Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds moved lower again over the past month. They broke above the $1.0 trillion for the first time ever three months ago, hitting a record $1.056 trillion in August. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, have decreased by $27.5 billion over the last 30 days (when translated into dollars), but they're up by $133.2 billion (15.2%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January, are down $24.2 billion over the last 30 days but up $28.0 billion YTD to $522.4 billion. Euro funds are down E3.6 billion over the past month, and YTD they're up E38.6 billion to E137.3 billion. GBP money funds have risen by L721 million over 30 days, and are up by L22.1billion YTD to L247.0B. U.S. Dollar (USD) money funds (192) account for over half (51.7%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 15.1% and Pound Sterling (GBP) funds (120) total 29.7%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Monday), below. (Note: For more on European and offshore money funds, register for our European Money Fund Symposium Online, which takes place Thursday, Nov. 19 from 10am-12pm Eastern, or 3-5pmGMT.)
Offshore USD MMFs yield 0.05% (7-Day) on average (as of 11/13/20), down from 1.59% on 12/31/19 and 2.29% at the end of 2018. EUR MMFs yield -0.63% on average, compared to -0.59% at year-end 2019 and -0.49% on 12/31/18. Meanwhile, GBP MMFs yielded 0.02%, down from 0.64% as of 12/31/19 and 0.64% at the end of 2018. (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 November MFII Portfolio Holdings, with data as of 10/31/20, show that European-domiciled US Dollar MMFs, on average, consist of 21.8% in Commercial Paper (CP), 14.9% in Certificates of Deposit (CDs), 16.6% in Repo, 34.5% in Treasury securities, 11.0% in Other securities (primarily Time Deposits) and 1.2% in Government Agency securities. USD funds have on average 33.3% of their portfolios maturing Overnight, 8.2% maturing in 2-7 Days, 13.4% maturing in 8-30 Days, 11.8% maturing in 31-60 Days, 11.6% maturing in 61-90 Days, 18.0% maturing in 91-180 Days and 3.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (44.2%), France (12.4%), Japan (8.1%), Canada (5.8%), Germany (4.7%), the Netherlands (4.4%), Sweden (4.3%), the U.K. (3.7%), Switzerland (2.1%), Australia (2.0%), Belgium (1.8%), Norway (1.8%), Singapore (1.0%) and Abu Dhabi (1.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $193.0 billion (34.5% of total assets), BNP Paribas with $20.3B (3.6%), Fixed Income Clearing Corp with $18.3B (3.3%), Mizuho Corporate Bank Ltd with $13.4B (2.4%), Mitsubishi UFJ Financial Group Inc with $11.7B (2.1%), Barclays PLC with $11.5B (2.1%), Credit Agricole with $11.4B (2.0%), JP Morgan with $10.5B (1.9%), Sumitomo Mitsui Banking Corp with $9.6B (1.7%) and Societe Generale with $9.3B (1.7%).
Euro MMFs tracked by Crane Data contain, on average 43.0% in CP, 14.8% in CDs, 22.6% in Other (primarily Time Deposits), 15.2% in Repo, 3.6% in Treasuries and 0.7% in Agency securities. EUR funds have on average 33.9% of their portfolios maturing Overnight, 8.1% maturing in 2-7 Days, 13.8% maturing in 8-30 Days, 10.4% maturing in 31-60 Days, 15.2% maturing in 61-90 Days, 12.7% maturing in 91-180 Days and 5.8% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (33.3%), the U.S. (10.5%), Japan (9.9%), Germany (9.8%), Sweden (4.5%), the U.K. (4.4%), the Netherlands (4.2%), Switzerland (3.6%), Canada (3.5%), Belgium (3.3%), Austria (2.4%), China (1.6%) and Italy (1.5%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E7.7B (6.0%), Credit Agricole with E7.3B (5.6%), BPCE SA with E6.2B (4.8%), Citi with E4.7B (3.6%), Societe Generale with E4.6B (3.6%), Sumitomo Mitsui Banking Corp with E3.7B (2.9%), Republic of France with E3.7B (2.9%), Zurich Cantonal Bank with E3.7B (2.8%), DZ Bank AG with E3.6B (2.8%) and Mizuho Corporate Bank Ltd with E3.6B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 10/31/20): 33.1% in CDs, 19.9% in CP, 21.9% in Other (Time Deposits), 21.5% in Repo, 3.1% in Treasury and 0.4% in Agency. Sterling funds have on average 37.2% of their portfolios maturing Overnight, 9.7% maturing in 2-7 Days, 11.7% maturing in 8-30 Days, 7.8% maturing in 31-60 Days, 12.0% maturing in 61-90 Days, 17.3% maturing in 91-180 Days and 4.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (21.5%), the U.K. (19.3%), Japan (16.5%), Canada (8.4%), the U.S. (5.3%), Sweden (5.2%), Germany (4.3%), the Netherlands (4.0%), Abu Dhabi (2.3%), Spain (2.3%) and Australia (2.2%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L19.6B (9.4%), BNP Paribas with L12.1B (6.3%), Mizuho Corporate Bank Ltd with L11.3B (5.4%), Mitsubishi UFJ Financial Group Inc with L8.8B (4.2%), BPCE SA with L7.9B (3.8%), Agence Central de Organismes de Securite Sociale with L7.8B (3.7%), Sumitomo Mitsui Banking Corp with L7.7B (3.7%), Credit Agricole with L7.6B (3.6%), Nordea Bank with L7.4B (3.5%) and Barlcays PLC with L7.1B (3.4%).
In other news, ICI released its latest monthly "Money Market Fund Holdings" summary yesterday, 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 November 12 News, "November MF Portfolio Holdings: Repo, Agencies, Treas Plunge; TDs Up.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in October, prime money market funds held 37.9 percent of their portfolios in daily liquid assets and 50.9 percent in weekly liquid assets, while government money market funds held 74.4 percent of their portfolios in daily liquid assets and 84.4 percent in weekly liquid assets." Prime DLA was unchanged from 37.9% in September, and Prime WLA increased from 49.9%. Govt MMFs' DLA increased from 74.1% in September and Govt WLA increased from 84.1% from the previous month.
ICI explains, "At the end of October, prime funds had a weighted average maturity (WAM) of 48 days and a weighted average life (WAL) of 62 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 45 days and a WAL of 101 days." Prime WAMs were up two days from the previous month, WALs also up two days from the previous month. Govt WAMs and WALs were unchanged from September.
Regarding Holdings By Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas declined from $290.65 billion in September to $277.24 billion in October. Government money market funds' holdings attributable to the Americas declined from $3,320.00 billion in September to $3,209.56 billion in October." The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $277.2 billion, or 46.9%; Asia and Pacific at $91.5 billion, or 15.5%; Europe at $216.7 billion, or 36.6%; and, Other (including Supranational) at $6.1 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.210 trillion, or 87.6%; Asia and Pacific at $109.3 billion, or 3.0%; Europe at $326.3 billion, 8.9%, and Other (Including Supranational) at $18.5 billion, or 0.5%."
