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 $1.075 trillion, helped by currency adjustments. EUR & GBP MMFs declined over the past 30 days, while USD increased. 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 $25.4 billion over the 30 days through 2/13. The totals are up $44.6 billion (4.3%) year-to-date. (Note that decreases in the U.S. dollar caused Euro and Sterling totals to jump when they're translated back into dollars. 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.)
Offshore US Dollar money funds are up $8.4 billion over the last 30 days and are up $24.6 billion YTD to $574.2 billion. Euro funds decreased E10.5 billion over the past month. YTD, they're down E10.9 billion to E169.5 billion. GBP money funds decreased L12.3 billion over 30 days; they are down by L9.4 billion YTD to L254.0B. U.S. Dollar (USD) money funds (197) account for half (53.4%) of the "European" money fund total, while Euro (EUR) money funds (95) make up 17.3% and Pound Sterling (GBP) funds (127) total 29.2%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Wednesday), below.
Offshore USD MMFs yield 4.49% (7-Day) on average (as of 2/13/22), up from 4.23% a month earlier. Yields averaged 4.20% on 12/3/22, 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 5 months ago; they're yielding 2.17% on average, up from 1.70% a month ago and up from 1.48% on 12/31/22, -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 3.75%, up 47 bps from a month ago, and up from 3.17% on 12/31/22. Sterling yields were 0.01% on 12/31/21, 0.00% on 12/31/20, 0.64% on 12/31/19 and 0.64% on 12/31/18.
Crane's February MFI International Portfolio Holdings, with data as of 1/31/23, show that European-domiciled US Dollar MMFs, on average, consist of 32% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 28% in Repo, 8% in Treasury securities, 15% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 64.2% of their portfolios maturing Overnight, 9.2% maturing in 2-7 Days, 5.6% maturing in 8-30 Days, 7.0% maturing in 31-60 Days, 4.2% maturing in 61-90 Days, 6.7% maturing in 91-180 Days and 3.2% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (30.2%), France (14.6%), Canada (12.6%), Japan (9.9%), Sweden (7.0%), the Netherlands (5.1%), the U.K. (3.9%), Australia (3.6%), Germany (2.1%) and Belgium (1.7%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $50.7 billion (8.3% of total assets), Federal Reserve Bank of New York with $46.1B (7.5%), Fixed Income Clearing Corp with $30.3B (5.0%), Credit Agricole with $25.0B (4.1%), RBC with $23.8B (3.9%), BNP Paribas with $20.8B (3.4%), Sumitomo Mitsui Banking Corp with $18.1B (3.0%), Barclays PLC with $15.2B (2.5%), Toronto-Dominion Bank with $14.2B (2.3%) and Skandinaviska Enskilda Banken AB with $13.6B (2.2%).
Euro MMFs tracked by Crane Data contain, on average 48% in CP, 23% in CDs, 20% in Other (primarily Time Deposits), 7% in Repo, 1% in Treasuries and 1% in Agency securities. EUR funds have on average 36.8% of their portfolios maturing Overnight, 15.8% maturing in 2-7 Days, 22.1% maturing in 8-30 Days, 7.8% maturing in 31-60 Days, 6.2% maturing in 61-90 Days, 7.1% maturing in 91-180 Days and 4.2% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (32.2%), Japan (14.2%), the U.K. (6.1%), the U.S. (6.1%), Canada (5.6%), Germany (5.3%), the Netherlands (5.2%), Sweden (5.2%), Austria (5.2%) and Belgium (3.9%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E10.3B (6.4%), Credit Mutuel with E7.2B (4.5%), Societe Generale with E6.4B (4.0%), Erste Group Bank AG with E6.2B (3.9%), Republic of France with E6.1B (3.8%), BNP Paribas with E5.9B (3.7%), Mizuho Corporate Bank Ltd with E5.6B (3.5%), Barclays PLC with E5.3B (3.3%), Mitsubishi UFJ Financial Group Inc with E4.9B (3.0%) and Natixis with E4.8B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 1/31/23): 40% in CDs, 25% in CP, 21% in Other (Time Deposits), 12% in Repo, 1% in Treasury and 1% in Agency. Sterling funds have on average 36.1% of their portfolios maturing Overnight, 18.8% maturing in 2-7 Days, 16.3% maturing in 8-30 Days, 6.8% maturing in 31-60 Days, 8.6% maturing in 61-90 Days, 8.7% maturing in 91-180 Days and 4.8% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (17.2%), Japan (16.7%), Canada (15.1%), the U.K. (9.9%), Australia (6.3%), the Netherlands (6.0%), Sweden (4.4%), Germany (4.2%), the U.S. (4.2%) and Spain (2.7%).
The 10 Largest Issuers to "offshore" GBP money funds include: Mitsubishi UFJ Financial Group Inc with L9.4B (4.4%), Mizuho Corporate Bank Ltd with L8.3B (3.9%), RBC with L7.7B (3.6%), Bank of Nova Scotia with L7.6B (3.6%), Barclays PLC with L7.3B (3.4%), Toronto-Dominion Bank with L7.1B (3.3%), Nordea Bank with L6.9B (3.2%), Sumitomo Mitsui Trust Bank with L6.8B (3.2%), BNP Paribas with L6.2B (2.9%) and Sumitomo Mitsui Banking Corp with L6.0B (2.8%).
In related news, last week we quoted from the press release, "ESMA report finds EU MMF industry at close to E1.5tn" which told us, "The European Securities and Markets Authority (ESMA), the EU's financial markets regulator and supervisor, ... published its inaugural market report on European Union (EU) Money Market Funds (MMF). With this report ESMA provides for the first time a comprehensive market-level view of EU MMFs, based on supervisory information collected by National Competent Authorities (NCAs) and ESMA." (See our Feb. 9 LOTD, "ESMA: European MMFs E1.44 Trillion.")
The full "ESMA Market Report: EU MMF market 2023," explains, "This Report provides, for the first time, a comprehensive market-level view of EU MMFs, based on the information reported by managers. Its primary objective is to contribute to our systemic risk assessment work at ESMA, supplementing the ESMA Report on Trends, Risks and Vulnerabilities, through which we will continue to monitor developments and risks, as well as other ESMA Market Reports such as the EU Alternative Investment Fund Report. In doing so, this Report also aims at informing our regulatory assessment of MMFs and contributing to supervisory convergence."
It tells us, "Based on data collected by National Competent Authorities (NCAs) and ESMA under Article 37 of the Money Market Fund Regulation (MMFR), EU MMFs held EUR 1.44tn in assets at the end of 2021. By MMF types, Low volatility NAV (LVNAV) MMFs account for 46% of the total assets, followed by Variable NAV (VNAV) MMFs (42%) and Constant NAV (CNAV) MMFs (12%). Most of EU MMFs (89%) are domiciled in one of the three following jurisdictions: France, Luxembourg and Ireland. All MMFs domicile in France are of the VNAV type and almost exclusively denominated in EUR. MMFs in Luxembourg and Ireland are mainly in non-EU currencies and set up mostly as CNAVs and LVNAVs. MMFs authorised in other EU jurisdictions are VNAVs denominated in other EU domestic currencies and account only for a small fraction of assets. The EU MMF industry shows a high degree of concentration as the 20 largest MMFs of each type hold close to 80% of total MMF assets."
Finally, ESMA writes, "Professional investors hold more than 90% of EU MMFs. They account for 95% of the NAV for CNAVs and 99% for LVNAVs. The share of retail investors is higher for VNAVs, with respectively 13% for short-term and 12% for standard VNAVs. This is driven by VNAVs domiciled in France, where retail clients account for 12% of NAV. Non-EU investors are dominant in Luxembourg and Ireland. Reflecting the importance of MMFs in non-EU currencies, non-EU investors account for 77% of the NAV of Irish MMFs (including 60% from the UK) and 63% for Luxembourg (including 30% from the UK and 10% from the US). In contrast, EU investors hold around 94% of NAV in France, with 76% being from domestic investors. Financial corporations are the main unitholders of MMF shares across regulatory types (70% of NAV). Insurances, pension funds and banks account together for 25% of NAV. Other financial institutions, a category that includes collective investment undertakings (CIUs), have the highest equity interest in MMFs with 45% of NAV."
