The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets fell by $17.7 billion in April to $6.439 trillion, after falling $68.5 billion the month prior and hitting a record $6.525 trillion two months prior. The SEC shows Prime MMFs decreasing $30.0 billion in April to $1.385 trillion, Govt & Treasury funds increasing $9.3 billion to $4.923 trillion and Tax Exempt funds increasing $3.0 billion to $131.3 billion. Taxable yields inched lower in April after dipping in March. 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 May through 5/28, total money fund assets increased by $99.8 billion to $6.482 trillion, according to Crane Data's separate, and slightly smaller, MFI Daily series.)
April's overall asset decrease follows a decrease of $68.5 billion in March, an increase of $65.9 billion in February, $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 and $156.6 billion in May. Over the 12 months through 4/30/24, total MMF assets increased by $684.9 billion, or 11.9%, according to the SEC's series.
The SEC's stats show that of the $6.439 trillion in assets, $1.385 trillion was in Prime funds, down $30.0 billion in April. Prime assets were up $8.1 billion in March, $33.5 billion in February, $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 and $13.7 billion in May. Prime funds represented 21.5% of total assets at the end of April. They've increased by $198.2 billion, or 16.7%, 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 $4.923 trillion, or 76.5% of assets. They increased $9.3 billion in April, decreased $78.8 billion in March, 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 and $137.4 billion in May. Govt & Treasury MMFs are up $468.5 billion over 12 months, or 10.5%. Tax Exempt Funds increased $3.0 billion to $131.3 billion, or 2.0% of all assets. The number of money funds was 288 in April, down 1 from the previous month and down 6 funds from a year earlier.
Yields for Taxable MMFs inched lower while Tax Exempt MMFs were mixed in April. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Apr. 30 was 5.43% <b:>`_, down 1 bp from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.49%, down 1 bp from the previous month. Gross yields were 5.37% for Government Funds, down 1 bp from last month. Gross yields for Treasury Funds were down 1 bp at 5.36%. Gross Yields for Tax Exempt Institutional MMFs were down 17 basis points to 3.62% in April. Gross Yields for Tax Exempt Retail funds were up 5 bps to 3.69%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 5.36%, down 2 basis points from the previous month and up 47 bps from 4/30/23. The Average Net Yield for Prime Retail Funds was 5.22%, down 1 bp from the previous month, and up 47 bps since 4/30/23. Net yields were 5.13% for Government Funds, down 1 bp from last month. Net yields for Treasury Funds were down 1 bp from the previous month at 5.14%. Net Yields for Tax Exempt Institutional MMFs were down 11 bps from March to 3.50%. Net Yields for Tax Exempt Retail funds were up 7 bps at 3.45% in April. (Note: These averages are asset-weighted.)
WALs and WAMs were down in April. The average Weighted Average Life, or WAL, was 44.8 days (down 4.5 days) for Prime Institutional funds, and 48.0 days for Prime Retail funds (down 1.8 days). Government fund WALs averaged 85.0 days (down 2.1 days) while Treasury fund WALs averaged 78.7 days (down 2.1 days). Tax Exempt Institutional fund WALs were 6.6 days (down 0.8 days), and Tax Exempt Retail MMF WALs averaged 24.9 days (down 0.5 days).
The Weighted Average Maturity, or WAM, was 27.6 days (down 5.2 days from the previous month) for Prime Institutional funds, 31.7 days (down 4.0 days from the previous month) for Prime Retail funds, 34.5 days (down 3.2 days from previous month) for Government funds, and 40.4 days (down 3.4 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.9 days to 6.6 days, while Tax Exempt Retail WAMs were down 0.4 days from previous month at 24.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 61.6% in April (up 3.9% from the previous month), and DLA for Prime Retail funds was 45.8% (up 3.8% from previous month) as a percent of total assets. The average DLA was 67.1% for Govt MMFs and 94.4% for Treasury MMFs. Total Weekly Liquid Assets was 74.4% (up 2.2% from the previous month) for Prime Institutional MMFs, and 60.3% (up 0.2% from the previous month) for Prime Retail funds. Average WLA was 80.9% for Govt MMFs and 99.2% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for April 2024," the largest entries included: the U.S. with $176.3B, Canada with $145.8 billion, Japan with $126.2 billion, France with $107.8 billion, the U.K. with $51.5B, the Netherlands with $44.6B, Germany with $36.3B, Aust/NZ with $29.1B and Switzerland with $7.8B. The gainers among the "Prime MMF Holdings by Country" included: France (up $9.6B), Japan (up $3.4B), Aust/NZ (up $1.8B), Germany (up $1.3B) and Switzerland (up $0.6B). Decreases were shown by: Canada (down $36.4B), Netherlands (down $9.3B), the U.S. (down $5.2B) and the U.K. (down $2.1B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $322.1 billion (down $41.6B), while Eurozone had $208.0B (up $5.4B). Asia Pacific subset had $178.1B (up $1.1B), while Europe (non-Eurozone) had $131.2B (up $13.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.377 trillion in Prime MMF Portfolios as of Apr. 30, $620.1B (45.0%) was in Government & Treasury securities (direct and repo) (down from $636.4B), $358.2B (26.0%) was in CDs and Time Deposits (up from $343.2B), $179.1B (13.0%) was in Financial Company CP (down from $197.7B), $147.4B (10.7%) was held in Non-Financial CP and Other securities (down from $147.8B), and $72.4B (5.3%) was in ABCP (down from $78.0B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $454.4 billion, Canada with $176.5 billion, France with $198.4 billion, the U.K. with $138.1 billion, Germany with $22.6 billion, Japan with $143.1 billion and Other with $45.1 billion. All MMF Repo with the Federal Reserve was down $29.1 billion in April to $508.7 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 5.8%, Prime Retail MMFs with 6.0%, Tax Exempt Inst MMFs with 0.0%, Tax Exempt Retail MMFs with 3.3%, Govt MMFs with 16.4% and Treasury MMFs with 13.4%.
