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 Jan. 31, 2017) yesterday. The former shows Prime assets increasing for the second week in a row, 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, also shows Prime assets and European-related holdings increasing. (See our Feb. 10 News, "Feb. Money Fund Portfolio Holdings Show Repo Drop, Credit Rebound.")
ICI's MMF Assets release says, "Total money market fund assets decreased by $2.03 billion to $2.67 trillion for the week ended Wednesday, February 15, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $4.77 billion and prime funds increased by $2.45 billion. Tax-exempt money market funds increased by $290 million." `Total Government MMF assets, which include Treasury funds too and which represent 80.5% of all money funds, stand at $2.152 trillion, while Total Prime MMFs, which total 14.6%, stand at $390.5 billion. Tax Exempt MMFs total $131.8 billion, or 4.9%.
It explains, "Assets of retail money market funds decreased by $3.21 billion to $976.15 billion. Among retail funds, government money market fund assets decreased by $2.55 billion to $599.16 billion, prime money market fund assets decreased by $150 million to $251.03 billion, and tax-exempt fund assets decreased by $510 million to $125.96 billion." `Retail assets account for over a third of total assets, or 36.5%, and Government Retail assets make up 61.4% of all Retail MMFs.
The release continues, "Assets of institutional money market funds increased by $1.18 billion to $1.70 trillion. Among institutional funds, government money market fund assets decreased by $2.22 billion to $1.55 trillion, prime money market fund assets increased by $2.60 billion to $139.42 billion, and tax-exempt fund assets increased by $790 million to $5.80 billion." Institutional assets account for 63.5% of all MMF assets, with Government Inst assets making up 91.5% of all Institutional MMFs.
ICI's statistics show Prime money fund assets rising to their highest level since October 12, 2016, just prior to Money Fund Reforms going into effect. They've increased in seven of the past eight weeks, rising by $15.6 billion, or 4.2% since 12/21/16. Government money market fund assets have fallen in six of these same eight weeks, declining by $54.6 billion, or 2.5%. Institutional assets accounted for all of the gains in Prime (up $16.3 billion), and almost all Government declines (down $49.7 billion).
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in January, prime money market funds held 24.0 percent of their portfolios in daily liquid assets and 44.6 percent in weekly liquid assets, while government money market funds held 57.0 percent of their portfolios in daily liquid assets and 73.8 percent in weekly liquid assets." Prime DLA fell from 31.2% last month and Prime WLA fell from 45.6% last month.
It explains, "At the end of January, prime funds had a weighted average maturity (WAM) of 35 days and a weighted average life (WAL) of 68 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 44 days and a WAL of 97 days." Prime WAMs were up one day from the prior month, and WALs were also up by one day, while Govt WAMs decreased by 2 days and WALs were flat.
On Holdings By Region of Issuer, it adds, "Prime money market funds' holdings attributable to the Americas declined from $192.64 billion in December to $165.15 billion in January. Government money market funds' holdings attributable to the Americas declined from $2,002.11 billion in December to $1,812.90 billion in January."
The Prime Money Market Funds by Region of Issuer table shows Americas at $165.2 billion, or 43.0%; Asia and Pacific at $75.1 billion, or 19.5%; Europe at $141.2 billion, or 36.7%; and Other (including Supranational) at $2.8 billion, or 0.08%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.813 trillion, or 83.1%; Asia and Pacific at $79.0 billion, or 3.6%; and Europe at $288.9 billion, or 13.2%.
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."
