Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds decreased over the past month to $981.4 billion, after hitting a record high of $1.101 trillion in mid-December. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $9.3 billion over the 30 days through 3/11. They're down $81.6 billion (-7.7%) year-to-date. Offshore US Dollar money funds are down $4.7 billion over the last 30 days and are down $26.6 billion YTD to $507.8 billion. Euro funds dropped E4.6 billion over the past month. YTD they're down E20.1 billion to E138.3 billion. GBP money funds increased L408 million over 30 days; they are down by L12.1 billion YTD to L234.9B. U.S. Dollar (USD) money funds (190) account for over half (51.7%) of the "European" money fund total, while Euro (EUR) money funds (93) make up 16.0% and Pound Sterling (GBP) funds (123) total 32.3%. 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 0.05% (7-Day) on average (as of 3/11/22), up from 0.04% a month earlier. Yields averaged 0.03% on 12/31/21, 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs yield -0.67% 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 0.27%, up from 0.01% on 12/31/21 and 0.00% on 12/31/20. But they're 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 March MFII Portfolio Holdings, with data as of 2/28/22, show that European-domiciled US Dollar MMFs, on average, consist of 22% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 16% in Repo, 29% in Treasury securities, 17% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 43.9% of their portfolios maturing Overnight, 6.4% maturing in 2-7 Days, 19.1% maturing in 8-30 Days, 10.5% maturing in 31-60 Days, 7.5% maturing in 61-90 Days, 9.2% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.3%), France (13.2%), Japan (8.9%), Canada (8.9%), Sweden (6.9%), the Netherlands (3.5%), the U.K. (3.5%), Australia (3.4%), Germany (2.5%) and Switzerland (1.8%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $156.0 billion (28.9% of total assets), BNP Paribas with $19.3B (3.6%), Credit Agricole with $15.0B (2.8%), RBC with $13.1B (2.4%), Nordea Bank with $12.7B (2.4%), Sumitomo Mitsui Banking Corp with $12.5B (2.3%), Skandinaviska Enskilda Banken AB with $11.6B (2.2%), Societe Generale with $10.9B (2.0%), Barclays PLC with $10.8B (2.0%) and Mizuho Corporate Bank Ltd with $10.5B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 41% in CP, 22% in CDs, 25% in Other (primarily Time Deposits), 9% in Repo, 3% in Treasuries and 0% in Agency securities. EUR funds have on average 34.0% of their portfolios maturing Overnight, 7.9% maturing in 2-7 Days, 11.0% maturing in 8-30 Days, 16.2% maturing in 31-60 Days, 13.4% maturing in 61-90 Days, 14.5% maturing in 91-180 Days and 2.8% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (33.7%), Japan (12.4%), the U.S. (9.5%), the U.K. (7.7%), Sweden (6.1%), Switzerland (5.6%), Germany (5.2%), Austria (3.6%), Netherlands (3.1%), and Canada (2.6%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E8.5B (7.1%), BPCE SA with E5.9B (4.9%), Societe Generale with E5.7B (4.8%), Barclays PLC with E5.3B (4.4%), BNP Paribas with E5.2B (4.3%), Mizuho Corporate Bank Ltd with E4.1 (3.5%), Zürcher Kantonalbank with E3.9B (3.3%), Svenska Handelsbanken with E3.8B (3.2%), Sumitomo Mitsui Banking Corp with E3.7B (3.1%) and Republic of France with E3.4B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 2/28/22): 36% in CDs, 21% in CP, 25% in Other (Time Deposits), 16% in Repo, 2% in Treasury and 0% in Agency. Sterling funds have on average 38.9% of their portfolios maturing Overnight, 8.9% maturing in 2-7 Days, 13.2% maturing in 8-30 Days, 14.3% maturing in 31-60 Days, 8.0% maturing in 61-90 Days, 9.8% maturing in 91-180 Days and 6.9% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (17.6%), Japan (15.5%), Canada (15.4%), the U.K. (11.3%), Australia (7.5%), the U.S. (5.3%), the Netherlands (5.2%), Sweden (4.4%), Germany (3.3%) and Spain (2.8%).
The 10 Largest Issuers to "offshore" GBP money funds include: Mizuho Corporate Bank Ltd with L7.9B (5.0%), Toronto-Dominion Bank with L6.4B (4.0%), RBC with L6.3B (4.0%), Mitsubishi UFJ Financial Group Inc with L6.0B (3.8%), National Australia Bank Ltd with L5.9B (3.7%), Bank of Nova Scotia with L5.7B (3.6%), BNP Paribas with L5.6B (3.5%), Credit Agricole with L4.9B (3.1%), Standard Chartered Bank with L4.9B (3.1%) and Societe Generale with L4.6B (2.9%).
