The Securities and Exchange Commission's latest monthly "Money Market Fund Statistics" summary shows that total money fund assets increased $46.3 billion in April to $5.040 trillion. (Month-to-date in May assets are down $15.0 billion through 5/17, according to our MFI Daily.) The SEC shows that Prime MMFs rose by $1.3 billion in April to $929.2 billion, Govt & Treasury funds increased $48.4 billion to $4.006 trillion and Tax Exempt funds decreased $3.4 billion to $104.8 billion. Yields were down again 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. (Note: Don't forget to join us Thursday, May 20 (2-3pm), for our "Handicapping Money Fund Reforms" webinar!)
April's overall asset increase follows an increase of $146.1 billion in March, $30.5 billion in February and $35.4 billion in January. MMFs declined by $26.1 billion in December, increased $18.7 billion in November, and fell $73.6 billion in October, $117.8 billion in September, $57.0 billion in August, $66.4 billion in July and $127.3 billion in June. Prior to this, we saw increases of $31.0 billion in May, $461.6 billion in April and $704.8 billion in March. Over the 12 months through 4/30/21, total MMF assets have decreased by $160.2 billion, or -3.1%, according to the SEC's series. (Note that the SEC's series includes a number of internal money funds not tracked by ICI, though Crane Data includes most of these assets in its collections.)
The SEC's stats show that of the $5.040 trillion in assets, $929.2 billion was in Prime funds, up $1.3 billion in April. This follows an increase of $7.2 billion in March, a decrease of $29.2 billion in February, an increase of $36.4 billion in January, and decreases of $42.7 billion in December, $5.8 billion in November, $30.7 billion in October, $145.6 billion in September (when Vanguard converted its massive Prime MMF to Govt) and $7.1 billion in August. Earlier this year, we saw increases of $16.4 billion in July, $21.3 billion in June, $50.6 billion in May and $105.2 billion in April. Prime funds represented 18.4% of total assets at the end of April. They've decreased by $160.8 billion, or -14.8%, over the past 12 months.
Government & Treasury funds totaled $4.006 trillion, or 79.5% of assets. They increased $48.4 billion in April, after increasing $140.9 billion in March, $64.3 billion in February, decreasing $2.0 billion in January, increasing $19.2 billion in December, $27.7 billion in November, decreasing $41.4 billion in October, rising $35.3 billion in September and falling $49.3 billion in August and $42.6 billion in July. They plummeted $145.1 billion in June, fell $18.6 billion in May, and skyrocketed $347.3 billion in April. Govt & Treasury MMFs are up $36.9 billion over 12 months, or 0.9%. Tax Exempt Funds decreased $3.4 billion to $104.8 billion, or 2.1% of all assets. The number of money funds was 330 in April, unchanged from the previous month, and down 31 funds from a year earlier.
Yields for Taxable MMFs were down again in April. Steady declines over the past 25 months follow 25 months of straight increases. The Weighted Average Gross 7-Day Yield for Prime Institutional Funds on April 30 was 0.10%, down two basis points from the previous month. The Weighted Average Gross 7-Day Yield for Prime Retail MMFs was 0.16%, down a basis point. Gross yields were 0.07% for Government Funds, down a basis point from last month. Gross yields for Treasury Funds were also down a basis point at 0.06%. Gross Yields for Muni Institutional MMFs were flat at 0.09% in April. Gross Yields for Muni Retail funds were also flat at 0.13% in April.
The Weighted Average 7-Day Net Yield for Prime Institutional MMFs was 0.06%, down a basis point from the previous month and down five basis points since 12/31/20. The Average Net Yield for Prime Retail Funds was 0.02%, unchanged from the previous month, and down a basis point since 12/31/20. Net yields were 0.02% for Government Funds, unchanged from last month. Net yields for Treasury Funds were also unchanged from the previous month at 0.01%. Net Yields for Muni Institutional MMFs were down a basis point from March at 0.03%. Net Yields for Muni Retail funds were unchanged at 0.01% in April. (Note: These averages are asset-weighted.)
WALs and WAMs largely down in April. The average Weighted Average Life, or WAL, was 58.2 days (unchanged from last month) for Prime Institutional funds, and 48.6 days for Prime Retail funds (down 2.7 days). Government fund WALs averaged 88.6 days (down 3.5 days) while Treasury fund WALs averaged 91.1 days (down 4.1 days). Muni Institutional fund WALs were 12.8 days (down 1.5 days from the previous month), and Muni Retail MMF WALs averaged 22.8 days (down 3.4 days).
The Weighted Average Maturity, or WAM, was 41.2 days (up 1.3 days from the previous month) for Prime Institutional funds, 41.1 days (down 3.3 days from the previous month) for Prime Retail funds, 40.7 days (down 2.5 days) for Government funds, and 43.7 days (down 2.8 days) for Treasury funds. Muni Inst WAMs were down 1.1 days to 12.4 days, while Muni Retail WAMs decreased 3.2 days to 21.9 days.
Total Daily Liquid Assets for Prime Institutional funds were 50.8% in April (down 0.8% from the previous month), and DLA for Prime Retail funds was 30.9% (down 2.8% from previous month) as a percent of total assets. The average DLA was 70.1% for Govt MMFs and 95.5% for Treasury MMFs. Total Weekly Liquid Assets was 63.2% (up 0.6% from the previous month) for Prime Institutional MMFs, and 44.2% (up 0.2% from the previous month) for Prime Retail funds. Average WLA was 84.0% for Govt MMFs and 99.4% for Treasury MMFs.
In the SEC's "Prime Holdings of Bank-Related Securities by Country table for April 2021," the largest entries included: Canada with $101.5 billion, France with $81.9 billion, Japan with $70.7 billion, the U.S. with $55.3B, Germany with $39.0B, the U.K. with $37.3B, the Netherlands with 35.2B, Aust/NZ with $26.1B and Switzerland with $16.3B. The biggest gainers among the "Prime MMF Holdings by Country" were: the U.K. (up $5.9 billion), France (up $4.1B), Germany ($3.0B) and Japan (up $1.5B). The biggest decreases were: The U.S. (down $8.5B), Canada (down $8.4B), the Netherlands (down $5.0B), Aust/NZ (down $2.8B) and Switzerland (down $1.0B).
The SEC's "Prime Holdings of Bank-Related Securities by Region" table shows Europe had $112.2B (up $13.4B from last month), the Eurozone subset had $174.8B (up $8.5B). The Americas had $156.9 billion (down $17.1B), while Asia Pacific had $110.5B (down $2.9B).
The "Prime MMF Aggregate Product Exposures" chart shows that of the $922.2B billion in Prime MMF Portfolios as of April 30, $329.0B (35.7%) was in Government & Treasury securities (direct and repo) (down from $346.1B), $233.1B (25.3%) was in CDs and Time Deposits (up from $216.6B), $189.9B (20.6%) was in Financial Company CP (up from $189.0B), $128.4B (13.9%) was held in Non-Financial CP and Other securities (up from $127.8B), and $41.8B (4.5%) was in ABCP (unchanged $41.8B).
The SEC's "Government and Treasury Funds Bank Repo Counterparties by Country" table shows the U.S. with $183.5 billion, Canada with $160.1 billion, France with $207.3 billion, the U.K. with $86.3 billion, Germany with $25.6 billion, Japan with $152.3 billion and Other with $41.6 billion. All MMF Repo with the Federal Reserve was up $54.5 billion in April at $179.8 billion.
Finally, a "Percent of Securities with Greater than 179 Days to Maturity" table shows Prime Inst MMFs 7.8%, Prime Retail MMFs with 4.5%, Muni Inst MMFs with 0.6%, Muni Retail MMFs with 2.6%, Govt MMFs with 14.0% and Treasury MMFs with 14.4%.
