The Securities and Exchange Commission's latest "Money Market Fund Statistics" summary shows that total money fund assets increased by $704.8 billion in March to a record $4.739 trillion, the 20th increase in the past 21 months and by far the latest increase in history. (Month-to-date in April through 4/24, assets have jumped by another $403.0 billion to $4.994 trillion according to our MFI Daily.) The SEC shows that Prime MMFs plunged $124.5 billion in March to $984.8 billion, while Govt & Treasury funds skyrocketed by $838.3 billion to $3.622 trillion. Tax Exempt funds fell by $9.0 billion to $132.0 billion. (MFI Daily shows Prime up $71.3 billion, and Govt MMFs up $324.6B in April so far.) Yields were down for Prime MMFs and Govt MMFs while Tax-Exempt MMF yields spiked 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. We review their latest numbers below.
March's overall asset increase follows an increase of $17.3 billion in February, 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 and $690 million in April. Over the 12 months through 3/31/20, total MMF assets increased by $1.245 trillion, or 35.6%, 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 $4.739 trillion in assets, $984.8 trillion was in Prime funds, which slid $124.5 billion in March. This follows a decrease of $13.9 billion in February, 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 and $11.7 billion in September. Prime funds represented 20.8% of total assets at the end of March. They've increased by $12.7 billion, or 0.01%, over the past 12 months.
Government & Treasury funds totaled $3.622 trillion, or 76.4% of assets. They jumped $838.3 billion in March after rising $32.0 billion in February, falling $31.4 billion in January and rising $64.7 billion in December, $24.2 billion in November, $46.6 billion in October and $72.9 billion in September. Govt & Treas MMFs are up a staggering $1.245 trillion over 12 months, or 52.4%. Tax Exempt Funds decreased $9.0B to $132.0 billion, or 2.8% of all assets. The number of money funds was 362 in January, down five from the previous month and down eight funds from a year earlier.
Yields for Taxable MMFs were mixed in March, with only Tax Exempt yields rising. The declines of the past 12 months follow almost 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Mar. 31 was 0.94%, down 79 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 1.15%, down 64 basis points. Gross yields were 0.55% for Government Funds, down 1.09% from last month. Gross yields for Treasury Funds were down 106 bps at 0.57%. Gross Yields for Muni Institutional MMFs rose from 1.17% in February to 3.36%. Gross Yields for Muni Retail funds jumped from 1.20% to 3.35% in March.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.87%, down 78 bps from the previous month and down 1.65% since 3/31/19. The Average Net Yield for Prime Retail Funds was 0.89%, down 65 bps from the previous month and down 1.50% since 3/31/19. Net yields were 0.32% for Government Funds, down 1.06% from last month. Net yields for Treasury Funds decreased 105 basis points to 0.35%. Net Yields for Muni Institutional MMFs jumped from 1.05% in February to 3.21%. Net Yields for Muni Retail funds increased from 0.93% to 3.07% in March. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in March. The average Weighted Average Life, or WAL, was 57.9 days (down 6.5 days from last month) for Prime Institutional funds, and 59.8 days for Prime Retail funds (down 3.2 days). Government fund WALs averaged 98.3 days (up 6.4 days) while Treasury fund WALs averaged 92.4 days (down 5.0 days). Muni Institutional fund WALs were 14.2 days (down 1.5 days), and Muni Retail MMF WALs averaged 34.2 days (up 0.4 days).
The Weighted Average Maturity, or WAM, was 31.3 days (up 0.2 days from the previous month) for Prime Institutional funds, 34.5 days (up 1.2 days from the previous month) for Prime Retail funds, 34.4 days (up 5.0 days) for Government funds, and 41.6 days (up 3.4 days) for Treasury funds. Muni Inst WAMs were down 1.2 days to 13.9 days, while Muni Retail WAMs increased 0.3 days to 31.8 days.
Total Daily Liquid Assets for Prime Institutional funds were 42.5% in March (up 5.2% from the previous month), and DLA for Prime Retail funds was 33.9% (up 8.2% from previous month) as a percent of total assets. The average DLA was 46.9% for Govt MMFs and 94.3% for Treasury MMFs. Total Weekly Liquid Assets was 55.2% (up 3.9% from the previous month) for Prime Institutional MMFs, and 45.3% (up 4.2% from the previous month) for Prime Retail funds. Average WLA was 68.0% for Govt MMFs and 99.0% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for March 2020," the largest entries included: Canada with $139.3 billion, Japan with $87.0 billion, the U.S. with $80.0 billion, France with $71.1B, Germany with $43.7B, Aust/NZ with $41.2B, the U.K. with $40.6B, the Netherlands with $36.4B and Switzerland with $20.0B. No countries were gainers among the "Prime MMF Holdings by Country." The biggest decreases were: the U.S. (down $33.1B), France (down $30.0B), Canada (down $24.8B), Japan (down $20.3B), Germany (down $12.4B), the U.K. (down $9.5B), the Netherlands (down $8.2B), Switzerland (down $6.6B) and Aust/NZ (down $5.3B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $108.2B (down $25.4B from last month), the Eurozone subset had $162.1B (down $56.8B). The Americas had $219.6 billion (down $58.1B), while Asia Pacific had $144.0B (down $30.1B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $981.4 billion in Prime MMF Portfolios as of March 31, $281.8B (28.7%) was in CDs and Time Deposits (down from $360.8B), $303.6B (30.9%) was in Government & Treasury securities (direct and repo) (down from $308.4B), $190.3B (19.4%) was in Financial Company CP (down from $209.9B), $152.1B (15.5%) was held in Non-Financial CP and Other securities (down from $162.9B), and $53.6B (5.5%) was in ABCP (down from $64.4B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $200.3 billion, Canada with $186.2 billion, France with $181.1 billion, the U.K. with $96.2 billion, Germany with $25.4 billion, Japan with $147.0 billion and Other with $45.5 billion. All MMF Repo with the Federal Reserve jumped by $282.8 billion in March to $285.0 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 9.1%, Prime Retail MMFs with 5.7%, Muni Inst MMFs with 0.6%, Muni Retail MMFs 4.9%, Govt MMFs with 18.9% and Treasury MMFs with 15.8%.
