ICI.org – Washington, DC – The Investment Company Institute (ICI) reports that, as of the final Friday in June, prime money market funds held 29.5 percent of their portfolios in daily liquid assets and 46.8 percent in weekly liquid assets, while government money market funds held 54.6 percent of their portfolios in daily liquid assets and 69.6 percent in weekly liquid assets.

 

At the end of June, prime funds had a weighted average maturity (WAM) of 29 days and a weighted average life (WAL) of 44 days. Average WAMs and WALs are asset weighted. Government money market funds had a WAM of 41 days and a WAL of 100 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	May 2016	June 2016	Regulatory minimum
Percentage of total assets Daily liquid assets	30.8%	29.5%	10%
­Weekly liquid assets	46.3%	46.8%	30%
Weighted average maturity and Weighted average life	May 2016	June 2016	Regulatory maximum
Number of days
Weighted average maturity	31	29	60
Weighted average life	46	44	120
Government money market funds
Liquid assets	May 2016	June 2016	Regulatory minimum
Percentage of total assets Daily liquid assets	57.6%	54.6%	10%
Weekly liquid assets	73.9%	69.6%	30%
Weighted average maturity and Weighted average life	May 2016	June 2016	Regulatory maximum
Number of days
Weighted average maturity	39	41	60
Weighted average life	96	100	120

Holdings by Region of Issuer

Prime money market funds’ holdings attributable to the Americas rose from $424.82 billion in May to $446.56 billion in June, primarily reflecting an increase in repurchase agreements with the Federal Reserve. Government money market funds’ holdings attributable to the Americas rose from $1,060.08 billion in May to $1,335.10 billion in June, which also primarily reflects an increase in repurchase agreements with the Federal Reserve.

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	5/31/2016								6/30/2016
Americas	$424,823		36.9%						$446,557		43.8%
Asia and Pacific	229,516		19.9						215,468		21.1
Europe	487,201		42.4						351,114		34.4
Supranational	1,372		0.1						183		0.1
Other	7,490		0.7						5,916		0.6
Total	$1,150,402		100.0%						$1,019,238		100.0%
Government money market funds
Region		5/31/2016								6/30/2016
Americas		$1,160,080		84.2%						$1,335,104		90.4%
Asia and Pacific		25,083		1.8						23,715		1.6
Europe		192,384		13.9						116,582		7.9
Other		70		0.1						65		0.1
Total		$1,377,618		100.0%						$1,475,466		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.