Crane Data's latest Money Fund Intelligence International shows that assets in European or "offshore" money market mutual funds jumped over the past month to $1.018 trillion led by a surge in GBP funds. European MMF assets broke back above $1 trillion level on Oct. 4 for the first time since early August, but they 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 $44.4 billion over the 30 days through 10/14. (Note that the increase in the U.S. dollar has caused Euro and Sterling totals to decline when they're translated back into dollars.) The totals are down $45.0 billion (-4.2%) year-to-date.
Offshore US Dollar money funds are down $4.9 billion over the last 30 days and are up $15.7 billion YTD to $550.2 billion. Euro funds increased E2.8 billion over the past month. YTD, they're down E6.3 billion to E152.1 billion. GBP money funds increased L37.6 billion over 30 days; they are up by L7.4 billion YTD to L254.5B. U.S. Dollar (USD) money funds (207) account for half (54.0%) of the "European" money fund total, while Euro (EUR) money funds (93) make up 15.3% and Pound Sterling (GBP) funds (130) total 30.6%. 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 2.90% (7-Day) on average (as of 10/14/22), up from 2.20% 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 have finally left negative yield territory; they're yielding 0.49% on average, up from -0.03% a month ago and 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 2.05%, up 41 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 September MFII Portfolio Holdings, with data as of 9/30/22, show that European-domiciled US Dollar MMFs, on average, consist of 27% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 27% in Repo, 14% in Treasury securities, 16% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 60.2% of their portfolios maturing Overnight, 7.2% maturing in 2-7 Days, 7.0% maturing in 8-30 Days, 12.4% maturing in 31-60 Days, 6.0% maturing in 61-90 Days, 5.5% maturing in 91-180 Days and 1.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (32.2%), France (15.4%), Canada (12.9%), Japan (11.2%), Sweden (5.3%), the Netherlands (4.6%), the U.K. (3.5%), Australia (3.4%), Germany (2.5%) and Singapore (1.7%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $76.3 billion (14.5% of total assets), Federal Reserve Bank of New York with $25.0B (4.7%), RBC with $23.8B (4.5%), BNP Paribas with $23.4B (4.5%), Sumitomo Mitsui Banking Corp with $18.9B (3.6%), Credit Agricole with $17.7B (3.4%), JP Morgan with $13.0B (2.5%), Skandinaviska Enskilda Banken AB with $12.7B (2.4%), Fixed Income Clearing Corp with $12.2B (2.3%) and Toronto-Dominion Bank with $11.6B (2.2%).
Euro MMFs tracked by Crane Data contain, on average 47% in CP, 19% in CDs, 22% in Other (primarily Time Deposits), 10% in Repo, 1% in Treasuries and 1% in Agency securities. EUR funds have on average 37.8% of their portfolios maturing Overnight, 10.7% maturing in 2-7 Days, 19.6% maturing in 8-30 Days, 13.7% maturing in 31-60 Days, 4.0% maturing in 61-90 Days, 11.4% maturing in 91-180 Days and 2.8% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (33.8%), Japan (13.2%), the U.S. (8.6%), Germany (6.2%), Sweden (6.1%), the U.K. (5.7%), Canada (4.2%), the Netherlands (3.9%), Austria (3.5%) and Belgium (3.3%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.8B (5.7%), BNP Paribas with E6.2B (4.6%), Societe Generale with E5.8B (4.2%), Republic of France with E5.6B (4.1%), Credit Mutuel with E4.9B (3.6%), Sumitomo Mitsui Banking Corp with E4.8B (3.6%), DZ Bank AG with E4.5B (3.3%), Agence Central de Organismes de Securite Sociale with E4.5B (3.3%), Mitsubishi UFJ Financial Group Inc with E4.2B (3.1%) and Barclays PLC with E3.9B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 9/30/22): 32% in CDs, 19% in CP, 29% in Other (Time Deposits), 18% in Repo, 2% in Treasury and 0% in Agency. Sterling funds have on average 47.6% of their portfolios maturing Overnight, 9.1% maturing in 2-7 Days, 11.3% maturing in 8-30 Days, 12.9% maturing in 31-60 Days, 2.9% maturing in 61-90 Days, 12.8% maturing in 91-180 Days and 3.3% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Canada (17.4%), France (17.3%), Japan (15.6%), the U.K. (9.0%), Australia (6.0%), the Netherlands (5.7%), the U.S. (5.6%), Sweden (4.6%), Germany (3.8%) and Spain (2.9%).
The 10 Largest Issuers to "offshore" GBP money funds include: Mitsubishi UFJ Financial Group Inc with L6.1B (4.5%), Bank of Nova Scotia with L5.8B (4.3%), Toronto-Dominion Bank with L5.8B (4.3%), RBC with L5.6B (4.1%), BNP Paribas with L5.3B (3.9%), Mizuho Corporate Bank Ltd with L5.0B (3.7%), Sumitomo Mitsui Trust Bank with L5.0B (3.7%), Nordea Bank with L4.5B (3.4%), Credit Agricole with L4.3B (3.2%) and Barclays with L4.2B (3.2%).
