The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $364.4 billion in March to an all-time high of $5.704 trillion. Assets at March month-end were well above their previous $5.34 trillion February 2023 record. The SEC shows that Prime MMFs decreased by $22.2 billion in February to $1.150 trillion, Govt & Treasury funds increased $387.9 billion to $4.435 trillion and Tax Exempt funds decreased $1.3 billion to $118.5 billion. Taxable yields jumped again in March after surging 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. (Month-to-date in April through 4/24, total MMF assets have jumped by $54.1 billion to $5.664 trillion, according to our MFI Daily.) (See also the Federal Reserve Bank of NY's "Statement Regarding the Policy on Counterparties for Market Operations and Reverse Repurchase Counterparties.")
March's overall asset increase follows an increase of $52.1 billion in February, $53.2 billion in January, $54.8 billion in December, $48.5 billion in November and $35.6 billion in October. Assets decreased $9.4 billion in September, but 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. Over the 12 months through 3/31/23, total MMF assets have increased by $603.6 billion, or 11.8%, according to the SEC's series.
The SEC's stats show that of the $5.704 trillion in assets, $1.150 trillion was in Prime funds, down $22.2 billion in March. Prime assets were up $35.4 billion in February, $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. Prime funds represented 20.2% of total assets at the end of March. They've increased by $296.5 billion, or 34.7%, 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 $4.435 trillion, or 77.8% of assets. They increased $387.9 billion in March, $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. Govt & Treasury MMFs are up $283.3 billion over 12 months, or 6.8%. Tax Exempt Funds decreased $1.3 billion to $118.5 billion, or 2.1% of all assets. The number of money funds was 294 in March, up 1 from the previous month and down 15 funds from a year earlier.
Yields for Taxable MMFs and Tax Exempt MMFs moved higher yet again in March. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on March 31 was 4.93%, up 21 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.01%, up 22 bps from the previous month. Gross yields were 4.87% for Government Funds, up 26 basis points from last month. Gross yields for Treasury Funds were up 13 bps at 4.74%. Gross Yields for Tax Exempt Institutional MMFs were up 90 basis points to 4.05% in March. Gross Yields for Tax Exempt Retail funds were up 69 bps to 4.00%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.86%, up 21 bps from the previous month and up 455 basis points from 3/31/22. The Average Net Yield for Prime Retail Funds was 4.74%, up 21 bps from the previous month, and up 460 bps since 3/31/22. Net yields were 4.63% for Government Funds, up 29 bps from last month. Net yields for Treasury Funds were also up 14 bps from the previous month at 4.53%. Net Yields for Tax Exempt Institutional MMFs were up 89 bps from February to 3.93%. Net Yields for Tax Exempt Retail funds were up 69 bps at 3.75% in March. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly up in March. The average Weighted Average Life, or WAL, was 39.9 days (up 1.7 days) for Prime Institutional funds, and 38.3 days for Prime Retail funds (down 0.7 days). Government fund WALs averaged 65.8 days (up 5.4 days) while Treasury fund WALs averaged 47.9 days (down 5.6 days). Tax Exempt Institutional fund WALs were 10.0 days (up 0.5 days), and Tax Exempt Retail MMF WALs averaged 16.3 days (up 0.7 days).
The Weighted Average Maturity, or WAM, was 17.7 days (down 0.1 days from the previous month) for Prime Institutional funds, 17.1 days (down 0.7 days from the previous month) for Prime Retail funds, 15.3 days (up 4.8 days from previous month) for Government funds, and 17.2 days (down 1.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were up 0.6 days to 9.9 days, while Tax Exempt Retail WAMs were up 1.0 days from previous month at 15.6 days.
Total Daily Liquid Assets for Prime Institutional funds were 54.9% in March (up 1.1% from the previous month), and DLA for Prime Retail funds was 50.5% (up 2.7% from previous month) as a percent of total assets. The average DLA was 68.8% for Govt MMFs and 98.9% for Treasury MMFs. Total Weekly Liquid Assets was 67.9% (down 0.3% from the previous month) for Prime Institutional MMFs, and 61.5% (up 1.3% from the previous month) for Prime Retail funds. Average WLA was 79.4% for Govt MMFs and 99.6% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for March 2023," the largest entries included: Canada with $110.6 billion, the U.S. with $98.9B, Japan with $87.5 billion, France with $63.2 billion, the Netherlands with $40.7B, Aust/NZ with $34.0B, the U.K. with $33.1B, Germany with $21.7B and Switzerland with $5.8B. The gainers among the "Prime MMF Holdings by Country" included: the U.S. (up $6.3B) and Switzerland (up $0.1B). Decreases were shown by: Germany (down $17.0B), Japan (down $16.7B), France (down $9.2B), Canada (down $3.4B), the U.K. (down $2.1B), Aust/NZ (down $1.8B) and Netherlands (down $0.3B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $209.5 billion (up $3.0B), while Eurozone had $135.7B (down $34.9B). Asia Pacific subset had $142.8B (down $22.0B), while Europe (non-Eurozone) had $80.0B (down $18.6B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.137 trillion in Prime MMF Portfolios as of March 31, $584.8B (51.4%) was in Government & Treasury securities (direct and repo) (up from $513.7B), $229.0B (20.1%) was in CDs and Time Deposits (down from $291.5B), 159.8B (14.1%) was in Financial Company CP (down from $185.0B), $118.4B (10.4%) was held in Non-Financial CP and Other securities (down from $123.5B), and $45.1B (4.0%) was in ABCP (down from $48.7B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $244.0 billion, Canada with $112.2 billion, France with $83.0 billion, the U.K. with $44.2 billion, Germany with $11.5 billion, Japan with $89.5 billion and Other with $35.6 billion. All MMF Repo with the Federal Reserve was up $133.6 billion in March to $2.231 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 6.5%, Prime Retail MMFs with 4.8%, Tax Exempt Inst MMFs with 0.1%, Tax Exempt Retail MMFs with 1.2%, Govt MMFs with 13.1% and Treasury MMFs with 7.1%.
