ICI released its monthly "Money Market Fund Holdings" summary yesterday, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. We quote from ICI's latest report, review our latest Weekly Money Fund Portfolio Holdings, and summarize recent asset flows below. (See too our Sept. 12 News, "Sept. Money Fund Portfolio Holdings: Treasuries, Repo Jump; CP Down.")

The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in August, prime money market funds held 29.2 percent of their portfolios in daily liquid assets and 43.5 percent in weekly liquid assets, while government money market funds held 62.3 percent of their portfolios in daily liquid assets and 79.8 percent in weekly liquid assets." Prime DLA increased from 26.7% in July, and Prime WLA increased from 42.0% the previous month. Govt MMFs' DLA increased from 60.3% in July and Govt WLA increased from 79.4% from the previous month.

ICI explains, "At the end of August, prime funds had a weighted average maturity (WAM) of 37 days and a weighted average life (WAL) of 71 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 30 days and a WAL of 98 days." Prime WAMs increased by two days from the previous month and WALs increased by three days. Govt WAMs increased by one day and WALs increased by three days.

Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $305.31 billion in July to $320.20 billion in August. Government money market funds' holdings attributable to the Americas rose from $1,945.33 billion in July to $2,005.24 billion in August."

The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $320.2 billion, or 44.4%; Asia and Pacific at $142.8 billion, or 19.8%; Europe at $253.2 billion, or 35.1%; and, Other (including Supranational) at $5.7 billion, or 0.8%. The Government Money Market Funds by Region of Issuer table shows Americas at $2.005 trillion, or 79.1%; Asia and Pacific at $127.0 billion, or 5.0%; Europe at $395.8 billion, or 15.6%, and Other (Including Supranational) at $7.6 billion, or 0.3%."

In other Holdings news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary Tuesday. Our weekly holdings track a shifting subset of our monthly Portfolio Holdings collection. The latest cut (with data as of Sept. 13) includes Holdings information from 77 money funds (up from 48 two weeks ago), representing $1.690 trillion (up from $1.012 trillion two weeks ago) of the $3.597 trillion (47.0%) in total money fund assets tracked by Crane Data <b:>`_.

Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $675.4 billion (up from $410.7 billion two weeks ago), or 40.0%, Treasury debt totaling $524.0 billion (up from $290.3 billion) or 31.0%, and Government Agency securities totaling $270.5 billion (up from $173.8 billion), or 16.0%. Commercial Paper (CP) totaled $77.9 billion (up from $54.2 billion), or 4.6%, and Certificates of Deposit (CDs) totaled $80.7 billion (up from $45.8 billion), or 4.8%. A total of $30.1 billion or 1.8%, was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $31.1 billion, or 1.8%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $524.0 billion (31.0% of total holdings), Federal Home Loan Bank with $181.9B (10.8%), Fixed Income Clearing Co with $110.9B (6.6%), BNP Paribas with $75.2 billion (4.5%), RBC with $54.2B (3.2%), Federal Farm Credit Bank with $47.6B (2.8%), Societe Generale with $36.9B (2.2%), JP Morgan with $35.0B (2.1%), Mitsubishi UFJ Financial Group Inc with $31.4B (1.9%) and Credit Agricole with $31.2B (1.8%).

The Ten Largest Funds tracked in our latest Weekly include: JP Morgan US Govt ($149.0B), Fidelity Inv MM: Govt Port ($131.7B), Goldman Sachs FS Govt ($106.4B), BlackRock Lq FedFund ($99.9B), Wells Fargo Govt MMkt ($82.1B), BlackRock Lq T-Fund ($71.3B), Fidelity Inv MM: MMkt Port ($68.2B), JP Morgan 100% US Trs MMkt ($61.4B), Morgan Stanley Inst Liq Govt ($61.0B) and Goldman Sachs FS Trs Instruments ($59.3B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)

Finally, we've been asked about recent asset flows given the turmoil in the repo market. (See today's Link of the Day for more.) We expect money fund assets to have rebounded Tuesday (they rose by $14.1 billion), but our MFI Daily shows assets declining by $13.9 billion on Monday (9/16) after falling by $20.4 billion on Friday (9/13). During the week ended 9/16, money fund assets declined by $38.0 billion to $3.689 trillion. These are quite normal-looking declines for a period including a quarterly corporate tax payment, so we too are baffled by the size of the repo spike.

Email This Article




Use a comma or a semicolon to separate

captcha image