ICI's Money Market Fund Holdings
The Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of March. 31, 2016), which reviews 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 30.6% as of March 31, up from 30.5% on Feb. 29. Daily liquid assets were made up of: "All securities maturing within 1 day," which totaled 24.9% (vs. 25.4% last month) and "Other treasury securities," which totaled 5.7% (up from 5.1% last month). Prime funds' Weekly liquid assets totaled 42.2% (vs. 41.1% last month), which was made up of "All securities maturing within 5 days" (35.0% vs. 34.8% in February), Other treasury securities (5.6% vs. 5.1% in February), and Other agency securities (1.6% vs. 1.2% a month ago). The report shows that Government Money Market Funds' Daily liquid assets totaled 59.3% as of March 31 vs. 57.7% the previous month. All securities maturing within 1 day totaled 23.3% vs. 23.3% last month. Other treasury securities added 36.1% (vs. 34.4% in February). Weekly liquid assets for Govt MMFs totaled 75.6% (vs. 77.5%), which was comprised of All securities maturing within 5 days (31.9% vs. 33.5%), Other treasury securities (34.4% vs. 32.7%), and Other agency securities (9.3% vs. 11.3%). ICI's "Prime and Government Money Market Funds' Holdings, by Region of Issuer" table shows Prime Money Market Funds with 46.2% in the Americas (vs. 39.2% last month), 19.0% in Asia Pacific (vs. 18.9%), 34.2% in Europe (vs. 41.5%), and 0.2% in Other and Supranational (vs. 0.0% last month). Government Money Market Funds held 91.8% in the Americas (vs. 84.2% last month), 0.9% in Asia Pacific (vs. 1.4%), 7.3% in Europe (vs. 14.5%), and 0.0% in Supranational (vs. 0.0%). The table, "Prime and Government Money Market Funds' WAMs and WALs" shows Prime MMFs WAMs at 35 days as of March 31, down from 36 days last month. WALs were at 54 days, down from 57 days last month. Government MMFs' WAMs was at 42 days, up from 41 days last month, while Government fund WALs was at 96 days, up from 93 days. The 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.)
