ICI.org – Washington, DC, — The Investment Company Institute (ICI) reports that, as of the final Friday in October, prime money market funds held 28.9 percent of their portfolios in daily liquid assets and 47.4 percent in weekly liquid assets, while government money market funds held 59.7 percent of their portfolios in daily liquid assets and 76.2 percent in weekly liquid assets.

 

At the end of October, prime funds had a weighted average maturity (WAM) of 38 days and a weighted average life (WAL) of 61 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 43 days and a WAL of 95 days.

Prime and Government Money Market Funds’ Liquid Assets as of the Final Friday of the Month, Weighted Average Maturities and Weighted Average Lives

Prime money market funds
Liquid assets	September 2016	October 2016	Regulatory minimum
Percentage of total assets Daily liquid assets	42.1%	28.9%	10%
­Weekly liquid assets	62.2%	47.4%	30%
Weighted average maturity and Weighted average life	September 2016	October 2016	Regulatory maximum
Number of days
Weighted average maturity	26	38	60
Weighted average life	42	61	120
Government money market funds
Liquid assets	September 2016	October 2016	Regulatory minimum
Percentage of total assets Daily liquid assets	61.2%	59.7%	10%
Weekly liquid assets	75.3%	76.2%	30%
Weighted average maturity and Weighted average life	September 2016	October 2016	Regulatory maximum
Number of days
Weighted average maturity	42	43	60
Weighted average life	95	95	120

Holdings by Region of Issuer

Prime money market funds’ holdings attributable to the Americas declined from $256.53 billion in September to $167.42 billion in October. Government money market funds’ holdings attributable to the Americas rose from $1,759.69 billion in September to $1,790.59 billion in October.

Prime and Government Money Market Funds’ Holdings, by Region of Issuer*

Millions of dollars and as a percentage of portfolio securities

Prime money market funds
Region	9/30/2016								10/31/2016
Americas	$256,532		49.9%						$167,423		44.3%
Asia and Pacific	79,742		15.5						68,469		18.1
Europe	173,388		33.7						138,449		36.7
Supranational	504		0.1						32		0.1
Other	3,908		0.8						3,054		0.8
Total	$514,074		100.0%						$377,427		100.0%
Government money market funds
Region		9/30/2016								10/31/2016
Americas		$1,759,690		87.9%						$1,790,589		82.9%
Asia and Pacific		53,682		2.6						65,775		3.0
Europe		186,796		9.3						301,287		14.0
Supranational		35		0.1						0		0.0
Other		825		0.1						1,160		0.1
Total		$2,001,029		100.0%						$2,158,811		100.0%

*The region of the issuer is defined by location of the parent firm headquarters. Percentages are calculated by adding up the value of all securities of the indicated type by the region of the security’s issuer and dividing that amount by the total value of all securities of the indicated type. The other category consists of unclassified securities and countries with less than 0.25 percent of asset exposure.