6B), Canada (down $2.4B), Switzerland (down $0.6B) and the U.S. (down $0.1B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $337.9 billion (down $2.5B), while Eurozone had $185.2B (up $3.2B). Asia Pacific subset had $210.6B (up $16.8B), while Europe (non-Eurozone) had $124.3B (up $19.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.164 trillion in Prime MMF Portfolios as of October 31, $429.6B (36.9%) was in Government & Treasury securities (direct and repo) (down from $430.3B), $322.8B (27.7%) was in CDs and Time Deposits (up from $317.0B), $200.2B (17.2%) was in Financial Company CP (up from $189.7B), $133.5B (11.5%) was held in Non-Financial CP and Other securities (up from $129.2B), and $78.0B (6.7%) was in ABCP (down from $78.6B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $446.1 billion, Canada with $178.7 billion, France with $228.2 billion, the U.K. with $119.5 billion, Germany with $21.1 billion, Japan with $142.2 billion and Other with $45.9 billion. All MMF Repo with the Federal Reserve was down $256.2 billion in October to $173.6 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 8.8%, Prime Retail MMFs with 7.5%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 6.9%, Govt MMFs with 14.1% and Treasury MMFs with 12.8%.
