Law firm Orrick's Structured Finance Group published the notice, "European Parliament Will Consider Money Market Fund Regulation in April 2017 Plenary Session." The brief says, "The European Parliament has announced that it will consider the MMF regulation during its upcoming plenary session, currently scheduled to be held April 3-6, 2017. The MMF regulation is intended to introduce new framework requirements to more effectively regulate money market funds, as well as increase their stability and general liquidity. In particular, the regulation (introduced by the European Commission) is intended to more tightly regulate the shadow banking sector. The plenary session will allow debate and potential amendment to the scope of the MMF regulation." (See our Jan. 24 News, "`Fitch's Sewell and Gkeka on Timing of European Money Fund Reforms.") We discuss Crane Data's latest MFI International and MFII Portfolio Holdings statistics below, and we also review a new set of AAAf ratings on LGIPs from Fitch Ratings. We also want to welcome to Boston those of you attending the inaugural Crane's Bond Fund Symposium, which takes place Thursday and Friday a.m. at the Hyatt Regency Boston. Watch for coverage in coming days and in the next issue of our Bond Fund Intelligence.
Crane Data's Money Fund Intelligence International shows assets in "offshore" money market mutual funds, U.S.-style funds domiciled in Ireland or Luxemburg and denominated in USD, Euro and GBP (sterling), up $23 billion year-to-date to $755 billion as of 3/20/17. U.S. Dollar (USD) funds (156) account for over half ($414.0 billion, or 54.8%) of the total, while Euro (EUR) money funds (97) total E94.3 billion and Pound Sterling (GBP) funds (107) total L197.9. USD funds are up $16 billion, YTD, while Euro funds are flat and GBP funds are up L8B. USD MMFs yield 0.65% (7-Day) on average (3/20/17), up 49 basis points from 12/31/15. EUR MMFs yield -0.49% on average, down 30 basis points YTD, while GBP MMFs yield 0.18%, down 18 bps YTD.
Crane's latest Money Fund Intelligence International Portfolio Holdings data (as of 2/28/17) shows that European-domiciled US Dollar MMFs, on average, consist of 22% in Treasury securities, 22% in Commercial Paper (CP), 23% in Certificates of Deposit (CDs), 18% in Other securities (primarily Time Deposits), 12% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 30.3% of their portfolios maturing Overnight, 11.3% maturing in 2-7 Days, 20.8% maturing in 8-30 Days, 12.7% maturing in 31-60 Days, 9.5% maturing in 61-90 Days, 10.5% maturing in 91-180 Days, and 4.9% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (33.2%), France (14.5%), Canada (9.9%), Japan (9.6%), Australia (5.8%), Sweden (5.3%), Germany (4.4%), the Netherlands (4.2%), Great Britain (2.9%), Singapore (2.2%) and China (1.6%).
The 20 Largest Issuers to "offshore" USD money funds include: the US Treasury with $98.7 billion (22.1% of total assets), Credit Agricole with $13.7B (3.1%), BNP Paribas with $13.4B (3.0%), Mitsubishi UFJ with $11.8B (2.6%), Toronto-Dominion Bank with $9.1B (2.0%), Canadian Imperial Bank of Commerce with $9.0B (2.0%), Natixis with $9.0B (2.0%), Credit Mutuel with $8.5B (1.9%), Federal Reserve Bank of New York with $8.3B (1.9%), Bank of Nova Scotia with $8.1B (1.8%),`Bank of Montreal <b:>`_ with $8.1B (1.8%), Societe Generale with $8.0B (1.8%), Sumitomo Mitsui Trust Bank with $7.8B (1.8%), Mizuho Corporate Bank LTD with $7.2B (1.6%), National Australia Bank Ltd with $7.2B (1.6%), Wells Fargo with $6.8B (1.5%), RBC with $6.6B (1.5%), Rabobank with $6.6B (1.5%), Sumitomo Mitsui Banking Co with $6.5B (1.4%), and Commonwealth Bank of Australia with $6.2B (1.4%).
Euro MMFs tracked by Crane Data contain, on average 44% in CP, 29% in CDs, 18% in Other (primarily Time Deposits), 6% in Repo, 2% in Treasury securities and 1% in Agency securities. EUR funds have on average 22.5% of their portfolios maturing Overnight, 6.9% maturing in 2-7 Days, 17.7% maturing in 8-30 Days, 18.6% maturing in 31-60 Days, 13.9% maturing in 61-90 Days, 16.9% maturing in 91-180 Days and 3.5% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.3%), US (13.4%), Japan (12.9%), Sweden (7.5%), Germany (7.2%), Netherlands (6.1%), Belgium (5.8%), Great Britain (3.4%), Switzerland (3.0%), and China (2.2%).
The 15 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E5.9B (6.2%), Credit Agricole with E4.1B (4.3%), Proctor & Gamble with E3.8B (4.0%), Rabobank with E3.8B (4.0%), Svenska Handelsbanken with E3.7B (3.8%), Societe Generale with E3.1B (3.3%), Nordea Bank with E3.0B (3.2%), Credit Mutuel with E2.9B (3.1%), Mitsubishi UFJ Financial Group Inc with E2.7B (2.9%), BPCE SA with E2.7B (2.8%), KBC Group NV with E2.6B (2.8%), DZ Bank AG with E2.6B (2.7%), Agence Central de Organismes de Securite Sociale with E2.3B (2.4%), Dexia Group with E2.3B (2.4%), and Sumitomo Mitsui Banking Co. with E2.2B (2.3%).
The GBP funds tracked by MFI International contain, on average (as of 2/28/17): 41% in CDs, 27% in Other (Time Deposits), 21% in CP, 8% in Repo, 3% in Treasury, and 0% in Agency. Sterling funds have on average 22.0% of their portfolios maturing Overnight, 9.8% maturing in 2-7 Days, 13.2% maturing in 8-30 Days, 16.5% maturing in 31-60 Days, 15.2% maturing in 61-90 Days, 18.8% maturing in 91-180 Days, and 4.5% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.3%), Japan (15.6%), Great Britain (13.3%), Netherlands (9.5%), Germany (7.7%), Australia (6.9%), Sweden (5.2%), Canada (5.0%), US (4.7%), and Belgium (2.7%).
The 15 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L7.5B (4.8%), Mitsubishi UFJ Financial Group Inc. with L7.0B (4.5%), Credit Agricole with L5.9B (3.8%), BNP Paribas with L5.8B (3.7%), Sumitomo Mitsui Banking Co. with L5.7B (3.6%), Rabobank with L5.4B (3.5%), Nordea Bank with L5.2B (3.3%), ING Bank with L5.1B (3.3%), DZ Bank AG with L4.8B (3.1%), Credit Mutuel with L4.4B (2.8%), BPCE SA with L4.3B (2.8%), Mizuho Corporate Bank Ltd. with L3.9B (2.5%), Qatar National Bank with L3.8B (2.4%), Commonwealth Bank of Australia with L3.7B (2.4%), Sumitomo Mitsui Trust Bank with L3.7B (2.4%), ABN Amro Bank with L3.5B (2.2%), National Bank of Abu Dhabi with L3.5B (2.2%), Erste Abwicklungsanstalt with L3.4B (2.2%), Standard Chartered Bank with L3.4B (2.2%), and Toronto-Dominion Bank with L3.4B (2.2%).
In other news, a press release entitled, "Fitch Rates Term Programs of Five Local Government Investment Pools Managed by PFM Asset Management," explains, "Fitch Ratings has assigned 'AAAf' Fund Credit Quality Ratings (FCQR) to the following term programs of five local government investment pools (LGIP) managed by PFM Asset Management LLC (PFMAM): Florida Education Investment Trust Fund - FEITF Term Series, Illinois Trust - Illinois TERM Series, Missouri Securities Investment Program - MOSIP TERM Series, Minnesota School District Liquid Asset Fund Plus - MSDLAF+ TERM Series, and TexasTERM Local Government Investment Pool - TexasTERM Series."
Fitch explains, "The term programs are fixed-rate, fixed-term portfolios with a maximum term of one year. Individual series will terminate within two years of their inception. The term programs are designed to meet the cash flow requirements of investors with the cash flows from the portfolio. Each term program consists of multiple series with staggered termination dates. The ratings reflect Fitch's review of the term programs' investment and credit guidelines, the portfolios' credit quality and diversification, as well as the capabilities of PFMAM as investment manager. The 'AAAf' FCQRs indicate the highest underlying credit quality (or lowest vulnerability to default)."
They add, "The pools are managed by PFMAM, a member of the PFM Group of companies. PFMAM is registered with the SEC under the Investment Advisers Act of 1940 and specializes in creating investment strategies and managing funds for public sector, not-for-profit and other institutional clients. The firm is based in Harrisburg, Pennsylvania."
