After a lengthy delay due to a revamp of the report, the Securities and Exchange Commission released its latest "Money Market Fund Statistics" summary, which shows that total money fund assets rose by $76.86 billion in February to $3.406 trillion. Prime MMFs increased $57.9 billion in February to close at $872.9 billion, Govt & Treasury funds rose by $21.1 billion to $2.390 trillion. Tax Exempt funds fell by $2.1 billion to $143.7 billion. Yields were flat for Prime and Govt, but jumped for Tax Exempt MMFs in February. 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. (The latest report includes more history on their charts and splits Prime into Prime Inst and Prime Retail and Muni into Muni Inst and Muni Retail.) We review the latest numbers below.
Overall assets gained $76.9 billion, following an increase of $31.4 billion in January, $44.7 billion in December, and $89.3 billion in November. Over the 12 months through 2/28/19, total MMF assets increased $284.2 billion, or 9.1%. (Note that the SEC's series includes a number of private and internal money funds not reported to ICI or others, though Crane Data tracks most of these.)
Of the $3.406 trillion in assets, $872.9 billion was in Prime funds, up $57.9 billion in February, after increasing $50.7 billion in January. Prime funds represented 25.6% of total assets at the end of February. They've increased by $206.3 billion, or 30.9%, over the past 12 months. Government & Treasury funds totaled $2.390 trillion, or 70.2% of assets. They rose $21.1 billion in February after falling $15.5 billion in January. Govt & Treas MMFs are up $74.5 billion over 12 months, or 3.2%. Tax Exempt Funds decreased $2.1B to $143.7 billion, or 4.2% of all assets. The number of money funds was 370 in February, up by one fund in the month but unchanged since year-end 2018.
Yields for Taxable MMFs were mixed in February following 16 months in a row of increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on Feb. 28 was 2.62%, unchanged from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was `2.66%, down 1 basis point from the previous month. Gross yields moved to 2.47% for Government Funds, up 2 basis points from last month. Gross yields for Treasury Funds increased 1 basis point to 2.45%. Gross Yields for Muni Institutional MMFs increased from 1.42% in January to 1.76% in February, while Gross Yields for Muni Retail increased from 1.45% in January to 1.78% in February.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 2.52%, unchanged from the previous month and up 1.00% since 02/28/18. The Average Net Yield for Prime Retail Funds was 2.39%, down 0.01% from the previous month and up 1.05% since 02/28/18. (Note: These averages are asset-weighted.)
WALs and WAMs were higher in February. The average Weighted Average Life, or WAL, was 59.0 days (up 0.6 days from last month) for Prime Institutional funds, and 64.0 days for Prime Retail funds (up 2 days). Government fund WALs averaged 88.3 days (up 2.5 days) while Treasury fund WALs averaged 92.3 days (down 0.8 days). Muni Institutional fund WALs were 14 days (up 1.1 days), and Muni Retail MMF WALs averaged 27.9 days (down 1.6 days).
The Weighted Average Maturity, or WAM, was 29.0 days (up 1.4 days from the previous month) for Prime Institutional funds, 34.8 days (up 0.7 days from the previous month) for Prime Retail funds, 26.9 days (down 0.1 days) for Government funds, and 31.5 days (down 0.5 days) for Treasury funds. Muni Inst WAMs were up 1 day to 13.5 days, while Muni Retail WAMs decreased by 2.1 days to 25.4 days.
Total Daily Liquid Assets for Prime Institutional funds was 40.0% in February (down 0.2% from the previous month), and DLA for Prime Retail funds was 27.5% (up 0.5% from previous month) as a percent of total assets. The average DLA was 47.1% for Govt MMFs and 91.9% for Treasury MMFs. Total Weekly Liquid Assets was 54.3% (down 0.3% from the previous month) for Prime Institutional MMFs, and 42.4% (up 0.8% from the previous month) for Prime Retail funds. Average WLA was 70.8% for Govt MMFs and 98.0% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for February 2019," the largest entries included: Canada with $112.4 billion, the U.S. with $94.4 billion, Japan with $89.0 billion, France with $79.8B, the U.K. with $44.5B, Australia/New Zealand with $36.0B, Germany with $31.4B, Switzerland with $29.5B and the Netherlands with $25.0B. The biggest gainers among the "Prime MMF Holdings by Country" include: Canada (up $6.7B), France (up $4.2B), the UK (up $2.3B), and the U.S. (up $516 million). The biggest drops came from Japan (down $14.9B), the Netherlands (down $7.8B), and Switzerland (down $5.4B).
The SEC's "Trend in Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $290.1B (up $14.5B from last month), while the Eurozone subset had $151.1B (down $4.7B). The Americas had $207.3 billion (up $6.1B), while Asia Pacific had $139.5 billion (down $14.1B).
The "Prime MMF Portfolio Composition" chart shows that of the $872.9 billion in Prime MMF Portfolios as of Feb. 28, $298.0B (34.1%) was in CDs (up from $289.4B), $244.6B (28.0%) was in Government securities (including direct and repo) (up from $216.1B), $109.3B (12.5%) was held in Non-Financial CP and Other Short Term Securities (up from $99.4B), $167.8B (19.2%) was in Financial Company CP (up from $160.7B), and $59.1B (6.8%) was in ABCP (up from $58.3B). All MMF Repo with the Federal Reserve increased by $2.4 billion in February to $3.4 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" shows Prime Inst MMFs with 8.1%, Prime Retail MMFs with 7.7%, Muni Inst MMFs with 1.9%, Muni Retail MMFs with 4.8%, Govt MMFs with $15.3% and Treasury MMFs with 14.4%.
