The Securities and Exchange Commission's latest "Money Market Fund Statistics" summary shows that total money fund assets increased by $461.6 billion in April to a record $5.200 trillion, the 21st increase in the past 22 months. (Month-to-date in May through 5/26, assets have increased by $99.7 billion according to our MFI Daily.) The SEC shows that Prime MMFs jumped $105.2 billion in April to $1.090 trillion, while Govt & Treasury funds skyrocketed by $347.3 billion to $3.969 trillion. Tax Exempt funds increased by $9.1 billion to $141.1 billion. Yields were down for Prime, Govt and Tax-Exempt MMFs in April. 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.
April's overall asset increase follows increases of $704.8 billion in March and $17.3 billion in February, a decrease of $4.3 billion in January and increases of $37.2 billion in December, $45.6 billion in November, $88.6 billion in October, $82.9 billion in September, $76.3 billion in August, $75.6 billion in July, $41.9 billion in June and $78.2 billion in May. Over the 12 months through 4/30/20, total MMF assets have increased by an incredible $1.705 trillion, or 48.8%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not tracked by ICI or others, though Crane Data includes most of these.)
The SEC's stats show that of the $5.200 trillion in assets, $1.090 trillion was in Prime funds, which rebounded $105.2 billion in April. This follows decreases of $124.5 billion in March and $13.9 billion in February, an increase of $28.1 billion in January, a decrease of $26.5 billion in December and increases of $20.2 billion in November, $38.4 billion in October and $11.7 billion in September. Prime funds represented 21.0% of total assets at the end of April. They've increased by $90.1 billion, or 9.0%, over the past 12 months.
Government & Treasury funds totaled $3.969 trillion, or 76.4% of assets. They jumped $347.3 billion in April after skyrocketing $838.3 billion in March, increasing $32.0 billion in February, falling $31.4 billion in January, and rising $64.7 billion in December, $24.2 billion in November, $46.6 billion in October and $72.9 billion in September. Govt & Treas MMFs are up a staggering $1.613 trillion over 12 months, or 68.5%. Tax Exempt Funds increased $9.1B to $141.1 billion, or 2.7% of all assets. The number of money funds was 361 in April, down one from the previous month and down nine funds from a year earlier.
Yields for Taxable MMFs were down across the board in April. The declines of the past 13 months follow almost 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on April 30 was 0.59%, down 35 basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.85%, down 30 basis points. Gross yields were 0.39% for Government Funds, down 16 bps from last month. Gross yields for Treasury Funds were down 20 bps at 0.37%. Gross Yields for Muni Institutional MMFs plummeted from 3.36% in March to 0.30%. Gross Yields for Muni Retail funds dropped from 3.35% to 0.51% in April.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.53%, down 34 bps from the previous month and down 1.72% since 4/30/19. The Average Net Yield for Prime Retail Funds was 0.58%, down 31 bps from the previous month and down 1.79% since 4/30/19. Net yields were 0.17% for Government Funds, down 15 bps from last month. Net yields for Treasury Funds decreased 18 basis points to 0.17%. Net Yields for Muni Institutional MMFs dropped from 3.21% in March to 0.16%. Net Yields for Muni Retail funds decreased from 3.07% to 0.25% in April. (Note: These averages are asset-weighted.)
WALs and WAMs were mixed in April. The average Weighted Average Life, or WAL, was 58.0 days (up 0.1 days from last month) for Prime Institutional funds, and 60.6 days for Prime Retail funds (up 0.8 days). Government fund WALs averaged 100.1 days (up 1.8 days) while Treasury fund WALs averaged 96.4 days (up 4.0 days). Muni Institutional fund WALs were 13.4 days (down 0.8 days), and Muni Retail MMF WALs averaged 31.2 days (down 3.0 days).
The Weighted Average Maturity, or WAM, was 40.8 days (up 9.5 days from the previous month) for Prime Institutional funds, 42.6 days (up 8.0 days from the previous month) for Prime Retail funds, 36.0 days (up 1.5 days) for Government funds, and 46.3 days (up 4.7 days) for Treasury funds. Muni Inst WAMs were down 1.0 day to 12.9 days, while Muni Retail WAMs decreased 2.9 days to 28.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 47.6% in April (up 5.1% from the previous month), and DLA for Prime Retail funds was 37.9% (up 4.0% from previous month) as a percent of total assets. The average DLA was 54.0% for Govt MMFs and 96.0% for Treasury MMFs. Total Weekly Liquid Assets was 60.0% (up 4.8% from the previous month) for Prime Institutional MMFs, and 48.5% (up 3.2% from the previous month) for Prime Retail funds. Average WLA was 71.5% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime MMF Holdings of Bank-Related Securities by Country table for April 2020," the largest entries included: Canada with $132.5 billion, Japan with $97.2 billion, France with $88.4 billion, the U.S. with $87.7B, the U.K. with $45.6B, Germany with $40.3B, the Netherlands with $37.2B, Aust/NZ with $32.8B and Switzerland with $20.1B. The biggest gainers among the "Prime MMF Holdings by Country" were: France (up $17.3 billion), Japan (up $10.2B), the U.S. (up $7.7B), the U.K. (up $5.0B), the Netherlands (up $0.8B) and Switzerland (up $0.1B). The biggest decreases were: Aust/NZ (down $8.4B), Canada (down $6.8B) and Germany (down $3.4B).
The SEC's "Prime MMF Holdings of Bank-Related Securities by Major Region" table shows Europe had $111.9B (up $3.7B from last month), the Eurozone subset had $179.5B (up $17.4B). The Americas had $220.8 billion (up $1.2B), while Asia Pacific had $144.0B (down $0.1B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $1.096 trillion in Prime MMF Portfolios as of April 30, $420.0B (38.3%) was in Government & Treasury securities (direct and repo) (up from $303.6B), $290.0B (26.5%) was in CDs and Time Deposits (up from $281.8B), $180.4B (16.5%) was in Financial Company CP (down from $190.3B), $149.4B (13.6%) was held in Non-Financial CP and Other securities (down from $152.1B), and $55.7B (5.1%) was in ABCP (up from $53.6B).
The SEC's "Government and Treasury MMFs Bank Repo Counterparties by Country" table shows the U.S. with $201.4 billion, Canada with $153.9 billion, France with $217.1 billion, the U.K. with $117.5 billion, Germany with $31.4 billion, Japan with $159.8 billion and Other with $42.9 billion. All MMF Repo with the Federal Reserve fell by $283.2 billion in April to $1.8 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs with 6.9%, Prime Retail MMFs with 4.8%, Muni Inst MMFs with 0.9%, Muni Retail MMFs 4.1%, Govt MMFs with 17.6% and Treasury MMFs with 14.9%.
