The Securities and Exchange Commission's latest "Money Market Fund Statistics" summary shows that total money fund assets increased by $17.3 billion in February to $4.034 trillion, the 19th increase in the past 20 months. (Month-to-date in March through 3/24, assets have skyrocketed by an incredible $464.4 billion to $4.430 trillion according to our MFI Daily.) The SEC shows that Prime MMFs dropped $13.9 billion in February to $1.109 trillion, while Govt & Treasury funds jumped by $32.0 billion to $2.784 trillion. Tax Exempt funds fell by $0.8 billion to $141.0 billion. (MFI Daily shows Prime down $145.1 billion, and Govt MMFs up $618.6B in March so far.) Yields were down for Prime MMFs, Govt MMFs remained flat and Tax-Exempt MMF yields increased in February. 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.
February's asset increase follows a decrease of $4.3 billion in January and increases of $37.2 billion in December, $45.6 billion in November, $88.6 billion in October, $82.9 billion in September, $76.3 billion in August, $75.6 billion in July, $41.9 billion in June, $78.2 billion in May, $690 million in April and $87.9 billion in March. Over the 12 months through 2/29/20, total MMF assets increased by $627.7 billion, or 18.4%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not reported to ICI or others, though Crane Data tracks most of these.)
The SEC's stats show that of the $4.034 trillion in assets, $1.109 trillion was in Prime funds, which fell $13.9 billion in February. This follows an increase of $28.1 billion in January, a decrease of $26.5 billion in December and increases of $20.2 billion in November, $38.4 billion in October, $11.7 billion in September and $10.6 billion in August. Prime funds represented 27.5% of total assets at the end of February. They've increased by $236.4 billion, or 27.1%, over the past 12 months.
Government & Treasury funds totaled $2.784 trillion, or 69.0% of assets. They jumped 32.0 billion in February after falling $31.4 billion in January and rising $64.7 billion in December, $24.2 billion in November, $46.6 billion in October, $72.9 billion in September and $66.0 billion in August. Govt & Treas MMFs are up $394.0 billion over 12 months, or 16.5%. Tax Exempt Funds decreased $0.8B to $141.0 billion, or 3.5% of all assets. The number of money funds was 367 in January, unchanged from the previous month and down 3 funds from a year earlier.
Yields for Taxable MMFs were mixed in February, with only Tax Exempt yields rising. The declines of the past 11 months follow almost 24 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Feb. 29 was 1.73%, down 10 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 1.79%, down 4 basis points. Gross yields were 1.64% for Government Funds, unchanged from last month. Gross yields for Treasury Funds were also unchanged at 1.63%. Gross Yields for Muni Institutional MMFs rose from 0.97% in January to 1.17%. Gross Yields for Muni Retail funds jumped from 1.00% to 1.20% in February.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 1.65%, down 9 bps from the previous month and down 87 bps since 2/29/19. The Average Net Yield for Prime Retail Funds was 1.58%, down 4 bps from the previous month and down 0.85% since 2/29/19. Net yields were 1.38% for Government Funds, unchanged from last month. Net yields for Treasury Funds decreased 1 basis points to 1.40%. Net Yields for Muni Institutional MMFs jumped from 0.84% in January to 1.05%. Net Yields for Muni Retail funds increased from 0.73% to 0.93% in February. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in February. The average Weighted Average Life, or WAL, was 64.4 days (up 1.0 days from last month) for Prime Institutional funds, and 63.0 days for Prime Retail funds (down 1.1 days). Government fund WALs averaged 91.9 days (down 1.1 days) while Treasury fund WALs averaged 97.4 days (up 2.4 days). Muni Institutional fund WALs were 15.7 days (down 0.6 days), and Muni Retail MMF WALs averaged 33.8 days (down 0.9 days).
The Weighted Average Maturity, or WAM, was 31.1 days (up 0.5 days from the previous month) for Prime Institutional funds, 33.3 days (up 1.0 days from the previous month) for Prime Retail funds, 29.4 days (down 0.7 days) for Government funds, and 38.2 days (up 0.1 days) for Treasury funds. Muni Inst WAMs were down 0.8 days to 115.1 days, while Muni Retail WAMs decreased 0.9 days to 31.5 days.
Total Daily Liquid Assets for Prime Institutional funds were 47.3% in February (up 0.3% from the previous month), and DLA for Prime Retail funds was 25.7% (up 1.1% from previous month) as a percent of total assets. The average DLA was 46.8% for Govt MMFs and 89.6% for Treasury MMFs. Total Weekly Liquid Assets was 51.3% (down 1.8% from the previous month) for Prime Institutional MMFs, and 41.1% (up 0.5% from the previous month) for Prime Retail funds. Average WLA was 70.3% for Govt MMFs and 97.6% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for February 2020," the largest entries included: Canada with $164.1 billion, the US with $113.1 billion, Japan with $107.3 billion, France with $101.1B, Germany with $56.1B, the UK with $50.1B, Australia/New Zealand with $46.5B, the Netherlands with $44.6B and Switzerland with $26.6B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $14.5B), the UK (up $5.4B), the Netherlands (up $1.8B) and Germany (up $1.6B). The biggest decreases were the Japan (down $8.4B), Australia/New Zealand (down $8.3B), France (down $7.1B), Switzerland (down $6.3B) and the U.S. (down $6.0B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $133.6B (down $4.3B from last month), the Eurozone subset had $21.18.9B (down $3.9B). The Americas had $277.7 billion (up $8.6B), while Asia Pacific had $174B (down $20.2B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.106 trillion in Prime MMF Portfolios as of February 29, $360.8B (32.6%) was in CDs and Time Deposits (down from $369.1B), $308.4B (27.9%) was in Government & Treasury securities (direct and repo) (down from $311.0B), $209.9B (19.0%) was in Financial Company CP (down from $226.9B), $162.9B (14.7%) was held in Non-Financial CP and Other securities (up from $153.9B), and $64.4B (5.8%) was in ABCP (up from $60.3B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $210.7 billion, Canada with $166.5 billion, France with $213.7 billion, the UK with $121.2 billion, Germany with $24.5 billion, Japan with $151.7 billion and Other with $41.6 billion. All MMF Repo with the Federal Reserve fell by $2.3 billion in February to $2.2 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 10.3%, Prime Retail MMFs with 7.7%, Muni Inst MMFs with 2.3%, Muni Retail MMFs 5.9%, Govt MMFs with 18.1% and Treasury MMFs with 17.2%.
