Crane Data's latest Money Fund Intelligence International shows that assets in European or "offshore" money market mutual funds rose over the past month to $1.024 trillion led by a surge in EUR & GBP funds. Offshore USD MMFs declined over the past 30 days. European MMF assets remain below their record high of $1.101 trillion set 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 $6.5 billion over the 30 days through 11/14. The totals are down $38.6 billion (-3.6%) year-to-date. (Note that the increase in the U.S. dollar earlier this year caused Euro and Sterling totals to decline when they're translated back into dollars.)
Offshore US Dollar money funds are down $12.8 billion over the last 30 days and are up $2.9 billion YTD to $537.4 billion. Euro funds increased E21.9 billion over the past month. YTD, they're up E15.6 billion to E174.0 billion. GBP money funds increased L20.1 billion over 30 days; they are up by L27.5 billion YTD to L274.6B. U.S. Dollar (USD) money funds (196) account for half (52.5%) of the "European" money fund total, while Euro (EUR) money funds (91) make up 17.0% and Pound Sterling (GBP) funds (126) total 26.8%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Tuesday), below.
Offshore USD MMFs yield 3.67% (7-Day) on average (as of 11/14/22), up from 2.90% 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 finally left negative yield territory 2 months ago; they're yielding 1.17% on average, up from 0.49% 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 2.76%, up 71 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 October MFI International Portfolio Holdings, with data as of 10/31/22, show that European-domiciled US Dollar MMFs, on average, consist of 24% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 31% in Repo, 11% in Treasury securities, 18% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 62.2% of their portfolios maturing Overnight, 11.0% maturing in 2-7 Days, 6.0% maturing in 8-30 Days, 6.2% maturing in 31-60 Days, 4.6% maturing in 61-90 Days, 7.3% maturing in 91-180 Days and 2.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (27.7%), France (16.8%), Canada (13.2%), Japan (10.8%), Sweden (7.4%), the Netherlands (4.5%), the U.K. (4.1%), Australia (3.5%), Germany (2.2%) and Austria (1.7%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $59.1 billion (10.7% of total assets), RBC with $29.2B (5.3%), BNP Paribas with $27.7B (5.0%), Credit Agricole with $25.1B (4.5%), Federal Reserve Bank of New York with $25.0B (4.5%), Sumitomo Mitsui Banking Corp with $17.7B (3.2%), Barclays PLC with $15.2B (2.8%), Skandinaviska Enskilda Banken AB with $14.4B (2.6%), Mizuho Corporate Bank Ltd with $13.8B (2.5%) and Fixed Income Clearing Corp with $13.4B (2.4%).
Euro MMFs tracked by Crane Data contain, on average 41% in CP, 16% in CDs, 30% in Other (primarily Time Deposits), 10% in Repo, 2% in Treasuries and 1% in Agency securities. EUR funds have on average 39.5% of their portfolios maturing Overnight, 22.9% maturing in 2-7 Days, 12.4% maturing in 8-30 Days, 4.5% maturing in 31-60 Days, 10.5% maturing in 61-90 Days, 6.4% maturing in 91-180 Days and 3.8% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (35.5%), Japan (14.1%), the U.S. (8.7%), Austria (5.5%), Sweden (5.1%), the U.K. (5.0%), Canada (4.6%), Germany (4.2%), the Netherlands (3.9%), and Belgium (3.2%).
The 10 Largest Issuers to "offshore" EUR money funds include: Republic of France with E9.3B (5.8%), Credit Agricole with E8.4B (5.3%), Credit Mutuel with E7.8B (4.9%), BNP Paribas with E7.2B (4.5%), Erste Group Bank AG with E6.4B (4.0%), Natixis with E6.3B (4.0%), Mizuho Corporate Bank Ltd with E6.1B (3.8%), Societe Generale with E5.9B (3.7%), Mitsubishi UFJ Financial Group Inc with E5.3B (3.4%) and Sumitomo Mitsui Banking Corp with E4.6B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 10/31/22): 32% in CDs, 21% in CP, 30% in Other (Time Deposits), 16% in Repo, 1% in Treasury and 0% in Agency. Sterling funds have on average 44.7% of their portfolios maturing Overnight, 21.6% maturing in 2-7 Days, 10.3% maturing in 8-30 Days, 2.3% maturing in 31-60 Days, 8.8% maturing in 61-90 Days, 9.5% maturing in 91-180 Days and 2.7% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Japan (19.3%), France (17.4%), Canada (14.4%), the U.K. (10.3%), the Netherlands (6.0%), Australia (5.5%), the U.S. (4.9%), Sweden (4.4%), Germany (2.8%) and Spain (2.0%).
The 10 Largest Issuers to "offshore" GBP money funds include: Mizuho Corporate Bank Ltd with L10.5B (6.3%), Mitsubishi UFJ Financial Group Inc with L8.9B (5.3%), Barclays with L8.0B (4.8%), BNP Paribas with L7.1B (4.3%), Bank of Nova Scotia with L6.3B (3.8%), Sumitomo Mitsui Trust Bank with L5.8B (3.5%), RBC with L5.6B (3.4%), Societe Generale with L5.5B (3.3%), Toronto-Dominion Bank with L5.4B (3.3%) and Rabobank with L5.4B (3.3%).
