The U.S. Securities & Exchange Commission released its latest "Money Market Fund Statistics" and the Investment Company Institute published its weekly "Money Market Fund Assets" yesterday. The SEC's report confirmed that assets fell (led by a sharp drop in Prime MMFs) and yields continued to rise in March, while the ICI's latest update shows money fund assets plunging in the latest week, which included the April 15 (or 18 this year) tax date. 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. (Note that the SEC had been releasing the full Form N-MFP data to the public with a 2-month lag, but this lag was removed last week after the "Additional Disclosures" segment of the SEC's 2014 MMF Reforms went into effect. See our April 14 News, "Money Fund Disclosure Reforms Go Live; Websites Add MNAVs, DLA, WLA.")

The SEC's latest statistics show total money market fund assets dropped by $50.1 billion in March to $3.072 trillion. Assets rose $58.5 billion in February, fell $21.4 billion in January, rose $6.0 billion in December, fell $6.6 billion in November, and rose $62.3 billion in October, according to the SEC's broad total. (This series includes some private and internal funds not reported to ICI, Crane Data or other reporting agencies.) Year-to-date, total assets are down $13.0 billion through 3/31.

Of the $3.072 trillion in assets, $1.518 trillion was in Prime funds, down $68.5 billion in March. Prime funds now represent 49.4% of total assets, the first time they've dropped below 50% in the 2 years the SEC's been publishing these numbers. (Note that Prime funds still are larger than Govt MMFs in the SEC's series, which includes private and internal funds.) Government & Treasury funds total $1.312 trillion, or 42.7% of assets, up $24.4 billion in March. Tax Exempt Funds were down again, dropping $6.0 billion to $242.5 billion, or 7.9% of all assets. The number of money funds was 490, down 6 for the month and down 52 for the year.

Yields continued to rise in March. The Weighted Average Gross 7-Day Yield for Prime Funds on March 31 was 0.55%, up 0.02% from the previous month and more than double the 0.27% of Nov. 2015. Gross yields were 0.39% for Government/Treasury funds, up 0.02% from last month and up 0.24% from 11/15. Tax Exempt Weighted Gross Yields rose from the dead, jumping 25 bps to 0.33%. The Weighted Average Net Prime Yield was 0.33%, up 1 basis point from the month before and up 0.22% since 11/15. For the year-to-date, 7-day gross yields are up 14 basis points and net yields are up 11 basis points. The Weighted Average Prime Expense Ratio was 0.21% (the same as the previous month). Prime expense ratios have risen from 0.16% in Nov. 2015 to 0.21% currently.

Maturities continued to inch lower and liquidity continued to inch higher in March. The average Weighted Average Life, or WAL, was 55.5 days (down 3.0 days from last month) for Prime funds, 95.5 days (up 2.9 days) for Government/Treasury funds, and 27.4 days (up 1.0 day) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 35.1 days (down 0.1 days from the previous month) for Prime funds, 41.9 days (up 0.4 days) for Govt/Treasury funds, and 23.4 days (down 0.4 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 31.0% in March (up 0.3% from last month). Total Weekly Liquidity was 44.7% (up 1.7%).

In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, the United States topped the list with $176.3 billion, followed by Canada with $165.5 billion and Japan with $163.3 billion. France was fourth with $132.4 billion, followed by Sweden ($91.6B), Australia/New Zealand ($69.0B), UK ($63.8B), and Germany ($50.4B). The Netherlands ($49.8B) and Switzerland ($41.7B) round out the top 10. The biggest gainers among Prime MMF bank related securities for the month were Japan (up $7.1B), Germany (up $3.8B), Other (up $1.3B), China (up $1.3B), and Spain (up $81M). The biggest drops came from France (down $57.8B), Norway (down $30.1B), Sweden (down $20.9B), Canada (down $16.3B), and the US (down $14.6). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $454.7 billion (down from $584.9B from last month), while its subset, the Eurozone, had $242.3 billion (down from $304.9B). The Americas had $344.0 billion (up from $374.9B), while Asia and Pacific had $257.9 billion (down from $262.1B).

Of the $1.505 trillion in Prime MMF Portfolios as of March 31, $470.1B (31.2%) was in CDs (down from $509.3B), $409.5B (27.2%) was in Government (including direct and repo) (down from $338.5B), $301.9B (20.1%) was held in Non-Financial CP and Other Short Term Securities (down from $413.8B), $223.8B (14.9%) was in Financial Company CP (down from $229.7B), and $99.4B (6.6%) was in ABCP (down from $99.4B). Also, the Proportion of Non-Government Securities in All Taxable Funds was 39.0% at month-end, down from 43.5% the previous month. All MMF Repo with Federal Reserve was $257.1 billion on March 31, up from $79.4B. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 37.2% were in maturities of 60 days and over (down from 37.6%), while 4.6% were in maturities of 180 days and over (down from 4.7%).

ICI's MMF Assets release says, "Total money market fund assets decreased by $32.85 billion to $2.70 trillion for the week ended Wednesday, April 20, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $11.22 billion and prime funds decreased by $19.13 billion. Tax-exempt money market funds decreased by $2.51 billion." (Last year, ICI showed assets falling $38.6 billion the week ended April 15, and $35.1 billion the prior year.)

It explains, "Assets of retail money market funds decreased by $4.21 billion to $984.66 billion. Among retail funds, government money market fund assets increased by $780 million to $382.62 billion, prime money market fund assets decreased by $2.99 billion to $431.76 billion, and tax-exempt fund assets decreased by $2.00 billion to $170.27 billion. Assets of institutional money market funds decreased by $28.64 billion to $1.71 trillion. Among institutional funds, government money market fund assets decreased by $12.00 billion to $894.16 billion, prime money market fund assets decreased by $16.13 billion to $770.00 billion, and tax-exempt fund assets decreased by $510 million to $49.43 billion."

Finally, ICI adds in a Note, "In anticipation of the Securities and Exchange Commission's (SEC) new money market fund regulations, many advisers are changing their prime money market funds into government money market funds. As a result, there have been, and will continue to be, large shifts in assets from prime funds to government funds before the October 2016 deadline."

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