The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $52.1 billion in February to an all-time high of $5.340 trillion. Assets at February month-end were above their previous $5.29 trillion January 2023 record. The SEC shows that Prime MMFs increased by $35.4 billion in February to $1.173 trillion, Govt & Treasury funds increased $16.1 billion to $4.048 trillion and Tax Exempt funds increased $0.6 billion to $119.8 billion. Taxable yields jumped again in February after surging in January. 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. (Month-to-date in March through 3/21, total MMF assets have skyrocketed by $242.0 billion to a record $5.494 trillion, according to our MFI Daily.) (Note: For `those attending this week's Bond Fund Symposium, welcome to Boston! Attendees and subscribers may access the materials in our "Bond Fund Symposium 2023 Download Center.")
February's overall asset increase follows an increase of $53.2 billion in January, $54.8 billion in December, $48.5 billion in November and $35.6 billion in October. But assets decreased $9.4 billion in September. MMFs increased $3.5 billion in August, $57.4 billion in July and $26.6 billion in June. They decreased $19.7 billion in May and $63.3 billion in April. But MMFs increased $40.1 billion in March. MMFs decreased $29.3 billion in February 2022. Over the 12 months through 2/28/23, total MMF assets have increased by $279.4 billion, according to the SEC's series.
The SEC's stats show that of the $5.340 trillion in assets, $1.173 trillion was in Prime funds, up $35.4 billion in February. Prime assets were up $86.2 billion in January, $10.5 billion in December, $28.0 billion in November, $36.6 billion in October, $15.8 billion in September, $43.5 billion in August, $56.6 billion in July, $8.5 billion in June and $9.4 billion in May. Prime was down $11.7 billion in April, up $29.5 billion in March and down $2.7 billion last February. Prime funds represented 22.0% of total assets at the end of February. They've increased by $348.3 billion, or 42.3%, over the past 12 months. (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.)
Government & Treasury funds totaled $4.048 trillion, or 75.8% of assets. They increased $16.1 billion in February, decreased $33.2 billion in January and increased $41.3 billion in December and $23.1 billion in November. Govt MMFs decreased $12.8 billion in October, $20.8 billion in September and $47.1 billion in August. They increased $8.2 billion in July and $14.4 billion in June. But they decreased by $36.7 billion in May and $57.1 billion in April. They increased $8.7 billion in March, but decreased by $25.8 billion in February. Govt & Treasury MMFs are down $95.9 billion over 12 months, or -2.3%. Tax Exempt Funds increased $0.6 billion to $119.8 billion, or 2.2% of all assets. The number of money funds was 293 in February, down 5 from the previous month and down 19 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs moved higher yet again in February. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on February 28 was 4.72%, up 22 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 4.79%, up 19 bps from the previous month. Gross yields were 4.61% for Government Funds, up 25 basis points from last month. Gross yields for Treasury Funds were up 23 bps at 4.61%. Gross Yields for Tax Exempt Institutional MMFs were up 160 basis points to 3.15% in February. Gross Yields for Tax Exempt Retail funds were up 147 bps to 3.31%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.65%, up 21 bps from the previous month and up 455 basis points from 2/28/22. The Average Net Yield for Prime Retail Funds was 4.53%, up 20 bps from the previous month, and up 450 bps since 2/28/22. Net yields were 4.34% for Government Funds, up 24 bps from last month. Net yields for Treasury Funds were also up 24 bps from the previous month at 4.39%. Net Yields for Tax Exempt Institutional MMFs were up 160 bps from January to 3.04%. Net Yields for Tax Exempt Retail funds were up 147 bps at 3.06% in February. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in February. The average Weighted Average Life, or WAL, was 38.2 days (up 0.4 days) for Prime Institutional funds, and 39.0 days for Prime Retail funds (down 0.4 days). Government fund WALs averaged 60.4 days (down 0.1 days) while Treasury fund WALs averaged 53.5 days (down 3.2 days). Tax Exempt Institutional fund WALs were 9.5 days (down 0.9 days), and Tax Exempt Retail MMF WALs averaged 15.6 days (down 0.2 days).
The Weighted Average Maturity, or WAM, was 17.8 days (up 1.4 days from the previous month) for Prime Institutional funds, 17.8 days (up 2.4 days from the previous month) for Prime Retail funds, 10.5 days (up 1.4 days from previous month) for Government funds, and 18.8 days (down 1.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 1.0 days to 9.3 days, while Tax Exempt Retail WAMs were down 0.7 days from previous month at 14.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 53.8% in February (up 0.8% from the previous month), and DLA for Prime Retail funds was 47.8% (up 2.0% from previous month) as a percent of total assets. The average DLA was 74.4% for Govt MMFs and 98.8% for Treasury MMFs. Total Weekly Liquid Assets was 68.2% (down 1.2% from the previous month) for Prime Institutional MMFs, and 60.2% (up 0.3% from the previous month) for Prime Retail funds. Average WLA was 85.5% for Govt MMFs and 99.3% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for February 2023," the largest entries included: Canada with $114.0 billion, Japan with $104.2 billion, the U.S. with $92.5B, France with $72.4 billion, the Netherlands with $41.0B, Germany with $38.7B, Aust/NZ with $35.8B, the U.K. with $35.2B and Switzerland with $5.7B. The gainers among the "Prime MMF Holdings by Country" included: Japan (up $5.4B), the U.S. (up $3.5B), Germany (up $1.7B) and France (up $0.5B). Decreases were shown by: Netherlands (down $6.5B), the U.K. (down $4.6B), Canada (down $1.7B), Switzerland (down $1.7B) and Aust/NZ (down $0.3B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $206.5 billion (up $1.8B), while Eurozone had $170.6B (down $7.2B). Asia Pacific subset had $164.8B (up $10.8B), while Europe (non-Eurozone) had $98.6B (down $4.2B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.162 trillion in Prime MMF Portfolios as of February 28, $513.7B (44.2%) was in Government & Treasury securities (direct and repo) (up from $479.8B), $291.5B (25.1%) was in CDs and Time Deposits (up from $283.2B), $184.5B (15.9%) was in Financial Company CP (down from $196.2B), $123.9B (10.7%) was held in Non-Financial CP and Other securities (up from $118.2B), and $48.7B (4.2%) was in ABCP (up from $47.7B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $193.3 billion, Canada with $101.4 billion, France with $97.0 billion, the U.K. with $42.5 billion, Germany with $13.0 billion, Japan with $81.2 billion and Other with $25.2 billion. All MMF Repo with the Federal Reserve was up $108.4 billion in February to $2.097 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 5.6%, Prime Retail MMFs with 4.8%, Tax Exempt Inst MMFs with 0.2%, Tax Exempt Retail MMFs with 1.4%, Govt MMFs with 11.9% and Treasury MMFs with 7.6%.
