The Securities and Exchange Commission released its latest "Money Market Fund Statistics" report, which shows total MMF assets down slightly for the month and yields climbing since the beginning of the year. The report, with data as of February 28, 2015, summarizes Form N-MFP info and includes totals on assets, yields, liquidity, WAM, WAL, holdings, and other money market fund trends. Overall, total money market fund assets stood at $3.048 trillion at the end of February, down $9 billion from Jan. 31, according to the SEC's broad total (which includes many private and internal funds not reported to ICI, Crane Data or other reporting agencies). Of the $3.048 trillion, $1.780 trillion was in Prime funds (up $11B from Jan. 31), $1.000T was in Government/Treasury funds (down $19B), and $268 billion was in Tax-Exempt funds (same as last month). The number of funds dropped by 1 in February to 543. Total assets were down $32.5 billion YTD through 2/28, but were up $30.8 billion from a year ago. The number of funds has dropped from 586 on Feb. 28, 2013, to 559 on Feb. 28, 2014, to 543 on Feb. 28. 2015. Looking at other statistics, the Weighted Average Gross 7-Day Yield for Prime Funds was 0.21% on Feb. 28 (unchanged), 0.08% for Government/Treasury funds (unchanged), and 0.06% for Tax-Exempt funds (unchanged). One year ago on Feb 28, 2014, prime yields were 0.19%, government/treasury yields were 0.08%, and tax-exempt yields were 0.09%. The Weighted Average Net Prime Yield was 0.06% -- up 0.01% from the previous month and up from 0.04% 12 months earlier. The Weighted Average Prime Expense Ratio was 0.15% (unchanged). The Weighted Average Life, or WAL, for Prime funds at month-end was 77.5 days (down from 77.8 last month), for Government/Treasury funds was 80.1 days (down from 79.7 days), and for Tax Exempt funds was 32.2 days (down from 34.0 days). The Weighted Average Maturity, or WAM, for Prime funds was 43.4 days (down from 43.5 days), for Govt/Treasury funds was 42.9 days (down from 43.7 days), and for Tax-Exempt funds was 30.9 days (down from 33.0 days). Total Daily Liquidity for Prime funds was 26.0% in January -- up from 25.7% last month, 22.3% at the beginning of the year, and 25.1% on Feb. 28, 2014. Total Weekly Liquidity was 39.9%-- down from 40.6% last month, 41.3% at the beginning of the year, and 40.4% one year ago. In the category Prime MMF Holdings of Bank Related Securities by Country, Canada topped the list with $206.4 billion, jumping ahead of the US at $195.5 billion. France was third with $184.1 billion, followed by Japan at $182.0B, Sweden at $114.7B, the U.K. at $103.8B, and Australia/New Zealand at $100.2B. The Netherlands ($63.5B), Switzerland ($50.8B), and Germany ($48.9B) round out the top 10. The biggest gainers for the month were Norway (up $17.7 billion), Japan (up $10.3 billion), and Canada (up $5.6 billion). The biggest drops came from the US (down $8.0 billion), Belgium (down $2.0 billion), and Sweden (down $1.3 billion). For Prime MMF Holdings of Bank-Related Securities by Region, Europe had $626.6 billion (up from $626.2 billion the previous month) while its subset, the Eurozone, had $315.4 (same as last month). The Americas was next with $404.7 billion (down from $407.1 billion at the end of January), while Asia and Pacific had $312.2 (up from $303.5 billion the previous month). The Total Amortized Cost of Prime MMF Portfolios was $1.774 trillion as of Feb. 28, 2015. That was made up of $610 billion in CDs, $356 billion in Government (including direct and repo), $446 billion in Non-Financial CP and Other Short term Securities, $270 billion in Financial Company CP, and $93 billion in ABCP. Also, the Proportion of Non-Government Securities in All Taxable Funds was 41.5% at month-end, up from 50.5% the previous month. All MMF Repo with Federal Reserve was $200.9 billion on Feb. 28, 2015, up from $173.2 billion on Jan. 31, and down from $371.1 billion at year-end. Finally, the Trend in Longer Maturity Securities in Prime MMFs said 44.0% were in maturities of 60 days and over, while 11.6% were in maturities of 180 days and over.
