ICI released its latest monthly "Money Market Fund Holdings, February 2014" yesterday, the third 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 Feb. 28, 2014. The release was also accompanied by a comment entitled, "U.S. Prime Money Market Funds and European Borrowing from Economist Chris Plantier. The update says, "The Investment Company Institute (ICI) reports that, as of February, prime money market funds held 23.83 percent of their portfolios in daily liquid assets and 37.27 percent in weekly liquid assets. Government money market funds held 61.89 percent of their portfolios in daily liquid assets and 84.54 percent in weekly liquid assets in February." (See Crane Data's March 13 News, "Treasury Holdings Rise, Agencies, CDs Drop in Feb., Fed Repos Jump".)
ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets table shows Prime Money Market Funds' Daily liquid assets at 23.8% as of Feb. 28, 2014, up marginally from 23.2% on 1/31/14. Prime funds' "All securities maturing within 1 day" totaled 17.0% (vs. 17.5% last month) while their "Other treasury securities" entry added 6.8% (vs. 5.7% last month) to the Daily liquid total. Prime funds' Weekly liquid assets totaled 37.3% (vs 36.6% last month), which was made up of "All securities maturing within 5 days" (29.4% vs. 29.1% in Jan.), Other treasury securities (6.8% vs. 5.6% in Jan.), and Other agency securities (1.0% vs. 1.8% a month ago).
Government Money Market Funds' Daily liquid assets total 61.9% in February vs. 60.4% in January. All securities maturing within 1 day totaled 22.9% vs. 22.2% last month. Other treasury securities added 39.0% (vs. 38.2% in Jan). Weekly liquid assets totaled 84.5% (vs. 84.3%), which was comprised of All securities maturing within 5 days (33.5% vs. 35.3%), Other treasury securities (37.8% vs. 35.3%), and Other agency securities (13.2% vs. 13.7%).
ICI's "Holdings by Region of Issuer summary explains, "Prime money market funds' holdings attributable to the Americas rose from 42.25 percent in January to 42.44 percent in February. Government money market funds' holdings attributable to the Americas declined from 84.58 percent in January to 84.48 percent in February." (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 42.4% in the Americas (vs. 42.3% last month), 18.9% in Asia Pacific (vs. 19.4%), 38.4% in Europe (vs. 38.2%), and 0.3% in Other and Supranational (vs. 0.2%). Government Money Market Funds held 84.5% in the Americas (vs. 84.6% last month), 0.6% in Asia Pacific (vs. 0.6%), 14.9% in Europe (vs. 14.7%), 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 48 days and a weighted-average life of 83 days, as of February. Average WAMs and WALs are asset-weighted. Government money market funds had a weighted-average maturity of 47 days and a weighted-average life of 68 days, as of February." The table, "Prime and Government Money Market Funds' WAMs and WALs shows Prime MMFs WAMs lengthened by one day and WALs remaining unchanged from last month (at 48 and 83 days, respectively) and Government MMFs' WAMs shortened by one day to 47 days and their WALs increased by two days to 68 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 February covers funds holding 94 percent of taxable money market fund assets."
ICI's "Viewpoint" accompanying the release, entitled, "U.S. Prime Money Market Funds and European Borrowing," says, "European holdings by U.S. prime money market funds have fluctuated significantly since early 2011. Prime money market funds greatly reduced their holdings of European issuers as a percentage of their overall portfolio in the summer of 2011, as the eurozone debt crisis worsened, and holdings have not fully returned to levels seen before then. This reduction in part reflects the perception that some European banks may be riskier now, but it also reflects the mounting regulatory pressures on European banks to reduce their reliance on short-term wholesale funding."
It continues, "Since then, prime money market funds' holdings of European issuers have fallen from a peak share of 51.5 percent, reaching a low of 28.6 percent in June 2012 and gradually increasing thereafter. This trend continued in the most recent month, with the share of European holdings in prime money market funds' portfolios rising slightly, from 38.17 percent in January 2014 to 38.42 percent in February 2014. This share of European holdings remains significantly below the peak share seen in early 2011."
