The Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary Friday. It shows that total money fund assets fell by $48.2 billion in March to $3.074 trillion, with most of the decline coming from Government & Treasury funds. Prime MMF assets fell by $3.4 billion to $663.2 billion (after falling by $2.8 billion in February, rising by $3.2 billion in January, and falling $13.6 billion in December). Government money funds decreased by $41.7 billion, while Tax Exempt MMFs fell by $3.1 billion. Gross yields jumped for all types of money funds as the Federal Reserve hiked rates for the first time in 2018 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.
Overall assets decreased by $48.2 billion in March, after increasing $40.7 billion in February, 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 3/31/18, total MMF assets increased $144.1 billion, or 4.9%. (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 $3.074 trillion in assets, $663.2 billion was in Prime funds, which decreased by $3.4 billion in March. Prime MMFs decreased by $2.8 billion in February, increased by $3.2 billion in January, decreased by $13.6 billion in December, and increased by $14.3 billion in November. Prime funds represented 21.6% of total assets at the end of March. They've increased by $64.0 billion, or 10.7%, over the past 12 months. But they've decreased by $855.0 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 $2.273 billion, or 74.0% of assets,. They were down $41.7 billion in March, but up $44.9 billion in February. Govt MMFs were down $54.7 billion in January, but up by $57.3 billion in December and $40.8 billion in November. Govt & Treas MMFs are up $78.3 billion over 12 months (3.6%). Tax Exempt Funds decreased $3.1B to $137.1 billion, or 4.5% of all assets. The number of money funds is 379, the same number as last month but 32 fewer than 3/31/17.
Yields jumped again in March, after jumping in December and inching higher in January and February. The Weighted Average Gross 7-Day Yield for Prime Funds on March 31 was 1.86%, up 23 basis points from the previous month and up 0.83% from March 2017. Gross yields increased to 1.69% for Government/Treasury funds, up 0.24% from the previous month, and up from 0.76% in March 2017. Tax Exempt Weighted Average Gross Yields rose 30 bps in March to 1.46%; they've increased by 59 bps since 3/31/17.
The Weighted Average Net Prime Yield was 1.67%, up 0.23% from the previous month and up 0.87% since 3/31/17. The Weighted Average Prime Expense Ratio was 0.19% in March (down one bp from the previous month). Prime expense ratios are down by 4 bps over the past year. (Note: These averages are asset-weighted.)
WALs and WAMs were higher across all categories in March. The average Weighted Average Life, or WAL, was 62.0 days (up 2.7 days from last month) for Prime funds, 91.1 days (up 1.0 days) for Government/Treasury funds, and 25.6 days (up 0.4 days) for Tax Exempt funds. The Weighted Average Maturity, or WAM, was 29.8 days (up 3.3 days from the previous month) for Prime funds, 33.7 days (up 2.4 days) for Govt/Treasury funds, and 23.6 days (up 0.5 days) for Tax-Exempt funds. Total Daily Liquidity for Prime funds was 31.5% in March (up 1.0% from previous month). Total Weekly Liquidity was 49.1% (down 1.5%) for Prime MMFs.
In the SEC's "Prime MMF Holdings of Bank Related Securities by Country" table, Canada topped the list with $90.3 billion, followed by the US with $67.9 billion, Japan with $53.1B, France ($50.3B), and Australia/New Zealand with $39.9B. The UK ($37.8B), Sweden ($32.9B), Germany ($30.2B), the Netherlands ($29.0B) and Switzerland ($18.1B) rounded out the top 10 countries.
The gainers among Prime MMF bank related securities for the month included: the U.S. (up $4.1B), Germany (up $3.0B), the UK (up $2.4B), Canada (up $1.0B), China (up $726M), Singapore (up $707M), and Aust/NZ (up $637M). The biggest drops came from France (down $13.2B), Sweden (down $7.2B), Switzerland (down $5.9B), Belgium (down $5.5B), the Netherlands (down $4.1B), Japan (down $2.1B), Norway (down $2.0B), Other (down $619M), and Spain (down $261M). For Prime MMF Holdings of Bank-Related Securities by Major Region, Europe had $213.6B (down $32.9B from last month), while the Eurozone subset had $115.3B billion (down $20.2B). The Americas had $158.8 billion (down $5.1B), while Asian and Pacific had $106.8 billion (down $0.6B).
Of the $655.7 billion in Prime MMF Portfolios as of March 31, $222.9B (34.0%) was in CDs (down from $256.6B), $161.9B (24.7%) was in Government securities (including direct and repo), up from $123.7B, $99.0B (15.1%) was held in Non-Financial CP and Other Short Term Securities (down from $104.0B), $132.0B (20.1%) was in Financial Company CP (down from $143.6B), and $39.9B (6.1%) was in ABCP (down from $40.2B). The Proportion of Non-Government Securities in All Taxable Funds was 17.0% at month-end, down from 18.2% the previous month. All MMF Repo with Federal Reserve dropped to $22.6B in March (the lowest level in years) from $30.9B the previous month. Finally, the "Trend in Longer Maturity Securities in Prime MMFs" tables shows 40.7% were in maturities of 60 days and over (up from 36.2%), while 7.6% were in maturities of 180 days and over (down from 8.3%).
