11.17.2016

ICI Reports Money Market Fund Holdings

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.

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