ICI's MMF Holdings Summary
The Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of April 30, 2016), which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (See our May 12 News, "Latest MF Portfolio Holdings: Repo, T-Bills Plunge; TDs, CP Increase," for our earlier report on holdings.) In the release, ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets" table shows Prime Money Market Funds' Daily liquid assets at 31.9% as of April 30, up from 30.4% on March 31. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 27.0% (vs. 24.6% last month) and "Other treasury securities," which totaled 5.0% (down from 5.8% last month). Prime funds' Weekly liquid assets totaled 42.0% (vs. 42.3% last month), which was made up of "All securities maturing within 5 days" (36.1% vs. 34.8% in March), Other treasury securities (4.7% vs. 5.7% in March), and Other agency securities (1.2% vs. 1.8% a month ago). The report shows that Government Money Market Funds' Daily liquid assets totaled 56.9% as of April 30 vs. 59.9% the previous month. All securities maturing within 1 day totaled 22.9% vs. 22.9% last month. Other treasury securities added 34.0% (vs. 37.0% in March). Weekly liquid assets for Govt MMFs totaled 72.7% (vs. 76.1%), which was comprised of All securities maturing within 5 days (30.5% vs. 31.5%), Other treasury securities (32.5% vs. 35.3%), and Other agency securities (9.6% vs. 9.3%). ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 37.1% in the Americas (vs. 47.3% last month), 19.3% in Asia Pacific (vs. 18.7%), 43.2% in Europe (vs. 33.7%), and 0.3% in Other and Supranational (vs. 0.3% last month). Government Money Market Funds held 83.7% in the Americas (vs. 91.9% last month), 1.9% in Asia Pacific (vs. 1.0%), 14.4% in Europe (vs. 7.2%), and 0.0% in Supranational (vs. 0.0%). The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 34 days as of April 30, down from 35 days last month. WALs were at 51 days, down from 54 days last month. Government MMFs' WAMs was at 41 days, down from 42 days last month, while Government fund WALs was at 95 days, down from 96 days. The release explains, "Each month, ICI reports numbers based on the Securities and Exchange Commission's Form N-MFP data, which many fund sponsors provide directly to the Institute. ICI's data report for June covers funds holding 94 percent of taxable money market fund assets."
