Crane Data's latest Money Fund Intelligence International shows that assets in European or "offshore" money market mutual funds moved higher again over the past 30 days to a record $1.406 trillion, while yields moved lower. Assets for USD and EUR rose over the past month while GBP MMFs fell. Like U.S. money fund assets, European MMFs have repeatedly hit record highs in 2023 and 2024. These U.S.-style money funds, domiciled in Ireland or Luxembourg and denominated in US Dollars, Pound Sterling and Euros, increased by $41.1 billion over the 30 days through 11/14. The totals are up $208.6 billion (17.4%) year-to-date for 2024, they were up $166.9 billion (16.2%) for the year 2023. (Note that currency moves in the U.S. dollar cause Euro and Sterling totals to shift when they're translated back into totals in U.S. dollars. See our latest MFI International for more on the "offshore" money fund marketplace. These funds are only available to qualified, non-U.S. investors and are almost entirely institutional.)
Offshore US Dollar money funds increased $17.3 billion over the last 30 days and are up $74.7 billion YTD to $724.2 billion; they increased $100.0 billion in 2023. Euro funds increased E23.4 billion over the past month. YTD, they're up E71.1 billion to E306.0 billion, for 2023, they increased by E54.5 billion. GBP money funds decreased L1.9 million over 30 days, and they're up L23.5 billion YTD at L258.9B, for 2023, they fell L28.1 billion. U.S. Dollar (USD) money funds (244) account for over half (51.5%) of the "European" money fund total, while Euro (EUR) money funds (154) make up 24.0% and Pound Sterling (GBP) funds (160) total 24.4%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Friday), below.
Offshore USD MMFs yield 4.63% (7-Day) on average (as of 11/14/24), down 19 basis points from a month earlier. Yields averaged 4.20% on 12/30/22 and 0.03% on 12/31/21. EUR MMFs, which left negative yield territory in the second half of 2022, yield 3.15% on average, down 24 bps from a month ago and up from 1.48% on 12/30/22 and -0.80% on 12/31/21. Meanwhile, GBP MMFs broke above the 5.0% barrier 15 months ago, but they broke back below 5.0% 4 months ago. They now yield 4.74%, down 16 bps from a month ago, but up from 3.17% on 12/30/22. Sterling yields were 0.01% on 12/31/21.
Crane's October MFI International Portfolio Holdings, with data as of 10/31/24, show that European-domiciled US Dollar MMFs, on average, consist of 26% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 22% in Repo, 23% in Treasury securities, 12% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 43.6% of their portfolios maturing Overnight, 6.5% maturing in 2-7 Days, 8.9% maturing in 8-30 Days, 9.6% maturing in 31-60 Days, 10.3% maturing in 61-90 Days, 15.3% maturing in 91-180 Days and 5.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.4%), France (12.3%), Japan (9.9%), Canada (8.4%), Australia (5.0%), the U.K. (3.9%), Sweden (3.6%), the Netherlands (3.3%), Finland (2.6%) and Belgium (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $174.7 billion (23.5% of total assets), Fixed Income Clearing Corp with $32.6B (4.4%), Credit Agricole with $24.8B (3.3%), Mizuho Corporate Bank with $18.3B (2.5%), Nordea Bank with $18.1B (2.4%), BNP Paribas with $17.9B (2.4%), Mitsubishi UFJ Financial Group Inc with $17.3B (2.3%), Toronto-Dominion Bank with $16.4B (2.2%), Australia & New Zealand Banking Group Ltd with $15.8B (2.1%) and Sumitomo Mitsui Banking Corp with $15.1B (2.0%).
Euro MMFs tracked by Crane Data contain, on average 42% in CP, 21% in CDs, 14% in Other (primarily Time Deposits), 19% in Repo, 3% in Treasuries and 1% in Agency securities. EUR funds have on average 32.9% of their portfolios maturing Overnight, 12.3% maturing in 2-7 Days, 13.5% maturing in 8-30 Days, 7.5% maturing in 31-60 Days, 16.4% maturing in 61-90 Days, 11.3% maturing in 91-180 Days and 6.1% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.7%), Japan (12.0%), the U.S. (8.3%), Germany (7.4%), Canada (6.4%), the Netherlands (5.3%), the U.K. (5.1%), Austria (4.4%), Australia (3.5%) and Spain (3.3%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E16.3B (6.2%), BNP Paribas with E13.1B (4.9%), Republic of France with E11.1B (4.2%), Societe Generale with E9.5B (3.6%), JP Morgan with E9.4B (3.6%), Agence Central de Organismes de Securite Sociale with E8.3B (3.1%), Mitsubishi UFJ Financial Group Inc with E8.2B (3.1%), DZ Bank AG with E7.4B (2.8%), Credit Mutuel with E7.3B (2.8%) and Mizuho Corporate Bank Ltd with E7.3B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 10/31/24): 37% in CDs, 20% in CP, 24% in Other (Time Deposits), 16% in Repo, 3% in Treasury and 0% in Agency. Sterling funds have on average 33.6% of their portfolios maturing Overnight, 10.3% maturing in 2-7 Days, 10.6% maturing in 8-30 Days, 6.5% maturing in 31-60 Days, 15.7% maturing in 61-90 Days, 18.2% maturing in 91-180 Days and 5.1% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (16.8%), Japan (13.9%), the U.K. (12.6%), Canada (11.8%), Australia (9.6%), the U.S. (8.7%), the Netherlands (4.7%), Singapore (3.4%), Finland (3.2%), and Spain (2.7%).
The 10 Largest Issuers to "offshore" GBP money funds include: UK Treasury with L14.7B (6.2%), BNP Paribas with L11.0B (4.6%), Mizuho Corporate Bank Ltd with L9.7B (4.1%), Sumitomo Mitsui Trust Bank with L9.5B (4.0%), Toronto-Dominion Bank with L9.5B (4.0%), JP Morgan with L8.7B (3.7%), RBC with L7.7B (3.2%), Commonwealth Bank of Australia with L7.1B (3.0%), Mitsubishi UFJ Financial Group Inc with L7.0B (3.0%) and National Australia Bank Ltd with L6.9B (2.9%).
In related news, S&P Global Ratings published "European 'AAAm' Money Market Fund Trends (Third Quarter 2024)," which says, "Rated Europe-domiciled MMFs reported all-time highs as of Sept. 30, 2024, with assets under management (AUM) of €231 billion for euro-denominated funds and $657 billion for U.S. dollar-denominated funds.... Sterling-denominated funds recorded 2024 highs, with £237 billion in AUM, even though this is 10% below their record AUM level in October 2022. Net assets in all three currencies increased over the 12 months ended Sept. 30, 2024, with euro-denominated funds up 61.3%, sterling-denominated funds up 14.7%, and U.S. dollar-denominated funds up 13.1%."
The piece explains, "Since yield curves for money market maturities are inverted across all three currencies, short-dated and high-credit-quality MMFs that offer returns close to or above the respective central bank base rate remain attractive to investors. Yet this appeal may reduce as central banks cut interest rates in the third quarter.... This led to a decline in U.S. dollar-denominated funds' average seven-day net yield by 34 bps.... The European Central Bank also decreased its deposit rate by 25 bps to 3.5% in early September, following a similar move in June. The Bank of England cut interest rates to 5% on Aug. 1, 2024 -- the first interest rate cut in over four years -- with seven-day net yields declining by 17 bps in the third quarter."
It adds, "The weighted average maturity (WAM) of MMFs declined by an average of five days in the third quarter. Euro-denominated funds' WAMs reduced to 33 days, from 40 days in June 2024, while the WAMs of sterling- and U.S. dollar-denominated funds decreased to 40 and 35 days, respectively, from 44 and 41 days in June 2024. Given the inverted yield curve and tight spreads, extending duration profiles does not generate any perceived value to the rate of return."
