Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds inched lower over the past 30 days to $1.016 trillion, following a small decline the prior month too. These U.S.-style funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $9.4 billion over the last 30 days (through 9/15); they're down $43.4 billion (-4.1%) year-to-date. Offshore US Dollar money funds are up $2.2 billion over the last 30 days but are down $17.6 billion YTD to $518.1 billion. Euro funds are down E5.0 billion over the past month, and YTD they're down E19.4 billion to E138.0 billion. GBP money funds have fallen by L863 million over 30 days, and are down by L14.3 billion YTD to L242.3B. U.S. Dollar (USD) money funds (192) account for half (51.0%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 16.0% and Pound Sterling (GBP) funds (116) total 33.0%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Wednesday), below. (Note: We're still taking registrations for next week's Money Fund Symposium for those bold enough to gather in person! We look forward to seeing some of you in Philadelphia, Sept 21-23!)
Offshore USD MMFs yield 0.02% (7-Day) on average (as of 9/15/21), down from 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs yield -0.66% on average, compared to -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs yielded 0.01%, up from 0.00% on 12/31/20, down from 0.64% on 12/31/19 and 0.64% on 12/31/18. (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 August MFII Portfolio Holdings, with data as of 8/31/21, show that European-domiciled US Dollar MMFs, on average, consist of 26% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 18% in Repo, 23% in Treasury securities, 17% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 37.9% of their portfolios maturing Overnight, 9.2% maturing in 2-7 Days, 11.1% maturing in 8-30 Days, 12.6% maturing in 31-60 Days, 10.3% maturing in 61-90 Days, 12.8% maturing in 91-180 Days and 6.2% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (35.0%), France (16.6%), Canada (9.3%), Japan (8.1%), Sweden (5.3%), the U.K. (4.6%), the Netherlands (3.3%), Germany (3.1%), Australia (3.0%) and Belgium (2.2%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $163.8 billion (23.5% of total assets), BNP Paribas with $20.7B (4.2%), Credit Agricole with $18.8B (3.9%), Mizuho Corporate Bank with $13.4B (2.7%), RBC with $12.2B (1.9%), Skandinaviska Enskilda Banken AB with $12.1B (1.8%), KBC Group with $12.0B (1.8%), Societe Generale with $11.8B (2.3%), Fixed Income Clearing Corp with $10.7B (1.5%) and Nordea Bank with $10.6B (1.2%).
Euro MMFs tracked by Crane Data contain, on average 39% in CP, 18% in CDs, 29% in Other (primarily Time Deposits), 7% in Repo, 6% in Treasuries and 1% in Agency securities. EUR funds have on average 31.3% of their portfolios maturing Overnight, 6.9% maturing in 2-7 Days, 15.0% maturing in 8-30 Days, 15.6% maturing in 31-60 Days, 12.2% maturing in 61-90 Days, 15.7% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (35.2%), the U.S. (10.6%), Japan (9.6%), Germany (8.2%), Sweden (6.8%), Switzerland (5.1%), Canada (4.9%), Belgium (4.1%), the U.K. (4.0%) and the Netherlands (2.0%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E11.6B (7.1%), BNP Paribas with E7.2B (4.5%), Societe Generale with E5.9B (3.4%), Republic of France with E5.1B (7.9%), Zürcher Kantonalbank with E4.5B (2.5%), JP Morgan with E4.2B (2.3%), Nordea Bank with E4.1B (2.8%), Citi with E4.0B (2.3%), Mizuho Corporate Bank with E4.0B (3.4%) and Natixis with E3.9B (2.6%).
The GBP funds tracked by MFI International contain, on average (as of 8/31/21): 29% in CDs, 22% in CP, 25% in Other (Time Deposits), 17% in Repo, 7% in Treasury and 0% in Agency. Sterling funds have on average 38.2% of their portfolios maturing Overnight, 7.8% maturing in 2-7 Days, 8.8% maturing in 8-30 Days, 13.8% maturing in 31-60 Days, 9.7% maturing in 61-90 Days, 17.1% maturing in 91-180 Days and 4.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (19.9%), the U.K. (18.5%), Japan (15.0%), Canada (10.5%), the U.S. (5.1%), Australia (4.5%), the Netherlands (4.3%), Sweden (4.3%), Germany (3.3%) and Belgium (3.2%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L20.2B (9.6%), Mizuho Corporate Bank Ltd with L10.5B (4.9%), Mitsubishi UFJ Financial Group Inc with L7.9B (3.1%), Sumitomo Mitsui Banking Corp with L7.3B (3.0%), BNP Paribas with L7.1B (3.8%), Toronto Dominion with L6.9B (3.0%), RBC with L6.7B (3.0%), BPCE SA with L6.3B (3.8%), Credit Agricole with L5.9B (3.0%) and Barclays with 5.6B (4.0%).
In related news, ICI also released its latest 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 Sept. 13 News, "Sept. MF Portfolio Holdings: Repos Tie T-Bills as Largest MF Segment")
Their MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in August, prime money market funds held 31.7 percent of their portfolios in daily liquid assets and 48.6 percent in weekly liquid assets, while government money market funds held 81.3 percent of their portfolios in daily liquid assets and 89.8 percent in weekly liquid assets." Prime DLA was up from 33.7% in July, and Prime WLA increased from 49.4%. Govt MMFs' DLA increased from 81.9% in July and Govt WLA increased from 90.2% from the previous month.
ICI explains, "At the end of August, prime funds had a weighted average maturity (WAM) of 43 days and a weighted average life (WAL) of 61 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 36 days and a WAL of 83 days." Prime WAMs were two days lower than July, while WALs were unchanged from the previous month. Govt WAMs and WALs were one day and two days lower from July, respectively.
Regarding Holdings By Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas declined from $187.85 billion in July to $185.34 billion in August. Government money market funds' holdings attributable to the Americas rose from $3,509.32 billion in July to $3,567.89 billion in August."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $185.3 billion, or 39.2%; Asia and Pacific at $86.4 billion, or 18.3%; Europe at $195.0 billion, or 41.2%; and, Other (including Supranational) at $6.1 billion, or 1.3%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.568 trillion, or 89.4%; Asia and Pacific at $132.9 billion, or 3.3%; Europe at $275.7 billion, 6.9%, and Other (Including Supranational) at $13.2 billion, or 0.3%."
