ICI's New MMF Holdings Report
The Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of May 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. (See our June 13 News, "Portfolio Holdings: Agencies, Repo Gain; Govt Holdings Surpass Prime.") The release explains, "Beginning this month, the Investment Company Institute's (ICI) monthly press release and Taxable Money Market Fund Portfolio report will utilize a new format and provide new data. ICI's press release and tables will now include additional types of securities; dollar-based reporting; and monthly rather than weekly reporting of liquidity. These changes reflect the new reporting requirements on the Securities and Exchange Commission's revised Form N-MFP. This report will be published in the middle of each month, reporting aggregated data for the prior month. As of the final Friday in May, prime money market funds held 30.8 percent of their portfolios in daily liquid assets (down from 32.4% in April) and 46.3 percent in weekly liquid assets (up from 43.9%), while government money market funds held 57.6 percent of their portfolios in daily liquid assets (down from 57.7%) and 73.9 percent in weekly liquid assets (down from 74.2%). At the end of May, prime funds had a weighted-average maturity of 31 days (down from 34 days) and a weighted-average life of 46 days (down from 51 days). Average WAMs and WALs are asset-weighted. Government money market funds had a weighted-average maturity of 39 days (down from 41 days) and a weighted-average life of 96 days (up from 95 days)." On Holdings By Region of Issuer, it adds, "Prime money market funds' holdings attributable to the Americas declined from $442.85 billion in April to $424.82 billion in May. Government money market funds' holdings attributable to the Americas rose from $1,081.79 billion in April to $1,159.46 billion in May." The Prime Money Market Funds by Region of Issuer table shows Americas at $424.8 billion, or 36.9%; Asia and Pacific at $228.7 billion, or 19.9%; Europe at $486.9 billion, or 42.3%; Supranational at $1.4 billion, or 0.1%; and Other at $8.5 billion, or 0.7%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.159 trillion, or 84.2%; Asia and Pacific at $25.1 billion, or 1.8%; Europe at $192.4 billion, or 13.9%; Supranational and Other total or 0.1%. The release explains, "Each month, ICI reports numbers based on the Securities and Exchange Commission's Form N-MFP data. The report includes all money market funds registered under the Securities Act of 1933 and the Investment Company Act of 1940, that are publicly offered. All master funds are excluded, but feeders are apportioned from the corresponding master and included in the report."
