The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total money fund assets rose by $31.0 billion in April to $3.105 trillion, with most of the increase coming from Prime Funds. Prime MMF assets rose by $22.1 billion to $685.3 billion (after falling by $3.4 billion in March and $2.8 billion in February, but rising by $3.2 billion in January). Government money funds increased by $10.1 billion, while Tax Exempt MMFs fell by $1.1 billion. Gross yields rose again for all types of money funds in the latest month. 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.
Overall assets increased by $31.0 billion in April, after decreasing $48.2 billion in March and increasing $40.7 billion in February. Total MMFs decreased by $44.3 billion in January, but increased by $45.2 billion in December and $55.4 billion in November. Over the 12 months through 4/30/18, total MMF assets increased $187.7 billion, or 6.4%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, though Crane Data tracks many of these.)
Of the $3.105 trillion in assets, $685.3 billion was in Prime funds, which increased by $22.1 billion in April. Prime MMFs decreased by $3.4 billion in March and $2.8 billion in February, but increased by $3.2 billion in January. Prime funds represented 22.1% of total assets at the end of April. They've increased by $76.4 billion, or 12.5%, over the past 12 months. But they've decreased by $784.9 billion over the past 2 years. (Over $1.1 trillion shifted from Prime to Government money market funds in the year leading up to October 2016's Money Fund Reforms.)
Government & Treasury funds totaled $2.283 billion, or 73.5% of assets,. They were down $41.7 billion in March, but up $44.9 billion in February. Govt MMFs were down $54.7 billion in January, but up by $57.3 billion in December. Govt & Treas MMFs are up $108.3 billion over 12 months (5.0%). Tax Exempt Funds decreased $1.1B to $136.0 billion, or 4.4% of all assets. The number of money funds was 381 in April, two more than last month.
Yields moved higher again in April, after jumping in March and increasing in February, January, December, November and October. The Weighted Average Gross 7-Day Yield for Prime Funds on April 30 was 1.96%, up 10 basis points from the previous month and up 0.88% from April 2017. Gross yields increased to 1.74% for Government/Treasury funds, up 0.05% from the previous month, and up from 0.94% from April 2017. Tax Exempt Weighted Average Gross Yields rose 25 bps in April to 1.71%; they've increased by 77 bps since 4/30/17.
The Weighted Average Net Prime Yield was 1.79%, up 0.12% from the previous month and up 0.93% since 4/30/17. The Weighted Average Prime Expense Ratio was 0.18% in April (down one bp from the previous month). Prime expense ratios are down by 4 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were down across all categories in April. The average Weighted Average Life, or WAL, was 56.7 days (down 5.3 days from last month) for Prime funds, 87.6 days (down 3.5 days) for Government/Treasury funds, and 22.9 days (down 2.7 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 26.9 days (down 2.9 days from the previous month) for Prime funds, 30.4 days (down 3.3 days) for Govt/Treasury funds, and 20.1 days (down 3.5 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 32.3% in April (up 0.8% from previous month). Total Weekly Liquidity was 50.2% (up 1.1%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $84.9 billion, followed by the US with $66.0 billion, France with $61.3B, Japan with $57.7B, and Sweden with $43.8B. The UK ($38.8B), Australia/New Zealand ($36.7B), Germany ($31.3B), Switzerland ($30.5B) and the Netherlands ($28.1B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: Switzerland (up $12.4B), France (up $11.0B), Sweden (up $11.0B), Japan (up $4.6B), Belgium (up $4.3M), Norway (up $2.5B), and Germany (up $1.1B). The biggest drops came from Canada (down $5.4B), Australia/New Zealand (down $3.2B), the United States (down $1.9B), Singapore (down $1.2B), the Netherlands (down $872M), China (down $217M), and Spain (down $27M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $254.9B (up $41.4B from last month), while the Eurozone subset had $130.6B billion (up $15.3B). The Americas had $151.4 billion (down $7.3B), while Asia Pacific had $108.5 billion (up $1.7B).
Of the $684.2 billion in Prime MMF Portfolios as of April 30, $242.6B (35.4%) was in CDs (up from $222.9B), $163.5B (23.9%) was in Government securities (including direct and repo), up from $161.9B, $97.6B (14.3%) was held in Non-Financial CP and Other Short Term Securities (down from $99.0B), $142.4B (20.8%) was in Financial Company CP (up from $132.0B), and $38.0B (5.6%) was in ABCP (down from $39.9B).
The Proportion of Non-Government Securities in All Taxable Funds was 17.7% at month-end, up from 17.0% the previous month. All MMF Repo with the Federal Reserve dropped to $13.7B in April (the lowest level ever) from $22.6B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 35.1% were in maturities of 60 days and over (down from 40.7%), while 7.0% were in maturities of 180 days and over (down from 7.6%).
