ICI June 30 Holdings Update
The Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of June 30, 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 26.4% as of June 30, up from 25.4% on May 31. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 22.5% (vs. 21.2% last month) and "Other treasury securities," which added 3.9% (down from 4.3% last month). Prime funds' Weekly liquid assets totaled 39.6% (vs. 38.2% last month), which was made up of "All securities maturing within 5 days" (33.7% vs. 32.3% in May), Other treasury securities (3.6% vs. 4.2% in May), and Other agency securities (2.3% vs. 1.7% a month ago). (See also Crane Data's July 13 "News", "July MMF Portfolio Holdings Show Jump in Fed Repo, Drop in TDs, VRDNs.") The ICI holdings report says Government Money Market Funds' Daily liquid assets totaled 52.5% as of June 30 vs. 62.8% in May. All securities maturing within 1 day totaled 23.6% vs. 28.0% last month. Other treasury securities added 35.9% (vs. 34.8% in May). Weekly liquid assets totaled 82.2% (vs. 80.0%), which was comprised of All securities maturing within 5 days (40.1% vs. 39.5%), Other treasury securities (33.7% vs. 32.8%), and Other agency securities (8.4% vs. 7.7%). ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 50.6% in the Americas (vs. 41.5% last month), 20.5% in Asia Pacific (vs. 19.5%), 28.6% in Europe (vs. 38.7%), and 0.4% in Other and Supranational (vs. 0.3% last month). Government Money Market Funds held 93.9% in the Americas (vs. 85.8% last month), 0.2% in Asia Pacific (vs. 0.4%), 5.9% in Europe (vs. 13.8%), and 0.1% in Supranational (vs. 0.1%). The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 37 days as of June 30, down from 38 days last month. WALs were at 73 days, down from 75 days last month. Government MMFs' WAMs was at 39 days, down from 41 days last month, while WALs was at 75 days, down from 78 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 June covers funds holding 94 percent of taxable money market fund assets." Note: ICI publishes aggregates but doesn't publish individual fund holdings. Also, JP Morgan Securities released its "Prime MMF Holdings Update for June".
