With the pending release of the European Commission's Proposal for a Regulation on Money Market Funds (Sept 4) and with our upcoming European Money Fund Symposium (Sept. 24-25, The Conrad, Dublin), we thought it would be a good time to review the latest MFI International Money Fund Portfolio Holdings, our collection of "offshore" money funds' securities denominated in U.S. Dollar, Euro and Pound Sterling. Crane Data tracks money funds registered in Dublin, Luxembourg or other domiciles outside the U.S., which are not available to U.S. investors but which are used by multinational corporations and institutions with European operations, via its Money Fund Intelligence International product suite. We review the latest lists of largest funds, largest issuers, composition, country and maturity distribution below.
Looking first at U.S. Dollar-denominated money funds domiciled offshore, which account for $375.7 billion of the total $687.1 billion in offshore assets tracked by Crane Data (or 54.7%), we show over $300 billion held in the 10 largest funds. These include: JPMorgan USD Liquidity Inst ($69.4 billion), Western Asset USD Liq Reserves ($64.6B), JPMorgan USD Treasury Liq Inst ($30.2B), Goldman Sachs USD Liq Resv Inst ($27.0B), BlackRock ICS USD Liquidity Heritage ($24.7B), HSBC USD Liquidity Fund A ($22.2B; note that HSBC doesn't report portfolio holdings for publication so it is excluded from our totals below), Goldman Sachs USD Treas Liq Resv Instit ($18.6B), SSgA USD Liq Fund I ($15.7B), BNY Mellon Universal US Treas Fund Advantage ($14.3B), and DB Advisors USD MMF Institutional ($13.9B).
Offshore USD money funds held an average of 26% in Commercial Paper, 23% in Certificates of Deposit, 18% in U.S. Treasury securities, 15% in Repurchase Agreements (repo), 14% in Other (primarily Time Deposits), and 4% in Government Agency securities. The largest country allocation was to the U.S. (30.7%), followed by France (14.0%), Sweden (8.2%), Great Britain (8.2%), Japan (8.1%), Canada (6.9%), Germany (6.9%), Australia (5.1%), Netherlands (3.8%), and Switzerland (2.9%). USD money funds hold 26.2% of assets in overnight securities (1-day maturity) and another 9.3% maturing in 2-7 days (so 35.5% maturing in 1-7 days). Another 17.4% matures in 8-30 days, 24.2% in 31-90 days, 15.9% in 91-180 days, and 7.0% over 181 days.
The 15 largest issuers to USD "offshore" money funds include: US Treasury (17.2% of the total, or $77.0 billion), BNP Paribas (3.4%, $15.1B), Deutsche Bank AG (3.3%, $14.8B), Credit Agricole (3.1%, or $14.0B), Societe Generale (2.8%, $12.6B), Barclays Bank (2.8%, or $12.4B), Bank of Tokyo-Mitsubishi UFJ Ltd (2.6%, or $11.6B), Sumitomo Mitsui Banking Co (2.6%, or $11.6B), Skandinaviska Enskilda Banken AB (2.5%, or $11.2B), Natixis (2.4%, or $10.9B), Svenska Handelsbanken (2.3%, or $10.2B), Bank of Nova Scotia (2.2%, or $9.9B), DnB NOR Bank ASA (2.1%, or $9.3B), Nordea Bank (1.9%, or $8.7B), JP Morgan (1.9%, or $8.5B).
Among Euro-denominated money funds domiciled offshore, which account for just E79.2 billion of offshore assets, we show over E65.3 billion held in the 10 largest funds. These include: BlackRock ICS Euro Liquidity Heritage (E14.0 billion), JPMorgan Euro Liquidity Institutional Flex (E11.5B), Goldman Sachs Euro Liquid Reserves Inst (E9.1B), DB Advisors Euro MMF Institutional (E8.4B), BNP Paribas Insticash Euro I (E8.3B), SSgA Euro Liq Fund (E4.6B), HSBC Euro Liquidity Fund A (E4.2B; HSBC's holdings aren't included below), Amundi Money Market Fund S-T EUR XC (E1.9B), Morgan Stanley Euro Liquidity (E1.7B), and Ignis Euro Liquidity Fund Cl 0 (E1.6B).
Offshore Euro money funds held an average of 41% in Commercial Paper, 21% in Certificates of Deposit, 19% in Other (primarily Time Deposits), 11% in Repurchase Agreements (repo), and 6% in Treasury (European government) securities. The largest country allocation was to France (35.2%), followed by Germany (17.1%), Netherlands (11.4%), Great Britain (10.4%), Sweden (6.6%), the U.S. (5.7%), Japan (4.7%), Supranational (1.8%), and Finland (1.2%). Euro money funds hold 20.4% of assets in overnight securities (1-day maturity) and another 6.8% maturing in 2-7 days (so 27.2% maturing in 1-7 days). Another 20.5% matures in 8-30 days, 34.8% in 31-90 days, 13.4% in 91-180 days, and 4.2% over 181 days.
The 15 largest issuers to Euro "offshore" money funds include: BNP Paribas (7.7%, E5.8B), FMS Wertmanagement (6.1%, E4.6B), Credit Agricole (5.8%, E4.4B), Societe Generale (5.1%, E3.8B), Rabobank (4.2%, E3.2B), HSBC (3.9%, E2.9B), Barclays Bank (3.5%, E2.6B), Credit Mutuel (3.4%, E2.6B), Republic of France (3.2%, E2.4B), Nordea Bank (3.1%, E2.4B), ING Bank (3.1%, E2.3B), Svenska Handelsbanken (2.8%, E2.2B), Deutsche Bank AG (2.6%, E2.0B), Kingdom of the Netherlands (2.5%, E1.9B), and General Electric (2.0%, E1.5B).
Looking at Sterling-denominated money funds, which account for L134.7 billion of offshore assets, we show over L85.7 billion held in the 10 largest funds. These include: BlackRock ICS Sterling Liquidity Heritage (L26.1 billion), SWIP Global Sterling Liq Fund Inst (L16.4B), JPMorgan Sterling Liquidity Inst (L7.6B), DB Advisors Sterling MMF Institutional (L6.6B), Ignis Sterling Liquidity Fund Cl 0 (L6.2B), HSBC Sterling Liquidity Fund A (L5.7B; HSBC refuses to report holdings so these are not included in totals below), Goldman Sachs Sterling Liquid Reserves Inst (L5.7), RBS Global Sterling MMF Cl 3 (L5.0B), SSgA Global Cash Mgmt GBP Fund (L3.4B), and BNY Mellon Universal Sterling Liq Advantage (L3.0B).
Offshore GBP (pound sterling) money funds held an average of 32% in Commercial Paper, 30% in Certificates of Deposit, 28% in Other (primarily Time Deposits), 6% in Repurchase Agreements (repo), and 3% in Treasury (U.K. government) securities. The largest country allocation was to France (17.8%), followed by Great Britain (14.8%), Germany (13.0%), Netherlands (12.3%), Japan (9.5%), Sweden (6.7%), the U.S. (5.6%), Singapore (4.2%), and Australia (4.1%). Sterling money funds hold 22.9% of assets in overnight securities (1-day maturity) and another 3.3% maturing in 2-7 days (so 26.2% maturing in 1-7 days). Another 20.9% matures in 8-30 days, 38.2% in 31-90 days, 11.1% in 91-180 days, and 3.5% over 181 days.
The 15 largest issuers to GBP "offshore" money funds include: FMS Wertmanagement (5.3%, L5.6B), Credit Agricole (4.7%, L4.9B), ING Bank (4.4%, L4.6B), Nordea Bank (4.0%, L4.2B), HSBC (3.9%, L4.1B), Sumitomo Mitsui Banking Co (3.6%, L3.8B), Rabobank (3.6%, L3.8B), Deutsche Bank AG (3.5%, L3.7B), Bank of Tokyo-Mitsubishi UFJ Ltd (3.4%, L3.6B), JP Morgan (3.0%, L3.2B), Societe Generale (2.9%, L3.1B), Barclays Bank (2.6%, L2.8B), Oversea-Chinese Banking Co (2.6%, L2.8B), Credit Suisse (2.4%, L2.6B), and BNP Paribas (2.3%, L2.5B).
