The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets jumped $146.1 billion in March to $4.994 trillion. (Month-to-date in April assets are down $12.2 billion through 4/21, according to our MFI Daily.) The SEC shows that Prime MMFs rose by $7.2 billion in March to $927.9 billion, Govt & Treasury funds skyrocketed $140.9 billion to $3.958 trillion and Tax Exempt funds decreased $2.0 billion to $108.2 billion. Yields were mixed 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. (Note: Thanks to those who attended our ESG & Social Money Fund Update yesterday! If you missed it, click here for the recording.)
March's overall asset increase follows an increase of $30.5 billion in February and $35.4 billion in January, a decrease of $26.1 billion in December, an increase of $18.7 billion in November, and declines of $73.6 billion in October, $117.8 billion in September, $57.0 billion in August, $66.4 billion in July and $127.3 billion in June. Prior to this, we saw increases of $31.0 billion in May, $461.6 billion in April and $704.8 billion in March. Over the 12 months through 3/31/21, total MMF assets have increased by an impressive $959.8 billion, or 23.8%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not tracked by ICI, though Crane Data includes most of these assets in its collections.)
The SEC's stats show that of the $4.994 trillion in assets, $927.9 billion was in Prime funds, up $7.2 billion in March. This follows a decrease of $29.2 billion in February, an increase of $36.4 billion in January, and decreases of $42.7 billion in December, $5.8 billion in November, $30.7 billion in October, $145.6 billion in September (when Vanguard converted its massive Prime MMF to Govt) and $7.1 billion in August. Earlier this year, we saw increases of $16.4 billion in July, $21.3 billion in June, $50.6 billion in May and $105.2 billion in April. Prime funds saw decreases of $124.5 billion in March. Prime funds represented 18.6% of total assets at the end of March. They've decreased by $56.9 billion, or -5.8%, over the past 12 months.
Government & Treasury funds totaled $3.958 trillion, or 79.3% of assets. They jumped $140.9 billion in March, after increasing $64.3 billion in February, decreasing $2.0 billion in January, increasing $19.2 billion in December, $27.7 billion in November, decreasing $41.4 billion in October, rising $35.3 billion in September and falling $49.3 billion in August and $42.6 billion in July. They plummeted $145.1 billion in June, fell $18.6 billion in May, and skyrocketed $347.3 billion in April and $838.3 billion in March. Govt & Treasury MMFs are up $335.7 billion over 12 months, or 9.3%. Tax Exempt Funds decreased $2.0 billion to $108.2 billion, or 2.2% of all assets. The number of money funds was 330 in March, down nine from the previous month, and down 32 funds from a year earlier.
Yields for Taxable MMFs were mixed in March. Steady declines over the previous 24 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on March 31 was 0.12%, down a basis point from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.17%, down a basis point. Gross yields were 0.08% for Government Funds, down two basis points from last month. Gross yields for Treasury Funds were also down two basis points at 0.07%. Gross Yields for Muni Institutional MMFs were up two basis points at 0.09% in March. Gross Yields for Muni Retail funds were up a basis point at 0.13% in March.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.07%, down a basis point from the previous month and down four basis points since 12/31/20. The Average Net Yield for Prime Retail Funds was 0.02%, unchanged from the previous month, and down a basis point since 12/31/20. Net yields were 0.02% for Government Funds, unchanged from last month. Net yields for Treasury Funds were also unchanged from the previous month at 0.01%. Net Yields for Muni Institutional MMFs were up two basis points from February at 0.04%. Net Yields for Muni Retail funds were unchanged at 0.01% in March. (Note: These averages are asset-weighted.)
WALs and WAMs were down across the board in March. The average Weighted Average Life, or WAL, was 58.2 days (down 4.5 days from last month) for Prime Institutional funds, and 51.3 days for Prime Retail funds (down 0.2 days). Government fund WALs averaged 92.1 days (down 4.2 days) while Treasury fund WALs averaged 95.4 days (down 4.4 days). Muni Institutional fund WALs were 14.3 days (down 1.2 days from the previous month), and Muni Retail MMF WALs averaged 26.2 days (down 0.2 days).
The Weighted Average Maturity, or WAM, was 39.9 days (down 3.5 days from the previous month) for Prime Institutional funds, 44.4 days (down 0.3 days from the previous month) for Prime Retail funds, 43.2 days (down 2.2 days) for Government funds, and 46.5 days (down 2.3 days) for Treasury funds. Muni Inst WAMs were down 1.5 days to 13.5 days, while Muni Retail WAMs decreased 0.5 days to 25.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.6% in March (up 0.3% from the previous month), and DLA for Prime Retail funds was 33.7% (up 2.2% from previous month) as a percent of total assets. The average DLA was 69.2% for Govt MMFs and 95.4% for Treasury MMFs. Total Weekly Liquid Assets was 62.6% (down 0.7% from the previous month) for Prime Institutional MMFs, and 44.0% (down 2.6% from the previous month) for Prime Retail funds. Average WLA was 83.5% for Govt MMFs and 99.2% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for March 2021," the largest entries included: Canada with $10.9.9 billion, France with $77.8 billion, Japan with $69.2 billion, the U.S. with $63.8B, the Netherlands with $40.2B, Germany with $36.0B, the U.K. with 31.4B, Aust/NZ with $28.9B and Switzerland with $17.3B. The biggest gainers among the "Prime MMF Holdings by Country" were: Aust/NZ (up $2.5 billion), the Netherlands (up $2.2B) and Switzerland (up $0.8B). The biggest decreases were: Germany (down $8.7B), the U.K. (down $8.6B), Japan (down $7.0B), France (down $6.3B), the U.S. (down $3.5B) and Canada (down $2.5B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $98.8B (down $17.1B from last month), the Eurozone subset had $166.3B (down $15.1B). The Americas had $174.0 billion (down $6.1B), while Asia Pacific had $113.4B (down $0.7B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $921.3B billion in Prime MMF Portfolios as of March 31, $346.1B (37.6%) was in Government & Treasury securities (direct and repo) (up from $310.7B), $216.1B (23.5%) was in CDs and Time Deposits (down from $245.7B), $189.0B (20.5%) was in Financial Company CP (up from $182.3B), $128.3B (13.9%) was held in Non-Financial CP and Other securities (down from $138.8B), and $41.8B (4.5%) was in ABCP (down from $44.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $213.0 billion, Canada with $154.6 billion, France with $185.0 billion, the U.K. with $78.5 billion, Germany with $18.8 billion, Japan with $144.4 billion and Other with $42.1 billion. All MMF Repo with the Federal Reserve was up $122.6 billion in March at $122.6 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.9%, Prime Retail MMFs with 4.6%, Muni Inst MMFs with 1.1%, Muni Retail MMFs with 2.8%, Govt MMFs with 15.1% and Treasury MMFs with 13.9%.
