The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary yesterday, which shows that total money fund assets were flat last month, rising by just $690 million in April to $3.495 trillion. Prime MMFs increased $27.8 billion in April to close at $1.000 trillion, Govt & Treasury funds declined by $20.7 billion to $2.356 trillion. Tax Exempt funds fell by $6.4 billion to $138.6 billion. Yields jumped for Tax Exempt MMFs, but were flat or slightly lower for Govt and Prime MMFs in April. 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 earlier this year 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 just $690 million in April, following an increase of $87.9 billion in March, $76.9 billion in February and $31.4 billion in January. Over the 12 months through 4/30/19, total MMF assets increased $390.0 billion, or 12.6%. (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 $3.495 trillion in assets, $1.000 trillion was in Prime funds, which rose $27.8 billion in April after increasing $99.2 billion in March and $57.9 billion in February. Prime funds represented 28.6% of total assets at the end of April. They've increased by a whopping $314.6 billion, or 45.9%, over the past 12 months. Government & Treasury funds totaled $2.356 trillion, or 67.4% of assets. They declined by $20.7 billion in April after declining by $12.7 billion in March and increasing $21.1 billion in February. Govt & Treas MMFs are up $72.7 billion over 12 months, or 3.2%. Tax Exempt Funds decreased $6.4B to $138.6 billion, 4.0% of all assets. The number of money funds was 370 in April, unchanged from the previous month but down 11 funds from a year earlier.
Yields for Taxable MMFs were mixed again in April (and March) following 16 months in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on April 30 was 2.58%, down 1 basis point from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was `2.63%, down 2 basis points from the previous month. Gross yields remained at 2.49% for Government Funds, unchanged from last month. Gross yields for Treasury Funds decreased 1 basis point to 2.48%. Gross Yields for Muni Institutional MMFs jumped from 1.53% in March to 2.23%. Gross Yields for Muni Retail funds increased from 1.59% to 2.20% in April.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.50%, down 2 bps from the previous month and up 0.65% since 4/30/18. The Average Net Yield for Prime Retail Funds was 2.37%, also down 2 bps from the previous month but up 0.67% since 4/30/18. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly lower in April. The average Weighted Average Life, or WAL, was 56.4 days (down 0.5 days from last month) for Prime Institutional funds, and 62.5 days for Prime Retail funds (down 4.5 days). Government fund WALs averaged 90.9 days (down 2.1 days) while Treasury fund WALs averaged 92.6 days (up 0.1 days). Muni Institutional fund WALs were 12.9 days (down 1.7 day), and Muni Retail MMF WALs averaged 25.1 days (down 2.5 days).
The Weighted Average Maturity, or WAM, was 32.9 days (down 0.4 days from the previous month) for Prime Institutional funds, 34.2 days (down 5.2 days from the previous month) for Prime Retail funds, 28.2 days (down 1.5 days) for Government funds, and 31.6 days (down 0.8 days) for Treasury funds. Muni Inst WAMs were down 1.6 days to 12.6 days, while Muni Retail WAMs decreased by 2.6 days to 22.7 days.
Total Daily Liquid Assets for Prime Institutional funds were 39.9% in April (down by 1.3% from the previous month), and DLA for Prime Retail funds was 26.0% (down 1.6% from previous month) as a percent of total assets. The average DLA was 43.1% for Govt MMFs and 91.5% for Treasury MMFs. Total Weekly Liquid Assets was 54.2% (down 1.6% from the previous month) for Prime Institutional MMFs, and 41.2% (the same as the previous month) for Prime Retail funds. Average WLA was 69.3% for Govt MMFs and 98.3% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for April 2019," the largest entries included: Canada with $124.3 billion, the U.S. with $117.0 billion, Japan with $99.7 billion, France with $86.5B, Germany with $41.3B, the U.K. with $40.3B, Australia/New Zealand with $33.8B, the Netherlands with $31.6B and Switzerland with $28.4B. The biggest gainers among the "Prime MMF Holdings by Country" include: France (up $21.0B), the U.S. (up $12.8B), Japan (up $12.8B), Switzerland (up $6.8B), Canada (up $5.6B) and Germany (up $1.2B). The biggest drops came from the UK (down $4.2B), Australia/New Zealand (down $2.2B) and the Netherlands (down $890M).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $293.6B (up $17.5B from last month), the Eurozone subset had $169.1B (up $23.1B). The Americas had $241.9 billion (up $18.4B), while Asia Pacific had $152.9 billion (up $11.4B).
The "Prime MMF Portfolio Composition" chart shows that of the $1.000 trillion in Prime MMF Portfolios as of April 30, $298.7B (29.8%) was in CDs and Time Deposits (up from $282.8B), $310.3B (31.0%) was in Government & Treasury securities (direct and repo) (down from $313.3B), $140.9B (14.1%) was held in Non-Financial CP and Other securities (up from $130.1B), $192.1B (19.2%) was in Financial Company CP (up from $186.9B), and $59.5B (5.9%) was in ABCP (down from $58.0B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $194.5 billion, Canada with $140.4 billion, France with $217.6 billion, Germany with $18.2 billion, Japan with $134.7 billion, the U.K. with $99.9 billion and Other with $41.8 billion. All MMF Repo with the Federal Reserve decreased by $716 million in April to $5 million.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 8.2%, Prime Retail MMFs with 7.6%, Muni Inst MMFs with 0.8%, Muni Retail MMFs with 2.8%, Govt MMFs with 16.6% and Treasury MMFs with 17.7%.
