Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds decreased over the past month to $1.066 trillion, after hitting a record high of $1.101 trillion the prior month. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $33.5 billion over the 30 days through 1/13. They're up $2.8 billion (0.3%) year-to-date. Offshore US Dollar money funds are down $8.9 billion over the last 30 days and are down $2.5 billion YTD to $532.0 billion. Euro funds dropped E10.0 billion over the past month. YTD they're down E2.7 billion to E155.6 billion. GBP money funds decreased L9.2 billion over 30 days; they are up by L6.2 billion YTD to L253.3B. U.S. Dollar (USD) money funds (190) account for half (46.7%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 23.1% and Pound Sterling (GBP) funds (123) total 30.2%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Friday), below. (Note: Please join us for our Money Fund University Online ($250), which takes place online from 1-4pm EST on January 20 and 21. MFU is a "basic training" course in the money markets that includes access to handouts and a number of pre-recorded sessions. Crane Data Subscribers and MFU Attendees may access conference materials and recordings via our "Money Fund University 2022 Download Center.")
Offshore USD MMFs yield 0.03% (7-Day) on average (as of 1/13/22), the same level as 12/31/21, but down from 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs yield -0.71% on average, up from -0.80% on 12/31/21. They averaged -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs yielded 0.05%, up from 0.01% on 12/31/21 and 0.00% on 12/31/20, but 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 January MFII Portfolio Holdings, with data as of 12/31/21, show that European-domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 21% in Repo, 30% in Treasury securities, 10% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 35.5% of their portfolios maturing Overnight, 7.7% maturing in 2-7 Days, 12.4% maturing in 8-30 Days, 15.1% maturing in 31-60 Days, 11.6% maturing in 61-90 Days, 13.6% maturing in 91-180 Days and 4.2% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (44.0%), Canada (11.9%), France (10.7%), Japan (8.9%), Australia (3.3%), the U.K. (3.2%), Germany (3.2%), Sweden (3.2%), the Netherlands (2.0%) and Switzerland (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $170.5 billion (29.7% of total assets), Fixed Income Cleaning Corp with $29.2B (5.1%), BNP Paribas with $21.1B (3.7%), Federal Reserve Bank of New York with $17.2B (3.0%), Bank of Montreal with $14.1B (2.5%), RBC with $14.0B (2.4%), Canadian Imperial Bank of Commerce with $11.6B (2.0%), Mizuho Corporate Bank Ltd with $11.3B (2.0%), Bank of America with $10.6B (1.9%) and Bank of Nova Scotia with $10.5B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 39% in CP, 23% in CDs, 19% in Other (primarily Time Deposits), 9% in Repo, 9% in Treasuries and 1% in Agency securities. EUR funds have on average 12.8% of their portfolios maturing Overnight, 25.2% maturing in 2-7 Days, 17.4% maturing in 8-30 Days, 17.2% maturing in 31-60 Days, 8.3% maturing in 61-90 Days, 16.0% maturing in 91-180 Days and 3.0% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.1%), Japan (12.5%), the U.S. (8.9%), the U.K. (7.5%), Germany (7.2%), Sweden (5.9%), Canada (4.7%), Switzerland (4.5%), Supranational (3.0%), and Belgium (2.3%).
The 10 Largest Issuers to "offshore" EUR money funds include: Republic of France with E9.7B (6.5%), Credit Agricole with E6.0B (4.1%), Societe Generale with E5.9B (4.0%), BNP Paribas with E5.7B (3.8%), Sumitomo Mitsui Banking Corp with E5.6B (3.8%), Barclays PLC with E4.8B (3.2%), Zürcher Kantonalbank with E4.7B (3.2%), Svenska Handelsbanken with E4.5B (3.0%), Credit Mutuel with E4.2B (2.8%) and Natixis with E4.0 (2.7%).
The GBP funds tracked by MFI International contain, on average (as of 12/31/21): 41% in CDs, 23% in CP, 16% in Other (Time Deposits), 14% in Repo, 6% in Treasury and 0% in Agency. Sterling funds have on average 3.4% of their portfolios maturing Overnight, 32.2% maturing in 2-7 Days, 9.4% maturing in 8-30 Days, 21.9% maturing in 31-60 Days, 13.1% maturing in 61-90 Days, 14.6% maturing in 91-180 Days and 5.5% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Japan (16.3%), the U.K. (16.0%), France (15.5%), Canada (12.4%), Australia (7.0%), the U.S. (5.7%), Sweden (4.6%), the Netherlands (4.2%), Germany (3.8%) and Abu Dhabi (2.9%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L18.3B (8.6%), Mitsubishi UFJ Financial Group Inc with L9.4B (4.5%), Sumitomo Mitsui Banking Corp with L8.3B (3.9%), RBC with L8.3B (3.9%), Sumitomo Mitsui Trust Bank with L7.6B (3.6%), Toronto-Dominion Bank with L7.4B (3.5%), National Australia Bank Ltd with L6.8B (3.2%), Mizuho Corporate Bank Ltd with L6.2B (2.9%), Standard Chartered Bank with L6.1B (2.9%) and BPCE SA with L6.1B (2.9%).
In related news, Reuters writes that "China tightens screws on big money market funds." Their article says, "China's securities regulator published draft rules on Friday to strengthen supervision over major money market funds, a step that could further rein in Ant Group's Yu'e Bao. The draft rules will tighten scrutiny over money market funds with a large size or a great number of investors, to protect investors' interest. 'Major' funds are defined by the rules as those with more than 200 billion yuan ($31.49 billion) in net assets, or with over 50 million investors."
It explains, "Yu'e Bao, controlled by Ant Group, the payment affiliate of Alibaba Group Holding Ltd (9988.HK), is China's biggest money market fund with 764.6 billion in net assets by the end of September. The new rules 'will further strengthen fund managers' risk-management ability, improve product resilience, and ensure safety and liquidity' of investments, the China Securities Regulatory Commission (CSRC) said in a statement. It did not name any companies."
Reuters adds, "In April last year, China's central bank urged Ant to reduce the size of Yu'e Bao. Yu'e Bao, previously the world's biggest money market fund, has already seen its asset under management (AUM) more than halve from its peak of 1.7 trillion yuan in early 2018. According to Friday's rules, major money market funds 'must not expand blindly', and their managers' pay must not be linked to the fund size. In addition, fund managers must set aside 40% of the management fees as risk reserves, and should put in place more stringent risk control measures, and increase the frequency of stress tests."
