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 3/13/19, overall MFII assets are down $20.3 billion to $825.6 billion. (They rose $15 billion in 2018.) Offshore USD money funds are down $8.3 billion YTD (they rose $29B last year). Euro funds are still feeling the pain of negative rates and pending European MMF reforms set to take final effect next week; they're down E10.5 billion YTD (following 2 flat years). GBP funds are up, however, by L1.9 billion. U.S. Dollar (USD) money funds (173) account for over half ($445.7 billion, or 53.7%) of this "European" money fund total, while Euro (EUR) money funds (95) total E88.5 billion (11.7%) and Pound Sterling (GBP) funds (102) total L211.3 billion (24.8%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Thursday afternoon), and we also review a notice that Wells Fargo will convert its European MMF to a Govt CNAV, below.
Offshore USD MMFs yield 2.35% (7-Day) on average (as of 3/13/19), 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 0.69%, 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 2/28/19), show that European-domiciled US Dollar MMFs, on average, consist of 27% in Commercial Paper (CP), 22% in Repurchase Agreements (Repo), 22% in Certificates of Deposit (CDs), 14% in Other securities (primarily Time Deposits), 14% in Treasury securities and 1% in Government Agency securities. USD funds have on average 38.8% of their portfolios maturing Overnight, 8.9% maturing in 2-7 Days, 14.8% maturing in 8-30 Days, 15.3% maturing in 31-60 Days, 10.0% maturing in 61-90 Days, 9.9% maturing in 91-180 Days and 2.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (25.7%), France (15.9%), Japan (11.4%), Canada (10.1%), the United Kingdom (7.0%), Germany (4.8%), Sweden (4.7%), the Netherlands (4.5%), Australia (2.8%), Switzerland (2.3%), China (2.1%), Belgium (2.0%), Singapore (1.9%) and Norway (1.6%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $68.6 billion (13.7% of total assets), BNP Paribas with $24.7B (4.9%), Mitsubishi UFJ Financial Group Inc with $17.8B (3.5%), Barclays PLC with $17.8B (3.5%), Credit Agricole with $16.3B (3.2%), Wells Fargo with $14.2B (2.8%), Mizuho Corporate Bank Ltd with $12.7B (2.5%), Bank of Nova Scotia with $12.0B (2.4%), Toronto-Dominion Bank with $11.3B (2.3%) and RBC with $10.3B (2.1%).
Euro MMFs tracked by Crane Data contain, on average 46% in CP, 23% in CDs, 22% in Other (primarily Time Deposits), 8% in Repo, 1% in Agency securities and 0% in Treasuries. EUR funds have on average 24.0% of their portfolios maturing Overnight, 9.6% maturing in 2-7 Days, 21.8% maturing in 8-30 Days, 12.3% maturing in 31-60 Days, 13.9% maturing in 61-90 Days, 17.4% maturing in 91-180 Days and 0.9% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.7%), Japan (13.3%), the US (11.8%), Germany (8.9%), Sweden (6.4%), the Netherlands (4.8%), Canada (4.4%), the U.K. (4.0%), Belgium (3.8%), Finland (2.7%), China (2.4%), Switzerland (2.4%) and Australia (1.8%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E5.5B (6.8%), Mitsubishi UFJ Financial Group with E3.2B (4.0%), BNP Paribas with E2.9B (3.6%), Credit Mutuel with E2.6B (3.3%), Procter & Gamble Co. with E2.6B (3.2%), Svenska Handelsbanken with E2.5B (3.1%), DekaBank Deutsche Girozentrale with E2.4B (3.0%), Citi with E2.4B (2.9%), Societe Generale with E2.3B (2.9%) and Mizuho Corporate Bank Ltd with E2.3B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 2/28/19): 35% in CDs, 28% in Other (Time Deposits), 21% in CP, 12% in Repo, 3% in Treasury and 1% in Agency. Sterling funds have on average 22.7% of their portfolios maturing Overnight, 12.6% maturing in 2-7 Days, 14.8% maturing in 8-30 Days, 20.8% maturing in 31-60 Days, 12.8% maturing in 61-90 Days, 11.9% maturing in 91-180 Days, and 4.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the United Kingdom (15.9%), Japan (15.5%), France (15.4%), Canada (9.9%), Australia (7.2%), Germany (7.0%), the Netherlands (6.0%), the United States (4.5%), Singapore (3.9%), Sweden (3.9%), Abu Dhabi (2.1%) and China (2.1%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L11.2B (7.1%), Mizuho Corporate Bank Ltd with L6.9B (4.4%), Credit Agricole with L5.4B (3.4%), BNP Paribas with L5.1B (3.2%), Sumitomo Mitsui Banking Co with L5.0B (3.2%), Toronto-Dominion Bank with L5.0B (3.2%), Mitsubishi UFJ Financial Group with L5.0B (3.2%), BPCE SA with L4.9B (3.1%), Sumitomo Mitsui Trust Bank with L4.8B (3.0%) and Standard Chartered Bank with L4.3B (2.7%).
In other news, Wells Fargo Asset Management released a Product Update entitled, "U.S. Dollar Short-Term Money Market Fund Transition Plan to comply with European Union Money Market Fund Reform." It says, "New European Union money market fund regulations came into effect in July 2018 and apply to existing money market funds beginning in 2019. In response to the new regulations, Wells Fargo Asset Management is pleased to announce its intent to convert the Wells Fargo (Lux) Worldwide Fund - U.S. Dollar Short-Term Money Market Fund ... into a public debt constant NAV (constant NAV, or CNAV) money market fund. We believe that the public debt CNAV structure best accommodates our shareholder base by providing a conservative investment strategy that retains the ability to operate with a constant NAV."
The release continues, "The Fund's investment strategy will change from a prime money market strategy to a government money market strategy to accommodate a requirement under the new regulations that only those money market funds that pursue a public debt investing strategy are allowed to maintain a constant NAV. The Fund's new investment strategy will invest exclusively in high-quality, short-term U.S. dollar-denominated money market instruments that consist of U.S. Government obligations, reverse repurchase agreements that are fully collateralized by U.S. Government obligations and cash deposits. The Fund's name will be changed to the Wells Fargo (Lux) Worldwide Fund - USD Government Money Market Fund to better reflect the new strategy. Both the investment strategy and name changes will take effect on or about 21 March 2019."
It tells us, "The Fund will continue to utilize amortised cost accounting and process transactions at a constant US $1.00 NAV. The Fund will also continue to be managed as a short-term money market fund as defined by the European Securities and Markets Authority (ESMA). Information regarding the Fund's NAV will be posted on a daily basis on the Fund's website at www.wellsfargoworldwidefund.com. The ISINs and CUSIPs for the share classes for the Fund are not changing."
Wells adds, "Upon conversion to the public debt CNAV structure, the Fund will be subject to the potential imposition of liquidity fees and/or redemption suspensions or gates if the Fund's weekly liquid assets fall below 30% of its total assets and net redemptions from the Fund exceed 10% of the Fund's total assets in one day, and the Fund will be required to impose liquidity fees or a suspension of redemptions if the Fund's weekly liquid assets fall below 10% of its total assets, regardless of the level of redemptions. Redemption gates and suspensions will be managed as described in the Prospectus. In the unlikely event that a gate or suspension is imposed, we would generally expect to use a combination of communications, including but not limited to emails, phone calls, press releases, and website postings."
For more on European Reforms, see the following Crane Data News stories: "Aberdeen, Fido Make European Reform Changes; Oppenheimer Merging" (3/1/19), "Not Done Yet: European Money Funds Continue Adjusting to Reforms" (2/6/19), "Schwab USD LA Goes Govt Ahead of European Reforms; Weekly Holdings" (1/3/19); "Money Fund Average Breaks 2.0%, Yields Rise; BNP Splits European MMFs" (12/27/18); "Money Fund Assets Skyrocket, Break $3 Trillion; UBS on European MMFR" (12/14/18); "JPMorgan Now Live With European Money Fund Reforms; VNAVs SnP AAA" (12/4/18); and "Cash Will Be King in '19 Says GS; BlackRock Update; Europe Rejects RDM" (11/26/18). Finally, let us know if you'd like to see our latest Money Fund Intelligence International, which tracks the European money fund marketplace.
