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), jumping in January but falling in the latest week. Last year, assets of all 3 currencies combined increased by $100 billion, or 13.7%, to $831 billion. Year-to-date in 2018 (through 2/13/18), MFII assets are up another $37 billion to $868 billion, which many believe is a result of pending "repatriation" of US dollar assets held in Europe. U.S. Dollar (USD) funds (158) account for over half ($457 billion, or 52.6%) of the total, while Euro (EUR) money funds (98) total E91 billion and Pound Sterling (GBP) funds (110) total L211 billion. USD funds are up $32 billion, YTD, and were up $27B in 2017. (They fell by $10 billion over the past week though.)
Euro funds are down E7 billion YTD but were up E3B in 2017, while GBP funds are down L8B YTD after rising L29B in 2017. USD MMFs yield 1.29% (7-Day) on average (as of 2/13/18), up from 1.19% at the end of 2017 and 0.56% at the end of 2016. EUR MMFs yield -0.49% on average, up from -0.55% on 12/29/17 and -0.49% on 12/30/16, while GBP MMFs yield 0.30%, 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 1/31/18), shows that European-domiciled US Dollar MMFs, on average, consist of 16% in Treasury securities, 26% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 18% in Other securities (primarily Time Deposits), 16% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 32.0% of their portfolios maturing Overnight, 13.3% maturing in 2-7 Days, 21.3% maturing in 8-30 Days, 12.2% maturing in 31-60 Days, 10.6% maturing in 61-90 Days, 6.9% maturing in 91-180 Days, and 3.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (26.3%), France (15.8%), Japan (10.1%), Canada (9.4%), Sweden (5.5%), United Kingdom (5.5%), The Netherlands (5.4%), Germany (5.3%), Australia (5.1%), Singapore (2.3%), China (2.0%) and Switzerland (1.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $78.0 billion (15.7% of total assets), BNP Paribas with $23.7B (4.8%), Credit Agricole with $18.2B (3.7%), Societe Generale with $14.0B (2.8%), Mitsubishi UFJ Financial Group Inc with $13.4B (2.7%), Wells Fargo with $13.0B (2.6%), Barclays PLC with $12.4B (2.5%), Toronto-Dominion Bank with $12.0B (2.4%),`RBC <b:>`_ with $11.6B (2.3%), and ING Bank with $8.8B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 48% in CP, 23% in CDs, 22% in Other (primarily Time Deposits), 6% in Repo, 0% in Treasuries and 1% in Agency securities. EUR funds have on average 20.9% of their portfolios maturing Overnight, 9.7% maturing in 2-7 Days, 19.5% maturing in 8-30 Days, 16.8% maturing in 31-60 Days, 11.7% maturing in 61-90 Days, 17.0% maturing in 91-180 Days and 4.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.0%), Japan (12.3%), US (8.7%), The Netherlands (8.3%), Sweden (7.8%), Belgium (6.3%), Switzerland (6.1%), Germany (6.0%), China (4.0%), and the United Kingdom (2.7%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E5.1B (5.7%), Svenska Handelsbanken with E3.6B (4.0%), Mizuho Corporate Bank Ltd with E3.4B (3.9%), ING Bank with E3.4B (3.8%), Credit Agricole with E3.2B (3.6%), Rabobank with E3.1B (3.5%), Credit Mutuel with E3.1B (3.4%), Nordea Bank with E3.0B (3.4%), Dexia Group with E2.9B (3.2%), and KBC Group NV with E2.7B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 1/31/18): 40% in CDs, 24% in Other (Time Deposits), 24% in CP, 9% in Repo, 2% in Treasury, and 1% in Agency. Sterling funds have on average 22.3% of their portfolios maturing Overnight, 11.7% maturing in 2-7 Days, 17.5% maturing in 8-30 Days, 14.2% maturing in 31-60 Days, 14.4% maturing in 61-90 Days, 15.7% maturing in 91-180 Days, and 4.2% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (20.5%), Japan (15.6%), United Kingdom (13.2%), The Netherlands (9.2%), Canada (6.4%), Germany (5.8%), Sweden (4.6%), the US (4.5%), Australia (3.5%), and Singapore (3.4%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L8.5B (5.5%), BPCE SA with L7.2B (4.6%), Credit Agricole with L6.3B (4.0%), Sumitomo Mitsui Banking Co. with L5.8B (3.7%), Mitsubishi UFJ Financial Group Inc. with L5.6B (3.6%), Toronto Dominion Bank with L5.5B (3.5%), Rabobank with L5.3B (3.4%), BNP Paribas with L5.0B (3.2%), ING Bank with L5.0B (3.2%), and Sumitomo Mitsui Trust Bank with L4.7B (3.0%).
In other news, the Investment Company Institute released its latest monthly "Money Market Fund Holdings" summary (with data as of Jan. 26, 2017) yesterday. 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 Feb. 12 News, "Feb. Money Fund Portfolio Holdings: TD, CP, CDs Jump; Repo Plummets.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in January, prime money market funds held 23.1 percent of their portfolios in daily liquid assets and 44.8 percent in weekly liquid assets, while government money market funds held 57.2 percent of their portfolios in daily liquid assets and 77.5 percent in weekly liquid assets." Prime DLA decreased from 30.1% last month and Prime WLA increased from 44.6% last month. Govt MMFs' DLA decreased from 60.5% last month and Govt WLA increased from 75.0% last month.
ICI explains, "At the end of January, prime funds had a weighted average maturity (WAM) of 27 days and a weighted average life (WAL) of 66 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 31 days and a WAL of 91 days." Prime WAMs were down 3 days from last month, and WALs were up 2 days. Govt WAMs were down 2 days from December and Govt WALs increased by 2 days from last month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas declined from $212.41 billion in December to $181.00 billion in January. Government money market funds' holdings attributable to the Americas declined from $1,899.22 billion in December to $1,716.82 billion in January."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $181.0 billion, or 39.5%; Asia and Pacific at $87.5 billion, or 19.1%; Europe at $186.1 billion, or 40.6%; and, Other (including Supranational) at $3.6 billion, or 0.9%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.717 trillion, or 77.2%; Asia and Pacific at $108.7 billion, or 4.9%; and Europe at $390.0 billion, or 17.5%.
