The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total assets were flat (down a fraction) in March, with Prime funds gaining $12.1 billion (after gaining $24.9B in Feb.), Tax Exempt MMFs losing $0.6 billion and Government funds losing $14.5 billion. Gross yields jumped for both Taxable MMFs and Tax Exempt MMFs following the mid-month Fed hike. 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 the SEC's latest recap below.
Money market fund assets decreased by $1.7 billion in March to $2.930 trillion. (The SEC's series includes some private and internal funds not reported to ICI or other reporting agencies; note that Crane Data is in the process of adding many of these to our collections.) Overall assets increased by $14.2 in February, but decreased by $41.1 billion in January and $16.6 billion in December. Over the past 12 months through 3/31/17, total MMF assets have declined by $142.7 billion, or 4.6%.
Of the $2.930 trillion in assets, $599.1 billion was in Prime funds, which increased by $12.1 billion in March. Prime MMFs increased $24.9 billion in February and $11.7 billion in Jan., but 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 20.5% of total assets at the end of March. They've declined by $919.0 billion the past 12 months, or 60.5%, but they've increased by $48.8 billion, or 8.9%, YTD.
Government & Treasury funds totaled $2.195 billion, or 74.9% of assets,, down $14.5 billion in March. They fell $10.1 billion in February, $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 $883.4 billion over 12 months (67.3%). Tax Exempt Funds decreased $0.6 billion to $135.4 billion, or 4.6% of all assets. The number of money funds is 411, unchanged from last month and down 79 from 3/31/16.
Yields were up sharply in March for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on March 31 was 1.03%, up 12 basis points from the previous month, and almost double the 0.55% of March 2016. Gross yields increased to 0.76% for Government/Treasury funds, up 0.15% from the previous month and up 0.37% since 3/16. Tax Exempt Weighted Average Gross Yields increased 0.17% in March to 0.87%, and they've risen 54 bps since 3/31/16).
The Weighted Average Net Prime Yield was 0.80%, up 0.12% from the previous month and up 0.46% since 3/16. The Weighted Average Prime Expense Ratio was 0.23% in March (unchanged from February). Prime expense ratios have risen from 0.21% in March 2016. (Note: These averages are asset-weighted.)
WAMs shortened while WALs were mixed in March. The average Weighted Average Life, or WAL, was 59.6 days (up 1.0 day from last month) for Prime funds, 90.7 days (down 2.6 days) for Government/Treasury funds, and 23.7 days (down 2.3 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 27.4 days (down 1.9 days from the previous month) for Prime funds, 38.7 days (down 2.2 days) for Govt/Treasury funds, and 21.3 days (down 1.8 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 35.4% in March (up 3.1% from previous month). Total Weekly Liquidity was 50.3% (up 0.1%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $81.1 billion, followed by the U.S. with $56.2 billion. Sweden was third with $49.2B, followed by Japan with $47.5 billion, France ($47.4B), Australia/New Zealand with $38.8B, Germany ($26.1B) and the UK ($18.2B). The Netherlands ($16.4B) and Switzerland ($10.9B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: Canada (up $14.6 billion), Sweden (up $7.2B), Aust/NZ (up $3.5B), Japan (up $2.5B), the U.S. (up $2.3B), Other (up $883M), China (up $556M), Singapore (up $381M), and the Netherlands (up $37M). The biggest drops came from France (down $14.7B), Belgium (down $5.6B), the UK (down $2.4B), Norway (down $1.4B), Switzerland (down $1.2B), Spain (down $446M), and Germany (down $404M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $186.3B (down $17.9B from last month), while the Eurozone subset had $95.3 billion (down $20.6B). The Americas had $138.3 billion (up from $121.2B), while Asian and Pacific had $97.0 billion (up from $90.1B).
Of the $593.9 billion in Prime MMF Portfolios as of March 31, $245.7B (41.4%) was in CDs (up from $244.0B), $122.9B (20.7%) was in Government securities (including direct and repo), up from $109.1B, $93.2B (15.7%) was held in Non-Financial CP and Other Short Term Securities (down from $104.0B), $100.7B (17.0%) was in Financial Company CP (up from $94.7B), and $31.5B (5.3%) was in ABCP (down from $31.9B).
The Proportion of Non-Government Securities in All Taxable Funds was 18.0% at month-end, up from 17.4% the previous month. All MMF Repo with Federal Reserve increased to $328.1B in March from $194.0B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.3% were in maturities of 60 days and over (down from 36.0%), while 8.8% were in maturities of 180 days and over (up from 7.0%).
