The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets declined by $29.3 billion in February to $5.061 trillion (after almost hitting a record two months prior). The SEC shows that Prime MMFs decreased by $2.7 billion in February to $824.3 billion, Govt & Treasury funds decreased $25.8 billion to $4.143 trillion and Tax Exempt funds decreased $0.8 billion to $92.8 billion. Gross yields and net yields for Taxable funds were higher 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 decrease follows a decrease of $125.1 billion in January, then gains of $122.9 billion in December, $53.7 billion in November, $7.9 billion in October, $19.9 billion in September and $24.9 billion in August. MMFs saw decreases of $39.9 billion in July and $86.9 billion in June. Assets increased $72.4 billion in May, $46.3 billion in April, $146.1 billion in March and $30.5 billion in February. Over the 12 months through 2/28/22, total MMF assets have increased by $212.9 billion, or 4.4%, 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 $5.061 trillion in assets, $824.3 billion was in Prime funds, down $2.7 billion in February, up $10.7 billion on January, down $20.5 billion in December, $21 billion in November and $12.1 billion in October. This follows an increase of $2.6 billion in September, but declines of $8.1 billion in August and $19.4 billion in July. Prime funds represented 16.3% of total assets at the end of February. They've decreased by $96.4 billion, or -10.5%, over the past 12 months. (Month-to-date in March through 3/16, total MMF assets have fallen by $10.1 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.143 trillion, or 81.9% of assets. They decreased by $25.8 billion in February, $135.2 billion in January after increasing by $144.4 billion in December, $76.0 billion in November, $21.0 billion in October, $20.4 billion in Sept. and $32.8 billion in August. Govt & Treasury MMFs are up $326.7 billion over 12 months, or 8.9%. Tax Exempt Funds decreased $0.8 billion to $92.8 billion, or 1.8% of all assets. The number of money funds was 312 in February, unchanged from the previous month and down 27 funds from a year earlier.
Yields for Taxable and Tax Exempt MMFs were mostly higher or flat in February. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on February 28th was 0.14%, up 2 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.20%, up 2 bps from the previous month. Gross yields were 0.11% for Government Funds, up 2 basis points from last month. Gross yields for Treasury Funds were up 5 bps at 0.14%. Gross Yields for Tax Exempt Institutional MMFs were up 8 basis points to 0.17% in February. Gross Yields for Tax Exempt Retail funds were up 13 bps to 0.23%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.10%, up 2 bps from the previous month and up 2 basis points from 2/28/21. The Average Net Yield for Prime Retail Funds was 0.03%, up 1 bps from the previous month, and up a basis point since 2/28/21. 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 Tax Exempt Institutional MMFs were up 4 bps from January to 0.08%. Net Yields for Tax Exempt Retail funds were up 2 bps at 0.03% in February. (Note: These averages are asset-weighted.)
WALs and WAMs were sharply lower in February. The average Weighted Average Life, or WAL, was 44.6 days (down 3.8 days) for Prime Institutional funds, and 45.6 days for Prime Retail funds (down 0.9 days). Government fund WALs averaged 73.6 days (down 3.1 days) while Treasury fund WALs averaged 76.8 days (down 1.3 days). Tax Exempt Institutional fund WALs were 11.7 days (down 2.2 days), and Tax Exempt Retail MMF WALs averaged 20.2 days (down 1.2 days).
The Weighted Average Maturity, or WAM, was 23.4 days (down 6.4 days from the previous month) for Prime Institutional funds, 27.3 days (down 9.1 days from the previous month) for Prime Retail funds, 26.6 days (down 3.7 days from previous month) for Government funds, and 33.4 days (unchanged from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 2.3 days to 11.2 days, while Tax Exempt Retail WAMs decreased 1.3 days to 19.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.9% in February (up 0.4% from the previous month), and DLA for Prime Retail funds was 29.1% (up 0.2% from previous month) as a percent of total assets. The average DLA was 80.1% for Govt MMFs and 97.9% for Treasury MMFs. Total Weekly Liquid Assets was 66.6% (up 1.4% from the previous month) for Prime Institutional MMFs, and 44.7% (up 0.5% from the previous month) for Prime Retail funds. Average WLA was 89.9% for Govt MMFs and 99.5% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for Feb. 2022," the largest entries included: Canada with $92.9 billion, France with $68.0 billion, Japan with $60.1 billion, the U.S. with $41.9B, Germany with $35.8B, the Netherlands with $30.3B, the U.K. with $29.3B, Aust/NZ with $27.8B and Switzerland with $11.6B. The gainers among the "Prime MMF Holdings by Country" included: the Netherlands (up $4.4B), Germany (up $2.0B), the U.K. (up $0.9B), Aust/NZ (up $0.1B) and Switzerland (up $0.1B). Decreases were shown by: the U.S. (down $7.9B), Japan (down $4.5B), Canada (down $3.5 billion) and France (down $2.0B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows the Eurozone subset had $153.0B (up $5.5B), while Europe (non-Eurozone) had $97.8B (up $3.8B from last month). The Americas had $134.8 billion (down $11.5B), while Asia Pacific had $103.3B (down $8.0B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $818.1B billion in Prime MMF Portfolios as of Feb. 28, $273.5B (33.4%) was in Government & Treasury securities (direct and repo) (down from $282.9B), $229.4B (28.0%) was in CDs and Time Deposits (up from $226.9B), $158.9B (19.4%) was in Financial Company CP (down from $165.1B), $124.2B (15.2%) was held in Non-Financial CP and Other securities (up from $114.7B), and $31.9B (3.9%) was in ABCP (down from $35.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $128.2 billion, Canada with $120.6 billion, France with $142.2 billion, the U.K. with $61.9 billion, Germany with $11.4 billion, Japan with $124.4 billion and Other with $29.1 billion. All MMF Repo with the Federal Reserve was down $28.9 billion in February to $1.446 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.1%, Prime Retail MMFs with 4.2%, Tax Exempt Inst MMFs with 0.2%, Tax Exempt Retail MMFs with 2.0%, Govt MMFs with 13.2% and Treasury MMFs with 12.2%.
