Crane Data's latest MFI International shows assets in "offshore" European money market mutual funds rising in US Dollars but falling in Euro and Sterling in the month through October 11. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Sterling and Euro, decreased by $7.1 billion to $849.2 billion over the past month (10/14 through 11/14), but they're still up by $3.3 billion year-to-date. Offshore USD money funds are up $10.3 billion over a month and $22.4 billion YTD. Euro funds are down E5.6 billion over the month, and YTD they're also down E5.6 billion. GBP funds have fallen by L9.2 billion through November 14, but they're up by L12.6 billion YTD. U.S. Dollar (USD) money funds (190) account for over half ($476.3 billion, or 56.1%) of our "European" money fund total, while Euro (EUR) money funds (88) total E93.5 billion (12.2%) and Pound Sterling (GBP) funds (123) total L222.1 billion (31.7%). 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 1.64% (7-Day) on average (as of 11/14/19), 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 10/31/19), show that European-domiciled US Dollar MMFs, on average, consist of 29% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 21% in Repo, 17% in Treasury securities, 10% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 35.6% of their portfolios maturing Overnight, 10.5% maturing in 2-7 Days, 13.1% maturing in 8-30 Days, 8.2% maturing in 31-60 Days, 9.6% maturing in 61-90 Days, 17.5% maturing in 91-180 Days and 5.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (30.1%), France (14.7%), Canada (10.2%), Japan (9.8%), Germany (6.9%), the United Kingdom (6.3%), the Netherlands (4.5%), Sweden (3.6%), Australia (3.0%), China (1.9%), Switzerland (1.8%), Belgium (1.7%), Singapore (1.5%) and Norway (1.4%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $92.7 billion (17.4% of total assets), BNP Paribas with $20.6B (3.9%), Mitsubishi UFJ Financial Group Inc with $14.5B (2.7%), Barclays PLC with $13.7B (2.6%), Bank of Nova Scotia with $13.4B (2.5%), Credit Agricole with $12.5B (2.3%), Toronto-Dominion Bank with $12.1B (2.3%), Wells Fargo with $11.9B (2.2%), Fixed Income Clearing Co with $11.6B (2.2%) and Natixis with $11.2B (2.1%).
Euro MMFs tracked by Crane Data contain, on average 44% in CP, 23% in Other (primarily Time Deposits), 22% in CDs, 9% in Repo, 2% in Treasuries and 0% in Agency securities. EUR funds have on average 22.4% of their portfolios maturing Overnight, 9.7% maturing in 2-7 Days, 16.9% maturing in 8-30 Days, 11.0% maturing in 31-60 Days, 19.2% maturing in 61-90 Days, 17.3% maturing in 91-180 Days and 3.6% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (31.4%), United States (12.1%), Japan (11.6%), Sweden (7.6%), the U.K. (7.0%), Germany (6.9%), the Netherlands (4.9%), Switzerland (3.8%), Belgium (3.0%), Canada (3.0%), China (2.5%), Finland (1.7%) and Qatar (1.0%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.9B (8.3%), BNP Paribas with E4.8B (5.0%), Mizuho Corporate Bank Ltd with E3.5B (3.7%), Nordea Bank with E3.4B (3.6%), Societe Generale E3.2B (3.3%), Republic of France with E3.0B (3.2%), Citi with E3.0B (3.1%), Procter & Gamble Co with E2.9B (3.0%), BPCE SA with E2.9B (3.0%) and Mitsubishi UFJ Financial Group Inc with E2.8B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 10/31/19): 36% in CDs, 25% in Other (Time Deposits), 21% in CP, 13% in Repo, 5% in Treasury and 0% in Agency. Sterling funds have on average 23.5% of their portfolios maturing Overnight, 11.9% maturing in 2-7 Days, 12.5% maturing in 8-30 Days, 10.3% maturing in 31-60 Days, 16.1% maturing in 61-90 Days, 20.2% 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%), France (17.0%), Japan (16.1%), Canada (9.4%), Germany (6.3%), Netherlands (5.2%), Australia (4.2%), Sweden (3.8%), United States (3.7%), Switzerland (2.7%), Singapore (2.7%) and Abu Dhabi (2.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L18.6B (10.6%), Sumitomo Mitsui Banking Co with L7.6B (4.3%), Mizuho Corporate Bank Ltd with L7.0B (4.0%), BPCE SA Paribas with L6.8B (3.9%), Credit Agricole with L6.5B (3.7%), BNP Paribas with L6.4B (3.6%), DZ Bank AG with L5.7B (3.2%), Mitsubishi UFJ Financial Group Inc with L5.6B (3.2%), Sumitomo Mitsui Trust Bank with L5.0B (2.9%) and Toronto-Dominion Bank with L4.7B (2.6%).
In related news, ICI released its monthly "Money Market Fund Holdings" summary, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (For more, see our Nov. 13 News, "Nov. MF Portfolio Holdings: Repo Drops, T-Bills, Agencies Jump, Again.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in October, prime money market funds held 27.2 percent of their portfolios in daily liquid assets and 41.2 percent in weekly liquid assets, while government money market funds held 61.2 percent of their portfolios in daily liquid assets and 78.5 percent in weekly liquid assets." Prime DLA increased from 25.5% in September, and Prime WLA decreased from 42.6% the previous month. Govt MMFs' DLA decreased from 61.7% in September and Govt WLA decreased from 80.6% from the previous month.
ICI explains, "At the end of October, prime funds had a weighted average maturity (WAM) of 41 days and a weighted average life (WAL) of 78 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 35 days and a WAL of 99 days." Prime WAMs increased by three days from the previous month and WALs increased by four days. Govt WAMs increased by three days day and WALs increased by one from the previous month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas declined from $347.07 billion in September to $332.05 billion in October. Government money market funds' holdings attributable to the Americas rose from $2.147.84 billion in September to $2,157.99 billion in October."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $332.1 billion, or 44.0%; Asia and Pacific at $159.3 billion, or 21.1%; Europe at $257.6 billion, or 34.1%; and, Other (including Supranational) at $5.8 billion, or 0.8%. The Government Money Market Funds by Region of Issuer table shows Americas at $2.158 trillion, or 81.2%; Asia and Pacific at $138.2 billion, or 5.2%; Europe at $346.6 billion, or 13.0%, and Other (Including Supranational) at $15.4 billion, or 0.6%."
