The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets decreased by $63.3 billion in April to $5.037 trillion after increasing in March but declining sharply in Jan. and Feb. The SEC shows that Prime MMFs decreased by $11.7 billion in April to $842.1 billion, Govt & Treasury funds decreased $57.1 billion to $4.095 trillion and Tax Exempt funds increased $5.5 billion to $100.2 billion. Taxable yields jumped again in April. 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: Register and make hotel reservations ASAP for our Money Fund Symposium, which takes place in just one month, June 20-22, in Minneapolis, Minn. We hope to see you at the big show next month!)
April's asset decrease follows an increase of $40.1 billion in March, 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. Over the 12 months through 4/30/22, total MMF assets have decreased by $2.8 billion, 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 $5.037 trillion in assets, $842.1 billion was in Prime funds, down $11.7 billion in April. Prime assets were up $29.5 billion in March, 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. 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 April. They've decreased by $87.2 billion, or -9.4%, over the past 12 months. (Month-to-date in May through 5/18, total MMF assets have fallen by $47.6 billion, according to our MFI Daily.)
Government & Treasury funds totaled $4.095 trillion, or 81.3% of assets. They decreased by $57.1 billion in April, 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 $89.0 billion over 12 months, or 2.2%. Tax Exempt Funds increased $5.5 billion to $100.2 billion, or 2.0% of all assets. The number of money funds was 309 in April, unchanged from the previous month and down 21 funds from a year earlier.
Yields for Taxable MMFs continued to surge higher in April while Tax Exempt MMFs saw a drop. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on April 30 was 0.44%, up 8 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.50%, up 8 bps from the previous month. Gross yields were 0.40% for Government Funds, up 7 basis points from last month. Gross yields for Treasury Funds were up 12 bps at 0.46. Gross Yields for Tax Exempt Institutional MMFs were down 2 basis points to 0.44% in April. Gross Yields for Tax Exempt Retail funds were down 1 bp to 0.49%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.40%, up 9 bps from the previous month and up 34 basis points from 4/30/21. The Average Net Yield for Prime Retail Funds was 0.21%, up 7 bps from the previous month, and up 19 bps since 4/30/21. Net yields were 0.19% for Government Funds, up 5 bps from last month. Net yields for Treasury Funds were also up 11 bps from the previous month at 0.25%. Net Yields for Tax Exempt Institutional MMFs were down 3 bps from March to 0.34%. Net Yields for Tax Exempt Retail funds were unchanged at 0.24% in April. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in April. The average Weighted Average Life, or WAL, was 43.7 days (down 1.1 days) for Prime Institutional funds, and 43.7 days for Prime Retail funds (up 1.1 days). Government fund WALs averaged 72.4 days (down 2.3 days) while Treasury fund WALs averaged 75.7 days (down 5.0 days). Tax Exempt Institutional fund WALs were 9.8 days (down 2.1 days), and Tax Exempt Retail MMF WALs averaged 17.4 days (down 2.4 days).
The Weighted Average Maturity, or WAM, was 20.6 days (down 1.2 days from the previous month) for Prime Institutional funds, 19.2 days (down 3.5 days from the previous month) for Prime Retail funds, 26.0 days (down 1.0 days from previous month) for Government funds, and 35.1 days (down 2.2 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 2.1 days to 9.7 days, while Tax Exempt Retail WAMs were down 2.6 days from previous month at 16.5 days.
Total Daily Liquid Assets for Prime Institutional funds were 52.1% in April (down 0.6% from the previous month), and DLA for Prime Retail funds was 33.0% (down 2.0% from previous month) as a percent of total assets. The average DLA was 80.1% for Govt MMFs and 97.2% for Treasury MMFs. Total Weekly Liquid Assets was 69.5% (up 2.9% from the previous month) for Prime Institutional MMFs, and 50.8% (up 0.7% from the previous month) for Prime Retail funds. Average WLA was 89.9% for Govt MMFs and 98.6% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for April 2022," the largest entries included: Canada with $83.7 billion, France with $64.2 billion, Japan with $59.3 billion, the U.S. with $40.7B, the Netherlands with $33.1B, Germany with $31.4B, the U.K. with $31.0B, Aust/NZ with $30.5B and Switzerland with $12.3B. The gainers among the "Prime MMF Holdings by Country" included: France (up $8.0B), Germany (up $3.8B), Aust/NZ (up $1.1B), the U.K. (up $0.4B) and Switzerland (up $0.4B). Decreases were shown by: Canada (down $10.7 billion), the U.S. (down $2.7B), Japan (down $1.8B) and the Netherlands (down $1.3B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $124.4 billion (down $13.3B), while Asia Pacific had $104.1B (down $1.3B). Eurozone subset had $142.4B (up $16.7B), while Europe (non-Eurozone) had $93.9B (up $21.9B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $834.8B billion in Prime MMF Portfolios as of April 30, $317.1B (38.0%) was in Government & Treasury securities (direct and repo) (down from $366.1B), $211.6B (25.4%) was in CDs and Time Deposits (up from $176.2B), $151.5B (18.1%) was in Financial Company CP (down from $154.2B), $123.4B (14.8%) was held in Non-Financial CP and Other securities (up from $121.6B), and $31.2B (3.7%) was in ABCP (down from $32.5B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $115.1 billion, Canada with $98.5 billion, France with $130.6 billion, the U.K. with $55.4 billion, Germany with $9.0 billion, Japan with $114.3 billion and Other with $23.5 billion. All MMF Repo with the Federal Reserve was up $12.2 billion in April to $1.670 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.0%, Prime Retail MMFs with 4.6%, Tax Exempt Inst MMFs with 0.2%, Tax Exempt Retail MMFs with 1.7%, Govt MMFs with 13.4% and Treasury MMFs with 13.5%.
