The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets broke back above the $5.1 trillion level, increasing by $35.6 billion in October to $5.131 trillion. The SEC shows that Prime MMFs increased by $36.6 billion in October to break the $1.0 trillion barrier ($1.013 trillion), Govt & Treasury funds decreased $12.8 billion to $4.000 trillion and Tax Exempt funds increased $11.8 billion to $118.6 billion. Taxable yields skyrocketed in October after surging 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. (Note: Register soon for our upcoming Money Fund University, which will be Dec. 15-16 in Boston.)
October's asset increase follows a decrease of $9.4 billion in September, and increases of $3.5 billion in August, $57.4 billion in July, and $26.6 billion in June. MMFs decreased $19.7 billion in May and $63.3 billion in April, but increased $40.1 billion in March. They decreased $29.3 billion in February and $125.1 billion in January. Over the 12 months through 10/31/22, total MMF assets have increased by $93.1 billion, according to the SEC's series. (Month-to-date in November through 11/17, total MMF assets have increased by $16.0 billion, according to our MFI Daily.)
The SEC's stats show that of the $5.131 trillion in assets, $1.013 trillion was in Prime funds, up $36.6 billion in October. Prime assets were up $15.8 billion in September, $43.5 billion in August, $56.6 billion in July, $8.5 billion in June and $9.4 billion in May. Prime was down $11.7 billion in April, up $29.5 billion in March, down $2.7 billion in February and up $10.7 billion in January. Prime funds represented 19.7% of total assets at the end of October. They've increased by $154.8 billion, or 18.0%, 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 $4.000 trillion, or 78.0% of assets. They decreased $12.8 billion in October, $20.8 billion in September and $47.1 billion in August. Govt MMFs increased $8.2 billion in July and $14.4 billion in June, but decreased by $36.7 billion in May and $57.1 billion in April. They increased $8.7 billion in March, decreased by $25.8 billion in February and $135.2 billion in January. Govt & Treasury MMFs are down $83.8 billion over 12 months, or -2.1%. Tax Exempt Funds increased $11.8 billion to $118.6 billion, or 2.3% of all assets. The number of money funds was 300 in October, down 4 from the previous month and down 14 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs jumped yet again in October. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on October 31 was 3.20%, up 23 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 3.34%, up 15 bps from the previous month. Gross yields were 3.07% for Government Funds, up 16 basis points from last month. Gross yields for Treasury Funds were up 34 bps at 3.15%. Gross Yields for Tax Exempt Institutional MMFs were down 16 basis points to 2.05% in October. Gross Yields for Tax Exempt Retail funds were up 8 bps to 2.23%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 3.15%, up 23 bps from the previous month and up 309 basis points from 10/31/21. The Average Net Yield for Prime Retail Funds was 3.07%, up 16 bps from the previous month, and up 305 bps since 10/31/21. Net yields were 2.83% for Government Funds, up 15 bps from last month. Net yields for Treasury Funds were also up 35 bps from the previous month at 2.94%. Net Yields for Tax Exempt Institutional MMFs were down 17 bps from September to 1.94%. Net Yields for Tax Exempt Retail funds were up 8 bps at 1.98% in October. (Note: These averages are asset-weighted.)
WALs and WAMs were down in October. The average Weighted Average Life, or WAL, was 35.0 days (down 2.9 days) for Prime Institutional funds, and 48.8 days for Prime Retail funds (down 2.2 days). Government fund WALs averaged 61.4 days (down 1.6 days) while Treasury fund WALs averaged 59.6 days (down 4.0 days). Tax Exempt Institutional fund WALs were 8.6 days (down 1.4 days), and Tax Exempt Retail MMF WALs averaged 15.9 days (down 2.0 days).
The Weighted Average Maturity, or WAM, was 11.8 days (down 3.0 days from the previous month) for Prime Institutional funds, 9.3 days (down 3.3 days from the previous month) for Prime Retail funds, 12.6 days (down 3.3 days from previous month) for Government funds, and 23.0 days (down 2.9 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 1.7 days to 8.3 days, while Tax Exempt Retail WAMs were down 2.2 days from previous month at 15.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 54.0% in October (up 1.6% from the previous month), and DLA for Prime Retail funds was 39.8% (down 2.0% from previous month) as a percent of total assets. The average DLA was 78.1% for Govt MMFs and 98.6% for Treasury MMFs. Total Weekly Liquid Assets was 70.3% (up 2.1% from the previous month) for Prime Institutional MMFs, and 53.8% (up 1.2% from the previous month) for Prime Retail funds. Average WLA was 87.8% for Govt MMFs and 99.2% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for October 2022," the largest entries included: Canada with $97.8 billion, Japan with $93.2 billion, the U.S. with $67.3B, France with $59.1 billion, the Netherlands with $37.6B, Aust/NZ with $34.1B, the U.K. with $28.8B, Germany with $25.1B and Switzerland with $7.4B. The gainers among the "Prime MMF Holdings by Country" included: Japan (up $11.8B), France (up $10.0B), Canada (up $4.7B), Aust/NZ (up $4.3B), the Netherlands (up $3.1B), the U.K. (up $3.0B), the U.S. (up $2.8B) and Switzerland (up $0.2B). Decreases were shown by: Germany (down $2.6B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $165.1 billion (up $7.4B), while Asia Pacific had $149.0B (up $18.6B). Eurozone subset had $138.7B (up $17.2B), while Europe (non-Eurozone) had $84.2B (up $10.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.014 trillion in Prime MMF Portfolios as of October 31, $434.8B (42.9%) was in Government & Treasury securities (direct and repo) (up from $447.3B), $247.6B (24.4%) was in CDs and Time Deposits (up from $211.3B), $168.6B (16.6%) was in Financial Company CP (up from $159.0B), $122.4B (12.1%) was held in Non-Financial CP and Other securities (up from $115.9B), and $40.8B (4.0%) was in ABCP (up from $37.4B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $108.9 billion, Canada with $83.9 billion, France with $70.3 billion, the U.K. with $43.9 billion, Germany with $10.2 billion, Japan with $79.3 billion and Other with $22.2 billion. All MMF Repo with the Federal Reserve was down $75.6 billion in October to $2.145 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 4.8%, Prime Retail MMFs with 5.2%, Tax Exempt Inst MMFs with 0.9%, Tax Exempt Retail MMFs with 2.2%, Govt MMFs with 12.8% and Treasury MMFs with 10.0%.
