Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds decreased over the past month to $990.7 billion, after hitting a record high of $1.101 trillion two months prior. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $80.7 billion over the 30 days through 2/11. They're down $72.3 billion (-6.6%) year-to-date. Offshore US Dollar money funds are down $26.1 billion over the last 30 days and are down $21.9 billion YTD to $512.6 billion. Euro funds dropped E12.2 billion over the past month. YTD they're down E15.5 billion to E142.8 billion. GBP money funds decreased L18.5 billion over 30 days; they are down by L12.6 billion YTD to L234.5B. U.S. Dollar (USD) money funds (190) account for half (51.7%) of the "European" money fund total, while Euro (EUR) money funds (93) make up 16.3% and Pound Sterling (GBP) funds (123) total 31.9%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Monday), below.
Offshore USD MMFs yield 0.04% (7-Day) on average (as of 2/11/22), up from 0.03% a month earlier, 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 -0.68% 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 0.18%, 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 1/31/22, show that European-domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 17% in Repo, 28% in Treasury securities, 16% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 41.7% of their portfolios maturing Overnight, 6.7% maturing in 2-7 Days, 14.2% maturing in 8-30 Days, 15.3% maturing in 31-60 Days, 8.0% maturing in 61-90 Days, 10.5% maturing in 91-180 Days and 3.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.3%), France (14.3%), Japan (8.9%), Canada (8.3%), Sweden (6.7%), the Netherlands (3.2%), the U.K. (3.2%), Australia (3.1%), Germany (3.1%) and Switzerland (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $155.0 billion (28.1% of total assets), BNP Paribas with $20.7B (3.7%), Credit Agricole with $17.9B (3.3%), Nordea Bank with $13.1B (2.4%), Societe Generale with $12.7B (2.3%), Sumitomo Mitsui Banking Corp with $11.8B (2.1%), Federal Reserve Bank of New York with $10.9B (2.0%), Skandinaviska Enskilda Banken AB with $10.6B (1.9%), RBC with $10.1B (1.8%) and Barclays PLC with $9.8B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 41% in CP, 22% in CDs, 24% in Other (primarily Time Deposits), 10% in Repo, 3% in Treasuries and 0% in Agency securities. EUR funds have on average 31.2% of their portfolios maturing Overnight, 9.4% maturing in 2-7 Days, 15.5% maturing in 8-30 Days, 10.5% maturing in 31-60 Days, 12.6% maturing in 61-90 Days, 16.5% maturing in 91-180 Days and 4.2% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (33.3%), Japan (12.3%), the U.S. (8.7%), the U.K. (7.2%), Sweden (7.0%), Switzerland (5.0%), Germany (4.7%), Austria (3.5%), Canada (3.1%), and Supranational (2.7%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E10.0B (7.2%), BPCE SA with E7.2B (5.1%), BNP Paribas with E5.8B (4.2%), Barclays PLC with E5.6B (4.0%), Societe Generale with E5.6B (4.0%), Zürcher Kantonalbank with E5.0B (3.6%), Sumitomo Mitsui Banking Corp with E4.9B (3.5%), Svenska Handelsbanken with E4.8B (3.5%), Republic of France with E4.6B (3.3%), and Mizuho Corporate Bank Ltd with E4.3 (3.1%).
The GBP funds tracked by MFI International contain, on average (as of 1/31/22): 39% in CDs, 23% in CP, 20% in Other (Time Deposits), 15% in Repo, 3% in Treasury and 0% in Agency. Sterling funds have on average 30.8% of their portfolios maturing Overnight, 13.0% maturing in 2-7 Days, 15.5% maturing in 8-30 Days, 14.4% maturing in 31-60 Days, 10.2% maturing in 61-90 Days, 9.7% maturing in 91-180 Days and 6.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (16.4%), the U.K. (15.2%), Japan (15.0%), Canada (13.5%), Australia (6.5%), the Netherlands (5.4%), Sweden (5.2%), the U.S. (4.4%), Germany (4.2%) and Spain (2.7%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L14.1B (6.8%), Mizuho Corporate Bank Ltd with L8.2B (4.0%), BPCE SA with L7.5B (3.6%), Mitsubishi UFJ Financial Group Inc with L7.2B (3.5%), Toronto-Dominion Bank with L7.2B (3.5%), Sumitomo Mitsui Banking Corp with L7.1B (3.4%), Bank of Nova Scotia with L6.7B (3.2%), National Australia Bank Ltd with L6.6B (3.2%), RBC with L6.5B (3.2%), and Standard Chartered Bank with L5.8B (2.8%).
