The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased by $49.9 billion in April to an all-time high of $5.754 trillion. Assets at April month-end were well above their previous $5.70 trillion March 2023 record. The SEC shows that Prime MMFs increased by $36.0 billion in April to $1.186 trillion, Govt & Treasury funds increased $19.3 billion to $4.455 trillion and Tax Exempt funds decreased $5.4 billion to $113.1 billion. Taxable yields jumped again in April after surging in March. 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 May through 5/19, total MMF assets have jumped by $129.5 billion to a record $5.795 trillion, according to our MFI Daily.)
April's overall asset increase follows an increase of $364.4 billion in March, $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 4/30/23, total MMF assets have increased by $717.0 billion, or 14.2%, according to the SEC's series.
The SEC's stats show that of the $5.754 trillion in assets, $1.186 trillion was in Prime funds, up $36.0 billion in April. Prime assets were down $22.2 billion in March, 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 20.6% of total assets at the end of April. They've increased by $344.4 billion, or 40.9%, 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 $4.455 trillion, or 77.4% of assets. They increased $19.3 billion in April, $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 $359.7 billion over 12 months, or 8.8%. Tax Exempt Funds decreased $5.4 billion to $113.1 billion, or 2.0% of all assets. The number of money funds was 294 in April, unchanged 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 April. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on April 30 was 4.96%, up 3 bps from the prior month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 5.02%, up 1 bp from the previous month. Gross yields were 4.90% for Government Funds, up 3 basis points from last month. Gross yields for Treasury Funds were unchanged at 4.74%. Gross Yields for Tax Exempt Institutional MMFs were down 50 basis points to 3.55% in April. Gross Yields for Tax Exempt Retail funds were down 55 bps to 3.45%.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 4.89%, up 3 bps from the previous month and up 449 basis points from 4/28/22. The Average Net Yield for Prime Retail Funds was 4.75%, up 1 bp from the previous month, and up 454 bps since 4/28/22. Net yields were 4.66% for Government Funds, up 3 bps from last month. Net yields for Treasury Funds were down 1 bp from the previous month at 4.52%. Net Yields for Tax Exempt Institutional MMFs were down 50 bps from March to 3.43%. Net Yields for Tax Exempt Retail funds were down 55 bps at 3.20% in April. (Note: These averages are asset-weighted.)
WALs and WAMs were mostly down in April. The average Weighted Average Life, or WAL, was 44.1 days (up 4.2 days) for Prime Institutional funds, and 37.6 days for Prime Retail funds (down 0.7 days). Government fund WALs averaged 64.0 days (down 1.8 days) while Treasury fund WALs averaged 48.5 days (up 0.6 days). Tax Exempt Institutional fund WALs were 9.5 days (down 0.5 days), and Tax Exempt Retail MMF WALs averaged 15.3 days (down 1.0 days).
The Weighted Average Maturity, or WAM, was 19.8 days (up 2.1 days from the previous month) for Prime Institutional funds, 16.3 days (down 0.8 days from the previous month) for Prime Retail funds, 18.4 days (up 3.1 days from previous month) for Government funds, and 14.6 days (down 2.6 days from previous month) for Treasury funds. Tax Exempt Inst WAMs were down 0.5 days to 9.4 days, while Tax Exempt Retail WAMs were down 0.9 days from previous month at 14.7 days.
Total Daily Liquid Assets for Prime Institutional funds were 51.7% in April (down 3.2% from the previous month), and DLA for Prime Retail funds was 46.2% (down 4.3% from previous month) as a percent of total assets. The average DLA was 68.8% for Govt MMFs and 97.7% for Treasury MMFs. Total Weekly Liquid Assets was 67.2% (down 0.7% from the previous month) for Prime Institutional MMFs, and 63.7% (up 2.2% from the previous month) for Prime Retail funds. Average WLA was 81.2% for Govt MMFs and 98.5% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for April 2023," the largest entries included: Canada with $113.9 billion, the U.S. with $97.7B, Japan with $94.3 billion, France with $81.6 billion, the Netherlands with $41.6B, Germany with $36.0B, the U.K. with $34.6B, Aust/NZ with $26.3B and Switzerland with $5.6B. The gainers among the "Prime MMF Holdings by Country" included: France (up $18.4B), Germany (up $14.3B), Japan (up $6.8B), Canada (up $3.3B), the U.K. (up $1.5B) and Netherlands (up $0.9B). Decreases were shown by: Aust/NZ (down $7.7B), the U.S. (down $1.2B) and Switzerland (down $0.2B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows The Americas had $211.6 billion (up $2.1B), while Eurozone had $177.6B (up $41.9B). Asia Pacific subset had $142.1B (down $0.7B), while Europe (non-Eurozone) had $91.5B (up $11.5B from last month).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.174 trillion in Prime MMF Portfolios as of April 28, $557.4B (47.5%) was in Government & Treasury securities (direct and repo) (down from $584.8B), $281.3B (24.0%) was in CDs and Time Deposits (up from $229.0B), $164.4B (14.0%) was in Financial Company CP (up from $159.8B), $126.4B (10.8%) was held in Non-Financial CP and Other securities (up from $118.4B), and $44.8B (3.8%) was in ABCP (down from $45.1B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $247.2 billion, Canada with $106.1 billion, France with $114.0 billion, the U.K. with $70.3 billion, Germany with $11.7 billion, Japan with $93.4 billion and Other with $35.1 billion. All MMF Repo with the Federal Reserve was down $17.1 billion in April to $2.214 trillion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.4%, Prime Retail MMFs with 4.1%, Tax Exempt Inst MMFs with 0.2%, Tax Exempt Retail MMFs with 1.5%, Govt MMFs with 13.7% and Treasury MMFs with 8.1%.
