Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds rose again over the past month to $985.9 billion. European MMF assets declined during the first 4 1/2 months of 2022, but they've increased over the past 2 months. They still remain below their record high of $1.101 trillion in mid-December 2021. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, increased by $21.3 billion over the 30 days through 7/14. They're down $77.1 billion (-7.3%) year-to-date. Offshore US Dollar money funds are up $6.9 billion over the last 30 days and are down $4.7 billion YTD to $529.8 billion. Euro funds rose E7.6 billion over the past month. YTD they're down E21.1 billion to E137.3 billion. GBP money funds increased L4.3 billion over 30 days; they are down by L24.2 billion YTD to L222.9B. U.S. Dollar (USD) money funds (206) account for over half (53.7%) of the "European" money fund total, while Euro (EUR) money funds (95) make up 16.5% and Pound Sterling (GBP) funds (133) total 29.4%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Tuesday), below. (Note: Mark your calendars and make your hotel reservations soon for our upcoming European Money Fund Symposium, which is Sept. 27-28, 2022, in Paris, France.)
Offshore USD MMFs yield 1.37% (7-Day) on average (as of 7/14/22), up from 0.71% 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 -0.59% 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 1.06%, up 22 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 6/30/22, show that European-domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (CP), 17% in Certificates of Deposit (CDs), 26% in Repo, 18% in Treasury securities, 15% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 56.0% of their portfolios maturing Overnight, 6.6% maturing in 2-7 Days, 10.8% maturing in 8-30 Days, 7.1% maturing in 31-60 Days, 6.1% maturing in 61-90 Days, 11.3% maturing in 91-180 Days and 2.0% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (32.5%), France (14.8%), Canada (12.7%), Japan (10.9%), Sweden (5.5%), the U.K. (3.8%), Australia (3.3%), Germany (3.0%), the Netherlands (3.0%) and Singapore (2.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $97.6 billion (18.3% of total assets), RBC with $27.7B (5.2%), BNP Paribas with $23.6B (4.4%), Sumitomo Mitsui Banking Corp with $18.6B (3.5%), Federal Reserve Bank of New York with $17.9B (3.4%), Credit Agricole with $16.8B (3.2%), Fixed Income Clearing Corp <b:>`_ with $15.1B (2.8%), Skandinaviska Enskilda Banken AB with $12.4B (2.3%), Barclays with $11.4B (2.1%) and Mizuho Corporate Bank with $11.2B (2.1%).
Euro MMFs tracked by Crane Data contain, on average 39% in CP, 24% in CDs, 25% in Other (primarily Time Deposits), 10% in Repo, 2% in Treasuries and 0% in Agency securities. EUR funds have on average 36.8% of their portfolios maturing Overnight, 11.2% maturing in 2-7 Days, 22.4% maturing in 8-30 Days, 15.1% maturing in 31-60 Days, 8.2% maturing in 61-90 Days, 4.0% maturing in 91-180 Days and 2.1% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.6%), Japan (12.9%), the U.S. (8.5%), Sweden (6.6%), the U.K. (6.3%), Germany (5.8%), Switzerland (5.5%), Austria (4.7%), Canada (4.5%) and the Netherlands (4.0%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E6.5B (5.4%), Societe Generale with E5.4B (4.5%), BNP Paribas with E5.1B (4.2%), Natixis with E4.6 (3.8%), DZ Bank AG with E4.1B (3.4%), Barclays PLC with E4.1B (3.4%), Sumitomo Mitsui Banking Corp with E3.7B (3.1%), Mizuho Corporate Bank Ltd with E3.7B (3.0%), Credit Mutuel with E3.5B (2.9%) and ING Bank with E3.4B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 6/30/22): 36% in CDs, 21% in CP, 23% in Other (Time Deposits), 18% in Repo, 2% in Treasury and 0% in Agency. Sterling funds have on average 41.3% of their portfolios maturing Overnight, 11.7% maturing in 2-7 Days, 12.2% maturing in 8-30 Days, 11.6% maturing in 31-60 Days, 6.2% maturing in 61-90 Days, 10.1% maturing in 91-180 Days and 7.0% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.8%), Canada (16.9%), Japan (15.9%), the U.K. (9.8%), Australia (6.6%), Sweden (5.0%), the U.S. (4.3%), the Netherlands (4.3%), Germany (3.7%) and Spain (3.0%).
The 10 Largest Issuers to "offshore" GBP money funds include: BNP Paribas with L7.0B (4.7%), Mitsubishi UFJ Financial Group Inc with L6.6B (4.4%), Toronto-Dominion Bank with L6.5B (4.4%), Bank of Nova Scotia with L6.1B (4.0%), RBC with L5.7B (3.8%), Barclays with L5.5B (3.7%), Mizuho Corporate Bank Ltd with L5.2B (3.5%), Sumitomo Mitsui Trust Bank with L5.2B (3.4%), Credit Agricole with L5.1B (3.4%) and Nordea Bank with L4.9B (3.3%).
In related news, Bloomberg writes that, "Money-Market Funds Could Get BOE Backstop Access, Says Barclays." The article tells us, "The Bank of England could give money-market funds access to some of its liquidity facilities amid concerns the industry amplifies episodes of market stress, according to Barclays Plc. The central bank and the UK's Financial Conduct Authority are looking into reforming MMFs after they came under severe strain at the start of the pandemic panic two years ago. It forms part of a global regulatory push to better regulate the investment vehicles."
It continues, "The BOE has touted a variety of options, such as changing what the funds invest in so their assets are more easily liquidated or adjusting their redemption policies so investors can't demand cash immediately. `More radically, it could give them access to its liquidity facilities. While these backstops have typically been limited to the likes of banks and dealers, MMFs' systemic importance could yield a compromise, Barclays said in a note to clients."
Bloomberg quotes Barclays Strategist Moyeen Islam, "Money market funds play an important but often under-appreciated role in the interest-rate transmission mechanism.... All else equal, access to a central-bank backstop should prevent liquidity runs and impose stability on MMFs."
