ICI's Money Fund Holdings Summary
ICI released its latest 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. (For more, see our June 10 News, "June Portfolio Holdings: Treasuries Skyrocket; Repo, Agencies Plunge," and register for the upcoming "Crane's Money Fund Webinar: Portfolio Holdings Update," which features our Peter Crane with JPMorgan's Teresa Ho on June 25 at 2pm.) The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in May, prime money market funds held 41.3 percent of their portfolios in daily liquid assets and 50.0 percent in weekly liquid assets, while government money market funds held 72.9 percent of their portfolios in daily liquid assets and 83.3 percent in weekly liquid assets." Prime DLA increased from 36.2% in April, and Prime WLA increased from 47.0%. Govt MMFs' DLA increased from 67.8% in April and Govt WLA increased from 79.6% from the previous month. ICI explains, "At the end of May, prime funds had a weighted average maturity (WAM) of 48 days and a weighted average life (WAL) of 64 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 43 days and a WAL of 101 days." Prime WAMs were up four days from the previous month and WALs decreased by one day from the previous month. Govt WAMs increased by four days, WALs were up two days from the previous month. Regarding Holdings By Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas rose from $345.05 billion in April to $402.00 billion in May. Government money market funds' holdings attributable to the Americas rose from $3,426.24 billion in April to $3,487.55 billion in May." The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $402.0 billion, or 52.9%; Asia and Pacific at $112.5 billion, or 14.8%; Europe at $235.6 billion, or 31.0%; and, Other (including Supranational) at $9.4 billion, or 1.2%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.488 trillion, or 88.2%; Asia and Pacific at $132.2 billion, or 3.3%; Europe at $315.1 billion, 8.0%, and Other (Including Supranational) at $18.0 billion, or 0.5%."
