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 April after falling in March. Offshore US Dollar MMFs have been rising and falling in waves since December 2017; they had been up sharply in January but fell in February and March. Last year, assets of all 3 currencies combined increased by $100 billion, or 13.7%, to $831 billion. Year-to-date in 2017 (through 4/12/18), MFII assets are up $28.7 billion to $859.5 billion, but USD assets are flat. U.S. Dollar (USD) funds (158) account for about half ($425 billion, or 49.5%) of the total, while Euro (EUR) money funds (98) total E95 billion and Pound Sterling (GBP) funds (110) total L228 billion. USD funds are up a mere $239 million, 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, but the data don't show any substantial outflows so far.
Euro funds are down E3 billion YTD but were up E3B in 2017, while GBP funds are up L4B YTD after rising L29B in 2017. USD MMFs yield 1.60% (7-Day) on average (as of 4/12/18), 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 0.35%, 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 3/31/18), shows that European-domiciled US Dollar MMFs, on average, consist of 22% in Treasury securities, 29% in Commercial Paper (CP), 20% in Certificates of Deposit (CDs), 11% in Other securities (primarily Time Deposits), 15% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 28.1% of their portfolios maturing Overnight, 14.3% maturing in 2-7 Days, 25.9% maturing in 8-30 Days, 8.2% maturing in 31-60 Days, 10.8% maturing in 61-90 Days, 10.5% maturing in 91-180 Days, and 2.1% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (31.8%), France (12.9%), Canada (10.4%), Japan (9.5%), United Kingdom (5.4%), The Netherlands (5.0%), Germany (4.9%), Australia (4.6%), Sweden (4.0%), Singapore (3.1%), China (2.3%) and Switzerland (1.8%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $95.7 billion (21.8% of total assets), BNP Paribas with $23.2B (5.3%), Wells Fargo with $11.4B (2.6%), Toronto-Dominion Bank with $11.1B (2.5%), Societe Generale with $10.5B (2.4%), Mitsubishi UFJ Financial Group Inc with $10.3B (2.4%), Bank of Nova Scotia with $9.9B (2.2%), Barclays PLC with $9.9B (2.2%), RBC with $8.5B (1.9%), Sumitomo Mitsui Banking Co with $8.0B (1.8%), and ING Bank with $7.7B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 48% in CP, 27% in CDs, 17% in Other (primarily Time Deposits), 7% in Repo, 0% in Treasuries and 1% in Agency securities. EUR funds have on average 1.8% of their portfolios maturing Overnight, 27.8% maturing in 2-7 Days, 15.2% maturing in 8-30 Days, 14.2% maturing in 31-60 Days, 21.8% maturing in 61-90 Days, 14.8% maturing in 91-180 Days and 4.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (25.8%), Japan (15.9%), The Netherlands (9.2%), US (9.0%), Belgium (6.9%), Sweden (6.7%), Germany (5.6%), Switzerland (5.2%), China (3.8%), and the United Kingdom (3.3%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E4.7B (5.2%), Rabobank with E3.5B (3.9%), ING Bank with E3.4B (3.8%), Credit Agricole with E3.4B (3.7%), Svenska Handelsbanken with E3.3B (3.6%), Mizuho Corporate Bank Ltd with E3.2B (3.6%), Credit Mutuel with E3.2B (3.5%), Mitsubishi UFJ Financial Group with E3.2B (3.5%), Sumitomo Mitsui Banking Co with E2.7B (3.0%), and Dexia Group with E2.7B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 3/31/18): 39% in CDs, 24% in Other (Time Deposits), 27% in CP, 7% in Repo, 2% in Treasury, and 1% in Agency. Sterling funds have on average 3.4% of their portfolios maturing Overnight, 26.1% maturing in 2-7 Days, 17.1% maturing in 8-30 Days, 27.0% maturing in 31-60 Days, 13.6% maturing in 61-90 Days, 9.5% maturing in 91-180 Days, and 3.3% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (20.0%), Japan (16.6%), United Kingdom (11.2%), The Netherlands (10.2%), Canada (7.5%), Germany (4.9%), the US (4.8%), Sweden (4.7%), Australia (3.9%), and Singapore (3.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: Sumitomo Mitsui Trust Bank with L5.5B (4.5%), Mitsubishi UFJ Financial Group Inc. with L5.4B (4.4%), BPCE SA with L4.7B (3.8%), BNP Paribas with L4.4B (3.6%), Toronto-Dominion Bank with L4.4B (3.5%), Rabobank with L4.3B (3.5%), ING Bank with L3.8B (3.1%), UK Treasury with L3.7B (3.0%), Sumitomo Mitsui Banking Co. with L3.7B (3.0%), and Agence Central de Organismes de Securite Sociale with L3.6B (2.9%).
In other news, the Investment Company Institute released its latest monthly "Money Market Fund Holdings" summary (with data as of March 30, 2018) Friday. 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 April 11 News, "April Money Fund Portfolio Holdings: Treasury Now Biggest; Repo Down.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in March, prime money market funds held 27.1 percent of their portfolios in daily liquid assets and 43.1 percent in weekly liquid assets, while government money market funds held 61.9 percent of their portfolios in daily liquid assets and 77.2 percent in weekly liquid assets." Prime DLA increased from 23.4% last month and Prime WLA decreased from 44.7% last month. Govt MMFs' DLA decreased from 57.8% last month and Govt WLA increased from 76.6% last month.
ICI explains, "At the end of March, prime funds had a weighted average maturity (WAM) of 31 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 34 days and a WAL of 92 days." Prime WAMs were up four days from last month, and WALs were up by two days. Govt WAMs were up three days from February and Govt WALs were up by one day 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 $184.80 billion in February to $194.68 billion in March. Government money market funds' holdings attributable to the Americas declined from $1,785.29 billion in February to $1,781.36 billion in March."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $194.7 billion, or 43.4%; Asia and Pacific at $87.9 billion, or 19.6%; Europe at $162.5 billion, or 36.2%; and, Other (including Supranational) at $3.9 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.781 trillion, or 80.9%; Asia and Pacific at $96.4 billion, or 4.4%; and Europe at $317.6 billion, or 14.4%.
