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 and Euro remain down year-to-date, though they've recently trimmed their losses. Through 6/13/19, overall MFII assets are down $7.7 billion to $828.0 billion. (They rose $15.2 billion in 2018.) Offshore USD money funds are down $4.5 billion YTD (they rose $28.8B last year). Euro funds are still feeling the pain of negative rates and recent European MMF reforms; they're down E8.1 billion YTD (following 2 flat years). GBP funds are up, however, by L7.8 billion. U.S. Dollar (USD) money funds (175) account for over half ($449.5 billion, or 53.8%) of this "European" money fund total, while Euro (EUR) money funds (76) total E90.9 billion (10.9%) and Pound Sterling (GBP) funds (103) total L217.2 billion (26.0%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Friday), below.
Offshore USD MMFs yield 2.27% (7-Day) on average (as of 6/13/19), 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 -0.50 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 0.66%, 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. Note that these funds are only available to qualified, non-U.S. investors.)
Crane's MFII Portfolio Holdings, with data (as of 5/31/19), show that European-domiciled US Dollar MMFs, on average, consist of 29% in Commercial Paper (CP), 22% in Repurchase Agreements (Repo), 22% in Certificates of Deposit (CDs), 12% in Other securities (primarily Time Deposits), 14% in Treasury securities and 1% in Government Agency securities.
USD funds have on average 36.4% of their portfolios maturing Overnight, 8.6% maturing in 2-7 Days, 16.9% maturing in 8-30 Days, 13.0% maturing in 31-60 Days, 10.9% maturing in 61-90 Days, 11.1% maturing in 91-180 Days and 3.0% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (25.6%), France (15.5%), Japan (11.6%), Canada (10.5%), the United Kingdom (8.0%), Germany (6.1%), Sweden (4.2%), the Netherlands (4.1%), Australia (2.8%), Switzerland (2.8%), China (2.1%), Singapore (2.1%), Belgium (1.4%) and Norway (1.2%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $66.8 billion (13.8% of total assets), BNP Paribas with $20.0B (4.1%), Barclays PLC with $18.4B (3.8%), Mitsubishi UFJ Financial Group Inc with $15.1B (3.1%), Wells Fargo with $14.4B (3.0%), Sumitomo Mitsui Banking Co with $12.7B (2.6%), Credit Agricole with $12.7B (2.6%), Toronto-Dominion Bank with $12.6B (2.6%), Bank of Nova Scotia with $12.3B (2.5%) and Mizuho Corporate Bank with $12.1B (2.5%).
Euro MMFs tracked by Crane Data contain, on average 50% in CP, 21% in CDs, 21% in Other (primarily Time Deposits), 7% in Repo, 0% in Agency securities and 1% in Treasuries. EUR funds have on average 25.2% of their portfolios maturing Overnight, 7.0% maturing in 2-7 Days, 17.2% maturing in 8-30 Days, 17.2% maturing in 31-60 Days, 14.9% maturing in 61-90 Days, 15.8% maturing in 91-180 Days and 2.7% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (32.1%), Japan (13.2%), the US (11.2%), Germany (9.3%), Sweden (6.6%), the U.K. (4.5%), the Netherlands (4.2%), Canada (3.6%), Belgium (2.8%), Switzerland (2.8%), Finland (2.3%) China (2.2%) and Austria (1.4%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E6.2B (7.3%), BNP Paribas with E4.3B (5.0%), Mizuho Corporate Bank Ltd with E3.1B (3.7%), Mitsubishi UFJ Financial Group with E3.1B (3.6%), BPCE with E2.9B (3.4%), Procter & Gamble Co. with E2.8B (3.2%), Credit Mutuel with E2.6B (3.1%), Societe Generale with E2.6B (3.0%), ING Bank with E2.5B (2.9%), and Svenska Handelsbanken with E2.5B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 5/31/19): 34% in CDs, 26% in Other (Time Deposits), 26% in CP, 11% in Repo, 2% in Treasury and 1% in Agency. Sterling funds have on average 23.9% of their portfolios maturing Overnight, 11.2% maturing in 2-7 Days, 12.0% maturing in 8-30 Days, 19.7% maturing in 31-60 Days, 14.7% maturing in 61-90 Days, 13.5% maturing in 91-180 Days and 5.0% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (20.9%), Japan (18.1%), the United Kingdom (11.6%), Canada (9.9%), Sweden (5.9%), Germany (5.4%), United States (5.2%), Australia (5.0%), the Netherlands (4.7%), Singapore (3.1%), China (2.6%) and Finland (1.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: Credit Agricole with L6.4B (4.8%), Mizuho Corporate Bank Ltd with L6.3B (4.7%), BNP Paribas with L6.1B (4.5%), Sumitomo Mitsui Trust Bank with L5.7B (4.2%), Mitsubishi UFJ Financial Group with L5.2B (3.9%), BPCE SA with L5.2B (3.9%), Nordea Bank with L4.5B (3.4%), Sumitomo Mitsui Banking Co with L4.5B (3.3%), Standard Chartered Bank with L3.7B (2.7%) and the UK Treasury with L3.6B (2.7%).
In related news, Treasury Today features the article, "It's an MMF Jim, but not as we know it: what regulatory change really means for treasurers," which discusses European money market funds post-reform. The piece says, "The US and European market authorities have changed how money markets are regulated.... The required switch to fund formats that use variable rates as their key measure present very little difference for the typical investor, says Natalie Cross, Senior Client Portfolio Manager, Invesco. The LVNAV funds that most CNAV investors migrated into, do however establish new coping mechanisms in the event of market instability or a credit default with a fund."
It continues, "So, whilst coming out the other side of change delivers products that 'look and feel largely the same as before', the efforts of the authorities bestows more structure on a largely willing market, says Cross.... The unwritten 'agreement' that a bank would bail out its failing fund has possibly led to a somewhat gung-ho investor attitude that MMFs are failproof. The nature of MMF portfolios tends to make them highly resilient to stress, but failproof they are not. Removing the perception that some funds are different from others, from that support standpoint, levels the playing field between bank and non-bank providers, says Cross."
Finally, Treasury Today writes, "The impact in Europe has been more low-key, as expected, says Cross who describes the transition into reform here as 'seamless'. The most notable outcome in Europe has been the outlawing of the reverse distribution mechanism, the regulators no longer permitting funds to offset losses generated by negative euro interest rates."
