Crane Data's latest Money Fund Intelligence International shows that assets in European or "offshore" money market mutual funds fell slightly over the past month to $1.066 trillion. EUR & GBP MMFs declined over the past 30 days, while USD funds increased. European MMF assets remain below their record high of $1.101 trillion set in mid-December 2021. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $6.7 billion over the 30 days through 3/13. But the totals are still up $36.3 billion (3.5%) year-to-date. (Note that decreases in the U.S. dollar caused Euro and Sterling totals to jump when they're translated back into dollars. 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.)
Offshore US Dollar money funds are up $7.6 billion over the last 30 days and are up $29.7 billion YTD to $579.2 billion. Euro funds decreased E1.1 billion over the past month. YTD, they're down E11.7 billion to E168.7 billion. GBP money funds decreased L10.6 billion over 30 days; they are down by L19.6 billion YTD to L243.9B. U.S. Dollar (USD) money funds (197) account for half (54.3%) of the "European" money fund total, while Euro (EUR) money funds (95) make up 17.4% and Pound Sterling (GBP) funds (127) total 28.3%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Tuesday), below.
Offshore USD MMFs yield 4.52% (7-Day) on average (as of 3/13/23), up from 4.49% a month earlier. Yields averaged 4.20% on 12/30/22, 0.03% on 12/31/21, 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs finally left negative yield territory 6 months ago; they're yielding 2.35% on average, up from 2.17% a month ago and up from 1.48% on 12/30/22, -0.80% on 12/31/21. They averaged -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs yielded 3.87%, up 12 bps from a month ago, and up from 3.17% on 12/30/22. Sterling yields were 0.01% on 12/31/21, 0.00% on 12/31/20, 0.64% on 12/31/19 and 0.64% on 12/31/18.
Crane's March MFI International Portfolio Holdings, with data as of 2/28/23, show that European-domiciled US Dollar MMFs, on average, consist of 25% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 34% in Repo, 8% in Treasury securities, 16% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 65.2% of their portfolios maturing Overnight, 4.9% maturing in 2-7 Days, 11.3% maturing in 8-30 Days, 4.1% maturing in 31-60 Days, 4.7% maturing in 61-90 Days, 6.5% maturing in 91-180 Days and 3.3% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (30.1%), France (15.1%), Canada (12.2%), Japan (10.5%), Sweden (7.7%), the Netherlands (4.6%), the U.K. (3.7%), Australia (3.4%), Germany (2.1%) and Belgium (1.4%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $50.2 billion (8.2% of total assets), Federal Reserve Bank of New York with $43.0B (7.1%), Fixed Income Clearing Corp with $32.4B (5.3%), Credit Agricole with $26.3B (4.3%), RBC with $24.2B (4.0%), BNP Paribas with $20.6B (3.4%), Sumitomo Mitsui Banking Corp with $17.7B (2.9%), Nordea Bank with $17.6B (2.9%), Mizuho Corporate Bank Ltd with $14.2B (2.3%) and Skandinaviska Enskilda Banken AB with $14.2B (2.3%).
Euro MMFs tracked by Crane Data contain, on average 47% in CP, 23% in CDs, 20% in Other (primarily Time Deposits), 9% in Repo, 0% in Treasuries and 1% in Agency securities. EUR funds have on average 41.7% of their portfolios maturing Overnight, 9.9% maturing in 2-7 Days, 19.7% maturing in 8-30 Days, 10.3% maturing in 31-60 Days, 5.8% maturing in 61-90 Days, 8.1% maturing in 91-180 Days and 4.5% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (33.6%), Japan (14.2%), the U.S. (6.8%), Canada (5.9%), Austria (5.6%), the U.K. (5.4%), Sweden (5.0%), the Netherlands (4.4%), Belgium (4.2%) and Germany (4.1%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E10.5B (6.9%), Erste Group Bank AG with E6.9B (4.5%), BNP Paribas with E6.9B (4.5%), Societe Generale with E6.7B (4.4%), Republic of France with E6.3B (4.1%), Credit Mutuel with E6.1B (4.0%), Mizuho Corporate Bank Ltd with E5.8B (3.8%), Sumitomo Mitsui Banking Corp with E5.1B (3.3%), BPCE SA with E5.0B (3.3%) and Barclays PLC with E5.0B (3.2%).
The GBP funds tracked by MFI International contain, on average (as of 2/28/23): 33% in CDs, 24% in CP, 24% in Other (Time Deposits), 16% in Repo, 2% in Treasury and 1% in Agency. Sterling funds have on average 36.0% of their portfolios maturing Overnight, 12.6% maturing in 2-7 Days, 11.5% maturing in 8-30 Days, 11.5% maturing in 31-60 Days, 11.3% maturing in 61-90 Days, 11.8% maturing in 91-180 Days and 5.3% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (19.6%), Japan (16.8%), Canada (13.5%), the U.K. (11.4%), Australia (6.2%), the Netherlands (5.7%), the U.S. (5.0%), Sweden (3.8%), Spain (3.4%) and Germany (2.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: Mitsubishi UFJ Financial Group Inc with L7.7B (4.9%), Mizuho Corporate Bank Ltd with L6.8B (4.3%), RBC with L5.7B (3.7%), Toronto-Dominion Bank with L5.5B (3.5%), Banco Santander with L5.2B (3.3%), Barclays PLC with L5.0B (3.2%), Credit Mutuel with L4.9B (3.1%), Sumitomo Mitsui Trust Bank with L4.7B (3.0%), Societe Generale with L4.7B (3.0%) and Credit Agricole with L4.7B (3.0%).
In related news, ICI released its latest 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. Their release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in February, prime money market funds held 43.6 percent of their portfolios in daily liquid assets and 58.9 percent in weekly liquid assets, while government money market funds held 82.4 percent of their portfolios in daily liquid assets and 88.6 percent in weekly liquid assets." Prime DLA was up from 40.7% in January, and Prime WLA was up from 58.5%. Govt MMFs' DLA was down from 84.6% and Govt WLA decreased from 90.6% the previous month.
ICI explains, "At the end of February, prime funds had a weighted average maturity (WAM) of 19 days and a weighted average life (WAL) of 45 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 13 days and a WAL of 58 days." Prime WAMs were 3 days longer and WALs were unchanged from the previous month. Govt WAMs were unchanged and WALs were 1 day shorter from January.
Regarding Holdings by Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas rose from $358.08 billion in January to $400.60 billion in February. Government money market funds' holdings attributable to the Americas rose from $3,686.39 billion in January to $3,700.28 billion in February."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $400.6 billion, or 52.2%; Asia and Pacific at $133.6 billion, or 17.4%; Europe at $224.3 billion, or 29.2%; and, Other (including Supranational) at $9.5 billion, or 1.2%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.700 trillion, or 93.7%; Asia and Pacific at $73.6 billion, or 1.9%; Europe at $155.5 billion, 3.9%, and Other (Including Supranational) at $19.1 billion, or 0.5%.
