The Investment Company Institute released its latest weekly "Money Market Mutual Fund Assets" report and monthly "Money Market Fund Holdings" summary (with data as of Feb. 28, 2017) yesterday. The former shows Prime assets decreasing for the first week in six, while the latter, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds, shows Prime assets and European-related holdings increasing again last month. (See our March 10 News, "March Money Fund Portfolio Holdings Show Continued Credit Recovery.")
ICI's MMF Assets release says, "Total money market fund assets decreased by $11.66 billion to $2.68 trillion for the week ended Wednesday, March 15, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $10.90 billion and prime funds decreased by $750 million. Tax-exempt money market funds decreased by $10 million." Total Government MMF assets, which include Treasury funds too stand at $2.152 trillion (80.4% of all money funds), while Total Prime MMFs stand at $390.5 billion (14.8%). Tax Exempt MMFs total $131.8 billion, or 4.9%.
It explains, "Assets of retail money market funds increased by $2.81 billion to $982.73 billion. Among retail funds, government money market fund assets increased by $1.76 billion to $603.04 billion, prime money market fund assets increased by $1.04 billion to $253.84 billion, and tax-exempt fund assets were unchanged at $125.86 billion." Retail assets account for over a third of total assets, or 36.7%, and Government Retail assets make up 61.4% of all Retail MMFs.
The release continues, "Assets of institutional money market funds decreased by $14.47 billion to $1.69 trillion. Among institutional funds, government money market fund assets decreased by $12.67 billion to $1.55 trillion, prime money market fund assets decreased by $1.78 billion to $141.01 billion, and tax-exempt fund assets decreased by $20 million to $4.97 billion." Institutional assets account for 63.3% of all MMF assets, with Government Inst assets making up 91.4% of all Institutional MMFs.
ICI's statistics show Prime money fund assets dipping slightly after rising to their highest level since October 12, 2016, the previous week.`Given that March 15 is a corporate tax payment date, though, we believe the slow-motion Prime recovery remains intact <b:>`_. Prime MMFs have increased in seven of the past nine weeks, rising by $14.9 billion, or 3.9% since 12/21/16. Government money market fund assets have fallen in seven out of nine weeks, declining by $65.5 billion, or 3.0%. Institutional assets accounted for all of the gains in Prime (up $14.5 billion), and almost all Government declines (down $62.4 billion).
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in February, prime money market funds held 24.2 percent of their portfolios in daily liquid assets and 43.7 percent in weekly liquid assets, while government money market funds held 57.4 percent of their portfolios in daily liquid assets and 74.4 percent in weekly liquid assets." Prime DLA rose from 24.0% last month and Prime WLA fell from 44.6% last month.
It explains, "At the end of February, prime funds had a weighted average maturity (WAM) of 33 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 41 days and a WAL of 94 days." Prime WAMs were down two days from the prior month, and WALs were also down by one day. Govt WAMs decreased by 3 days and WALs decreased by 3 days as well.
Regarding Holdings By Region of Issuer, ICI adds, "Prime money market funds' holdings attributable to the Americas declined from $165.15 billion in January to $165.11 billion in February. Government money market funds' holdings attributable to the Americas declined from $1,812.90 billion in January to $1,796.33 billion in February."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $165.1 billion, or 41.6%; Asia and Pacific at $78.9 billion, or 19.9%; Europe at $149.1 billion, or 37.6%; and, Other (including Supranational) at $3.5 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.796 trillion, or 83.2%; Asia and Pacific at $81.4 billion, or 3.8%; and Europe at $280.1 billion, or 13.0%.
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."
In related Holdings news, a release entitled, "U.S. OFR Money Market Fund Monitor Data for February" says, "The U.S. Office of Financial Research has refreshed the Money Market Fund Monitor with data through Feb. 28.... This monitor is designed to track the investment portfolios of money market funds by funds asset types, investments in different countries, counterparties, and other characteristics. Users can view trends and developments across the MMF industry. Data are downloadable and displayed in six interactive charts."
Finally, see the article "Investors Return to Prime Money Market Funds," which says, "Money Market funds continued to experience net redemptions in February, but at a more favorable level of $2.0 billion compared to $44.6 billion of outflows in January. Among Taxable Money Market funds, prime funds led inflows at $9.9 billion, while treasury and government funds saw outflows of $4.5 billion and $7 billion, respectively. Bifurcation in demand within this space had previously favored government funds, driven by money market fund regulation."
