The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary, which shows that total money fund assets rose by $87.9 billion in March to $3.494 trillion. Prime MMFs increased $99.2 billion in March to close at $972.1 billion, Govt & Treasury funds declined by $12.7 billion to $2.377 trillion. Tax Exempt funds rose by $1.3 billion to $145.0 billion. Yields declined for Tax Exempt MMFs, rose slightly for Govt funds and fell slightly for Prime MMFs in March. 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. (The SEC revised this report last month to include more history and to split Prime into Prime Inst and Prime Retail and Muni into Muni Inst and Muni Retail.) We review the latest numbers below.
Overall assets gained $87.9 billion, following an increase of $76.9 billion in February, $31.4 billion in January and $44.7 billion in December. Over the 12 months through 3/31/19, total MMF assets increased $420.3 billion, or 13.7%. (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 most of these.)
Of the $3.494 trillion in assets, $972.1 billion was in Prime funds, which rose $99.2 billion in March after increasing $57.9 billion in February. Prime funds represented 27.8% of total assets at the end of March. They've increased by $308.9 billion, or 46.6%, over the past 12 months. Government & Treasury funds totaled $2.376 trillion, or 68.0% of assets. They declined by $12.7 billion in March after increasing $21.1 billion in February. Govt & Treas MMFs are up $103.5 billion over 12 months, or 3.4%. Tax Exempt Funds increased $7.9B to $145.0 billion, 4.2% of all assets. The number of money funds was 370 in March, unchanged from the previous month but down nine funds from a year earlier.
Yields for Taxable MMFs were mixed again in March following 16 months in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on March 31 was 2.59%, down by 3 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was `2.65%, down 1 basis point from the previous month. Gross yields moved to 2.49% for Government Funds, up 2 basis points from last month. Gross yields for Treasury Funds increased 2 basis point to 2.49%. Gross Yields for Muni Institutional MMFs decreased from 1.76% in February to 1.53%. Gross Yields for Muni Retail funds decreased from 1.78% to 1.59% in March.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.52%, unchanged from the previous month and up 0.77% since 03/31/18. The Average Net Yield for Prime Retail Funds was 2.39%, unchanged from the previous month and up 0.82% since 03/31/18. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in March. The average Weighted Average Life, or WAL, was 56.9 days (down 2.1 days from last month) for Prime Institutional funds, and 67.0 days for Prime Retail funds (up 3 days). Government fund WALs averaged 93 days (up 4.7 days) while Treasury fund WALs averaged 92.5 days (up 0.2 days). Muni Institutional fund WALs were 15 days (up 1.0 day), and Muni Retail MMF WALs averaged 27.6 days (down 0.3 days).
The Weighted Average Maturity, or WAM, was 33.3 days (up 4.3 days from the previous month) for Prime Institutional funds, 39.4 days (up 4.6 days from the previous month) for Prime Retail funds, 29.7 days (up 2.8 days) for Government funds, and 32.4 days (up 0.9 days) for Treasury funds. Muni Inst WAMs were up 0.7 days to 14.2 days, while Muni Retail WAMs decreased by 0.1 days to 25.3 days.
Total Daily Liquid Assets for Prime Institutional funds were 41.3% in March (up by 1.3% from the previous month), and DLA for Prime Retail funds was 27.6% (up 0.1% from previous month) as a percent of total assets. The average DLA was 44.2% for Govt MMFs and 92.1% for Treasury MMFs. Total Weekly Liquid Assets was 55.9% (up 1.6% from the previous month) for Prime Institutional MMFs, and 41.2% (down 1.2% from the previous month) for Prime Retail funds. Average WLA was 69.5% for Govt MMFs and 98.1% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for March 2019," the largest entries included: Canada with $118.7 billion, the U.S. with $104.8 billion, Japan with $86.9 billion, France with $65.4B, the U.K. with $44.6B, Germany with $40.1B, Australia/New Zealand with $36.0B, the Netherlands with $32.5B and Switzerland with $21.6B. The biggest gainers among the "Prime MMF Holdings by Country" include: the U.S. (up $10.4B), Germany (up $8.7B), the Netherlands (up $7.4B), Canada (up $6.3B) and the UK (up $109M). The biggest drops came from France (down $14.3B), Switzerland (down $7.9B), Japan (down $2.1B) and Australia/New Zealand (down $1 million).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $276.3B (down $13.8B from last month), the Eurozone subset had $146.0B (down $5.1B). The Americas had $224.1 billion (up $16.7B), while Asia Pacific had $141.5 billion (up $1.9B).
The "Prime MMF Portfolio Composition" chart shows that of the $972.1 billion in Prime MMF Portfolios as of March 31, $282.8B (29.1%) was in CDs and Time Deposits (down from $298.0B), $314.0B (32.3%) was in Government & Treasury securities (direct and repo) (up from $244.6B), $130.1B (13.4%) was held in Non-Financial CP and Other securities (up from $109.3B), $186.9B (19.2%) was in Financial Company CP (up from $167.8B), and $58.0B (6.0%) was in ABCP (down from $59.1B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $191.6 billion, Canada with $165.7 billion, France with $172.3 billion, Germany with $23.1 billion, Japan with $123.8 billion, the U.K. with $89.4 billion and Other with $221.0 billion. All MMF Repo with the Federal Reserve decreased by $2.7 billion in March to $721 million.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 7.3%, Prime Retail MMFs with 7.8%, Muni Inst MMFs with 0.7%, Muni Retail MMFs with 2.9%, Govt MMFs with 16.0% and Treasury MMFs with 15.2%.
