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), falling sharply in the latest week (but just slightly in June overall) after rising in May and April. Offshore US Dollar MMFs have been rising and falling in waves since December 2017. They rose sharply in January, fell in February and March, rose in April and May and fell in June. Last year, assets of all three currencies combined increased by $100 billion, or 13.7%, to $831 billion. Year-to-date in 2018 (through 6/13/18), MFII assets are up $1 billion to $832 billion, but USD assets are down noticeably. U.S. Dollar (USD) funds (158) account for about half ($408.9 billion, or 49.2%) of the total, while Euro (EUR) money funds (98) total E90.6 billion and Pound Sterling (GBP) funds (110) total L218.7 billion. USD funds are down $16 billion, YTD, but were up $27B in 2017. Many are watching these totals closely for signs that US dollar are being repatriated, but the data only show minor outflows so far.
Euro funds are down E7 billion YTD but were up E3B in 2017, while GBP funds are flat YTD after rising L29B in 2017. `USD MMFs yield 1.72% (7-Day) on average (as of 6/13/18), 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 0.39%, 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 ICI's latest Portfolio Holdings summary, below.
Crane's latest MFI International Money Fund Portfolio Holdings, with data (as of 5/31/18), shows that European-domiciled US Dollar MMFs, on average, consist of 16% in Treasury securities, 29% in Commercial Paper (CP), 22% in Certificates of Deposit (CDs), 14% in Other securities (primarily Time Deposits), 16% in Repurchase Agreements (Repo), and 3% in Government Agency securities. USD funds have on average 29.4% of their portfolios maturing Overnight, 12.6% maturing in 2-7 Days, 20.0% maturing in 8-30 Days, 15.5% maturing in 31-60 Days, 10.4% maturing in 61-90 Days, 9.7% maturing in 91-180 Days, and 2.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (26.3%), France (16.7%), Japan (10.0%), Canada (9.3%), United Kingdom (6.0%), The Netherlands (5.2%), Sweden (4.8%), Germany (4.9%), Australia (4.5%), China (2.9%), Switzerland (2.4%), and Singapore (2.3%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $73.8 billion (16.2% of total assets), BNP Paribas with $22.2B (4.9%), Credit Agricole with $14.7B (3.2%), Wells Fargo with $13.6B (3.0%), Mitsubishi UFJ Financial Group Inc with $11.1B (2.4%), Toronto-Dominion Bank with $10.8B (2.4%), Barclays PLC with $10.5B (2.3%), Mizuho Corporate Bank Ltd with $9.5B (2.1%), ING Bank with $9.3B (2.0%), Societe Generale with $9.0B (2.0%), and Natixis with $8.6B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 46% in CP, 21% in CDs, 25% in Other (primarily Time Deposits), 7% in Repo, 0.2% in Treasuries and 1% in Agency securities. EUR funds have on average 26.0% of their portfolios maturing Overnight, 11.2% maturing in 2-7 Days, 20.9% maturing in 8-30 Days, 11.8% maturing in 31-60 Days, 12.0% maturing in 61-90 Days, 15.2% maturing in 91-180 Days and 2.9% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (27.7%), Japan (13.9%), The US (10.8%), The Netherlands (9.5%), Germany (7.4%), Sweden (6.5%), Switzerland (4.3%), the United Kingdom (3.8%), Belgium (3.5%), and Canada (3.7%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E4.6B (5.0%), Credit Agricole with E4.4B (4.8%), ING Bank with E3.9B (4.2%), Mizuho Corporate Bank Ltd with E3.7B (3.9%), Svenska Handelsbanken with E3.3B (3.5%), Rabobank with E3.0B (3.3%), Credit Mutuel with E2.7B (2.9%), Mitsubishi UFJ Financial Group Inc. with E2.7B (2.9%), Toronto Dominion Bank with E2.6B (2.8%), and BPCE SA with E2.5B (2.7%).
The GBP funds tracked by MFI International contain, on average (as of 5/31/18): 40% in CDs, 28% in Other (Time Deposits), 21% in CP, 9% in Repo, 2% in Treasury, and 0% in Agency. Sterling funds have on average 28.2% of their portfolios maturing Overnight, 9.9% maturing in 2-7 Days, 13.9% maturing in 8-30 Days, 11.0% maturing in 31-60 Days, 17.4% maturing in 61-90 Days, 15.8% maturing in 91-180 Days, and 3.7% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.8%), Japan (16.1%), United Kingdom (12.6%), The Netherlands (10.6%), Canada (7.1%), the US (5.2%), Germany (4.8%), Sweden (4.5%), Australia (4.1%), and Singapore (3.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L7.9B (4.6%), Mizuho Corporate Bank Ltd with E7.0B (4.1%), Rabobank with L6.9B (4.0%), Mitsubishi UFJ Financial Group Inc. with L6.7B (3.9%), ING Bank with E6.3B (3.7%), Toronto-Dominion Bank with L6.3B (3.6%), Credit Agricole with L6.1B (3.6%), BNP Paribas with L6.1B (3.6%), BPCE SA with L6.0B (3.5%), and Sumitomo Mitsui Banking Co with L5.8B (3.4%).
In other news, the Investment Company Institute released its latest monthly "Money Market Fund Holdings" summary yesterday. Their 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 our June 12 News, "June Money Fund Portfolio Holdings: Repo Jumps Again, Treasuries Fall.")
The ICI MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in May, prime money market funds held 26.6 percent of their portfolios in daily liquid assets and 43.3 percent in weekly liquid assets, while government money market funds held 59.9% percent of their portfolios in daily liquid assets and 75.6% in weekly liquid assets." Prime DLA increased from 25.4% last month to 26.6%, and Prime WLA increased from 41.9% last month to 43.3%. Govt MMFs' DLA decreased from 60.1% to 59.9% last month, and Govt WLA decreased from 77.1% last month to 75.6%.
ICI explains, "At the end of May, prime funds had a weighted average maturity (WAM) of 28 days and a weighted average life (WAL) of 65 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 29 days and a WAL of 86 days." Prime WAMs remained the from last month, and WALs were up by one day. Govt WAMs were down two days from April and Govt WALs were down by three 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 $181.75 billion in April to $188.22 billion in May. Government money market funds' holdings attributable to the Americas declined $1,709.08 billion in April, but rose to $1,722.18 billion in May." The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $188.2 billion, or 40.9%; Asia and Pacific at $86.8 billion, or 18.9%; Europe at $180.3 billion, or 39.2%; and, Other (including Supranational) at $4.6 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.722 trillion, or 76.8%; Asia and Pacific at $107.2 billion, or 4.8%; and Europe at $408.1 billion, or 18.2%.
