Crane Data's latest Money Fund Intelligence International shows that assets in European or "offshore" money market mutual funds rose strongly over the past month to $1.079 trillion. USD, EUR & GBP MMFs all surged higher over the past 30 days, though 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 $23.0 billion over the 30 days through 4/14. The totals are up $48.5 billion (4.7%) 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 increased $10.8 billion over the last 30 days and are up $36.8 billion YTD to $586.3 billion. Euro funds increased E12.9 billion over the past month. YTD, they're down E0.2 billion to E180.2 billion. GBP money funds increased L4.2 billion over 30 days; they are down by L19.9 billion YTD to L243.6B. U.S. Dollar (USD) money funds (200) account for half (54.4%) of the "European" money fund total, while Euro (EUR) money funds (100) make up 17.9% and Pound Sterling (GBP) funds (130) total 27.7%. 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 4.73% (7-Day) on average (as of 4/14/23), up from 4.52% a month earlier. Yields averaged 4.20% on 12/30/22, 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 7 months ago; they're yielding 2.77% on average, up from 2.35% a month ago and up from 1.48% on 12/30/22, -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 4.08%, up 21 bps from a month ago, and up from 3.17% on 12/30/22. 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 April MFI International Portfolio Holdings, with data as of 3/31/23, show that European-domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (CP), 13% in Certificates of Deposit (CDs), 40% in Repo, 7% in Treasury securities, 14% in Other securities (primarily Time Deposits) and 3% in Government Agency securities. USD funds have on average 67.7% of their portfolios maturing Overnight, 5.0% maturing in 2-7 Days, 6.2% maturing in 8-30 Days, 7.6% maturing in 31-60 Days, 4.3% maturing in 61-90 Days, 5.2% maturing in 91-180 Days and 3.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.4%), France (13.8%), Canada (11.6%), Japan (8.6%), the Netherlands (5.2%), Sweden (4.7%), Australia (2.9%), the U.K. (2.7%), Germany (2.5%) and Abu Dhabi (1.5%).
The 10 Largest Issuers to "offshore" USD money funds include: Fixed Income Clearing Corp with $47.2B (7.6%), Federal Reserve Bank of New York with $41.2B (6.7%), the US Treasury with $40.1 billion (6.5% of total assets), BNP Paribas with $26.6B (4.3%), RBC with $24.4B (3.9%), Bank of America with $20.0B (3.2%), Sumitomo Mitsui Banking Corp with $18.0B (2.9%), Federal Home Loan Bank with $16.6B (2.7%), Bank of Nova Scotia with $15.7B (2.5%) and Citi with $15.3B (2.5%).
Euro MMFs tracked by Crane Data contain, on average 52% in CP, 15% in CDs, 22% in Other (primarily Time Deposits), 10% in Repo, 1% in Treasuries and 0% in Agency securities. EUR funds have on average 42.7% of their portfolios maturing Overnight, 13.3% maturing in 2-7 Days, 15.9% maturing in 8-30 Days, 11.1% maturing in 31-60 Days, 6.2% maturing in 61-90 Days, 5.6% maturing in 91-180 Days and 5.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (34.9%), Germany (9.6%), Japan (9.4%), the U.K. (6.2%), the U.S. (5.9%), Canada (5.7%), Sweden (5.3%), the Netherlands (4.7%), Austria (4.5%) and Belgium (3.4%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Mutuel with E9.1B (5.6%), Credit Agricole with E8.4B (5.2%), BNP Paribas with E8.0B (4.9%), Republic of France with E7.8B (4.8%), Erste Group Bank AG with E6.3B (3.9%), Landesbank Baden-Wurttemberg with E5.7B (3.5%), Societe Generale with E5.5B (3.4%), Barclays PLC with E5.1B (3.1%), DZ Bank AG with E5.1B (3.1%) and BPCE SA with E4.5B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 3/31/23): 31% in CDs, 25% in CP, 23% in Other (Time Deposits), 19% in Repo, 2% in Treasury and 0% in Agency. Sterling funds have on average 43.0% of their portfolios maturing Overnight, 10.4% maturing in 2-7 Days, 9.7% maturing in 8-30 Days, 14.3% maturing in 31-60 Days, 6.7% maturing in 61-90 Days, 11.4% maturing in 91-180 Days and 4.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.5%), Japan (16.0%), Canada (14.4%), the U.K. (11.1%), the Netherlands (6.3%), Australia (5.9%), the U.S. (5.4%), Sweden (4.0%), Germany (3.5%) and Spain (3.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: Mitsubishi UFJ Financial Group Inc with L8.0B (4.9%), Toronto-Dominion Bank with L6.2B (3.8%), Mizuho Corporate Bank Ltd with L6.1B (3.7%), RBC with L5.8B (3.6%), BNP Paribas with L5.7B (3.5%), Banco Santander with L5.7B (3.4%), Barclays PLC with L5.5B (3.3%), Bank of Nova Scotia with L5.1B (3.1%), Sumitomo Mitsui Trust Bank with L4.8B (2.9%) and Societe Generale with L4.8B (2.9%).
In related news, ICI released its latest monthly "Money Market Fund Holdings" summary, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. Their release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in March, prime money market funds held 48.3 percent of their portfolios in daily liquid assets and 60.9 percent in weekly liquid assets, while government money market funds held 80.2 percent of their portfolios in daily liquid assets and 86.5 percent in weekly liquid assets." Prime DLA was up from 43.6% in February, and Prime WLA was up from 58.9%. Govt MMFs' DLA was down from 82.4% and Govt WLA decreased from 88.6% the previous month.
ICI explains, "At the end of March, prime funds had a weighted average maturity (WAM) of 18 days and a weighted average life (WAL) of 45 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 16 days and a WAL of 60 days." Prime WAMs were 1 day shorter and WALs were unchanged from the previous month. Govt WAMs were 3 days longer and WALs were 2 days longer from February.
Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds’ holdings attributable to the Americas rose from $400.60 billion in February to $437.12 billion in March. Government money market funds’ holdings attributable to the Americas rose from $3,700.28 billion in February to $4,116.94 billion in March."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $437.1 billion, or 58.4%; Asia and Pacific at $119.3 billion, or 15.9%; Europe at $181.7 billion, or 24.3%; and, Other (including Supranational) at $10.9 billion, or 1.5%. The Government Money Market Funds by Region of Issuer table shows Americas at $4.117 trillion, or 94.2%; Asia and Pacific at $82.8 billion, or 1.9%; Europe at $163.4 billion, 3.7%, and Other (Including Supranational) at $7.5 billion, or 0.2%.
