The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary late last week. It shows that total money fund assets rose by $40.7 billion in February to $3.122 trillion, but Prime funds inched lower (after rising in 12 of the last 13 months). Prime MMF assets fell by $2.8 billion to $666.6 billion (after rising by $3.2 billion in January, falling $13.6 billion in December, and rising $14.3 billion in November). Government money funds increased by $44.9 billion, while Tax Exempt MMFs fell by $1.4 billion. Gross yields rose again for Prime and Government funds, but dipped for Tax Exempt MMFs. 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.
Overall assets increased by $40.7 billion in February, after decreasing by $44.3 billion in January, and increasing by $45.2 billion in December. Total MMFs increased by $55.4 billion in November, $46.2 billion in September, and $71.2 billion in August. Over the 12 months through 2/28/18, total MMF assets increased $190.5 billion, or 6.5%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, though Crane Data also now tracks many of these.)
Of the $3.122 trillion in assets, $666.6 billion was in Prime funds, which decreased by $2.8 billion in February. Prime MMFs increased by $3.2 billion in January, decreased by $13.6 billion in December, and increased by $14.3 billion in November, $1.0 billion in October, and $22.8 billion in September. Prime funds represented 21.4% of total assets at the end of February. They've increased by $79.6 billion, or 13.6%, over the past 12 months. But they've decreased by $920.1 billion over the past 2 years. (Over $1.1 trillion shifted from Prime to Government money market funds in the year leading up to October 2016's Money Fund Reforms.)
Government & Treasury funds totaled $2.315 billion, or 74.2% of assets,. They were up $44.9 billion in February, but down $54.7 billion in January. Govt MMFs were up by $57.3 billion in December and $40.8 billion in November, but down $11.2 billion in October. Govt & Treas MMFs are up $105.5 billion over 12 months (4.8%). Tax Exempt Funds decreased $1.4B to $140.2 billion, or 4.5% of all assets. The number of money funds is 379, down one fund from last month and down 32 from 2/28/17.
Yields rose in February for Taxable MMFs after jumping in December (following the Fed move) and rising in January. The Weighted Average Gross 7-Day Yield for Prime Funds on February 28 was 1.63%, up 5 basis points from the previous month and up 0.72% from February 2017. Gross yields increased to 1.45% for Government/Treasury funds, up 0.07% from the previous month, and up from 0.61% in February 2017. Tax Exempt Weighted Average Gross Yields dipped 2 bps in February (after spiking in December and plunging in January) to 1.16%; they've increased by 46 bps since 2/28/17.
The Weighted Average Net Prime Yield was 1.44%, up 0.06% from the previous month and up 0.76% since 2/28/17. The Weighted Average Prime Expense Ratio was 0.20% in February (unchanged from the previous month). Prime expense ratios are down by 3 bps over the past year. (Note: These averages are asset-weighted.)
WALs were lower but WAMs were mixed across all categories in February. The average Weighted Average Life, or WAL, was 59.3 days (down 0.9 days from last month) for Prime funds, 90.1 days (down 0.5 days) for Government/Treasury funds, and 25.2 days (down 0.8 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 26.5 days (down 0.5 days from the previous month) for Prime funds, 31.3 days (up 0.2 days) for Govt/Treasury funds, and 23.1 days (down 0.9 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 30.5% in February (up 2.8% from previous month). Total Weekly Liquidity was 50.6% (up 0.8%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $89.3 billion, followed by the US with $63.8 billion, France with $63.5B, Japan ($55.2B), and Sweden with $40.1B. Australia/New Zealand ($39.2B), the UK ($35.5B), the Netherlands ($33.1B), Germany ($27.2B) and Switzerland ($24.0B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: Japan (up $5.0B), Switzerland (up $3.1B), the UK (up $2.9B), France (up $1.5B), Sweden (up $1.1B), China (up $608M), Canada (up $524M), Other (up $518M), and Singapore (up $443M). The biggest drops came from the US (down $8.5B), the Netherlands (down $3.6B), Australia/NZ (down $3.2B), Germany (down $1.5B), Belgium (down $1.4B), Norway (down $710M), and Spain (down $69M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $246.5B (up $1.7B from last month), while the Eurozone subset had $135.4B billion (down $5.2B). The Americas had $153.7 billion (down $8.0B), while Asian and Pacific had $107.3 billion (up $3.0B).
Of the $666.6 billion in Prime MMF Portfolios as of Feb. 28, $256.6B (38.4%) was in CDs (down from $265.8B), $123.7B (18.5%) was in Government securities (including direct and repo), up from $120.8B, $104.0B (15.6%) was held in Non-Financial CP and Other Short Term Securities (up from $104.0B), $143.6B (21.5%) was in Financial Company CP (up from $141.6B), and $40.2B (6.0%) was in ABCP (down from $42.0B). The Proportion of Non-Government Securities in All Taxable Funds was 18.2% at month-end, down from 18.7% the previous month. All MMF Repo with Federal Reserve dropped to $30.9B in February (the lowest level in over 2 years) from $55.1B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 36.2% were in maturities of 60 days and over (up from 35.1%), while 8.3% were in maturities of 180 days and over (down from 8.6%).
