Crane Data's latest MFI International shows assets in "offshore" European money market mutual assets rising in US Dollar, Sterling and Euro funds in the 30 days through December 13. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Sterling and Euro, increased by $27.3 billion to $876.5 billion over the period of 11/14 through 12/13, and they're up by $30.5 billion year-to-date. Offshore USD money funds are up $14.2 billion over 30 days and up $36.6 billion YTD. Euro funds are up E4.0 billion over a month, but YTD they're down E1.6 billion. GBP funds have risen by L7.1 billion from Nov. 14 through December 13, and they're up by L19.7 billion YTD. U.S. Dollar (USD) money funds (190) account for over half ($490.6 billion, or 56.0%) of our "European" money fund total, while Euro (EUR) money funds (88) total E97.4 billion (12.3%) and Pound Sterling (GBP) funds (123) total L229.2 billion (31.7%). 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 1.59% (7-Day) on average (as of 12/13/19), down from 2.29% on 12/31/18, but up from 1.19% at the end of 2017. EUR MMFs yield -0.57 on average, compared to -0.49% at year-end 2018 and -0.55% on 12/29/17. Meanwhile, GBP MMFs yielded 0.63%, one less than 0.64% on 12/31/18 but up from 0.24% at the end of 2017. (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 MFII Portfolio Holdings, with data (as of 11/30/19), show that European-domiciled US Dollar MMFs, on average, consist of 29% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 18% in Repo, 17% in Treasury securities, 13% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 35.5% of their portfolios maturing Overnight, 8.4% maturing in 2-7 Days, 12.8% maturing in 8-30 Days, 11.0% maturing in 31-60 Days, 14.4% maturing in 61-90 Days, 14.4% maturing in 91-180 Days and 3.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (28.6%), France (13.7%), Canada (10.7%), Japan (10.6%), Germany (7.2%), the United Kingdom (5.7%), the Netherlands (4.3%), Sweden (3.7%), Australia (3.2%), China (2.1%), Switzerland (2.0%), Belgium (1.6%), Norway (1.5%) and Singapore (1.3%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $93.9 billion (17.2% of total assets), BNP Paribas with $18.3B (3.4%), Mitsubishi UFJ Financial Group Inc with $15.6B (2.9%), Bank of Nova Scotia with $14.4B (2.6%), Barclays PLC with $13.8B (2.5%), Credit Agricole with $12.6B (2.3%), Mizuho Corporate Bank Ltd with $12.5B (2.3%), Toronto-Dominion Bank with $12.4B (2.3%), RBC with $12.0B (2.2%) and Sumitomo Mitsui Banking Co with $11.5B (2.1%).
Euro MMFs tracked by Crane Data contain, on average 46% in CP, 22% in Other (primarily Time Deposits), 21% in CDs, 8% in Repo, 2% in Treasuries and 1% in Agency securities. EUR funds have on average 23.1% of their portfolios maturing Overnight, 7.8% maturing in 2-7 Days, 12.0% maturing in 8-30 Days, 21.3% maturing in 31-60 Days, 15.1% maturing in 61-90 Days, 17.4% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.3%), Japan (11.5%), the US (11.4%), the U.K. (8.2%), Sweden (7.8%), Germany (7.6%), the Netherlands (4.5%), Switzerland (3.6%), Belgium (3.1%), Canada (3.1%), China (3.0%), Finland (1.8%) and Qatar (1.0%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.3B (7.7%), BNP Paribas with E4.3B (4.5%), BPCE SA with E3.4B (3.6%), Nordea Bank with E3.3B (3.5%), Republic of France E2.9B (3.1%), Societe Generale with E2.9B (3.1%), Mizuho Corporate Bank Ltd with E2.8B (3.0%), Procter & Gamble Co with E2.8B (2.9%), Mitsubishi UFJ Financial Group Inc with E2.7B (2.9%) and Svenska Handelsbanken with E2.7B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 11/30/19): 36% in CDs, 26% in Other (Time Deposits), 19% in CP, 14% in Repo, 5% in Treasury and 0% in Agency. Sterling funds have on average 28.6% of their portfolios maturing Overnight, 9.2% maturing in 2-7 Days, 7.6% maturing in 8-30 Days, 17.3% maturing in 31-60 Days, 16.2% maturing in 61-90 Days, 15.6% maturing in 91-180 Days and 5.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the United Kingdom (20.0%), France (17.1%), Japan (16.1%), Canada (8.6%), Germany (5.8%), Netherlands (4.6%), Australia (4.2%), United States (3.8%), Sweden (3.7%), Switzerland (3.3%) and Singapore (3.0%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L19.9B (11.5%), BPCE SA with L8.2B (4.7%), Mizuho Corporate Bank Ltd with L7.6B (4.4%), Credit Agricole with L7.6B (4.4%), Sumitomo Mitsui Banking Co with L7.2B (4.2%), BNP Paribas with L5.8B (3.3%), Mitsubishi UFJ Financial Group with L5.2B (3.0%), DZ Bank AG with L5.1B (2.9%), Standard Chartered Bank with L5.0B (2.9%) and Sumitomo Mitsui Trust Bank with L4.9B (2.8%).
In related news, ICI released its 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. (For more, see our Dec. 11 News, "Dec. MF Portfolio Holdings: Treasuries at Record $1.1 Tril; Repos Slide.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in November, prime money market funds held 26.4 percent of their portfolios in daily liquid assets and 40.9 percent in weekly liquid assets, while government money market funds held 60.3 percent of their portfolios in daily liquid assets and 77.2 percent in weekly liquid assets." Prime DLA decreased from 27.2% in October, and Prime WLA decreased from 41.2% the previous month. Govt MMFs' DLA decreased from 61.2% in October and Govt WLA decreased from 78.5% from the previous month.
ICI explains, "At the end of November, prime funds had a weighted average maturity (WAM) of 40 days and a weighted average life (WAL) of 78 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 38 days and a WAL of 99 days.." Prime WAMs decreased by one day from the previous month and WALs stayed the same. Govt WAMs increased by three days and WALs stayed the same as the previous month.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $332.05 billion in October to $336.58 billion in November. Government money market funds' holdings attributable to the Americas rose from $2,157.99 billion in October to $2,179.84 billion in November."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $336.6 billion, or 43.5%; Asia and Pacific at $160.8 billion, or 20.8%; Europe at $268.6 billion, or 34.7%; and, Other (including Supranational) at $7.7 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $2.180 trillion, or 81.8%; Asia and Pacific at $150.9 billion, or 5.7%; Europe at $323.3 billion, or 12.1%, and Other (Including Supranational) at $11.3 billion, or 0.4%."
