ICI MMF Holdings Aggregates
The Investment Company Institute released its latest "Money Market Fund Holdings" report (with data as of May 31, 2015), which tracks the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. ICI's "Prime and Government Money Market Funds' Daily and Weekly Liquid Assets" table shows Prime Money Market Funds' Daily liquid assets at 25.4% as of May 31, up from 23.3% on April 30. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 21.2% (vs. 18.1% last month) and "Other treasury securities," which added 4.3% (down from 5.2% last month). Prime funds' Weekly liquid assets totaled 38.2% (vs. 37.6% last month), which was made up of "All securities maturing within 5 days" (32.3% vs. 31.1% in April), Other treasury securities (4.2% vs. 5.0% in April), and Other agency securities (1.7% vs. 1.5% a month ago). (See also Crane Data's June 11 "News", "June Portfolio Holdings Show Jumps in Time Deposits, CD, Repo, CP.") The ICI holdings report says Government Money Market Funds' Daily liquid assets totaled 62.8% as of May 31 vs. 61.6% in April. All securities maturing within 1 day totaled 28.0% vs. 26.3% last month. Other treasury securities added 34.8% (vs. 35.3% in April). Weekly liquid assets totaled 80.0% (vs. 80.2%), which was comprised of All securities maturing within 5 days (39.5% vs. 39.5%), Other treasury securities (32.8% vs. 33.1%), and Other agency securities (7.7% vs. 7.7%). ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 41.5% in the Americas (vs. 41.6% last month), 19.5% in Asia Pacific (vs. 19.6%), 38.7% in Europe (vs. 38.5%), and 0.4% in Other and Supranational (vs. 0.4% last month). Government Money Market Funds held 85.8% in the Americas (vs. 84.4% last month), 0.4% in Asia Pacific (vs. 0.5%), 13.8% in Europe (vs. 15.2%), and 0.1% in Supranational (vs. 0.1%). The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 38 days as of May 31, down from 40 days last month. WALs were at 75 days, down from 78 days last month. Government MMFs' WAMs was at 41 days, down from 43 days last month, while WALs was at 78 days, down from 82 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 April covers funds holding 94 percent of taxable money market fund assets." Note: ICI publishes aggregates but doesn't publish individual fund holdings.
