ICI released its latest monthly "Money Market Fund Holdings, January 2014" yesterday, the second edition in its new series which tracks the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds as of Jan. 31, 2014. The release was also accompanied by a comment entitled, "Money Market Funds and Liquidity Ratios: Why So High and Stable? from Economist Chris Plantier. The update says, "The Investment Company Institute (ICI) reports that, as of January, prime money market funds held 23.18 percent of their portfolios in daily liquid assets and 36.73 percent in weekly liquid assets. Government money market funds held 60.36 percent of their portfolios in daily liquid assets and 84.36 percent in weekly liquid assets in January." (See also "ICI's New Data Release: Further Enhancing the Transparency of Money Market Funds," ICI's "Frequently Asked Questions About Money Market Fund N-MFP Data", and Crane Data's Feb. 13 News, "CD, TD Portfolio Holdings Jump, Treasury, Agencies Plunge in January".)
ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets table shows Prime Money Market Funds' Daily liquid assets at 23.2% as of Jan. 31, 2014, down from 23.3% on 12/31/13. Prime funds' "All securities maturing within 1 day" totaled 17.5% (vs. 17.3% last month) while their "Other treasury securities" entry added 5.7% (vs. 6.1% last month) to the Daily liquid total. Prime funds' Weekly liquid assets totaled 36.7% (vs 36.4% last month), which was made up of "All securities maturing within 5 days" (29.3% vs. 28.2% in December), Other treasury securities (5.6% vs. 6.1% in Dec.), and Other agency securities (1.8% vs. 2.1% a month ago).
Government Money Market Funds' Daily liquid assets total 60.4% in January vs. 62.8% in December. All securities maturing within 1 day totaled 22.2% vs. 23.3% last month. Other treasury securities added 38.2% (vs. 39.5% in Dec.). Weekly liquid assets totaled 84.4% (vs. 84.9%), which was comprised of All securities maturing within 5 days (35.4% vs. 32.1%), Other treasury securities (35.3% vs. 39.5%), and Other agency securities (13.7% vs. 13.3%).
ICI's "Holdings by Region of Issuer summary explains, "Prime money market funds' holdings attributable to the Americas declined from 48.21 percent in December to 42.22 percent in January, primarily reflecting a decrease in repurchase agreements with the Federal Reserve. Government money market funds' holdings attributable to the Americas declined from 89.58 percent in December to 84.58 percent in January, which also primarily reflects a decrease in repurchase agreements with the Federal Reserve." (ICI doesn't publish individual fund holdings.)
Their "Prime and Government Money Market Funds' Holdings, by Region of Issuer table shows Prime Money Market Funds with 42.2% in the Americas (vs. 48.2% last month), 19.4% in Asia Pacific (vs. 20.1%), 38.2% in Europe (vs. 31.5%), and 0.2% in Other and Supranational (vs. 0.3%). Government Money Market Funds held 84.6% in the Americas (vs. 89.6% last month), 0.6% in Asia Pacific (vs. 0.5%), 14.7% in Europe (vs. 9.9%), and 0.1% in Supranational (vs. 0.1%).
The "Weighted Average Maturities (WAMs) and Weighted Average Lives (WALs) section tells us, "Prime funds had a weighted-average maturity of 47 days and a weighted-average life of 83 days, as of January. Average WAMs and WALs are asset-weighted. Government money market funds had a weighted-average maturity of 48 days and a weighted-average life of 66 days, as of January." The table, "Prime and Government Money Market Funds' WAMs and WALs shows Prime MMFs WAMs and WALs remaining unchanged from last month (at 47 and 83 days, respectively) and Government MMFs' WAMs remaining unchanged at 48 days and their WALs increasing by one day from 65 days.
The release adds, "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 January covers funds holding 94 percent of taxable money market fund assets."
ICI's commentary accompanying the release explains, "As discussed last month, government money market funds hold very high levels of weekly liquidity -- more than 84 percent of their portfolios on average -- because most of their holdings are made up of Treasury debt, short-dated agency debt, or repurchase agreements. Prime money market funds also have weekly liquidity ratios that, at nearly 37 percent, are above the minimum SEC requirements. Funds' liquidity ratios typically vary little from month to month, even during periods of substantial inflows or outflows. For example, the current data release shows that the average liquidity ratio of prime money market funds rose only slightly, to 36.73 percent in January from 36.36 percent in December."
Finally, ICI's Plantier adds, "Liquidity ratios also tend to move little from month to month over longer stretches, despite significant market events. For example, the figure above -- which shows weekly liquidity for government and prime money market funds from January 2011 to January 2014 -- indicates that funds maintained stable liquidity ratios in 2011, even in the face of significant uncertainty emanating from the eurozone debt crisis and the political impasse involving the U.S. federal debt ceiling."
