Crane Data's MFI International shows total assets in "offshore" money market mutual funds, U.S.-style funds domiciled in Ireland or Luxemburg and denominated in USD, Euro and GBP (sterling), rising in March after falling in February. Offshore US Dollar MMFs had been up sharply in January but fell $16 billion in February and $13 billion over the past 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 3/13/18), MFII assets are up another $27 billion to $858 billion. U.S. Dollar (USD) funds (158) account for over half ($436 billion, or 50.8%) of the total, while Euro (EUR) money funds (98) total E95 billion and Pound Sterling (GBP) funds (110) total L215 billion. USD funds are up $11 billion, YTD, and were up $27B in 2017. Many are watching these totals closely for signs of possible "repatriation" of US dollar assets held in Europe.
Euro funds are down E3 billion YTD but were up E3B in 2017, while GBP funds are down L4B YTD after rising L29B in 2017. USD MMFs yield 1.38% (7-Day) on average (as of 3/13/18), up from 1.19% at the end of 2017 and 0.56% at the end of 2016. EUR MMFs yield -0.50 on average, up from -0.55% on 12/29/17 and -0.49% on 12/30/16, while GBP MMFs yield 0.32%, 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 2/28/18), shows that European-domiciled US Dollar MMFs, on average, consist of 17% in Treasury securities, 29% in Commercial Paper (CP), 20% in Certificates of Deposit (CDs), 17% in Other securities (primarily Time Deposits), 14% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 29.6% of their portfolios maturing Overnight, 13.7% maturing in 2-7 Days, 24.1% maturing in 8-30 Days, 12.2% maturing in 31-60 Days, 7.8% maturing in 61-90 Days, 10.2% maturing in 91-180 Days, and 2.3% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (26.5%), France (15.7%), Japan (10.1%), Canada (10.0%), Germany (5.7%), United Kingdom (5.0%), The Netherlands (5.0%), Australia (5.0%), Sweden (4.4%), Singapore (2.9%), China (2.5%) and Belgium (2.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $84.4 billion (17.0% of total assets), BNP Paribas with $20.7B (4.2%), Credit Agricole with $16.8B (3.4%), Societe Generale with $14.1B (2.8%), Mitsubishi UFJ Financial Group Inc with $13.0B (2.6%), Barclays PLC with $11.9B (2.4%), Toronto-Dominion Bank with $11.7B (2.4%), RBC with $11.5B (2.3%), Wells Fargo with $11.3B (2.3%), and Mizuho Corporate Bank Ltd with $9.6B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 47% in CP, 23% in CDs, 22% in Other (primarily Time Deposits), 7% in Repo, 0% in Treasuries and 1% in Agency securities. EUR funds have on average 22.5% of their portfolios maturing Overnight, 8.8% maturing in 2-7 Days, 19.4% maturing in 8-30 Days, 12.9% maturing in 31-60 Days, 12.6% maturing in 61-90 Days, 19.5% maturing in 91-180 Days and 4.3% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (28.6%), Japan (12.7%), US (9.9%), The Netherlands (8.5%), Sweden (7.5%), Switzerland (6.2%), Belgium (6.1%), Germany (5.7%), the United Kingdom (4.0%), and China (2.8%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E5.0B (5.5%), Credit Agricole with E3.7B (4.1%), ING Bank with E3.7B (4.0%), Svenska Handelsbanken with E3.5B (3.9%), Rabobank with E3.3B (3.7%), Mizuho Corporate Bank Ltd with E3.1B (3.4%), BPCE SA with E2.9B (3.2%), Nordea Bank with E2.9B (3.2%), Credit Mutuel with E2.9B (3.2%), and Societe Generale with E2.7B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 2/28/18): 40% in CDs, 26% in Other (Time Deposits), 24% in CP, 8% in Repo, 1% in Treasury, and 1% in Agency. Sterling funds have on average 25.3% of their portfolios maturing Overnight, 9.0% maturing in 2-7 Days, 13.8% maturing in 8-30 Days, 15.4% maturing in 31-60 Days, 19.3% maturing in 61-90 Days, 13.4% maturing in 91-180 Days, and 4.0% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (19.5%), Japan (16.5%), United Kingdom (12.7%), The Netherlands (10.8%), Canada (6.2%), Germany (6.0%), Sweden (4.5%), the US (4.5%), Australia (3.3%), and Singapore (2.9%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L7.0B (4.3%), Rabobank with L6.6B (4.0%), BPCE SA with L6.5B (4.0%), Sumitomo Mitsui Banking Co. with L6.4B (3.9%), BNP Paribas with L6.0B (3.6%), ING Bank with L5.8B (3.5%), Mitsubishi UFJ Financial Group Inc. with L5.7B (3.5%), Toronto Dominion Bank with L5.5B (3.4%), Sumitomo Mitsui Trust Bank with L5.2B (3.1%), and DZ Bank AG with L5.1B (3.1%).
In other news, the Investment Company Institute released its latest monthly "Money Market Fund Holdings" summary (with data as of Feb. 23, 2018) 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 March 12 News, "March Money Fund Portfolio Holdings: Treasuries Jump, Repo, CD Down.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in February, prime money market funds held 23.4 percent of their portfolios in daily liquid assets and 44.7 percent in weekly liquid assets, while government money market funds held 57.8 percent of their portfolios in daily liquid assets and 76.6 percent in weekly liquid assets." Prime DLA increased from 23.1% last month and Prime WLA decreased from 44.8% last month. Govt MMFs' DLA increased from 57.2% last month and Govt WLA decreased from 77.5% last month.
ICI explains, "At the end of February, 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 unchanged from last month, and WALs were also unchanged. Govt WAMs were also unchanged from January and Govt WALs too were the same as last month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds’ holdings attributable to the Americas rose from $181.00 billion in January to $184.80 billion in February. Government money market funds’ holdings attributable to the Americas rose from $1,716.82 billion in January to $1,785.29 billion in February."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $184.8 billion, or 40.3%; Asia and Pacific at $87.2 billion, or 19.0%; Europe at $182.5 billion, or 39.8%; and, Other (including Supranational) at $4.2 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.785 trillion, or 77.9%; Asia and Pacific at $111.9 billion, or 4.9%; and Europe at $386.9 billion, or 16.9%.
