Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds moved lower again over the past month. They broke above the $1.0 trillion for the first time ever three months ago, hitting a record $1.056 trillion in August. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, decreased by $11.5 billion over the last 30 days (when translated into dollars); they're up by $160.7 billion (18.3%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January, are down $11.9 billion over the last 30 days but up $52.2 billion YTD to $546.6 billion. Euro funds are up E8.1 billion over the past month, and YTD they're up E42.2 billion to E140.9 billion. GBP money funds have fallen by L6.9 billion over 30 days, but are up by L21.4 billion YTD to L246.3B. U.S. Dollar (USD) money funds (192) account for over half (52.7%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 15.1% and Pound Sterling (GBP) funds (122) total 28.8%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Thursday), below. (See also Bloomberg's "Fed Signs Prime Money Market Funds Might Need Stiffer Rules", which quotes the Federal Reserve's Randy Quarles who briefly mentioned MMFs in a speech yesterday.)
Offshore USD MMFs yield 0.06% (7-Day) on average (as of 10/14/20), down from 1.59% on 12/31/19 and 2.29% at the end of 2018. EUR MMFs yield -0.61% on average, compared to -0.59% at year-end 2019 and -0.49% on 12/31/18. Meanwhile, GBP MMFs yielded 0.02%, down from 0.64% as of 12/31/19 and 0.64% at the end of 2018. (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 October MFII Portfolio Holdings, with data as of 9/30/20, show that European-domiciled US Dollar MMFs, on average, consist of 24.0% in Commercial Paper (CP), 15.5% in Certificates of Deposit (CDs), 18.2% in Repo, 31.5% in Treasury securities, 9.4% in Other securities (primarily Time Deposits) and 1.5% in Government Agency securities. USD funds have on average 31.7% of their portfolios maturing Overnight, 8.8% maturing in 2-7 Days, 15.5% maturing in 8-30 Days, 13.8% maturing in 31-60 Days, 9.2% maturing in 61-90 Days, 17.4% maturing in 91-180 Days and 3.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (42.2%), France (12.4%), Japan (7.9%), Canada (6.8%), Germany (5.5%), the U.K. (4.8%), the Netherlands (4.7%), Sweden (4.0%), Switzerland (2.1%), Australia (1.7%), Norway (1.6%), Belgium (1.5%), Abu Dhabi (1.2%) and Singapore (1.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $180.9 billion (31.5% of total assets), Fixed Income Clearing Corp with $22.7B (4.0%), BNP Paribas with $20.2B (3.5%), Barclays PLC with $14.9B (2.6%), Mitsubishi UFJ Financial Group Inc with $14.7B (2.6%), Societe Generale with $11.1B (1.9%), JP Morgan with $10.6B (1.9%), Credit Agricole with $10.6B (1.8%), Sumitomo Mitsui Banking Corp with $10.5B (1.8%) and RBC with $10.2B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 43.6% in CP, 16.2% in CDs, 20.6% in Other (primarily Time Deposits), 14.6% in Repo, 3.9% in Treasuries and 1.1% in Agency securities. EUR funds have on average 30.0% of their portfolios maturing Overnight, 11.2% maturing in 2-7 Days, 14.8% maturing in 8-30 Days, 11.5% maturing in 31-60 Days, 10.8% maturing in 61-90 Days, 18.0% maturing in 91-180 Days and 3.7% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (34.3%), Japan (10.5%), the U.S. (9.8%), Germany (9.8%), Sweden (5.6%), Belgium (4.1%), Canada (3.8%), the Netherlands (3.8%), the U.K. (3.6%), Switzerland (3.6%), Austria (2.4%), China (1.5%) and Qatar (1.3%).
The 10 Largest Issuers to "offshore" EUR money funds include: Republic of France with E7.8B (6.1%), BNP Paribas with E7.5B (5.8%), BPCE SA with E6.8B (5.3%), Credit Agricole with E4.9B (3.8%), DZ Bank AG with E4.7B (3.7%), Agence Central de Organismes de Securite Sociale with E4.7B (3.7%), Citi with E4.7B (3.6%), Societe Generale with E4.0B (3.1%), Zurich Cantonal Bank with E3.8B (3.0%) and Sumitomo Mitsui Banking Corp with E3.8B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 9/30/20): 32.4% in CDs, 21.1% in CP, 21.8% in Other (Time Deposits), 20.5% in Repo, 3.6% in Treasury and 0.5% in Agency. Sterling funds have on average 34.9% of their portfolios maturing Overnight, 12.6% maturing in 2-7 Days, 9.3% maturing in 8-30 Days, 12.6% maturing in 31-60 Days, 7.6% maturing in 61-90 Days, 17.8% maturing in 91-180 Days and 5.3% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (21.7%), the U.K. (20.9%), Japan (13.6%), Canada (9.1%), the U.S. (5.5%), the Netherlands (5.0%), Sweden (4.7%), Germany (4.7%), Abu Dhabi (2.5%), Australia (2.2%) and Spain (2.1%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L22.1B (10.8%), BNP Paribas with L12.1B (6.0%), Agence Central de Organismes de Securite Sociale with L9.3B (4.6%), BPCE SA with L8.1B (4.0%), Barclays PLC with L8.0B (3.9%), RBC with L7.8B (3.9%), Mitsubishi UFJ Financial Group Inc with L7.7B (3.8%), Sumitomo Mitsui Banking Corp with L7.5B (3.7%), Credit Agricole with L7.0B (3.4%) and Nordea Bank with L6.7B (3.3%).
In related news, ICI also released its latest 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 more, see our October 13 News, "October MF Portfolio Holdings: CP, CDs, TDs Fall; Treasury, Repo Flat.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in September, prime money market funds held 37.9 percent of their portfolios in daily liquid assets and 49.9 percent in weekly liquid assets, while government money market funds held 74.1 percent of their portfolios in daily liquid assets and 84.1 percent in weekly liquid assets." Prime DLA decreased from 40.8% in August, and Prime WLA decreased from 53.0%. Govt MMFs' DLA decreased from 74.3% in July and Govt WLA increased from 84.0% the previous month.
ICI explains, "At the end of September, prime funds had a weighted average maturity (WAM) of 46 days and a weighted average life (WAL) of 60 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 45 days and a WAL of 101 days." Prime WAMs were unchanged from the previous month and WALs were down six days from the previous month. Govt WAMs were up three days in September, WALs were also up two days in the previous month.
Discussing "Holdings By Region of Issuer," the release tells us, "Prime money market funds' holdings attributable to the Americas declined from $418.42 billion in August to $290.65 billion in September. Government money market funds' holdings attributable to the Americas rose from $3,239.43 billion in August to $3,320.00 billion in September." The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $290.6 billion, or 48.0%; Asia and Pacific at $95.6 billion, or 15.8%; Europe at $212.6 billion, or 35.1%; and, Other (including Supranational) at $6.8 billion, or 1.1%. The Government Money Market Funds by Region of Issuer table shows Americas at $3,320.0 trillion, or 88.3%; Asia and Pacific at $112.8 billion, or 3.0%; Europe at $310.5 billion, 8.3%, and Other (Including Supranational) at $17.7 billion, or 0.5%."
