Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds jumped over the past month to a record $1.101 trillion, following three months in a row of asset declines. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, increased by $42.2 billion over the 30 days through 12/13. They're up $41.3 billion (3.9%) year-to-date. Offshore US Dollar money funds are down $658 million over the last 30 days but are up $5.9 billion YTD to $541.6 billion. Euro funds surged E12.3 billion over the past month. YTD they're up E8.4 billion to E165.8 billion. GBP money funds jumped L20.5 billion over 30 days; they are up by L6.3 billion YTD to L262.9B. U.S. Dollar (USD) money funds (192) account for half (49.2%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 17.7% and Pound Sterling (GBP) funds (122) total 33.1%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Tuesday), below. (Note: The Securities & Exchange Commission proposed Money Market Fund Reforms this morning! Watch for details in tomorrow's News and see here for their short release. See also the WSJ's story, "SEC Floats Money-Market Fund Rules to Deter Investor Runs," and see the Open Meeting webinar here)
Offshore USD MMFs yield 0.03% (7-Day) on average (as of 12/13/21), down from 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs yield -0.73% on average, compared to -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs yielded 0.01%, up from 0.00% on 12/31/20, down from 0.64% on 12/31/19 and 0.64% on 12/31/18. (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 December MFII Portfolio Holdings, with data as of 11/30/21, show that European-domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (CP), 16% in Certificates of Deposit (CDs), 14% in Repo, 31% in Treasury securities, 15% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 35.5% of their portfolios maturing Overnight, 9.5% maturing in 2-7 Days, 11.6% maturing in 8-30 Days, 11.3% maturing in 31-60 Days, 11.3% maturing in 61-90 Days, 15.2% maturing in 91-180 Days and 5.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (40.3%), France (12.0%), Canada (9.7%), Japan (8.0%), Sweden (5.2%), Germany (3.1%), Australia (3.1%), the Netherlands (3.0%), the U.K. (3.0%) and Switzerland (2.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $182.2 billion (31.1% of total assets), Credit Agricole with $15.9B (2.7%), BNP Paribas with $15.2B (2.6%), Federal Reserve Bank of New York with $12.9B (2.2%), RBC with $12.8B (2.2%), Canadian Imperial Bank of Commerce with $12.3B (2.1%), Skandinaviska Enskilda Banken AB with $11.7B (2.0%), Mizuho Corporate Bank Ltd with $11.2B (1.9%), Societe Generale with $10.8B (1.8%), and KBC Group NV with $10.6B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 36% in CP, 20% in CDs, 26% in Other (primarily Time Deposits), 11% in Repo, 7% in Treasuries and 0% in Agency securities. EUR funds have on average 33.2% of their portfolios maturing Overnight, 6.6% maturing in 2-7 Days, 6.0% maturing in 8-30 Days, 19.9% maturing in 31-60 Days, 12.8% maturing in 61-90 Days, 18.6% maturing in 91-180 Days and 2.9% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (32.9%), Japan (14.2%), the U.S. (10.4%), Sweden (6.2%), Germany (5.9%), Switzerland (5.0%), the U.K. (4.7%), Supranational (4.2%), Canada (2.7%) and Austria (2.6%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E8.2B (5.6%), Republic of France with E8.1B (5.6%), BNP Paribas with E7.4B (5.1%), Societe Generale with E6.7B (4.6%), Mizuho Corporate Bank with E6.2B (4.2%), Zürcher Kantonalbank with E5.0B (3.4%), Sumitomo Mitsui Banking Corp with E4.5B (3.1%), Svenska Handelsbanken with E4.4B (3.1%), JP Morgan with E4.4B (3.0%) and BPCE SA with E4.2 (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 11/30/21): 37% in CDs, 19% in CP, 23% in Other (Time Deposits), 18% in Repo, 3% in Treasury and 0% in Agency. Sterling funds have on average 36.2% of their portfolios maturing Overnight, 6.3% maturing in 2-7 Days, 4.7% maturing in 8-30 Days, 14.7% maturing in 31-60 Days, 16.9% maturing in 61-90 Days, 14.6% maturing in 91-180 Days and 6.5% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: Japan (17.9%), France (17.4%), the U.K. (14.9%), Canada (10.5%), the Netherlands (7.1%), Australia (5.0%), the U.S. (4.3%), Sweden (4.2%), Germany (3.1%) and Spain (2.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L15.9B (7.5%), Mizuho Corporate Bank Ltd with L11.3B (5.4%), Mitsubishi UFJ Financial Group Inc with L9.1B (4.3%), Rabobank with L7.7B (3.7%), Sumitomo Mitsui Banking Corp with L7.7B (3.7%), BPCE SA with L7.1B (3.4%), Sumitomo Mitsui Trust Bank with L7.1B (3.3%), RBC with L6.9B (3.3%), Banco Santander with L6.4B (3.0%) and Toronto-Dominion Bank with L6.3B (3.0%).
In other news, Fitch Ratings published, "Local Government Investment Pools: 3Q21," which reviews the latest in the LGIP market. They write, "Fitch Ratings' two local government investment pool (LGIP) indices experienced asset declines during the third quarter (3Q21), in line with the usual seasonal slowdown and increase in outflows seen in the fall months. In addition to the seasonal flows, additional outflows occurred during the period as LGIP investors used some of the federal stimulus money previously received to pay for projects. Cumulative assets for the Fitch Liquidity LGIP Index and the Fitch Short-Term LGIP Index were $414 billion at the end of 2Q21, a decrease of $9 billion QoQ and an increase of $48 billion YoY."
The brief continues, "The Fitch Liquidity LGIP Index and the Fitch Short-Term LGIP Index ended the quarter with average net yields of 0.04% (a drop of 1 bp QoQ) and 0.6% (down 2 bps QoQ), respectively. Market yields have increased recently with expectations for rate hikes in 2022 and beyond, which will likely lead to higher net yields for LGIP investors. However, as some LGIP managers have been waiving fees in order to keep LGIP yields above zero in this low-rate environment, as rates increase LGIP managers and investors may initially share the benefit until fee waivers are removed."
Fitch adds, "To mitigate low yields, managers continued investing slightly farther out the maturity curve. The weighted average maturity (WAM) of the Fitch Liquidity LGIP Index decreased to 48 days (down two days from last quarter and still higher than money funds at 34 days) and the duration of the Fitch Short-Term LGIP Index ticked up higher to 1.29 years (up from 1.23 years at the end of 2Q21). This trend of longer WAM and duration is likely to continue until rate increases become imminent."
