The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday, which confirmed that total money fund assets decreased by $4.3 billion in January to $4.017 trillion, after hitting a record $4.021 trillion in December. This is the first decrease in MMF assets following 18 straight months of gains. Prime MMFs increased $28.1 billion in January to close at $1.123 trillion, while Govt & Treasury funds dropped by $31.4 billion to $2.752 trillion. Tax Exempt funds fell by $1.0 billion to $141.8 billion. Yields were mixed for Prime MMFs while Govt MMFs and Tax-Exempt MMF yields decreased in January. 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.

January's modest asset decline follows increases of $37.2 billion in December, $45.6 billion in November, $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 1/31/20, total MMF assets increased by $687.4 billion, or 20.6%, according to 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.)

The SEC's stats show that of the $4.017 trillion in assets, $1.123 trillion was in Prime funds, which rose $28.1 billion in January. This follows a decrease of $26.5 billion in December and increases of $20.2 billion in November, $38.4 billion in October, $11.7 billion in September and $10.6 billion in August <b:>`_. Prime funds represented 28.0% of total assets at the end of January. They've increased by a stunning $308.3 billion, or 37.8%, over the past 12 months.

Government & Treasury funds totaled $2.752 trillion, or 68.5% of assets. They fell $31.4 billion in January, after rising $64.7 billion in December, $24.2 billion in November, $46.6 billion in October, $72.9 billion in September and $66.0 billion in August. Govt & Treas MMFs are up $383.1 billion over 12 months, or 16.2%. Tax Exempt Funds decreased $1.0B to $141.8 billion, or 3.5% of all assets. The number of money funds was 367 in January, up one from the previous month and down 2 funds from a year earlier.

Yields for Taxable MMFs were largely down in January, with only Prime Institutional yields rising. The declines of the past 10 months follow almost 24 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Jan. 31 was 1.83%, up 3 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 1.83%, down 5 basis points. Gross yields fell to 1.64% for Government Funds, down 3 bps from last month. Gross yields for Treasury Funds decreased 3 basis points to 1.63%. Gross Yields for Muni Institutional MMFs fell from 1.58% in December to 0.97 %. Gross Yields for Muni Retail funds plummeted from 1.54% to 1.00% in January.

The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 1.74%, up 2 bps from the previous month and down 78 bps since 1/31/19. The Average Net Yield for Prime Retail Funds was 1.58%, down 6 bps from the previous month and down 0.82% since 1/31/19. Net yields fell to 1.38% for Government Funds, down 2 bps from last month. Net yields for Treasury Funds decreased 2 basis points to 1.41%. Net Yields for Muni Institutional MMFs fell from 1.44% in December to 0.84%. Net Yields for Muni Retail funds decreased from 1.26% 0.73% in January. (Note: These averages are asset-weighted.)

WALs and WAMs were mostly lower in January, with only Prime Institutional WALs and WAMs increasing. The average Weighted Average Life, or WAL, was 63.4 days (up 1.3 days from last month) for Prime Institutional funds, and 64.1 days for Prime Retail funds (down 6.1 days). Government fund WALs averaged 93.0 days (down 3.1 days) while Treasury fund WALs averaged 95.0 days (down 2.7 days). Muni Institutional fund WALs were 16.3 days (down 2.5 days), and Muni Retail MMF WALs averaged 34.7 days (down 1.9 days).

The Weighted Average Maturity, or WAM, was 30.6 days (up 0.2 days from the previous month) for Prime Institutional funds, 32.3 days (down 4.2 days from the previous month) for Prime Retail funds, 30.1 days (down 5.4 days) for Government funds, and 38.1 days (down 4.5 days) for Treasury funds. Muni Inst WAMs were down 2.6 days to 15.9 days, while Muni Retail WAMs decreased 2.2 days to 32.4 days.

Total Daily Liquid Assets for Prime Institutional funds were 37.0% in January (unchanged from the previous month), and DLA for Prime Retail funds was 24.6% (up 0.3% from previous month) as a percent of total assets. The average DLA was 47.1% for Govt MMFs and 90.5% for Treasury MMFs. Total Weekly Liquid Assets was 53.1% (down 0.2% from the previous month) for Prime Institutional MMFs, and 40.6% (up 1.2% from the previous month) for Prime Retail funds. Average WLA was 72.0% for Govt MMFs and 98.1% for Treasury MMFs.

In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for January 2020," the largest entries included: Canada with $149.6 billion, the US with $119.1 billion, Japan with $115.7 billion, France with $108.2B, New Zealand/Australia with $54.8B, Germany with $54.5B, the UK with $44.7B, the Netherlands with $43.1B and Switzerland with $32.9B. The biggest gainers among the "Prime MMF Holdings by Country" include: France (up $31.5B), Germany (up $18.7B), the US (up $12.2B), the Netherlands (up $9.1B), the UK (up $8.9B), Switzerland (up $4.8B) and New Zealand/Australia (up $0.2B). The biggest and only decreases were the Canada (down $19.2B) and Japan (down $1.6B).

The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $137.9B (up $137.9B from last month), the Eurozone subset had $223.0B (up $66.7B). The Americas had $269.1 billion (down $6.9B), while Asia Pacific had $194.3B (down $2.1B).

The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.123 trillion in Prime MMF Portfolios as of January 31, $369.1B (32.9%) was in CDs and Time Deposits (up from $307.9B), $311.0B (27.7%) was in Government & Treasury securities (direct and repo) (down from $359.3B), $226.9B (20.2%) was in Financial Company CP (up from $214.0B), $153.9B (13.7%) was held in Non-Financial CP and Other securities (up from $146.7B), and $60.3B (5.4%) was in ABCP (down from $62.3B).

The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $191.3 billion, Canada with $168.7 billion, France with $197.6 billion, the UK with $102.3 billion, Germany with $23.3 billion, Japan with $153.1 billion and Other with $40.7 billion. All MMF Repo with the Federal Reserve fell by $42.8 billion in January to $4.5 billion.

Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 10.1%, Prime Retail MMFs with 8.8%, Muni Inst MMFs with 2.2%, Muni Retail MMFs 6.0%, Govt MMFs with 18.4% and Treasury MMFs with 18.6%.

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