07.20.2016

ICI Reports Money Market Holdings

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.

 

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