The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $40.1 billion in March to $5.101 trillion after declining sharply in Jan. and Feb. The SEC shows that Prime MMFs increased by $29.5 billion in March to $853.8 billion, Govt & Treasury funds increased $8.7 billion to $4.152 trillion and Tax Exempt funds increased $1.9 billion to $94.7 billion. Yields, both gross and net, surged higher in March for all types of funds. 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 asset increase follows decreases of $29.3 billion in February and $125.1 billion in January. Assets gained $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 and $46.3 billion in April. Over the 12 months through 3/31/22, total MMF assets have increased by $106.9 billion, or 2.1%, 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 $5.101 trillion in assets, $853.8 billion was in Prime funds, up $29.5 billion in March. Prime assets were down $2.7 billion in February, up $10.7 billion in January, and down $20.5 billion in December, $21 billion in November and $12.1 billion in October <b:>`_. This follows an increase of $2.6 billion in September, and a decrease of $8.1 billion in August and $19.4 billion in July. Prime funds represented 16.7% of total assets at the end of March. They've decreased by $74.1 billion, or -8.0%, over the past 12 months. (Month-to-date in April through 4/20, total MMF assets have fallen by $98.1 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.152 trillion, or 81.4% of assets. They increased $8.7 billion in March, 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 $194.5 billion over 12 months, or 4.9%. Tax Exempt Funds increased $1.9 billion to $94.7 billion, or 1.9% of all assets. The number of money funds was 309 in March, down 3 from the previous month and down 21 funds from a year earlier.
Yields for Taxable and Tax Exempt MMFs spiked higher in March. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on March 31 was 0.36%, up 22 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.42%, up 22 bps from the previous month. Gross yields were 0.33% for Government Funds, up 22 basis points from last month. Gross yields for Treasury Funds were up 20 bps at 0.34%. Gross Yields for Tax Exempt Institutional MMFs were up 29 basis points to 0.46% in March. Gross Yields for Tax Exempt Retail funds were up 27 bps to 0.50%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.31%, up 21 bps from the previous month and up 24 basis points from 3/31/21. The Average Net Yield for Prime Retail Funds was 0.14%, up 11 bps from the previous month, and up 12 bps since 3/31/21. Net yields were 0.14% for Government Funds, up 12 bps from last month. Net yields for Treasury Funds were also up 13 bps from the previous month at 0.14%. Net Yields for Tax Exempt Institutional MMFs were up 29 bps from February to 0.37%. Net Yields for Tax Exempt Retail funds were up 21 bps at 0.24% in March. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in March. The average Weighted Average Life, or WAL, was 44.8 days (up 0.2 days) for Prime Institutional funds, and 42.6 days for Prime Retail funds (down 3.0 days). Government fund WALs averaged 74.7 days (up 1.1 days) while Treasury fund WALs averaged 80.7 days (up 3.9 days). Tax Exempt Institutional fund WALs were 11.9 days (up 0.2 days), and Tax Exempt Retail MMF WALs averaged 19.8 days (down 0.4 days).
The Weighted Average Maturity, or WAM, was 21.8 days (down 1.6 days from the previous month) for Prime Institutional funds, 22.7 days (down 4.6 days from the previous month) for Prime Retail funds, 27.0 days (up 0.4 days from previous month) for Government funds, and 37.3 days (up 3.9 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.6 days to 11.8 days, while Tax Exempt Retail WAMs were unchanged from previous month at 19.1 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.7% in March (down 1.2% from the previous month), and DLA for Prime Retail funds was 35.0% (up 5.9% from previous month) as a percent of total assets. The average DLA was 80.4% for Govt MMFs and 97.7% for Treasury MMFs. Total Weekly Liquid Assets was 66.6% (unchanged from the previous month) for Prime Institutional MMFs, and 50.1% (up 5.4% from the previous month) for Prime Retail funds. Average WLA was 90.6% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for March 2022," the largest entries included: Canada with $94.4 billion, Japan with $61.1 billion, France with $56.2 billion, the U.S. with $43.4B, the Netherlands with $34.4B, the U.K. with $30.6B, Aust/NZ with $29.4B, Germany with $27.6B and Switzerland with $11.9B. The gainers among the "Prime MMF Holdings by Country" included: the Netherlands (up $4.1B), Aust/NZ (up $1.6B), the U.S. (up $1.5B), Canada (up $1.5 billion), the U.K. (up $1.3B), Japan (up $1.0B) and Switzerland (up $0.3B). Decreases were shown by: France (down $11.8B) and Germany (down $8.2B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $137.7 billion (up $11.5B), while Asia Pacific had $105.4B (up $2.1B). Eurozone subset had $125.7B (down $27.3B), while Europe (non-Eurozone) had $72.0B (down $25.8B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $850.6B billion in Prime MMF Portfolios as of March 31, $366.1B (43.0%) was in Government & Treasury securities (direct and repo) (up from $273.5B), $176.2B (20.7%) was in CDs and Time Deposits (down from $229.4B), $154.2B (18.1%) was in Financial Company CP (down from $158.9B), $121.6B (14.3%) was held in Non-Financial CP and Other securities (down from $124.4B), and $32.5B (3.8%) was in ABCP (up from $31.9B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $108.6 billion, Canada with $109.1 billion, France with $124.8 billion, the U.K. with $38.9 billion, Germany with $7.8 billion, Japan with $116.4 billion and Other with $26.8 billion. All MMF Repo with the Federal Reserve was up $212.4 billion in March to $1.658 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.4%, Prime Retail MMFs with 3.8%, Tax Exempt Inst MMFs with 0.3%, Tax Exempt Retail MMFs with 1.9%, Govt MMFs with 13.5% and Treasury MMFs with 13.3%.
