Crane Data's latest MFI International shows assets in "offshore" or European money market mutual funds rising modestly in GBP and gently falling in USD and Euro in the latest month through September 13. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Sterling and Euro, decreased by $2.8 billion to $844.3 billion month-to-date in September, and they're now down by $1.6 billion year-to-date. Offshore USD money funds have inched up $1.4 billion MTD and they're up $7.1 billion YTD. Euro funds are down E6.3 billion so far in September, and YTD they're down E0.1 billion. GBP funds have risen by L2.3 billion through September 13, are they are up by L16.2 billion YTD. U.S. Dollar (USD) money funds (175) account for over half ($461.1 billion, or 54.6%) of our "European" money fund total, while Euro (EUR) money funds (78) total E98.9 billion (13.0%) and Pound Sterling (GBP) funds (103) total L225.6 billion (32.4%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers yesterday), below.

Offshore USD MMFs yield 2.01% (7-Day) on average (as of 9/13/19), down from 2.29% on 12/31/18, but up from 1.19% at the end of 2017. EUR MMFs yield -0.53 on average, compared to -0.49% at year-end 2018 and -0.55% on 12/29/17. Meanwhile, GBP MMFs yielded 0.64%, the same as 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 8/31/19), show that European-domiciled US Dollar MMFs, on average, consist of 29% in Commercial Paper (CP), 23% in Repurchase Agreements (Repo), 22% in Certificates of Deposit (CDs), 12% in Other securities (primarily Time Deposits), 13% in Treasury securities and 1% in Government Agency securities. USD funds have on average 40.7% of their portfolios maturing Overnight, 6.1% maturing in 2-7 Days, 15.2% maturing in 8-30 Days, 11.7% maturing in 31-60 Days, 10.9% maturing in 61-90 Days, 11.7% maturing in 91-180 Days and 3.7% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (24.4%), France (15.2%), Canada (11.7%), Japan (10.3%), the United Kingdom (8.1%), Germany (7.0%), the Netherlands (5.1%), Sweden (3.9%), Australia (2.4%), China (2.4%), Switzerland (2.3%), Singapore (1.8%), Norway (1.5%) and Belgium (0.8%).

The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $64.6 billion (12.6% of total assets), BNP Paribas with $20.3B (3.9%), Bank of Nova Scotia with $16.9B (3.3%), Barclays PLC with $16.3B (3.2%), Mitsubishi UFJ Financial Group Inc with $15.5B (3.0%), Wells Fargo with $13.6B (2.6%), Credit Agricole with $13.0B (2.5%), Standard Chartered Bank with $13.0B (2.5%), Toronto-Dominion Bank with $12.6B (2.4%) and Natixis with $12.4B (2.4%).

Euro MMFs tracked by Crane Data contain, on average 44% in CP, 20% in CDs, 23% in Other (primarily Time Deposits), 9% in Repo, 1% in Agency securities and 3% in Treasuries. EUR funds have on average 30.0% of their portfolios maturing Overnight, 3.6% maturing in 2-7 Days, 16.9% maturing in 8-30 Days, 15.7% maturing in 31-60 Days, 15.2% maturing in 61-90 Days, 15.1% maturing in 91-180 Days and 3.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (31.1%), Japan (14.9%), the US (10.5%), Germany (8.9%), Sweden (6.3%), the U.K. (5.0%), the Netherlands (4.5%), Belgium (3.6%), China (3.6%), Switzerland (3.0%), Canada (2.2%), Finland (1.5%) and Austria (1.2%).

The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E7.4B (7.0%), BNP Paribas with E6.3B (5.9%), Mizuho Corporate Bank Ltd with E4.8B (4.5%), Republic of France with E4.3B (4.0%), Mitsubishi UFJ Financial Group Inc with E3.9B (3.6%), Citi with E3.5B (3.3%), BPCE SA with E3.4B (3.2%), Svenska Handelsbanken with E3.3B (3.1%), KBC Group NV with E2.9B (2.8%) and Nordea Bank with E2.9B (2.7%).

The GBP funds tracked by MFI International contain, on average (as of 8/31/19): 35% in CDs, 24% in Other (Time Deposits), 23% in CP, 12% in Repo, 5% in Treasury and 1% in Agency. Sterling funds have on average 27.1% of their portfolios maturing Overnight, 5.2% maturing in 2-7 Days, 12.8% maturing in 8-30 Days, 15.6% maturing in 31-60 Days, 14.4% maturing in 61-90 Days, 20.0% maturing in 91-180 Days and 5.0% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (19.2%), the United Kingdom (18.6%), Japan (15.6%), Canada (9.6%), Germany (6.6%), the Netherlands (4.9%), Sweden (4.5%), United States (3.6%), Singapore (3.1%), Australia (3.0%), China (2.1%) and Abu Dhabi (2.1%).

The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L18.2B (10.6%), Credit Agricole with L7.9B (4.6%), Mizuho Corporate Bank Ltd with L7.4B (4.3%), BPCE SA with L6.5B (3.8%), Sumitomo Mitsui Banking Co with L6.2B (3.6%), BNP Paribas with L6.1B (3.5%), Mitsubishi UFJ Financial Group Inc with L5.7B (3.3%), Nordea Bank with L5.1B (3.0%), Toronto-Dominion Bank with L4.9B (2.8%) and Sumitomo Mitsui Trust Bank with L4.4B (2.5%).

In related news, J.P. Morgan Securities, in their latest "Short-Term Fixed Income," includes a brief Portfolio Holdings update. They tell us, "As risk-off sentiment rose last month, money fund balances continued their march upward. In aggregate, AUMs climbed $86bn. Government funds led the charge with $67bn of the increase, while prime followed on with $19bn in new money. This surge in balances has followed a sustained upward trend throughout the course of this year. Even accounting for seasonality, year-to-date MMF flows are about $361bn higher than they were through this time last year and $380bn higher than the 2012-2017 average.... The inflows have been mostly driven by prime funds, both retail (+$77bn) and institutional (+$71bn), as well as by institutional government funds (+$164bn)."

JPM explains, "MMFs should remain in demand as investors hide out volatile headline-driven equity markets and fixed income markets that fail to reward longer term risk-taking. In addition, money funds continue to offer a higher yield than bank deposits, on average; plus over the past seven years, MMFs have experienced on average over $85bn of inflows between now and the end of the year."

The update adds, "Government MMF holdings of Agency SOFR FRNs continued to increase in August, rising over $35bn. Government funds continue to hold close to 85% of all SOFR GSE FRNs outstanding.... In August, prime funds reduced dealer repo (-$10bn) in favor of Treasuries (+$16bn) and Agencies (+$5bn).... Bank CP/CD/TD exposures decreased modestly, by $6bn, though at a sector level the change in exposures varied widely. Allocations to Eurozone banks decreased, reversing last month's positive inflow. Amid heightened Brexit anxiety, allocations to British banks saw an overall decline of $6bn. Allocations to Norwegian, American, and Australian banks increased modestly.... At the individual issuer level, changes were largely idiosyncratic."

Finally, we wanted to remind readers once more about our 7th Annual Crane's European Money Fund Symposium, which will take place next week, Sept. 23-24, at The Hilton Dublin in Dublin, Ireland. The latest agenda is available and registrations are still being taken for the largest money market fund gathering in Europe. Contact us for more information, or feel free to stop by the show if you're in Dublin.... See you next week!

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