Crane Data's MFI 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 sharply in 2017 (up $100 billion, or 13.7%) to $831 billion. Year-to-date in 2018 (through 1/11/18), MFII assets are up another $26 billion to $857 billion, which many believe is a result of pending "repatriation" of US dollar assets held in Europe. U.S. Dollar (USD) funds (152) account for over half ($449 billion, or 52.4%) of the total, while Euro (EUR) money funds (93) total E94 billion and Pound Sterling (GBP) funds (106) total L224 billion. USD funds are up $24 billion, YTD, and were up $27B in 2017. Euro funds remain relatively flat (down E4 billion YTD and up E3B in 2017), while GBP funds are up L5B YTD and L29B in 2017. USD MMFs yield 1.22% (7-Day) on average (as of 1/11/18), up from 1.19% at the end of 2017 and 0.56% at the end of 2016. EUR MMFs yield -0.51% on average, up from -0.55% on 12/29/17 and -0.49% on 12/30/16, while GBP MMFs yield 0.28%, up from 0.24% at the end of 2017 and 0.19% at the end of 2016. We review our latest MFI International Portfolio Holdings statistics, and also review ICI's latest MMF Holdings report, below.
Crane's latest MFI International Money Fund Portfolio Holdings, with data (as of 12/31/17), shows that European-domiciled US Dollar MMFs, on average, consist of 18% in Treasury securities, 25% in Commercial Paper (CP), 22% in Certificates of Deposit (CDs), 16% in Other securities (primarily Time Deposits), 16% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 31.9% of their portfolios maturing Overnight, 11.2% maturing in 2-7 Days, 22.6% maturing in 8-30 Days, 11.7% maturing in 31-60 Days, 10.9% maturing in 61-90 Days, 7.4% maturing in 91-180 Days, and 4.3% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (29.1%), France (12.8%), Canada (12.3%), Japan (10.6%), Australia (5.8%), Germany (5.1%), United Kingdom (5.0%), Singapore (3.7%), The Netherlands (3.5%), Sweden (3.4%), China (2.0%) and Belgium (1.9%).
The 20 Largest Issuers to "offshore" USD money funds include: the US Treasury with $83.1 billion (17.8% of total assets), BNP Paribas with $16.7B (3.6%), Mitsubishi UFJ Financial Group Inc with $14.2B (3.0%), RBC with $13.9B (3.0%), Societe Generale with $12.5B (2.7%), Toronto-Dominion Bank with $12.0B (2.6%), Bank of Nova Scotia with $11.0B (2.4%), Wells Fargo with $11.0B (2.4%), Federal Reserve Bank of New York with $9.7B (2.1%), Canadian Imperial Bank of Commerce with $9.5B (2.0%), Sumitomo Mitsui Banking Co with $8.2B (1.8%), Mizuho Corporate Bank Ltd with $7.9B (1.7%), Australia & New Zealand Banking Group with $7.8B (1.7%), Barclays PLC with $7.3B (1.6%), National Australia Bank with $7.2B (1.5%), Credit Agricole with $7.1B (1.5%), Agence Central de Organismes de Securite Sociale with $7.0B (1.5%), Commonwealth Bank of Australia with $6.9B (1.5%), Overseas-China Banking Co with $6.9B (1.5%), and DBS Bank Ltd with $6.2B (1.3%).
Euro MMFs tracked by Crane Data contain, on average 39% in CP, 29% in CDs, 23% in Other (primarily Time Deposits), 8% in Repo, 0% in Treasuries and 1% in Agency securities. EUR funds have on average 19.9% of their portfolios maturing Overnight, 8.0% maturing in 2-7 Days, 19.5% maturing in 8-30 Days, 21.8% maturing in 31-60 Days, 12.4% maturing in 61-90 Days, 17.0% maturing in 91-180 Days and 1.5% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (24.0%), Japan (16.3%), US (11.4%), Sweden (7.8%), The Netherlands (7.5%), Belgium (7.0%), Switzerland (6.4%), Germany (5.4%), the United Kingdom (3.8%), and Canada (3.3%).
The 15 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E4.1B (4.4%), Svenska Handelsbanken with E3.8B (4.0%), Mitsubishi UFJ Financial Group Inc with E3.5B (3.7%), Sumitomo Mitsui Banking Co with E3.5B (3.7%), Rabobank with E3.4B (3.7%), Credit Agricole with E3.4B (3.6%), KBC Group NV with E3.4B (3.6%), Credit Mutuel with E3.2B (3.4%), Nordea Bank with E3.2B (3.4%), Mizuho Corporate Bank Ltd with E3.2B (3.4%), BPCE SA with E3.1B (3.3%), UBS AG with E2.8B (3.0%), Societe Generale with E2.5B (2.7%), Norinchukin Bank with E2.4B (2.6%), and Dexia Group with E2.4B (2.6%).
The GBP funds tracked by MFI International contain, on average (as of 12/31/17): 42% in CDs, 22% in Other (Time Deposits), 24% in CP, 7% in Repo, 4% in Treasury, and 1% in Agency. Sterling funds have on average 21.3% of their portfolios maturing Overnight, 6.7% maturing in 2-7 Days, 17.8% maturing in 8-30 Days, 23.1% maturing in 31-60 Days, 12.7% maturing in 61-90 Days, 14.9% maturing in 91-180 Days, and 3.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (20.0%), Japan (17.6%), United Kingdom (15.5%), The Netherlands (6.8%), Canada (5.9%), the US (5.8%), Germany (5.2%), Sweden (5.2%), China (2.9%), and Australia (2.8%).
The 15 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L11.5B (6.8%), Mitsubishi UFJ Financial Group Inc. with L8.2B (4.8%), Sumitomo Mitsui Banking Co. with L7.3B (4.3%), BPCE SA with L7.1B (4.2%), Sumitomo Mitsui Trust Bank with L6.6B (3.9%), Credit Agricole with L5.7B (3.3%), Toronto Dominion Bank with L5.6B (3.3%), Credit Mutuel with L5.5B (3.3%), BNP Paribas with L5.2B (3.1%), Bank of America with L4.6B (2.7%), Nordea Bank with L4.5B (2.6%), Rabobank with L4.3B (2.5%), ING Bank with L4.1B (2.4%), DZ Bank AG with L4.0B (2.3%), and Standard Chartered Bank with L3.5B (2.1%).
In other news, the Investment Company Institute released its latest monthly "Money Market Fund Holdings" summary (with data as of Dec. 29, 2017) Tuesday. This monthly update reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (See also Crane Data's Jan. 11 News, "Jan. Money Fund Portfolio Holdings: Repo Jumps, Breaks 1.0 Trillion.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in December, prime money market funds held 30.0 percent of their portfolios in daily liquid assets and 44.6 percent in weekly liquid assets, while government money market funds held 60.5 percent of their portfolios in daily liquid assets and 75.0 percent in weekly liquid assets." Prime DLA increased from 26.1% last month and Prime WLA decreased from 45.6% last month. Govt MMFs' DLA increased from 55.7% last month and Govt WLA increased from 74.8% last month.
ICI explains, "At the end of December, prime funds had a weighted average maturity (WAM) of 30 days and a weighted average life (WAL) of 68 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 33 days and a WAL of 89 days." Prime WAMs remained the same from the prior month, and WALs were down 5 days. Govt WAMs were up 3 days from November and Govt WALs increased by 3 days from last month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds’ holdings attributable to the Americas rose from $177.94 billion in November to $212.41 billion in December. Government money market funds’ holdings attributable to the Americas rose from $1,697.26 billion in November to $1,899.22 billion in December."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $212.4 billion, or 46.8%; Asia and Pacific at $97.7 billion, or 21.5%; Europe at $138.8 billion, or 30.6%; and, Other (including Supranational) at $4.5 billion, or 1.1%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.899 trillion, or 84.7%; Asia and Pacific at $105.6 billion, or 4.7%; and Europe at $232.3 billion, or 10.4%.
