The Investment Company Institute released its latest weekly "Money Market Mutual Fund Assets" report and "Money Market Fund Holdings" summary (with data as of Dec. 31, 2016) yesterday. The former shows assets plunging in the latest week and the latter reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. J.P. Morgan Securities also released its latest "Prime money market fund holdings update" earlier this week. Both "holdings" updates, which review below, confirm our earlier reports of a jump in repo holdings at year-end. (See our Jan. 12 News, "Government Takeover: Treasuries, Agencies Dominating MMF Holdings.") Finally, thanks to our speakers, sponsors and attendees of Money Fund University, which ends today in Jersey City. We hope you had a good show!
ICI's MMF Assets release says, "Total money market fund assets decreased by $24.78 billion to $2.67 trillion for the week ended Wednesday, January 18, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $25.65 billion and prime funds increased by $680 million. Tax-exempt money market funds increased by $190 million." Total Government MMF assets, which include Treasury funds too and which represent 80.7% of all money funds, stand at $2.152 trillion, while Total Prime MMFs, which total 14.4%, stand at $383.0 billion. Tax Exempt MMFs total $131.3 billion, or 4.9%.
It explains, "Assets of retail money market funds decreased by $1.67 billion to $984.88 billion. Among retail funds, government money market fund assets decreased by $1.18 billion to $606.44 billion, prime money market fund assets decreased by $570 million to $252.11 billion, and tax-exempt fund assets increased by $80 million to $126.34 billion." Retail assets account for over a third of total assets, or 36.9%, and Government Retail assets make up 61.6% of all Retail MMFs.
The release continues, "Assets of institutional money market funds decreased by $23.11 billion to $1.68 trillion. Among institutional funds, government money market fund assets decreased by $24.47 billion to $1.55 trillion, prime money market fund assets increased by $1.25 billion to $130.87 billion, and tax-exempt fund assets increased by $110 million to $4.94 billion." Institutional assets account for 63.1% of all MMF assets, with Government Inst assets making up 91.9% of all Institutional MMFs.
ICI's MMF Holdings release explains, "The Investment Company Institute (ICI) reports that, as of the final Friday in December, prime money market funds held 31.2 percent of their portfolios in daily liquid assets and 45.6 percent in weekly liquid assets, while government money market funds held 62.7 percent of their portfolios in daily liquid assets and 75.7 percent in weekly liquid assets."
It says, "At the end of December, prime funds had a weighted average maturity (WAM) of 34 days and a weighted average life (WAL) of 67 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 46 days and a WAL of 97 days." Prime WAMs were down from 37 days in November and Prime WALs were down from 68 days the prior month.
On Holdings By Region of Issuer, it adds, "Prime money market funds' holdings attributable to the Americas rose from $170.07 billion in November to $192.64 billion in December. Government money market funds' holdings attributable to the Americas rose from $1,896.11 billion in November to $2,002.11 billion in December."
The Prime Money Market Funds by Region of Issuer table shows Americas at $192.6 billion, or 51.4%; Asia and Pacific at $73.9 billion, or 19.7%; Europe at $104.7 billion, or 27.9%; and Other (including Supranational) at $3.8 billion, or 1.1%. The Government Money Market Funds by Region of Issuer table shows Americas at $2.002 trillion, or 91.1%; Asia and Pacific at $65.5 billion, or 3.0%; and Europe at $126.4 billion, or 5.8%.
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."
J.P. Morgan's latest update comments, "Typical turn dynamics led to a reduction in holdings of bank debt at the end of the year. In total, prime fund bank holdings fell by $49bn or 17%. The decline was driven evenly across CP, CD and time deposits.... Year-over-year, holdings of bank debt plunged $603bn or 72%. Fund allocations show that prime funds increased usage of the RRP as a substitute for reductions in bank supply around year-end. Indeed, prime money funds increased RRP facility usage by $47bn month-over-month. Away from banks and RRP, most other sector allocations remained stable."
It also explains, "Since the Fed hiked rates in mid-December, MMF yields have been on the rise. Both gross and net average yields on prime and government funds have increased by several basis points during recent weeks.... Further more, since the FOMC meeting the yield spread between prime and government funds has increased by 9bp to 32bp."
Finally, JPM's update adds, "In the bills market, things are looking grim in the near-term. Due to the looming expiration of the debt ceiling suspension, over the next two months we anticipate at least a $350bn drawdown in Treasury's cash balance. Most of this cut will come through reductions in bill supply. Between now and mid-March, we project bill supply to decrease by $196bn.... Naturally, stark reduction in the stock of T-bills will make things tighter for government funds who unremittingly bid for short-term government/agency securities. Along with bills, we expect yields on other securities such as discos and repo to get pressured lower. However, it appears as if the Fed RRP will suffice in absorbing excess cash. [A]t year-end, the tightest day for supply of the year, no fund maxed out on usage and the number of funds heavily relying on the RRP was not alarming."
