Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds increased slightly over the past month to $982.9 billion. European MMF assets have declined during the first quarter of 2022, 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, increased by $8.0 billion over the 30 days through 4/13. They're down $80.1 billion (-7.5%) year-to-date. Offshore US Dollar money funds are up $4.4 billion over the last 30 days and are down $25.3 billion YTD to $509.2 billion. Euro funds dropped E2.4 billion over the past month. YTD they're down E23.5 billion to E134.9 billion. GBP money funds increased L4.7 billion over 30 days; they are down by L9.2 billion YTD to L237.9B. U.S. Dollar (USD) money funds (190) account for over half (51.8%) of the "European" money fund total, while Euro (EUR) money funds (93) make up 15.5% and Pound Sterling (GBP) funds (123) total 32.7%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Thursday), below. (Note: Watch for coverage this week of the dozens of letters posted to the SEC's "Comments on Money Market Fund Reform" page following last week's deadline for feedback.)
Offshore USD MMFs yield 0.24% (7-Day) on average (as of 4/13/22), up from 0.05% 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 -0.65% 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 0.53%, 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 3/31/22, show that European-domiciled US Dollar MMFs, on average, consist of 24% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 20% in Repo, 27% in Treasury securities, 13% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 43.9% of their portfolios maturing Overnight, 8.9% maturing in 2-7 Days, 8.7% maturing in 8-30 Days, 13.7% maturing in 31-60 Days, 9.0% maturing in 61-90 Days, 12.2% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (39.7%), France (13.7%), Canada (9.6%), Japan (9.2%), the Netherlands (4.4%), Sweden (4.3%), Australia (3.9%), Germany (3.4%), the U.K. (3.1%) and Switzerland (1.9%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $142.0 billion (27.2% of total assets), BNP Paribas with $23.5B (4.5%), Fixed Income Clearing Corp with $17.4B (3.3%), Federal Reserve Bank of New York with $16.4B (3.1%), Sumitomo Mitsui Banking Corp with $13.0B (2.5%), Societe Generale with $12.7B (2.4%), RBC with $11.7B (2.2%), Skandinaviska Enskilda Banken AB with $11.1B (2.1%), Toronto-Dominion Bank with $9.6B (1.8%) and Barclays PLC with $9.5B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 40% in CP, 23% in CDs, 24% in Other (primarily Time Deposits), 10% in Repo, 2% in Treasuries and 1% in Agency securities. EUR funds have on average 29.7% of their portfolios maturing Overnight, 12.0% maturing in 2-7 Days, 16.5% maturing in 8-30 Days, 15.2% maturing in 31-60 Days, 8.7% maturing in 61-90 Days, 15.7% maturing in 91-180 Days and 2.2% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.9%), Japan (11.5%), the U.S. (8.8%), Sweden (7.2%), Germany (6.9%), the U.K. (6.7%), Switzerland (5.4%), Canada (4.2%), Netherlands (4.2%) and Austria (3.2%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.5B (5.8%), Societe Generale with E6.0B (4.6%), BNP Paribas with E6.0B (4.6%), DZ Bank AG with E5.2B (4.0%), Barclays PLC with E4.6B (3.5%), Natixis with E4.2 (3.2%), Nordea Bank with E4.1B (3.2%), Svenska Handelsbanken with E4.1B (3.1%), Zürcher Kantonalbank with E3.9B (3.0%) and Sumitomo Mitsui Banking Corp with E3.8B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 3/31/22): 37% in CDs, 21% in CP, 21% in Other (Time Deposits), 20% in Repo, 1% in Treasury and 0% in Agency. Sterling funds have on average 37.7% of their portfolios maturing Overnight, 11.1% maturing in 2-7 Days, 11.9% maturing in 8-30 Days, 13.8% maturing in 31-60 Days, 8.6% maturing in 61-90 Days, 10.8% maturing in 91-180 Days and 6.1% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (17.6%), the U.K. (15.7%), Canada (14.8%), Japan (13.9%), Australia (7.0%), the U.S. (5.0%), Sweden (4.8%), the Netherlands (4.7%), Germany (4.1%) and Spain (2.9%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L13.3B (6.5%), BNP Paribas with L9.1B (4.4%), Mitsubishi UFJ Financial Group Inc with L8.9B (4.4%), Toronto-Dominion Bank with L8.5B (4.2%), Bank of Nova Scotia with L7.2B (3.5%), RBC with L6.9B (3.4%), National Australia Bank Ltd with L6.7B (3.3%), Mizuho Corporate Bank Ltd with L6.2B (3.0%), Barclays PLC with L6.1B (3.0%), and Banco Santander with L5.8B (2.8%).
