The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Tuesday, which confirms that total money fund assets increased in November, rising by $45.6 billion to a record $3.984 trillion. It was the 17th straight month of gains for money fund assets overall. Prime MMFs increased $20.2 billion in November to close at $1.122 trillion, their highest level since July 2016, while Govt & Treasury funds rose by $24.2 billion to a record $2.718 trillion. Tax Exempt funds rose by $1.2 billion to $143.8 billion. Yields fell across the board with Prime MMFs, Govt MMFs and Tax-Exempt MMFs all decreasing in November. 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.
November's asset gains follow increases of $88.6 billion in October, $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 11/30/19, total MMF assets have increased $730.5 billion, or 22.5%, 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 $3.984 trillion in assets, $1.122 trillion was in Prime funds, which rose $20.2 billion in November after increasing $38.4 billion in October, $11.7 billion in September, $10.6 billion in August, $22.3 billion in July and $9.6 billion in June. Prime funds represented 28.2% of total assets at the end of November. They've increased by a stunning $349.9 billion, or 45.3%, over the past 12 months.
Government & Treasury funds totaled $2.718 trillion, or 68.2% of assets. They rose $24.2 billion in November, $46.6 billion in October, $72.9 billion in September, $66.0 billion in August, $53.5 billion in July and $31.8 billion in June. Govt & Treas MMFs are up $380.0 billion over 12 months, or 16.3%. Tax Exempt Funds increased $1.2B to $143.8 billion, or 3.6% of all assets. The number of money funds was 365 in November, down seven from the previous month and down 14 funds from a year earlier.
Yields for Taxable MMFs were lower in November for the 9th 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 Nov. 30 was 1.83%, down 16 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 1.91%, down 15 basis points. Gross yields fell to 1.71% for Government Funds, down 18 bps from last month. Gross yields for Treasury Funds decreased 15 basis points to 1.71%. Gross Yields for Muni Institutional MMFs fell from 1.22% in October to 1.14%. Gross Yields for Muni Retail funds fell from 1.26% to 1.17% in November.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 1.75%, down 14 bps from the previous month and down 55 bps since 11/30/18. The Average Net Yield for Prime Retail Funds was 1.65%, down 15 bps from the previous month and down 0.55% since 11/30/18. Net yields fell to 1.44% for Government Funds, down 18 bps from last month. Net yields for Treasury Funds decreased 16 basis points to 1.48%. Net Yields for Muni Institutional MMFs fell from 1.10% in October to 1.01%. Net Yields for Muni Retail funds decreased from 0.98% to 0.90% in November. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in November, with Prime Inst, Tax Exempt Inst and Tax Exempt Retail all decreasing in both WALs and WAMs while Government WALs decreased. The average Weighted Average Life, or WAL, was 64.7 days (down 1.0 days from last month) for Prime Institutional funds, and 78.2 days for Prime Retail funds (up 1.5 days). Government fund WALs averaged 97.6 days (down 0.1 days) while Treasury fund WALs averaged 99.6 days (up 1.0 days). Muni Institutional fund WALs were 19.2 days (down 0.3 days), and Muni Retail MMF WALs averaged 40.5 days (down 1.3 days).
The Weighted Average Maturity, or WAM, was 33.8 days (down 0.4 days from the previous month) for Prime Institutional funds, 43.7 days (up 0.2 days from the previous month) for Prime Retail funds, 34.3 days (up 2.5 days) for Government funds, and 44.1 days (up 3.2 days) for Treasury funds. Muni Inst WAMs were down 0.1 days to 19.0 days, while Muni Retail WAMs decreased 1.1 days to 38.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 35.4% in November (down by 2.3% from the previous month), and DLA for Prime Retail funds was 23.9% (down 1.3% from previous month) as a percent of total assets. The average DLA was 45.5% for Govt MMFs and 90.7% for Treasury MMFs. Total Weekly Liquid Assets was 52.0% (down 0.5% from the previous month) for Prime Institutional MMFs, and 38.8% (down 0.3% from the previous month) for Prime Retail funds. Average WLA was 69.3% for Govt MMFs and 97.5% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for November 2019," the largest entries included: Canada with $160.3 billion, the Japan with $111.6 billion, the U.S. with $108.2 billion, France with $93.3B, New Zealand/Australia with $52.0B, Germany with $51.3B, the UK with $49.3B, the Netherlands with $42.6B and Switzerland with $31.2B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $11.7B), France (up $8.4B), Switzerland (up $8.2B), and Australia/New Zealand (up $1.9B). The biggest decreases were the US (down $16.3B), the UK (down $5.2B), the Netherlands (down $4.7B), Japan (down $1.8B) and Germany (down $1.8B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $135.7B (up $5.9B from last month), the Eurozone subset had $199.3B (up $2.2B). The Americas had $269.0 billion (down $4.7B), while Asia Pacific had $188.0B (down $1.9B).
The "Prime MMF Portfolio Composition" chart shows that of the $1.122 trillion in Prime MMF Portfolios as of November 30, $346.1B (30.9%) was in CDs and Time Deposits (up from $332.7), $314.8B (28.1%) was in Government & Treasury securities (direct and repo) (down from $322.1B), $158.0B (14.1%) was held in Non-Financial CP and Other securities (up from $150.0), $236.5B (21.1%) was in Financial Company CP (up from $236.4) and $64.0B (5.7%) was in ABCP (up from $62.9B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $181.2 billion, Canada with $170.4 billion, France with $202.1 billion, Germany with $21.5 billion, Japan with $159.8 billion, the U.K. with $82.2 billion and Other with $36.1 billion. All MMF Repo with the Federal Reserve fell by $2.6 billion in November to $0.5 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 10.0%, Prime Retail MMFs with 10.9%, Muni Inst MMFs with 2.9%, Muni Retail MMFs 9.7%, Govt MMFs with 17.5% and Treasury MMFs with 14.5%.
