Money Market Fund Statistics Data as of March 31, 2016 Issued April 20, 2016 U.S. Securities and Exchange Commission Division of Investment Management This is a report of the Staff of the Division of Investment Management of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding this report or the information contained in it.
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Money Market Fund Statistics - SEC · Market Fund Statistics Data as of . March 31, 2016 . Issued April 20, 2016 . U.S. Securities and Exchange Commission . Division of Investment
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Money Market Fund Statistics Data as of
March 31, 2016
Issued April 20, 2016
U.S. Securities and Exchange Commission
Division of Investment Management
This is a report of the Staff of the Division of Investment Management of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding this report or the information contained in it.
P a g e | 2 Table of Contents
TOPIC 3/31/2016 Change 2/29/2016 Page Number of Money Market Funds Reporting (Not Including Feeder Funds) 490 -6 496 3
Assets (in billions) Total Money Market Funds $3,072.4 -$50.1 $3,122.5 4
Prime Funds $1,518.2 -$68.5 $1,586.7
Government (Govt) & Treasury Funds $1,311.8 $24.4 $1,287.4
Tax Exempt Funds $242.5 -$5.9 $248.4
7-Day Yields Gross Prime Funds 0.55% 0.02% 0.53% 5
Government & Treasury Funds 0.39% 0.02% 0.37%
Tax Exempt Funds 0.33% 0.25% 0.08%
7-Day Yields Prime Funds Gross 0.55% 0.02% 0.53% 6
Net 0.33% 0.01% 0.32% Expense Ratio 0.21% - 0.21% Weighted Average Life (WAL), Weighted by Fund Assets Prime Funds 55.5 days -3.0 days 58.5 days 7
Government & Treasury Funds 95.5 days 2.9 days 92.6 days
Tax Exempt Funds 27.4 days 1.0 days 26.4 days Weighted Average Maturity (WAM), Weighted by Fund Assets Prime Funds 35.1 days -0.1 days 35.2 days 8
Government & Treasury Funds 41.9 days 0.4 days 41.5 days
Tax Exempt Funds 23.4 days -0.4 days 23.8 days Liquidity of Prime Funds, As a Percent of Total Amortized Cost Daily Liquidity 31.0% 0.3% 30.7% 9
Weekly Liquidity 44.7% 1.7% 43.0%
Prime Funds' Bank Holdings Holdings by Country 10
Change in Holdings by Country 11
Holdings by Major Region 12 Prime Funds' Portfolio Composition (in billions) Certificates of Deposit $470.1 (31.2%) -$39.2 $509.3 (32.0%) 13
Non-Financial Co. Commercial Paper (CP) & Other Short Term Instruments $301.9 (20.1%) -$111.9 $413.8 (26.0%)
Government & Treasury (Direct and Repo) $409.5 (27.2%) $71.0 $338.5 (21.3%)
Financial Co. Commercial Paper (CP) $223.8 (14.9%) -$5.9 $229.7 (14.4%)
Asset-Backed Commercial Paper (ABCP) $99.4 (6.6%) - $99.4 (6.3%)
Non-Government Securities All Taxable Funds 39.0% -4.5% 43.5% 14 MMF Repo with the Fed (in billions) $257.1 $177.7 $79.4 15 Longer-Maturity Securities 60 Days and Over 37.2% -0.4% 37.6% 16 180 Days and Over 4.6% -0.1% 4.7%
Information presented in this report is based upon data reported by filers for the period ending March 31, 2016, except where specifically noted that a chart incorporates staff judgments. The presented information does not reflect data from amended filings submitted after the required reporting deadline. Some calculations in the change column in the above table of contents may not appear to total as expected due to rounding. If staff identifies data in this report that requires corrections, an amended report will be published with the corrected information.
SEC staff had to make judgments in some limited cases as to whether certain securities held in prime money market funds were issued by a specific bank. The banks were then grouped by country based on location of their global headquarters. In general, the calculations include Asset Backed CP sponsored by a bank and all repos with that bank as counterparty. If identifiable with a specific bank, money market tranches of ABS are included in the calculation. Securities guaranteed, but not issued by, bank-related entities are not included.
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Prime MMF Holdings of Bank Related Securities, by Country, March 2016
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Country Change (Millions) Japan $7,068
Germany $3,765 Other $1,328 China $1,305 Spain $81
Netherlands -$325 Singapore -$349
Switzerland -$5,988 Belgium -$8,388
UK -$11,177 Aust/NZ -$12,962
US -$14,642 Canada -$16,310 Sweden -$20,875 Norway -$30,113 France -$57,794
SEC staff had to make judgments in some limited cases as to whether certain securities held in prime money market funds were issued by a specific bank. The banks were then grouped by country based on location of their global headquarters. In general, the calculations include Asset Backed CP sponsored by a bank and all repos with that bank as counterparty. If identifiable with a specific bank, money market tranches of ABS are included in the calculation. Securities guaranteed, but not issued by, bank-related entities are not included.
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Change in Prime MMF Bank Related Securities, by Country, February 2016 to March 2016
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(Millions) Europe Euro-zone Americas Asia and Pacific
Euro-zone is a subset of Europe and Euro-zone values are also included in totals for Europe.
SEC staff had to make judgments in some limited cases as to whether certain securities held in prime money market funds were issued by a specific bank. The banks were then grouped by country based on location of their global headquarters. In general, the calculations include Asset Backed CP sponsored by a bank and all repos with that bank as counterparty. If identifiable with a specific bank, money market tranches of ABS are included in the calculation. Securities guaranteed, but not issued by, bank-related entities are not included.
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Trend in Prime MMF Holdings of Bank Related Securities by Major Region
Trend in Longer-Maturity Securities in Prime MMFs Maturities 60 days and over Maturities 180 days and over
P a g e | 17
If you have any questions or comments about Money Market Fund Statistics, please contact Sharon Pichler and Isaac Kuznits, in the Risk and Examinations Office (REO) of the Division of Investment Management, at [email protected].