The Investment Company Institute released its latest monthly "Money Market Fund Holdings" summary (with data as of June 30, 2017) yesterday. This release reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in June, prime money market funds held 29.6 percent of their portfolios in daily liquid assets and 43.9 percent in weekly liquid assets, while government money market funds held 59.5 percent of their portfolios in daily liquid assets and 74.7 percent in weekly liquid assets." Prime DLA rose from 27.8% last month as well with Prime WLA rose from 43.4% last month. We review the ICI's latest Holdings update, along with J.P. Morgan's Taxable money market fund holdings update, below.

ICI explains, "At the end of June, prime funds had a weighted average maturity (WAM) of 33 days and a weighted average life (WAL) of 72 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 34 days and a WAL of 88 days." Prime WAMs were up one day from the prior month, and WALs were up 4 days. Govt WAMs increased by 2 days as well with WALs increasing by 4 days.

Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $161.62 billion in May to $179.16 billion in June. Government money market funds' holdings attributable to the Americas rose from $1,725.73 billion in May to $1,761.29 billion in June." (See too Crane Data's July 13 News, "July Money Fund Portfolio Holdings: Repo Only Segment to Increase.")

The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $179.1 billion, or 43.6%; Asia and Pacific at $84.9 billion, or 20.7%; Europe at $143.6 billion, or 34.9%; and, Other (including Supranational) at $3.3 billion, or 0.9%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.761 trillion, or 84.7%; Asia and Pacific at $93.3 billion, or 4.5%; and Europe at $224.1 billion, or 10.8%.

J.P. Morgan's latest Holdings update tells us, "Total taxable money fund AuM finished June down $22bn or -1% month-over-month. Prime fund assets increased $6bn, while government MMFs experienced $28bn in outflows. Year-to-date, prime funds have steadily grown by a modest $28bn. Conversely, government funds have lost $128bn in assets under management. While this may seem drastic at first glance, government fund outflows during the first half of the year are very common, and 2017 is in line with the average historical trend."

It continues, "Quarter-end played out largely as expected. On June 30, certain banks sought to shrink their balance sheet for regulatory reporting reasons. To do so, they temporarily reduced their outstandings in short-term wholesale funding via CD, time deposits and repo. This dynamic was reflected only subtly in prime fund allocations. Prime fund holdings of short-term bank debt decreased slightly by $7bn or -2%, with CDs driving the decline.... Aside from banks and Fed RRP, allocations to other asset classes did not change dramatically.... On the other hand, cuts to repo were glaring in the holdings of government funds. Government fund dealer repo holdings sunk by $105bn. To fill the void, they ramped up Fed RRP usage by $89bn."

JPM writes, "Prime funds could benefit from a pickup in the maturity schedule during July. Activity in the CP/CD market has snapped back to life post quarter-end as a wall of maturities is coming come due.... Many issuers face heavy maturity schedules that they will need to refinance in the coming few weeks. We think demand from prime funds and other investors is sufficient to meet the supply, however credit spreads may need to widen modestly to facilitate the refinancing."

Finally, they add, "Holdings data suggests that prime fund demand for CP/CD stabilized after its sharp drop amid MMF reform last year. Average CP/CD outstandings during 2Q17 held steady or slightly ticked up across most issuers. Furthermore, it also appears as if dealers are even more willing to participate in repo.... Japanese and French banks increased their outstanding repo balances held by prime funds the most quarter-over-quarter."

In related news, the Treasury's OFR announced, "The U.S. Office of Financial Research has updated the Money Market Fund Monitor with data as of June 30, 2017. The monitor can be found here: https://www.financialresearch.gov/money-market-funds/. The OFR MMF 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."

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