06.30.2016

ICI Reports Money Market Fund Holdings

ICI.org – Washington, DC, –Beginning this month, the Investment Company Institute’s (ICI) monthly press release and Taxable Money Market Fund Portfolio report will utilize a new format and provide new data. ICI’s press release and tables will now include additional types of securities; dollar-based reporting; and monthly rather than weekly reporting of liquidity. These changes reflect the new reporting requirements on the Securities and Exchange Commission’s revised Form N-MFP. This report will be published in the middle of each month, reporting aggregated data for the prior month.

As of the final Friday in May, prime money market funds held 30.8 percent of their portfolios in daily liquid assets and 46.3 percent in weekly liquid assets, while government money market funds held 57.6 percent of their portfolios in daily liquid assets and 73.9 percent in weekly liquid assets.

At the end of May, prime funds had a weighted-average maturity of 31 days and a weighted-average life of 46 days. Average WAMs and WALs are asset-weighted. Government money market funds had a weighted-average maturity of 39 days and a weighted-average life of 96 days.

Prime and Government Money Market Funds’ Liquid Assets as of the final Friday of the month, Weighted Average Maturities (WAMs) and Weighted Average Lives (WALs)

 

Prime Money Market Funds

Liquid Assets

April 2016

May 2016

Regulatory Minimum

Percent of total assets

Daily liquid assets

32.4%

30.8%

10%

­Weekly liquid assets

43.9%

46.3%

30%

Weighted Average Maturity &
Weighted Average Life

April 2016

May 2016

Regulatory Maximum

Number of days

Weighted average maturity

34

31

60

Weighted average life

51

46

120


Government Money Market Funds

Liquid Assets

April 2016

May 2016

Regulatory Minimum

Percent of total assets

Daily liquid assets

57.7%

57.6%

10%

Weekly liquid assets

74.2%

73.9%

30%

Weighted Average Maturity &
Weighted Average Life

April 2016

May 2016

Regulatory Maximum

Number of days

Weighted average maturity

41

39

60

Weighted average life

95

96

120

Holdings by Region of Issuer

Prime money market funds’ holdings attributable to the Americas declined from $442.85 billion in April to $424.82 billion in May. Government money market funds’ holdings attributable to the Americas rose from $1,081.79 billion in April to $1,159.46 billion in May.

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

04/30/2016

05/31/2016

Americas

$442,849

36.9%

$424,823

36.9%

Asia and Pacific

231,048

              19.3

228,734

                 19.9

Europe

516,247

              43.1

486,933

                 42.3

Supranational

2,163

                0.1

1,372

                   0.1

Other

7,628

                0.6

8,540

                   0.7

Total

$1,199,935

100.0%

$1,150,402

100.0%

 

 

 

Government Money Market Funds 

      

 

Region

04/30/2016

05/31/2016

Americas

$1,081,790

83.6%

$1,159,455

84.2%

Asia and Pacific

24,635

               1.9

25,083

                1.8

Europe

186,523

             14.4

192,384

              13.9

Supranational

34

               0.1

0

                0.0

Other

85

               0.1

70

                0.1

Total

$1,293,067

100.0%

$1,376,993

100.0%

* Note: 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% of asset exposure.

More Information About the Data

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.

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