ICI's May MMF Holdings Summary
The Investment Company Institute released its latest "Money Market Funding Holdings" report, 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 May 31, 2014). ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets" table shows Prime Money Market Funds' Daily liquid assets at 22.8% as of May 31, down slightly from 22.9% on April 30. "Daily liquid assets" were made up of: "All securities maturing within 1 day," which totaled 18.7% (vs. 17.8% last month) and "Other treasury securities," which added 4.2% (vs. 5.1% last month). Prime funds' Weekly liquid assets totaled 36.8% (vs. 36.5% last month), which was made up of "All securities maturing within 5 days" (31.5% vs. 30.1% in Feb.), Other treasury securities (7.0% vs. 6.8% in Feb.), and Other agency securities (1.3% vs. 1.3% a month ago). Government Money Market Funds' Daily liquid assets total 62.3% in May vs. 63.6% in April. All securities maturing within 1 day totaled 27.3% vs. 27.6% last month. Other treasury securities added 35.0% (vs. 36.0% in April). Weekly liquid assets totaled 83.6% (vs. 84.6%), which was comprised of All securities maturing within 5 days (37.9% vs. 35.7%), Other treasury securities (32.9% vs. 36.0%), and Other agency securities (12.8% vs. 12.9%). ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 40.6% in the Americas (vs. 40.9% last month), 19.1% in Asia Pacific (vs. 18.8%), 40.0% in Europe (vs. 40.0%), and 0.3% in Other and Supranational (vs. 0.3%). Government Money Market Funds held 84.6% in the Americas (vs. 87.9% last month), 0.6% in Asia Pacific (vs. 0.5%), 14.8% in Europe (vs. 11.5%), and 0.0% in Supranational (vs. 0.1%). The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs remained the same and WALs shortened by one day from last month (at 45 and 80 days, respectively) and Government MMFs' WAMs shortened by one day to 43 days and their WALs remained the same at 71 days. ICI's 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 May covers funds holding 94 percent of taxable money market fund assets." Note: ICI doesn't publish individual fund holdings.
