Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds continued falling over the past month to $959.2 billion. European MMF assets have declined during the first 4 1/2 months 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, decreased by $27.2 billion over the 30 days through 5/12. They're down $103.8 billion (-9.8%) year-to-date. Offshore US Dollar money funds are down $10.7 billion over the last 30 days and are down $33.3 billion YTD to $501.2 billion. Euro funds dropped E6.9 billion over the past month. YTD they're down E29.8 billion to E128.5 billion. GBP money funds decreased L6.4 billion over 30 days; they are down by L15.5 billion YTD to L231.6B. U.S. Dollar (USD) money funds (191) account for over half (52.3%) of the "European" money fund total, while Euro (EUR) money funds (93) make up 15.2% and Pound Sterling (GBP) funds (127) total 32.6%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Friday), below. (Note: For those attending our Money Fund Symposium, June 20-22 in Minneapolis, Minn, make your hotel reservations soon! Our discounted rate expires this week.)
Offshore USD MMFs yield 0.59% (7-Day) on average (as of 5/12/22), up from 0.34% 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 -0.64% 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 0.74%, up 21 bps from a month ago, and up from 0.01% on 12/31/21. Sterling yields were 0.00% on 12/31/20, 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 4/30/22, show that European-domiciled US Dollar MMFs, on average, consist of 22% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 21% in Repo, 24% in Treasury securities, 17% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 50.8% of their portfolios maturing Overnight, 9.5% maturing in 2-7 Days, 6.8% maturing in 8-30 Days, 10.6% maturing in 31-60 Days, 9.1% maturing in 61-90 Days, 10.8% maturing in 91-180 Days and 2.5% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (36.1%), France (15.6%), Japan (9.2%), Canada (9.1%), Sweden (7.3%), the Netherlands (3.9%), Australia (3.5%), Germany (3.2%), the U.K. (3.1%) and Switzerland (1.6%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $125.3 billion (24.1% of total assets), Credit Agricole with $21.1B (4.1%), BNP Paribas with $20.0B (3.8%), Fixed Income Clearing Corp with $18.2B (3.5%), Federal Reserve Bank of New York with $14.6B (2.8%), Sumitomo Mitsui Banking Corp with $14.4B (2.8%), RBC with $13.8B (2.7%), Skandinaviska Enskilda Banken AB with $12.5B (2.4%), Nordea Bank with $11.5B (2.2%) and Societe Generale with $11.0B (2.1%).
Euro MMFs tracked by Crane Data contain, on average 41% in CP, 23% in CDs, 23% in Other (primarily Time Deposits), 11% in Repo, 2% in Treasuries and 0% in Agency securities. EUR funds have on average 25.4% of their portfolios maturing Overnight, 15.5% maturing in 2-7 Days, 16.0% maturing in 8-30 Days, 10.7% maturing in 31-60 Days, 19.2% maturing in 61-90 Days, 11.7% maturing in 91-180 Days and 1.6% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (31.6%), Japan (11.0%), the U.S. (9.9%), the U.K. (6.6%), Sweden (6.0%), Switzerland (5.4%), Germany (5.1%), Canada (4.9%), Netherlands (4.8%) and Austria (4.2%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E8.0B (6.6%), Societe Generale with E6.1B (5.0%), BNP Paribas with E5.0B (4.1%), BPCE NA with E4.9B (4.1%), Barclays PLC with E4.3B (3.6%), ING Bank with E3.9B (3.2%), Natixis with E3.8 (3.1%), Svenska Handelsbanken with E3.7B (3.0%), Zürcher Kantonalbank with E3.6B (3.0%) and DZ Bank AG with E3.5B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 4/30/22): 37% in CDs, 21% in CP, 20% in Other (Time Deposits), 21% in Repo, 1% in Treasury and 0% in Agency. Sterling funds have on average 4.4% of their portfolios maturing Overnight, 43.7% maturing in 2-7 Days, 13.7% maturing in 8-30 Days, 10.3% maturing in 31-60 Days, 13.9% maturing in 61-90 Days, 7.8% maturing in 91-180 Days and 6.2% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.7%), the U.K. (15.6%), Japan (14.9%), Canada (14.5%), Australia (6.7%), the Netherlands (4.6%), Sweden (4.5%), the U.S. (4.4%), Germany (4.1%) and Spain (2.1%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L13.1B (6.6%), Mitsubishi UFJ Financial Group Inc with L8.5B (4.3%), BNP Paribas with L8.4B (4.2%), Toronto-Dominion Bank with L7.9B (4.0%), Bank of Nova Scotia with L7.6B (3.8%), Barclays PLC with L7.5B (3.8%), Mizuho Corporate Bank Ltd with L6.9B (3.5%), RBC with L6.7B (3.4%), National Australia Bank Ltd with L6.4B (3.2%) and Sumitomo Mitsui Banking Corp with L6.0B (3.0%).
In other news, The Wall Street Journal wrote earlier this week that, "A Deposit Rate Shopping Spree Might Be Kicking Off." The article states, "The Federal Reserve's most recent move to raise rates is surely beginning to catch the attention of people who have money deposited in banks earning minuscule interest. The prospect of inflation is likely to make people even more attuned to their cash, too. A recent survey of about 2,000 U.S. consumers, published by Morgan Stanley analysts on Monday, found that concern about inflation was the highest ever in their survey history. Over 40% of respondents said they would consider opening a new savings account for a rate of 1%, and over 60% would consider it for 2%."
It tells us, "The initial reaction of some banks might be to tell consumers to go for it. Deposits across U.S. commercial banks are about 40% higher than they were at this point in 2019, following a pandemic surge in Fed balance sheet growth and consumer and business savings. Many big banks have even struggled with their size, facing tighter capital constraints, and could be eager to let certain deposits leave, such as ones that don't usually lead to other business."
The Journal adds, "But in addition to the temptation of rising rates on vehicles such as money-market funds outside of bank deposits, the pace at which the Fed is shrinking its balance sheet via quantitative tightening also may have the effect of pressuring the growth of deposits in the system—which could at some point push banks to compete more.... `It is still early in the rate cycle, but investors in banks, brokerages and asset managers should be watching weekly tracking figures, online savings rates and even window stickers in bank branches very closely."
