Crane Data's MFI International shows assets in European or "offshore" money market mutual assets rising sharply over the past month, breaking $1.0 trillion for the first time ever. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, increased by $50.9 billion over the last 30 days to $1.007 trillion; they're up by $130.7 billion year-to-date. Offshore USD money funds, which broke over $500 billion in January, are up $26.0 billion over the last 30 days and are up $37.1 billion YTD. Euro funds are up E4.3 billion over the previous 30 days, and YTD they're up E25.5 billion. GBP funds have risen by L13.9 billion over 30 days, and are up by L33.3 billion YTD. U.S. Dollar (USD) money funds (192, up two from the previous month) account for over half ($531.5 billion, or 52.8%) of the "European" money fund total, while Euro (EUR) money funds (92, unchanged from the previous month) total E124.1 billion (12.3%) and Pound Sterling (GBP) funds (123, unchanged from the previous month) total L258.2 billion (25.6%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Thursday), below.
Offshore USD MMFs yield 0.36% (7-Day) on average (as of 5/13/20), down from 2.29% on 12/31/18 and 1.19% at the end of 2017. EUR MMFs yield -0.52% on average, compared to -0.49% at year-end 2018 and -0.55% on 12/29/17. Meanwhile, GBP MMFs yielded 0.22%, down from 0.64% as of 12/31/18 and down 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 4/30/20), show that European-domiciled US Dollar MMFs, on average, consist of 22.1% in Commercial Paper (CP), 15.4% in Certificates of Deposit (CDs), 13.6% in Repo, 32.0% in Treasury securities, 14.4% in Other securities (primarily Time Deposits) and 2.4% in Government Agency securities. USD funds have on average 33.9% of their portfolios maturing Overnight, 8.3% maturing in 2-7 Days, 15.6% maturing in 8-30 Days, 9.1% maturing in 31-60 Days, 12.3% maturing in 61-90 Days, 16.2% maturing in 91-180 Days and 4.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (41.2%), France (12.1%), Japan (7.5%), Canada (6.9%), the United Kingdom (6.1%), the Netherlands (4.1%), Germany (3.7%), Sweden (3.6%), Norway (2.8%), Switzerland (2.3%), Australia (2.0%), Belgium (1.9%), China (1.4%) and Singapore (1.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $188.0 billion (31.5% of total assets), Barclays PLC with $16.0B (2.7%), BNP Paribas with $14.9B (2.5%), Credit Agricole with $13.0B (2.2%), Mitsubishi UFJ Financial Group Inc with $12.9B (2.2%), Mizuho Corporate Bank Ltd with $11.7B (2.0%), Natixis with $11.2B (1.9%), DNB ASA with $10.4B (1.7%), Bank of Nova Scotia with $10.3B (1.7%) and Toronto-Dominion Bank with $9.2B (1.5%).
Euro MMFs tracked by Crane Data contain, on average 42.0% in CP, 16.3% in CDs, 25.6% in Other (primarily Time Deposits), 13.8% in Repo, 1.8% in Treasuries and 0.5% in Agency securities. EUR funds have on average 0.6% of their portfolios maturing Overnight, 46.1% maturing in 2-7 Days, 14.7% maturing in 8-30 Days, 9.1% maturing in 31-60 Days, 15.9% maturing in 61-90 Days, 11.9% maturing in 91-180 Days and 1.6% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.3%), the U.S. (13.4%), Japan (11.2%), Germany (8.8%), Sweden (6.6%), the Netherlands (5.8%), the U.K. (4.9%), Switzerland (4.1%), Belgium (4.0%), China (2.7%), Canada (2.6%), Qatar (1.8%) and Finland (1.6%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.5B (6.1%), BNP Paribas with E5.4B (4.3%), Societe Generale with E5.3B (4.3%), JP Morgan with E4.9B (4.0%), Mizuho Corporate Bank with E4.4B (3.6%), BPCE SA with E4.2B (3.4%), Mitsubishi UFJ Financial Group Inc with E3.7B (3.0%), ING Bank with E3.6B (2.9%), Republic of France with E3.3B (2.7%) and Bank of America with E3.3B (2.7%).
The GBP funds tracked by MFI International contain, on average (as of 4/30/20): 30.6% in CDs, 21.2% in CP, 26.2% in Other (Time Deposits), 17.4% in Repo, 4.2% in Treasury and 0.3% in Agency. Sterling funds have on average 34.5% of their portfolios maturing Overnight, 11.9% maturing in 2-7 Days, 10.0% maturing in 8-30 Days, 11.5% maturing in 31-60 Days, 14.3% maturing in 61-90 Days, 14.3% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the U.K. (20.6%), France (17.5%), Japan (12.5%), Canada (9.8%), Germany (6.2%), the Netherlands (5.8%), the U.S. (5.3%), Sweden (3.7%), Australia (3.4%), Singapore (3.3%) and Switzerland (2.7%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L29.4B (13.0%), BNP Paribas with L11.1B (4.9%), Mizuho Corporate Bank Ltd with L10.3B (4.5%), BPCE SA with L7.7B (3.4%), RBC with L6.4B (2.8%), Credit Agricole with L5.7B (2.5%), Mitsubishi UFJ Financial Group Inc with L5.6B (2.5%), Nordea Bank with L5.5B (2.4%), Sumitomo Mitsui Banking Corp with L5.5B (2.4%) and Toronto-Dominion Bank with L5.3B (2.4%).
In related news, ICI also 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. (See our May 12 News, "May MF Portfolio Holdings: Treasuries Skyrocket, Repo Plunges in April.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in April, prime money market funds held 36.2 percent of their portfolios in daily liquid assets and 47.0 percent in weekly liquid assets, while government money market funds held 67.8 percent of their portfolios in daily liquid assets and 79.6 percent in weekly liquid assets." Prime DLA increased from 33.8% in March, and Prime WLA increased from 44.8%. Govt MMFs' DLA increased from 63.3% in March and Govt WLA increased from 77.0% from the previous month.
ICI explains, "At the end of April, prime funds had a weighted average maturity (WAM) of 44 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 39 days and a WAL of 99 days." Prime WAMs were up 10 days from the previous month and WALs decreased by one day from the previous month. Govt WAMs increased by two days, WALs were also up two days from the previous month.
Regarding Holdings By Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas rose from $291.37 billion in March to $345.05 billion in April. Government money market funds' holdings attributable to the Americas rose from $3,099.95 billion in March to $3,426.24 billion in April."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $345.1 billion, or 48.7%; Asia and Pacific at $115.7 billion, or 16.3%; Europe at $238.8 billion, or 33.7%; and, Other (including Supranational) at $8.8 billion, or 1.2%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.426 trillion, or 86.0%; Asia and Pacific at $151.0 billion, or 3.8%; Europe at $387.0 billion, or 9.7%, and Other (Including Supranational) at $18.3 billion, or 0.5%."
