ICI Confirms July Liquidity Buildup
The Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of July 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 August 10 News, "MF Portfolio Holdings: TDs, Treasuries, Agencies Jump; CDs, CP Plummet.") The release explains, "The Investment Company Institute (ICI) reports that, as of the final Friday in July, prime money market funds held 34.0 percent of their portfolios in daily liquid assets and 52.0 percent in weekly liquid assets, while government money market funds held 55.8 percent of their portfolios in daily liquid assets and 72.5 percent in weekly liquid assets. At the end of July, prime funds had a weighted-average maturity of 24 days and a weighted-average life of 37 days. Average WAMs and WALs are asset-weighted. Government money market funds had a weighted-average maturity of 41 days and a weighted-average life of 99 days." On Holdings By Region of Issuer, it adds, "Prime money market funds' holdings attributable to the Americas declined from $446.67 billion in June to $365.15 billion in July, primarily reflecting a decrease in repurchase agreements with the Federal Reserve. Government money market funds' holdings attributable to the Americas declined from $1,335.10 billion in June to $1,267.45 billion in July, which also primarily reflects a decrease in repurchase agreements with the Federal Reserve." The Prime Money Market Funds by Region of Issuer table shows Americas at $446.7 billion, or 43.5%; Asia and Pacific at $215.5 billion, or 21.1%; Europe at $351.1 billion, or 34.4%; and Other at $6.1 billion, or 0.7%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.335 trillion, or 90.4%; Asia and Pacific at $23.7 billion, or 1.6%; and Europe at $116.6 billion, or 7.9%. 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."
