The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets jumped by $65.9 billion in February to a record $6.525 trillion. The SEC shows Prime MMFs rising $33.5 billion in February to $1.407 trillion, Govt & Treasury funds increasing $33.1 billion to $4.993 trillion and Tax Exempt funds decreasing $0.7 billion to $126.1 billion. Taxable yields inched lower in February after falling 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. (Month-to-date in March through 3/28, total money fund assets decreased by $68.8 billion to $6.397 trillion, according to our separate, and slightly smaller, MFI Daily series.)
February's overall asset increase follows an increase of $87.7 billion in January, $34.0 billion in December and $225.7 billion in November. MMFs decreased $41.2 billion in October, but increased $79.7 billion in September, $114.2 billion in August and $28.8 billion in July. Assets rose $19.6 billion in June, $156.6 billion in May, $49.9 billion in April and $364.4 billion in March. Over the 12 months through 2/29/24, total MMF assets increased by a record $1.185 trillion, or 22.2%, according to the SEC's series.
The SEC's stats show that of the $6.525 trillion in assets, $1.407 trillion was in Prime funds, up $33.5 billion in February. Prime assets were up $52.5 billion in January, $1.2 billion in December, $32.5 billion in November, $13.9 billion in October, $14.3 billion in September, $18.5 billion in August, $28.9 billion in July, $11.0 billion in June, $13.7 billion in May and $36.0 billion in April, but were down $22.2 billion in March. Prime funds represented 21.6% of total assets at the end of February. They've increased by $233.9 billion, or 19.9%, 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 $4.993 trillion, or 76.5% of assets. They increased $33.1 billion in February, $39.7 billion in January, $31.7 billion in December, $193.7 billion in November, decreased $62.4 billion in October, increased $64.6 billion in September, $92.2 billion in August, $3.1 billion in July, $4.9 billion in June, $137.4 billion in May, $19.3 billion in April and $387.9 billion in March. Govt & Treasury MMFs are up $945.2 billion over 12 months, or 23.4%. Tax Exempt Funds decreased $0.7 billion to $126.1 billion, or 1.9% of all assets. The number of money funds was 291 in February, up 1 from the previous month and down 2 funds from a year earlier.
Yields for Taxable MMFs inched lower while Tax Exempt MMFs dropped in February. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Feb. 29 was 5.45%, down 4 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.52%, down 3 bps from the previous month. Gross yields were 5.38% for Government Funds, down 1 bp from last month. Gross yields for Treasury Funds were down 1 bp at 5.37%. Gross Yields for Tax Exempt Institutional MMFs were down 106 basis points to 3.24% in February. Gross Yields for Tax Exempt Retail funds were down 94 bps to 3.30%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.39%, down 2 basis points from the previous month and up 74 bps from 2/28/23. The Average Net Yield for Prime Retail Funds was 5.25%, down 3 bps from the previous month, and up 72 bps since 2/28/23. Net yields were 5.13% for Government Funds, down 2 bps from last month. Net yields for Treasury Funds were down 1 bp from the previous month at 5.15%. Net Yields for Tax Exempt Institutional MMFs were down 105 bps from January to 3.14%. Net Yields for Tax Exempt Retail funds were down 95 bps at 3.05% in February. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in February. The average Weighted Average Life, or WAL, was 49.3 days (up 0.9 days) for Prime Institutional funds, and 48.0 days for Prime Retail funds (up 3.5 days). Government fund WALs averaged 88.1 days (up 3.7 days) while Treasury fund WALs averaged 81.9 days (up 1.5 days). Tax Exempt Institutional fund WALs were 6.3 days (down 0.1 days), and Tax Exempt Retail MMF WALs averaged 25.3 days (down 0.6 days).
The Weighted Average Maturity, or WAM, was 31.9 days (up 0.2 days from the previous month) for Prime Institutional funds, 33.2 days (up 3.6 days from the previous month) for Prime Retail funds, 38.6 days (up 3.3 days from previous month) for Government funds, and 45.8 days (up 1.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.1 days to 6.3 days, while Tax Exempt Retail WAMs were down 0.6 days from previous month at 24.5 days.
Total Daily Liquid Assets for Prime Institutional funds were 56.6% in February (up 2.8% from the previous month), and DLA for Prime Retail funds was 41.6% (down 2.2% from previous month) as a percent of total assets. The average DLA was 68.0% for Govt MMFs and 94.9% for Treasury MMFs. Total Weekly Liquid Assets was 70.0% (up 2.2% from the previous month) for Prime Institutional MMFs, and 60.4% (up 1.3% from the previous month) for Prime Retail funds. Average WLA was 80.4% for Govt MMFs and 99.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for February 2024," the largest entries included: the U.S. with $168.6B, Canada with $159.7 billion, Japan with $133.4 billion, France with $105.8 billion, the U.K. with $54.3B, the Netherlands with $47.6B, Aust/NZ with $40.3B, Germany with $35.3B and Switzerland with $7.6B. The gainers among the "Prime MMF Holdings by Country" included: Netherlands (up $7.1B), the U.S. (up $6.1B) and Aust/NZ (up $1.2B). Decreases were shown by: the U.K. (down $5.7B), France (down $4.3B), Germany (down $2.6B), Japan (down $1.3B), Switzerland (down $1.0B) and Canada (down $0.7B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $328.3 billion (up $5.4B), while Eurozone had $210.7B (up $0.2B). Asia Pacific subset had $199.2B (down $1.4B), while Europe (non-Eurozone) had $139.5B (down $1.5B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.397 trillion in Prime MMF Portfolios as of Feb. 29, $594.7B (42.6%) was in Government & Treasury securities (direct and repo) (up from $569.2B), $381.9B (27.3%) was in CDs and Time Deposits (up from $373.5B), $198.7B (14.2%) was in Financial Company CP (down from $199.4B), $144.1B (10.3%) was held in Non-Financial CP and Other securities (down from $144.2B), and $77.4B (5.5%) was in ABCP (up from $76.3B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $421.0 billion, Canada with $204.4 billion, France with $183.5 billion, the U.K. with $144.1 billion, Germany with $21.2 billion, Japan with $140.9 billion and Other with $43.2 billion. All MMF Repo with the Federal Reserve was down $16.4 billion in February to $1.158 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.9%, Prime Retail MMFs with 6.6%, Tax Exempt Inst MMFs with 0.1%, Tax Exempt Retail MMFs with 3.4%, Govt MMFs with 15.8% and Treasury MMFs with 12.0%.
