The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week, which shows that total assets increased in February, with Prime funds gaining $24.9 billion (after gaining $11.7B in Jan.), Tax Exempt MMFs losing $0.6 billion and Government funds losing $10.1 billion. Gross yields continued higher for Taxable MMFs, but declined again for Tax Exempt MMFs. 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.
Money market fund assets increased by $14.2 billion in February to $2.931 trillion. (The SEC's series includes some private and internal funds not reported to ICI or other reporting agencies, though Crane Data is in the process of adding many of these to our collections.) Overall assets decreased by $41.1 billion in January and $16.6 billon in December, but increased by $60.1 billion in November. Over 12 months through 2/28/17, total MMF assets declined by $191.1 billion, or 6.1%.
Of the $2.931 trillion in assets, $587.0 billion was in Prime funds, which increased by $24.9 billion in February to their highest level since Sept. 2016. Prime MMFs increased $11.7 billion in Jan., decreased $15.5 billion in December, increased $3.4 billion in Nov., and decreased by $177.4 billion in October, $293.2 billion in Sept., and $201.3 billion in August. Prime funds represented 20.0% of total assets at the end of February. They've declined by $999.7 billion the past 12 months, or 63.0%.
Government & Treasury funds totaled $2.210 billion, or 75.4% of assets,, down $10.1 billion in February. They fell $53.8 billion in January and $10.2 billion in Dec., but rose $56.4 billion in November, $148.0 billion in October, $268.3 billion in Sept., and $212.0 billion in August. Govt & Treas MMFs are up $922.2 billion over 12 months (71.6%). Tax Exempt Funds decreased $0.6 billion to $134.8 billion, or 4.6% of all assets. The number of money funds was 411, unchanged from last month and down 85 from 2/28/16.
Yields were mixed in February for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on Feb. 28 was 0.91%, unchanged from the previous month, but almost double the 0.53% of January 2016. Gross yields increased to 0.61% for Government/Treasury funds, up 0.01% from the previous month and up 0.24% since 2/16. Tax Exempt Weighted Average Gross Yields decreased 0.02% in February to 0.70%, but they've risen 62 bps since 2/28/16).
The Weighted Average Net Prime Yield was 0.678, up 0.01% from the previous month and up 0.36% since 2/16. Over 12 months, 7-day gross yields for Prime are up 38 basis points (to 0.91%) but unchanged from last month. (They should jump in March though given last week's Fed hike.) The Weighted Average Prime Expense Ratio was 0.23% in February (down one bps from January). Prime expense ratios have risen from 0.21% in February 2016. (Note: These averages are asset-weighted.)
Both WAMs and WALs shortened again in February. The average Weighted Average Life, or WAL, was 58.6 days (down 1.8 days from last month) for Prime funds, 93.3 days (down 2.9 days) for Government/Treasury funds, and 26.0 days (down 0.9 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 29.3 days (down 1.5 days from the previous month) for Prime funds, 40.9 days (down 2.6 days) for Govt/Treasury funds, and 23.1 days (down 1.4 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 32.3% in February (down 1.3% from previous month). Total Weekly Liquidity was 50.2% (up 0.2%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $66.5 billion, followed by France with $62.1 billion. The U.S. was third with $53.9B, followed by Japan with $44.9 billion, Sweden ($42.0B), Australia/New Zealand with $35.3B, Germany ($26.5B) and the UK ($20.6B). The Netherlands ($16.4B) and Switzerland ($12.0B) rounded out the top 10.
The only gainers among Prime MMF bank related securities for the month included: France (up $7.0 billion), Sweden (up $3.2B), Norway (up $2.9B), Aust/NZ (up $2.3B), Canada (up $2.2B), Other (up $1.7B), Japan (up $1.2B), Germany (up $1.2B), Belgium (up $436M), Switzerland (up $276M), Singapore (up $226M), and Spain (up $216M). The biggest drops came from the US (down $4.1B), the UK (down $3.5B), the Netherlands (down $405M), and China (down $268M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $204.2B (up $12.3B from last month), while the Eurozone subset had $116.0 billion (up $8.4B). The Americas had $121.2 billion (down from $122.9B), while Asian and Pacific had $90.2 billion (down from $86.2B).
Of the $583.7 billion in Prime MMF Portfolios as of Feb. 28, $244.0B (41.8%) was in CDs (up from $232.3B), $109.1B (18.7%) was in Government securities (including direct and repo), up from $105.9B, $104.0B (17.8%) was held in Non-Financial CP and Other Short Term Securities (the same as last month), $94.7B (16.2%) was in Financial Company CP (up from $86.9B), and $31.9B (5.5%) was in ABCP (up from $31.9B).
The Proportion of Non-Government Securities in All Taxable Funds was 17.4% at month-end, up from 16.8% the previous month. All MMF Repo with Federal Reserve increased to $194.0B in February from $165.2B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 36.0% were in maturities of 60 days and over (down from 38.1%), while 7.0% were in maturities of 180 days and over (up from 6.9%).
