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.
