Crane Data's Money Fund Intelligence Daily shows that money fund assets plunged Friday ahead of the Sept. 15 quarterly corporate tax payment date. Assets declined by $31.2 billion to $2.978 trillion on Friday, Sept. 14, and they've declined by $26.8 billion in the week through Friday. While we can only guess as to what is driving flows, it's a good bet that outsized tax bills related to the taxation of overseas cash is the culprit. If dollars were indeed being repatriated, we should be seeing outflows from offshore money funds and inflows into U.S. domestic money funds. In fact, we're seeing the opposite. (See yesterday's Wall Street Journal article, "After Tax Rewrite, Profits from Abroad Return Slowly.") We look at assets and summarize the latest "offshore" money fund asset totals and Money Fund Intelligence International Portfolio Holdings totals below.
Yesterday's MFI Daily showed that Friday's huge outflows came out of Government Institutional money fund, which dropped by $26.2 billion (to $970.6 billion), while Treasury Inst MMFs fell another $3.9 billion (to $582.1 billion). Prime Inst MMFs declined by $2.2 billion to $394.8 billion, while Retail MMF categories all inched higher. Tax Exempt MMFs, which are mostly retail, also inched higher on Sept. 14.
Our latest 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), down year-to-date in 2018 but USD funds are higher. Through 9/14/18, MFII assets are down $27 billion to $804 billion. U.S. Dollar (USD) money funds (158) account for over half ($435 billion, or 54.1%) of this "European" money fund total, while Euro (EUR) money funds (98) total E82 billion and Pound Sterling (GBP) funds (110) total L207 billion.
USD funds are up $10 billion, YTD, continuing to defy predictions of repatriation-related outflows. Euro funds, however, are feeling the pain of pending European MMF reforms; they're down E16 billion YTD. GBP funds are down L12B. We review out latest MFII statistics and "offshore" MF Portfolio Holdings, below. (Note: We hope to see some of you later this week in London for our 6th annual European Money Fund Symposium, Sept. 20-21 at the London Tower Bridge Hilton.)
USD MMFs yield 1.87% (7-Day) on average (as of 9/14/18), up from 1.19% at the end of 2017 and 0.56% at the end of 2016. EUR MMFs yield -0.47 on average, up from -0.55% on 12/29/17 and -0.49% on 12/30/16, while GBP MMFs yield 0.55%, up from 0.24% at the end of 2017 and 0.19% at the end of 2016. (See our latest MFI International for more on the "offshore" money fund marketplace.)
Crane's latest MFI International Money Fund Portfolio Holdings, with data (as of 8/31/18), shows that European-domiciled US Dollar MMFs, on average, consist of 29% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 18% in Treasury securities, 17% in Repurchase Agreements (Repo), 13% in Other securities (primarily Time Deposits), and 2% in Government Agency securities. USD funds have on average 33.3% of their portfolios maturing Overnight, 8.5% maturing in 2-7 Days, 20.6% maturing in 8-30 Days, 14.3% maturing in 31-60 Days, 10.8% maturing in 61-90 Days, 9.9% maturing in 91-180 Days, and 2.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (26.7%), France (17.1%), Japan (10.1%), Canada (9.7%), United Kingdom (6.4%), The Netherlands (5.7%), Germany (5.2%), Sweden (4.4%), Australia (3.3%), China (2.8%), Singapore (2.0%), and Belgium (1.9%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $83.4 billion (17.4% of total assets), BNP Paribas with $28.6B (6.0%), Credit Agricole with $16.8B (3.5%), Mitsubishi UFJ Financial Group Inc with $12.6B (2.6%), Wells Fargo with $12.4B (2.6%), Barclays PLC with $12.2B (2.6%), Mizuho Corporate Bank Ltd with $11.2B (2.3%), Toronto-Dominion Bank with $10.9B (2.3%), ING Bank with $9.6B (2.0%), and Societe Generale with $9.6B (2.0%).
Euro MMFs tracked by Crane Data contain, on average 49% in CP, 24% in CDs, 19% in Other (primarily Time Deposits), 7% in Repo, 1% in Agency securities, and 0% in Treasuries. EUR funds have on average 24.3% of their portfolios maturing Overnight, 6.3% maturing in 2-7 Days, 19.8% maturing in 8-30 Days, 15.6% maturing in 31-60 Days, 14.2% maturing in 61-90 Days, 17.5% maturing in 91-180 Days and 2.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (31.1%), Japan (15.6%), the US (10.0%), the Netherlands (7.0%), Sweden (6.5%), Germany (6.4%), Switzerland (3.9%), Canada (3.8%), China (3.6%), and the U.K. (3.5%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E5.0B (6.0%), Credit Agricole with E4.3B (5.1%), ING Bank with E3.0B (3.6%), Mitsubishi UFJ Financial Group Inc with E2.9B (3.5%), Mizuho Corporate Bank Ltd with E2.8B (3.4%), Svenska Handelsbanken with E2.8B (3.3%), Credit Mutuel with E2.7B (3.2%), BPCE with E2.5B (3.0%), Agence Central de Organismes de Securite Sociale with E2.5B (3.0%), and Toronto-Dominion Bank with E2.4B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 8/31/18): 40% in CDs, 27% in Other (Time Deposits), 20% in CP, 10% in Repo, 3% in Treasury, and 0% in Agency. Sterling funds have on average 29.7% of their portfolios maturing Overnight, 5.4% maturing in 2-7 Days, 16.8% maturing in 8-30 Days, 14.7% maturing in 31-60 Days, 15.5% maturing in 61-90 Days, 13.2% maturing in 91-180 Days, and 4.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.4%), Japan (16.8%), United Kingdom (13.4%), The Netherlands (10.4%), Canada (7.0%), Australia (6.1%), United States (5.1%), Sweden (4.6%), Germany (4.0%), and Singapore (3.0%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L10.5B (6.8%), Mizuho Corporate Bank Ltd with E6.5B (4.2%), Mitsubishi UFJ Financial Group Inc with L6.3B (4.1%), BPCE SA with L6.1B (3.9%), Rabobank with E6.0B (3.8%), ING Bank with L5.8B (3.7%), Toronto-Dominion Bank with L5.7B (3.7%), Credit Agricole with L5.5B (3.6%), Sumitomo Mitsui Trust Bank with L5.2B (3.3%), and BNP Paribas with L5.1B (3.3%).
