Crane Data's latest MFI International shows assets in "offshore" or European money market mutual funds rising in USD and GBP and inching lower in Euro over the past month through October 11. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Sterling and Euro, increased by $9.3 billion to $856.4 billion over the past month (9/11 through 10/11), and they're now up by $10.4 billion year-to-date. Offshore USD money funds are up $5.5 billion over 1 month and they're up $12.1 billion YTD. Euro funds are down E1.0 billion over a month, and YTD they're up E0.1 billion. GBP funds have risen by L4.1 billion through October 11, are they are up by L21.9 billion YTD. U.S. Dollar (USD) money funds (190) account for over half ($466.0 billion, or 54.4%) of our "European" money fund total, while Euro (EUR) money funds (88) total E99.1 billion (12.8%) and Pound Sterling (GBP) funds (123) total L231.3 billion (32.8%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers yesterday), below.
Offshore USD MMFs yield 1.84% (7-Day) on average (as of 10/11/19), down from 2.29% on 12/31/18, but up from 1.19% at the end of 2017. EUR MMFs yield -0.56 on average, compared to -0.49% at year-end 2018 and -0.55% on 12/29/17. Meanwhile, GBP MMFs yielded 0.63%, one less than 0.64% on 12/31/18 but up from 0.24% at the end of 2017. (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 9/30/19), show that European-domiciled US Dollar MMFs, on average, consist of 30% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 20% in Repo, 17% in Treasury securities, 10% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 34.5% of their portfolios maturing Overnight, 9.4% maturing in 2-7 Days, 13.4% maturing in 8-30 Days, 13.2% maturing in 31-60 Days, 7.5% maturing in 61-90 Days, 15.7% maturing in 91-180 Days and 5.5% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (28.8%), France (13.2%), Canada (12.0%), Japan (9.6%), Germany (7.5%), the United Kingdom (6.6%), the Netherlands (5.5%), Sweden (3.3%), Australia (2.7%), China (2.0%), Switzerland (1.9%), Singapore (1.6%), Belgium (1.4%) and Norway (1.3%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $86.6 billion (16.7% of total assets), BNP Paribas with $21.3B (4.1%), Bank of Nova Scotia with $17.1B (3.3%), Mitsubishi UFJ Financial Group Inc with $14.1B (2.7%), Wells Fargo with $12.4B (2.4%), Toronto-Dominion Bank with $12.1B (2.3%), Standard Chartered Bank with $12.1B (2.3%), RBC with $11.6B (2.2%), Mizuho Corporate Bank Ltd with $11.1B (2.1%) and Barclays PLC with $10.6B (2.0%).
Euro MMFs tracked by Crane Data contain, on average 48% in CP, 24% in CDs, 18% in Other (primarily Time Deposits), 7% in Repo, 0% in Agency securities and 3% in Treasuries. EUR funds have on average 21.9% of their portfolios maturing Overnight, 10.0% maturing in 2-7 Days, 16.5% maturing in 8-30 Days, 18.0% maturing in 31-60 Days, 8.0% maturing in 61-90 Days, 21.4% maturing in 91-180 Days and 4.2% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (27.9%), Japan (13.9%), the US (12.5%), Germany (9.3%), Sweden (7.3%), the U.K. (5.6%), Switzerland (4.2%), the Netherlands (4.1%), China (2.8%), Belgium (2.8%), Canada (2.2%), Finland (1.9%) and Abu Dhabi (1.4%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E5.2B (5.2%), Credit Agricole with E5.1B (5.1%), Mizuho Corporate Bank Ltd with E4.5B (4.4%), Republic of France with E3.8B (3.8%), Citi with E3.6B (3.6%), BPCE SA with E3.3B (3.3%), Nordea Banks with E3.3B (3.3%), Svenska Handelsbanken with E3.0B (3.0%), Mitsubishi UFJ Financial Group Inc with E2.9B (2.9%) and Procter & Gamble Co with E2.8B (2.7%).
The GBP funds tracked by MFI International contain, on average (as of 9/30/19): 35% in CDs, 26% in Other (Time Deposits), 22% in CP, 12% in Repo, 5% in Treasury and 0% in Agency. Sterling funds have on average 26.1% of their portfolios maturing Overnight, 10.0% maturing in 2-7 Days, 12.1% maturing in 8-30 Days, 14.4% maturing in 31-60 Days, 9.5% maturing in 61-90 Days, 22.4% maturing in 91-180 Days and 5.5% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the United Kingdom (18.5%), Japan (16.2%), France (16.0%), Canada (9.9%), Germany (7.4%), Sweden (4.6%), the Netherlands (4.4%), United States (3.6%), Australia (3.5%), Singapore (3.1%), China (2.4%) and Abu Dhabi (2.3%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L20.1B (11.2%), Mizuho Corporate Bank Ltd with L7.2B (4.0%), BPCE SA with L6.9B (3.9%), BNP Paribas with L6.5B (3.7%), Sumitomo Mitsui Banking Co with L6.5B (3.6%), Sumitomo Mitsui Trust Bank with L6.5B (3.6%), Credit Agricole with L6.4B (3.6%), DZ Bank AG with L6.2B (3.5%), Toronto-Dominion Bank with L5.9B (3.3%) and Mitsubishi UFJ Financial Group with L5.5B (3.1%).
In related news, ICI released its monthly "Money Market Fund Holdings" summary yesterday, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (For our initial review of September 30 Holdings, see our Oct. 10 News, "Oct. Money Fund Portfolio Holdings: Treasuries Surge, Break $1 Trillion").
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in September, prime money market funds held 25.5 percent of their portfolios in daily liquid assets and 42.6 percent in weekly liquid assets, while government money market funds held 61.7 percent of their portfolios in daily liquid assets and 80.6 percent in weekly liquid assets." Prime DLA decreased from 29.1% in August, and Prime WLA decreased from 43.4% the previous month. Govt MMFs' DLA decreased from 62.3% in August and Govt WLA increased from 79.8% from the previous month.
ICI explains, "At the end of September, prime funds had a weighted average maturity (WAM) of 38 days and a weighted average life (WAL) of 74 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 32 days and a WAL of 98 days." Prime WAMs increased by one day from the previous month and WALs increased by three days. Govt WAMs increased by two days day and WALs remained the same as the previous month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $320.20 billion in August to $347.07 billion in September. Government money market funds' holdings attributable to the Americas rose from $2,005.24 billion in August to $2,147.84 billion in September."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $347.1 billion, or 47.3%; Asia and Pacific at $146.7 billion, or 20.0%; Europe at $234.5 billion, or 31.9%; and, Other (including Supranational) at $5.9 billion, or 0.8%. The Government Money Market Funds by Region of Issuer table shows Americas at $2.149 trillion, or 82.4%; Asia and Pacific at $120.0 billion, or 4.6%; Europe at $324.8 billion, or 12.5%, and Other (Including Supranational) at $12.5 billion, or 0.5%."
