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), flat year-to-date, though Euro MMFs are seeing declines. Through 2/13/19, overall MFII assets are down $13.0 billion to $833 billion. (They rose $15 billion in 2018.) Offshore USD money funds are down $1.8 billion YTD (they rose $29B last year). Euro funds are seemingly still feeling the pain of negative rates and pending European MMF reforms set to take final effect next month; they're down E8.7 billion YTD (following 2 flat years). GBP funds are up, however, by L948 million. U.S. Dollar (USD) money funds (175) account for over half ($452.2 billion, or 54.3%) of this "European" money fund total, while Euro (EUR) money funds (102) total E90.3 billion (10.8%) and Pound Sterling (GBP) funds (104) total L210.4 billion (25.3%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings below.
Offshore USD MMFs yield 2.35% (7-Day) on average (as of 2/13/19), 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 -0.51 on average, compared to -0.49% at year-end 2018, -0.55% on 12/29/17 and -0.49% on 12/30/16. Meanwhile, GBP MMFs yielded 0.67%, 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 1/31/19), show that European-domiciled US Dollar MMFs, on average, consist of 28% in Commercial Paper (CP), 23% in Repurchase Agreements (Repo), 21% in Certificates of Deposit (CDs), 14% in Other securities (primarily Time Deposits), 13% in Treasury securities and 1% in Government Agency securities. USD funds have on average 39.2% of their portfolios maturing Overnight, 8.9% maturing in 2-7 Days, 17.8% maturing in 8-30 Days, 9.0% maturing in 31-60 Days, 11.4% maturing in 61-90 Days, 8.9% maturing in 91-180 Days, and 4.9% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (24.1%), France (17.1%), Japan (12.1%), Canada (10.7%), the United Kingdom (6.9%), Sweden (4.7%), the Netherlands (4.4%), Germany (4.1%), Australia (3.2%), Switzerland (2.3%), China (2.1%), and Singapore (1.9%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $63.4 billion (12.8% of total assets), BNP Paribas with $25.8B (5.2%), Credit Agricole with $17.3B (3.5%), Mitsubishi UFJ Financial Group Inc with $17.3B (3.5%), Barclays PLC with $16.6B (3.3%), Wells Fargo with $14.6B (2.9%), Bank of Nova Scotia with $13.0B (2.6%), Mizuho Corporate Bank Ltd with $12.0B (2.4%), Sumitomo Mitsui Banking Co with $11.0B (2.2%), and Toronto-Dominion Bank with $10.6B (2.1%).
Euro MMFs tracked by Crane Data contain, on average 47% in CP, 22% in CDs, 21% in Other (primarily Time Deposits), 8% in Repo, 1% in Agency securities, and 1% in Treasuries. EUR funds have on average 23.9% of their portfolios maturing Overnight, 9.6% maturing in 2-7 Days, 19.0% maturing in 8-30 Days, 17.4% maturing in 31-60 Days, 10.0% maturing in 61-90 Days, 17.3% maturing in 91-180 Days and 2.7% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.7%), Japan (12.6%), the US (10.8%), Germany (7.8%), Sweden (6.1%), the Netherlands (5.4%), Switzerland (3.6%), the U.K. (3.6%), Canada (3.3%), Belgium (3.1%) and China (2.7%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E6.5B (7.1%), BNP Paribas with E4.2B (4.6%), Mizuho Corporate Bank Ltd with E3.1B (3.4%), Credit Mutuel with E3.1B (3.4%), Mitsubishi UFJ Financial Group with E2.8B (3.1%), Procter & Gamble Co. with E2.8B (3.0%), Svenska Handelsbanken with E2.7B (3.0%), Natixis with E2.5B (2.7%), Pohjola Bank PLC with E2.3B (2.6%), and Sumitomo Mitsui Banking Co with E2.3B (2.5%).
The GBP funds tracked by MFI International contain, on average (as of 1/31/19): 35% in CDs, 26% in Other (Time Deposits), 24% in CP, 11% in Repo, 3% in Treasury, and 1% in Agency. Sterling funds have on average 24.8% of their portfolios maturing Overnight, 12.4% maturing in 2-7 Days, 16.3% maturing in 8-30 Days, 14.8% maturing in 31-60 Days, 18.4% maturing in 61-90 Days, 8.3% maturing in 91-180 Days, and 4.9% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (16.2%), Japan (15.4%), the United Kingdom (15.4%), Canada (10.1%), the Netherlands (7.5%), Australia (6.9%), Germany (6.5%), Sweden (4.0%), the United States (3.9%), and Singapore (3.9%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L11.6B (7.2%), Mizuho Corporate Bank Ltd with L7.3B (4.5%), BPCE SA with L5.1B (3.2%), Sumitomo Mitsui Banking Co with L5.1B (3.2%), BNP Paribas with L5.1B (3.1%), Mitsubishi UFJ Financial Group with L5.1B (3.1%), Toronto-Dominion Bank with L4.8B (2.9%), Rabobank with L4.6B (2.9%), Sumitomo Mitsui Trust Bank with L4.6B (2.8%), and Standard Chartered Bank with L4.6B (2.8%).
In other news, the Investment Company Institute released its latest "Money Market Fund Holdings" summary on Thursday (with data as of Jan. 25, 2019). 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 our Feb. 12 News, "Feb. MF Portfolio Holdings: Repo, CD, CP, TD Jump; Treasuries Drop.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in January, prime money market funds held 25.8 percent of their portfolios in daily liquid assets and 42.5 percent in weekly liquid assets, while government money market funds held 61.0 percent of their portfolios in daily liquid assets and 79.0 percent in weekly liquid assets." Prime DLA fell from 29.1% in December, and Prime WLA dipped from 43.1% the previous month. Govt MMFs' DLA declined from 62.6% in December but Govt WLA increased from 77.9% that month.
ICI explains, "At the end of January, prime funds had a weighted average maturity (WAM) of 33 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 88 days." Prime WAMs were up three days from last month, and WALs rose by one day. Govt WAMs shortened by two days from December levels and Govt WALs slipped by one day that month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas declined from $275.16 billion in December to $256.98 billion in January. Government money market funds' holdings attributable to the Americas declined from $1,977.67 billion in December to $1,811.68 billion in January."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $257.0 billion, or 42.8%; Asia and Pacific at $119.3 billion, or 19.9%; Europe at $219.4 billion, or 36.5%; and, Other (including Supranational) at $5.3 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.812 trillion, or 78.1%; Asia and Pacific at $126.6 billion, or 5.5%; and Europe at $375.6 billion, or 16.2%.
