After a lengthy delay, the Securities and Exchange Commission finally released its latest "Money Market Fund Statistics" summary, which confirms that total money fund assets jumped in October, rising by $88.6 billion to a record $3.938 trillion. It was the 16th straight month of gains for money fund assets overall. Prime MMFs increased $38.4 billion in October to close at $1.102 trillion, their highest level since July 2016, while Govt & Treasury funds rose by $46.6 billion to a record $2.694 trillion. Tax Exempt funds rose by $3.6 billion to $142.6 billion. Yields fell across the board with Prime MMFs, Govt MMFs and Tax-Exempt MMFs all decreasing in October. 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.
October's big asset gains follow increases of $82.9 billion in September, $76.3 billion in August, $75.6 billion in July, $41.9 billion in June, $78.2 billion in May, $690 million in April, $87.9 billion in March, $76.9 billion in February and $31.4 billion in January. Over the 12 months through 10/31/19, total MMF assets have increased $782.4 billion, or 24.7%, according the SEC's series. (Note that the SEC's series includes a number of internal money funds not reported to ICI or others, though Crane Data tracks most of these.) (Note: Crane Data's separate monthly series shows money fund assets increased by $40.9 billion in November 2019.)
The SEC's stats show that of the $3.938 trillion in assets, $1.102 trillion was in Prime funds, which rose $38.4 billion in October after increasing $11.7 billion in September, $10.6 billion in August, $22.3 billion in July, $9.6 billion in June and $8.9 billion in May. Prime funds represented 28.0% of total assets at the end of October. They've increased by a stunning $358.2 billion, or 48.2%, over the past 12 months.
Government & Treasury funds totaled $2.694 trillion, or 68.4% of assets. They rose $46.6 billion in October, $72.9 billion in September, $66.0 billion in August, $53.5 billion in July, $31.8 billion in June and $67.3 billion in May. Govt & Treas MMFs are up $411.7 billion over 12 months, or 18.0%. Tax Exempt Funds increased $3.6B to $142.6 billion, or 3.6% of all assets. The number of money funds was 372 in October, up three from the previous month and down 9 funds from a year earlier.
Yields for Taxable MMFs were lower in October for the 8th month in a row. This year's declines follow almost 24 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Oct. 31 was 1.99%, down 14 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 2.06%, down 12 basis points. Gross yields fell to 1.89% for Government Funds, down 14 bps from last month. Gross yields for Treasury Funds decreased 17 basis points to 1.86%. Gross Yields for Muni Institutional MMFs fell from 1.58% in September to 1.22%. Gross Yields for Muni Retail funds fell from 1.56% to 1.26% in October.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 1.90%, down 15 bps from the previous month and down 35 bps since 10/31/18. The Average Net Yield for Prime Retail Funds was 1.80%, down 12 bps from the previous month and down 0.32% since 10/31/18. Net yields fell to 1.62% for Government Funds, down 13 bps from last month. Net yields for Treasury Funds decreased 17 basis points to 1.64%. Net Yields for Muni Institutional MMFs fell from 1.45% in September to 1.10%. Net Yields for Muni Retail funds decreased from 1.28% to 0.98% in October. (Note: These averages are asset-weighted.)
WALs and WAMs were predominately up in October, with only Govt Fund WALs falling. The average Weighted Average Life, or WAL, was 65.7 days (up 3.6 days from last month) for Prime Institutional funds, and 76.7 days for Prime Retail funds (up 3.9 days). Government fund WALs averaged 97.7 days (down 0.4 days) while Treasury fund WALs averaged 98.7 days (up 3.5 days). Muni Institutional fund WALs were 19.5 days (up 3.3 days), and Muni Retail MMF WALs averaged 41.7 days (up 3.3 days).
The Weighted Average Maturity, or WAM, was 34.1 days (up 3.2 days from the previous month) for Prime Institutional funds, 43.5 days (up 2.8 days from the previous month) for Prime Retail funds, 31.8 days (up 2.0 days) for Government funds, and 40.9 days (up 4.1 days) for Treasury funds. Muni Inst WAMs were up 3.1 days to 19.1 days, while Muni Retail WAMs increased by 3.3 days to 39.2 days.
Total Daily Liquid Assets for Prime Institutional funds were 37.7% in September (up by 0.1% from the previous month), and DLA for Prime Retail funds was 25.1% (down 0.4% from previous month) as a percent of total assets. The average DLA was 47.0% for Govt MMFs and 91.9% for Treasury MMFs. Total Weekly Liquid Assets was 52.5% (down 1.3% from the previous month) for Prime Institutional MMFs, and 39.2% (down 2.7% from the previous month) for Prime Retail funds. Average WLA was 70.5% for Govt MMFs and 98.6% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for October 2019," the largest entries included: Canada with $148.6 billion, the U.S. with $124.6 billion, Japan with $113.4 billion, France with $85.0B, the UK with $54.5B, Germany with $52.8B, New Zealand/Australia with $50.0B, the Netherlands with $47.2B and Switzerland with $23.1B. The biggest gainers among the "Prime MMF Holdings by Country" include: the UK (up $15.6B), the Netherlands (up $9.9B), France (up $9.7B), Japan (up $8.3B), Australia/New Zealand (up $5.3B) and Switzerland (up $1.5B). The biggest decreases were Canada (down $9.8B), the US (down $8.3B) and Germany (down $3.2B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $326.9B (up $39.1B from last month), the Eurozone subset had $197.1B (up $18.6B). The Americas had $273.7 billion (down $18.1B), while Asia Pacific had $189.9B (up $14.1B).
The "Prime MMF Portfolio Composition" chart shows that of the $1.102 trillion in Prime MMF Portfolios as of October 31, $332.7B (30.2%) was in CDs and Time Deposits (up from $316.3B), $322.1B (29.2%) was in Government & Treasury securities (direct and repo) (down from $326.3B), $150.0B (13.6%) was held in Non-Financial CP and Other securities (up from $141.7B), $236.4B (21.5%) was in Financial Company CP (up from $226.7B) and $62.9B (5.7%) was in ABCP (down from $63.5B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $183.1 billion, Canada with $146.5 billion, France with $235.7 billion, Germany with $20.3 billion, Japan with $149.3 billion, the U.K. with $73.5 billion and Other with $41.0 billion. All MMF Repo with the Federal Reserve fell by $4.2 billion in October to $2.9 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 11.0%, Prime Retail MMFs with 11.3%, Muni Inst MMFs with 3.4%, Muni Retail MMFs 10.0%, Govt MMFs with 18.8% and Treasury MMFs with 17.6%.
