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 overall year-to-date in the early days of 2019 after rising in 2018. Through 1/14/19, MFII assets are up $5.4 billion to $851 billion. (They rose $15 billion in 2018 after rising $100 billion in 2017.) Offshore USD money funds are up $4.1 billion YTD, continuing to defy predictions of repatriation-related outflows (they rose $29B last year). Euro funds are still feeling the pain of negative rates and pending European MMF reforms; they're down E5.4 billion YTD (following 2 flat years). GBP funds are up L5.7B. U.S. Dollar (USD) money funds (174) account for over half ($458 billion, or 53.8%) of this "European" money fund total, while Euro (EUR) money funds (100) total E93.6 billion (11.0%) and Pound Sterling (GBP) funds (104) total L215 billion (25.3%). We summarize our "offshore" money fund statistics and Money Fund Intelligence International Portfolio Holdings below.
USD MMFs yield 2.31% (7-Day) on average (as of 1/14/19), up from 2.29 % on 12/31/18, 1.19% at the end of 2017 and 0.56% at the end of 2016. EUR MMFs yield -0.48 on average, up from -0.49% at year-end 2018, -0.55% on 12/29/17 and -0.49% on 12/30/16, while GBP MMFs yielded 0.65%, up from 0.64% on 12/31/18, 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 MFII Portfolio Holdings, with data (as of 12/31/18), show that European-domiciled US Dollar MMFs, on average, consist of 27% in Commercial Paper (CP), 20% in Certificates of Deposit (CDs), 15% in Treasury securities, 22% in Repurchase Agreements (Repo), 14% in Other securities (primarily Time Deposits), and 2% in Government Agency securities <b:>`_. USD funds have on average 37.5% of their portfolios maturing Overnight, 12.0% maturing in 2-7 Days, 18.0% maturing in 8-30 Days, 12.4% maturing in 31-60 Days, 7.5% maturing in 61-90 Days, 8.8% maturing in 91-180 Days, and 3.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: US (28.4%), France (13.8%), Japan (11.4%), Canada (13.1%), United Kingdom (5.6%), Germany (4.5%), Sweden (3.8%), Australia (3.9%), The Netherlands (3.2%), Switzerland (3.5%), Singapore (2.2%), and China (1.8%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $76.5 billion (15.1% of total assets), BNP Paribas with $22.0B (4.4%), Wells Fargo with $16.6B (3.3%), Mitsubishi UFJ Financial Group Inc with $15.3B (3.0%), Bank of Nova Scotia with $15.1B (3.0%), RBC with $14.0B (2.8%), Mizuho Corporate Bank Ltd with $13.3B (2.6%), Toronto-Dominion Bank with $13.2B (2.6%), Societe Generale with $11.9B (2.4%), and Barclays PLC with $11.6B (2.3%).
Euro MMFs tracked by Crane Data contain, on average 45% in CP, 27% in CDs, 20% in Other (primarily Time Deposits), 6% in Repo, 1% in Agency securities, and 1% in Treasuries. EUR funds have on average 20.7% of their portfolios maturing Overnight, 12.5% maturing in 2-7 Days, 22.3% maturing in 8-30 Days, 17.0% maturing in 31-60 Days, 12.5% maturing in 61-90 Days, 12.3% maturing in 91-180 Days and 2.5% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.7%), Japan (15.0%), the US (9.2%), Sweden (7.3%), Netherlands (5.1%), Germany (6.6%), U.K. (4.4%), China (3.1%), Switzerland (2.6%) and Belgium (2.9%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E6.1B (6.3%), BNP Paribas with E4.4B (4.5%), BPCE SA with E3.5B (3.7%), Mizuho Corporate Bank Ltd with E3.5B (3.6%), Sumitomo Mitsui Banking Co with E3.3B (3.5%), Svenska Handelsbanken with E3.2B (3.3%), Credit Mutuel with E3.0B (3.1%), Nordea Bank with E2.9B (3.0%), Procter & Gamble Co with E2.5B (2.6%), and Societe Generale with E2.5B (2.6%).
The GBP funds tracked by MFI International contain, on average (as of 12/31/18): 34% in CDs, 27% in Other (Time Deposits), 23% in CP, 10% in Repo, 6% in Treasury, and 0% in Agency. Sterling funds have on average 22.7% of their portfolios maturing Overnight, 9.7% maturing in 2-7 Days, 20.4% maturing in 8-30 Days, 20.4% maturing in 31-60 Days, 13.2% maturing in 61-90 Days, 9.5% maturing in 91-180 Days, and 4.1% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (16.3%), Japan (17.3%), United Kingdom (16.7%), Canada (8.6%), Netherlands (6.8%), Australia (2.2%), Germany (5.3%), United States (4.0%), Sweden (4.7%), and Singapore (3.2%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L15.6B (9.5%), Mizuho Corporate Bank Ltd with E7.7B (4.7%), Mitsubishi UFJ Financial Group with L6.4B (3.9%), Sumitomo Mitsui Trust Bank with L5.7B (3.5%), BNP Paribas with L5.5B (3.4%), Sumitomo Mitsui Banking Co with L5.4B (3.3%), BPCE SA with L5.4B (3.3%), Nordea Bank with L4.9B (3.0%), Toronto-Dominion Bank with L4.8B (2.9%), and Rabobank with L4.4B (2.7%).
In other news, the Investment Company Institute released its latest "Money Market Fund Holdings" summary on Tuesday (with data as of Dec. 28, 2018). 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 Jan. 11 News, "Jan. MF Portfolio Holdings: Treasuries, Repo Jump; FICC Biggest Repo Zero.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in December, prime money market funds held 29.1 percent of their portfolios in daily liquid assets and 43.1 percent in weekly liquid assets, while government money market funds held 62.6 percent of their portfolios in daily liquid assets and 77.9 percent in weekly liquid assets." Prime DLA increased from 28.5% in November, and Prime WLA grew from 41.6% the previous month. Govt MMFs' DLA increased from 61.0% in Nov. but Govt WLA decreased from 78.9% that month.
ICI explains, "At the end of December, prime funds had a weighted average maturity (WAM) of 30 days and a weighted average life (WAL) of 64 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 31 days and a WAL of 89 days." Prime WAMs were down two days from last month, and WALs shortened by seven days. Govt WAMs were unchanged from Nov. levels and Govt WALs added two days in December.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $226.86 billion in November to $275.16 billion in December. Government money market funds' holdings attributable to the Americas rose from $1,779.61 billion in November to $1,977.67 billion in December."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $275.2 billion, or 48.5%; Asia and Pacific at $118.0 billion, or 20.8%; Europe at $168.2 billion, or 29.7%; and, Other (including Supranational) at $5.5 billion, or 1.1%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.978 trillion, or 83.4%; Asia and Pacific at $122.5 billion, or 5.2%; and Europe at $264.9 billion, or 11.2%.
