SEC MMF Statistics; FOMC Statement
The SEC released its latest "Money Market Fund Statistics" report, summarizes Form N-MFP info and includes totals on assets, yields, liquidity, WAM, WAL, holdings, and other money market fund trends as of March 31, 2015. Overall, total money market fund assets stood at $3.009 trillion at the end of March, down $38.8 billion from February, according to the SEC's broad total (which includes private and internal funds not reported to ICI, Crane Data or other reporting agencies). Of the $3.009 trillion, $1.746 trillion was in Prime funds (down $34.1B from last month), $996.2 billion was in Government/Treasury funds (down $3.6B), and $266.9 billion was in Tax-Exempt funds (down $1.3B). In March, the number of funds dropped by 1 to 542. Total assets were down $71.3 billion YTD through 3/31. Looking at other statistics, the Weighted Average Gross 7-Day Yield for Prime Funds was 0.21% on March 31 (unchanged), 0.10% for Government/Treasury funds (up from 0.08%), and 0.06% for Tax-Exempt funds (unchanged). The Weighted Average Net Prime Yield was 0.06% (same as last month), while the Weighted Average Prime Expense Ratio was 0.16% (up from 0.15%). The Weighted Average Life, or WAL was 77.5 days (same as last month) for Prime Funds, 81.9 days (up from 80.1 days) for Government/Treasury funds, and for 32.1 days (down from 32.2 days) for Tax-Exempt funds. The Weighted Average Maturity, or WAM, was 41.6 days (down from 43.4 days) for Prime funds, 44.2 days (up from 42.9 days) for Govt/Treasury funds, and 30.6 days (down from 30.9 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 25.1% in March -- down from 26.0% last month, while Total Weekly Liquidity was 38.8%-- down from 39.9% last month. In the category Prime MMF Holdings of Bank Related Securities by Country, Canada topped the list with $210.4 billion, followed by the US at $192.4 billion. Japan moved to third with $179.6 billion, jumping ahead of France at $122.6B. Rounding out the top 10 were Australia/New Zealand ($97.1B), Sweden ($84.4B), U.K. ($67.9B), The Netherlands ($63.3B), Switzerland ($51.4B), and Germany ($51.1B). The biggest gainers for the month were Canada (up $3.9B), Germany (up $2.3B), and Switzerland (up $235M). The biggest drops came from France (down $61.5B), UK (down $35.9 billion), and Sweden (down $30.3 billion). For Prime MMF Holdings of Bank-Related Securities by Region, Europe had $468.0 billion (down from $626.6B last month) while its subset, the Eurozone, had $248.7 (down from $315.4B). The Americas was next with $405.4 billion (up from $404.7B), while Asia and Pacific had $302.0 (down from $312.2B). The Total Amortized Cost of Prime MMF Portfolios was $1.737 trillion as of March 31, 2015. That was made up of $566 billion in CDs, $496 billion in Government (including direct and repo), $338 billion in Non-Financial CP and Other Short term Securities, $241 billion in Financial Company CP, and $97 billion in ABCP. Also, the Proportion of Non-Government Securities in All Taxable Funds was 45.3% at month-end, down from 51.5% the previous month. All MMF Repo with Federal Reserve was $366.7 billion on March 31, 2015, up from $200.9 billion on Feb. 28. Finally, the Trend in Longer Maturity Securities in Prime MMFs said 44.0% were in maturities of 60 days and over, while 11.4% were in maturities of 180 days and over. In other news, the Federal Reserve's FOMC released a statement Wednesday indicating no change in interest rates.
