Crane Data's 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), up slightly year-to-date in 2018. Through 10/12/18, MFII assets are up $3 billion to $834 billion. Offshore USD money funds are up $8 billion YTD, continuing to defy predictions of repatriation-related outflows. Euro funds, however, are feeling the pain of negative rates and pending European MMF reforms; they're down E7 billion YTD. GBP funds are up L5B. U.S. Dollar (USD) money funds (159) account for over half ($433 billion, or 51.9%) of this "European" money fund total, while Euro (EUR) money funds (98) total E91 billion and Pound Sterling (GBP) funds (103) total L224 billion. We summarize our "offshore" money fund assets, as well as our latest Money Fund Intelligence International Portfolio Holdings totals, below.
USD MMFs yield 2.03% (7-Day) on average (as of 10/12/18), up from 1.19% at the end of 2017 and 0.56% at the end of 2016. EUR MMFs yield -0.48 on average, up from -0.55% on 12/29/17 and -0.49% on 12/30/16, while GBP MMFs yield 0.60%, 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 9/30/18), show that European-domiciled US Dollar MMFs, on average, consist of 29% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 15% in Treasury securities, 18% in Repurchase Agreements (Repo), 15% in Other securities (primarily Time Deposits), and 2% in Government Agency securities. USD funds have on average 32.6% of their portfolios maturing Overnight, 13.2% maturing in 2-7 Days, 19.2% maturing in 8-30 Days, 11.2% maturing in 31-60 Days, 10.2% maturing in 61-90 Days, 10.9% maturing in 91-180 Days, and 2.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (25.8%), France (15.4%), Japan (10.4%), Canada (10.4%), United Kingdom (6.1%), The Netherlands (5.7%), Germany (5.6%), Sweden (5.4%), Australia (3.2%), China (2.8%), Singapore (2.6%), and Belgium (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $71.6 billion (15.0% of total assets), BNP Paribas with $30.1B (6.3%), Mitsubishi UFJ Financial Group Inc with $15.4B (3.2%), Wells Fargo with $14.9B (3.1%), Toronto-Dominion Bank with $12.4B (2.6%), Mizuho Corporate Bank Ltd with $11.1B (2.3%), Skandinaviska Enskilda Banken AB with $9.9B (2.1%), Barclays PLC with $9.5B (2.0%), Societe Generale with $9.4B (2.0%), and Bank of Montreal with $9.2B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 50% in CP, 25% in CDs, 19% in Other (primarily Time Deposits), 6% in Repo, 0% in Agency securities, and 0% in Treasuries. EUR funds have on average 21.9% of their portfolios maturing Overnight, 10.3% maturing in 2-7 Days, 14.9% maturing in 8-30 Days, 16.1% maturing in 31-60 Days, 14.5% maturing in 61-90 Days, 20.3% maturing in 91-180 Days and 2.0% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (28.8%), Japan (15.0%), the US (9.9%), Germany (7.7%),the Netherlands (6.8%), Sweden (6.7%), the U.K. (4.3%), Switzerland (4.2%), China (4.0%), and Belgium (3.2%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E4.4B (5.2%), BNP Paribas with E4.3B (5.2%), BPCE with E3.3B (3.9%), Mitsubishi UFJ Financial Group Inc with E3.0B (3.6%), Societe Generale with E2.9B (3.4%), Mizuho Corporate Bank Ltd with E2.9B (3.4%), Rabobank with E2.7B (3.2%), Credit Mutuel with E2.7B (3.2%), Sumitomo Mitsui Trust Bank with E2.7B (3.2%), and Svenska Handelsbanken with E2.6B (3.1%).
The GBP funds tracked by MFI International contain, on average (as of 9/30/18): 37% in CDs, 28% in Other (Time Deposits), 20% in CP, 9% in Repo, 6% in Treasury, and 0% in Agency. Sterling funds have on average 26.4% of their portfolios maturing Overnight, 6.6% maturing in 2-7 Days, 16.2% maturing in 8-30 Days, 16.4% maturing in 31-60 Days, 10.1% maturing in 61-90 Days, 20.6% maturing in 91-180 Days, and 3.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Japan (17.4%), United Kingdom (16.8%), France (15.9%), The Netherlands (8.2%), Canada (7.4%), Sweden (5.5%), Australia (5.5%), Germany (5.1%), United States (4.8%), and China (2.7%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L14.8B (9.4%), Sumitomo Mitsui Banking Co with L6.3B (4.0%), Mitsubishi UFJ Financial Group Inc with L6.2B (4.0%), Sumitomo Mitsui Trust Bank with L6.2B (3.9%), BNP Paribas with L6.0B (3.8%), BPCE SA with L5.5B (3.5%), Mizuho Corporate Bank Ltd with E5.1B (3.3%), Nordea Bank with L5.1B (3.2%), Toronto-Dominion Bank with L5.0B (3.2%), and Rabobank with E4.9B (3.1%).
In related news, the Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of Sept. 28, 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 October 11 News, "October MF Portfolio Holdings: Treasury, Agency Down; FICC Repo Up Jumps.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in September, prime money market funds held 25.7 percent of their portfolios in daily liquid assets and 43.2 percent in weekly liquid assets, while government money market funds held 61.1 percent of their portfolios in daily liquid assets and 76.9 percent in weekly liquid assets." Prime DLA decreased from 30.9% in August, and Prime WLA increased from 43.6% in August. Govt MMFs' DLA decreased from 61.5% in August and Govt WLA decreased from 78.7% last month.
ICI explains, "At the end of September, prime funds had a weighted average maturity (WAM) of 32 days and a weighted average life (WAL) of 69 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 34 days and a WAL of 89 days." Prime WAMs were up one day from last month, and WALs were up by three days. Govt WAMs were up four days from August 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 $213.42 billion in August to $226.26 billion in September. Government money market funds’ holdings attributable to the Americas rose from $1,675.69 billion in August to $1,736.95 billion in September."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $226.3 billion, or 42.8%; Asia and Pacific at $103.7 billion, or 19.6%; Europe at $192.9 billion, or 36.5%; and, Other (including Supranational) at $6.3 billion, or 1.2%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.737 trillion, or 79.4%; Asia and Pacific at $125.3 billion, or 5.7%; and Europe at $318.6 billion, or 14.6%.
