The U.S. Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary this week. It shows that total assets were down slightly (-$12.7 billion) in April, with Prime funds rising for the 4th month in a row, gaining $9.8 billion (after gaining $12.1B in March). Tax Exempt MMFs lost $2.5 billion and Government funds lost $19.9 billion. Gross yields rose for both Taxable MMFs and Tax Exempt MMFs following the previous month's Fed hike. 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 the SEC's latest recap below.
Money market fund assets decreased by $12.7 billion in April to $2.917.0 trillion. (The SEC's series includes some private and internal funds not reported to ICI or other reporting agencies; note that Crane Data has adding many of these to our collections.) Overall assets decreased by $1.7 billion in March, increased by $14.2 in February, but decreased by $41.1 billion in January. Over the past 12 months through 4/30/17, total MMF assets have declined by $116.1 billion, or 3.8%.
Of the $2.917 trillion in assets, $608.9 billion was in Prime funds, which increased by $9.8 billion in April. Prime MMFs increased $12.1 billion in March, $24.9 billion in February and $11.7 billion in Jan. But they decreased $15.5 billion in December, increased $3.4 billion in Nov., and decreased by $177.4 billion in October and $293.2 billion in Sept. Prime funds represented 20.9% of total assets at the end of May. They've declined by $861.3 billion the past 12 months, or 58.6%, but they've increased by $58.6 billion, or 9.6%, YTD.
Government & Treasury funds totaled $2.175 billion, or 74.6% of assets,, down $19.9 billion in April and $14.5 billion in March. They also fell $10.1 billion in February, $53.8 billion in January and $10.2 billion in Dec., but rose $56.4 billion in November, $148.0 billion in October, and $268.3 billion in Sept. Govt & Treas MMFs are up $835.7 billion over 12 months (38.4%). Tax Exempt Funds decreased $2.5 billion to $132.9 billion, or 4.6% of all assets. The number of money funds is 412, up 1 fund from last month and down 61 from 4/30/16.
Yields were up again in April for Taxable MMFs. The Weighted Average Gross 7-Day Yield for Prime Funds on April 30 was 1.08%, up 5 basis points from the previous month, and almost double the 0.55% of April 2016. Gross yields increased to 0.80% for Government/Treasury funds, up 0.04% from the previous month and up 0.41% since 4/16. Tax Exempt Weighted Average Gross Yields increased 0.07% in April to 0.94%, and they've risen 53 bps since 4/30/16.
The Weighted Average Net Prime Yield was 0.86%, up 0.06% from the previous month and up 0.52% since 4/16. The Weighted Average Prime Expense Ratio was 0.22% in April (up 1 bps from the previous month). Prime expense ratios have risen from 0.21% in April 2016. (Note: These averages are asset-weighted.)
WALs shortened in April while WAMs were mixed. The average Weighted Average Life, or WAL, was 58.7 days (down 0.9 days from last month) for Prime funds, 86.2 days (down 4.5 days) for Government/Treasury funds, and 22.1 days (down 1.6 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 28.4 days (up 1.0 days from the previous month) for Prime funds, 35.2 days (down 3.5 days) for Govt/Treasury funds, and 19.5 days (down 1.8 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 28.9% in April (down 6.5% from previous month). Total Weekly Liquidity was 48.9% (down 1.4%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $68.9 billion, followed by the U.S. with $61.1 billion. France was third with $59.6B, followed by Japan with $48.3 billion, Sweden ($41.8B), Australia/New Zealand ($39.1B), the UK ($25.9B) and Germany ($25.0B). The Netherlands ($19.9B) and Switzerland ($14.8B) rounded out the top 10.
The gainers among Prime MMF bank related securities for the month included: France (up $12.1 billion), the UK (up $7.8B), Belgium (up $7.0B), the U.S. (up $4.8B), Switzerland (up $3.9B), Norway (up $3.9M), The Netherlands (up $3.5B), Japan (up $873M), Spain (up $696M), China (up $353M), Australia/New Zealand (up $361M).. The biggest drops came from Canada (down $12.2B), Sweden (down $7.5B), Germany (down $1.0B), Singapore (down $509M), and Other (down $494M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $216.4B (up $11.1B from last month), while the Eurozone subset had $117.2 billion (up $21.9B). The Americas had $130.5 billion (down from $138.3B), while Asian and Pacific had $98.4 billion (up from $97.0B).
Of the $603.7 billion in Prime MMF Portfolios as of April 30, $259.2B (42.9%) was in CDs (down from $259.7B), $105.5B (17.5%) was in Government securities (including direct and repo), down from $122.9B, $101.8B (16.9%) was held in Non-Financial CP and Other Short Term Securities (up from $93.1B), $103.0B (17.1%) was in Financial Company CP (up from $100.7B), and $34.2B (5.7%) was in ABCP (up from $31.4B).
The Proportion of Non-Government Securities in All Taxable Funds was 19.2% at month-end, up from 18.0% the previous month. All MMF Repo with Federal Reserve decreased to $173.8B in April from $328.1B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 33.1% were in maturities of 60 days and over (down from 35.3%), while 8.2% were in maturities of 180 days and over (down from 8.2%).
