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 January 15. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Sterling and Euro, increased by $12.8 billion over the last 30 days to $889.3 billion, and they're up by $12.7 billion year-to-date. Offshore USD money funds, which hit a record $500 billion on Jan. 2, are up $10.3 billion over 30 days and up $6.5 billion YTD. Euro funds are up E219 million over the previous 30 days, but YTD they're down E1.0 billion. GBP funds have risen by L1.8 billion over 30 days, and they're up by L6.0 billion YTD. U.S. Dollar (USD) money funds (189) account for over half $500.9 billion, or 56.3%) of our "European" money fund total, while Euro (EUR) money funds (87) total E97.6 billion (11.0%) and Pound Sterling (GBP) funds (120) total L231.0 billion (26.0%). 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 1.57% (7-Day) on average (as of 1/15/20), 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 0.64%, the same as 12/31/18 and 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 12/31/19), show that European-domiciled US Dollar MMFs, on average, consist of 28% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 19% in Repo, 18% in Treasury securities, 12% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 35.5% of their portfolios maturing Overnight, 7.7% maturing in 2-7 Days, 14.4% maturing in 8-30 Days, 16.3% maturing in 31-60 Days, 10.4% maturing in 61-90 Days, 12.2% maturing in 91-180 Days and 3.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (30.7%), Canada (12.0%), Japan (11.9%), France (11.4%), Germany (7.4%), the United Kingdom (5.7%), the Netherlands (4.1%), Australia (3.3%), Sweden (2.6%), Switzerland (2.6%), China (1.9%), Singapore (1.7%), Belgium (1.3%) and Norway (1.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $102.7 billion (18.6% of total assets), Sumitomo Mitsui Banking Co with $17.8B (3.2%), BNP Paribas with $16.9B (3.1%), Bank of Nova Scotia with $15.9B (2.9%), RBC with $15.9B (2.9%), Mitsubishi UFJ Financial Group Inc with $15.1B (2.7%), Mizuho Corporate Bank Ltd with $14.6B (2.6%), Fixed Income Clearing Co with $14.3B (2.6%), Toronto-Dominion Bank with $13.5B (2.4%) and Barclays PLC with $12.1B (2.2%).
Euro MMFs tracked by Crane Data contain, on average 48% in CP, 22% in CDs, 21% in Other (primarily Time Deposits), 6% in Repo, 3% in Treasuries and 0% in Agency securities. EUR funds have on average 22.5% of their portfolios maturing Overnight, 11.6% maturing in 2-7 Days, 17.7% maturing in 8-30 Days, 16.8% maturing in 31-60 Days, 10.7% maturing in 61-90 Days, 17.5% maturing in 91-180 Days and 3.2% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (28.8%), Japan (14.3%), the US (10.6%), Germany (8.8%), Sweden (8.1%), the U.K. (7.3%), the Netherlands (4.7%), Switzerland (3.4%), China (2.5%), Belgium (2.5%), Canada (2.4%), Finland (1.8%) and Abu Dhabi (1.3%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E5.0B (5.2%), BNP Paribas with E4.2B (4.3%), Societe Generale with E3.7B (3.9%), Mitsubishi UFJ Financial Group Inc with E3.7B (3.8%), BPCE SA E3.5B (3.6%), Nordea Bank with E3.4B (3.5%), Republic of France with E3.4B (3.5%), Mizuho Corporate Bank Ltd with E3.0B (3.1%), Sumitomo Mitsui Banking Co with E3.0B (3.1%) and Svenska Handelsbanken with E2.9B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 12/31/19): 38% in CDs, 24% in Other (Time Deposits), 20% in CP, 12% in Repo, 6% in Treasury and 0% in Agency. Sterling funds have on average 27.8% of their portfolios maturing Overnight, 9.4% maturing in 2-7 Days, 13.9% maturing in 8-30 Days, 15.6% maturing in 31-60 Days, 12.6% maturing in 61-90 Days, 15.6% maturing in 91-180 Days and 5.1% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the United Kingdom (20.8%), Japan (15.8%), France (15.0%), Canada (9.4%), Germany (6.5%), Sweden (4.1%), the Netherlands (4.1%), Australia (3.8%), the United States (3.6%), Switzerland (3.4%) and Singapore (3.4%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L21.4B (12.1%), Sumitomo Mitsui Banking Co with L8.3B (4.7%), Mizuho Corporate Bank Ltd with L7.6B (4.3%), Credit Agricole with L6.9B (3.9%), DZ Bank AG with L6.2B (3.5%), BPCE SA with L5.9B (3.3%), Nordea Bank with L5.5B (3.1%), BNP Paribas with L5.3B (3.0%), Mitsubishi UFJ Financial Group with L5.2B (2.9%) and Toronto-Dominion Bank with L5.0B (2.8%).
In other news, J.P. Morgan's latest "US Short Duration Update" tells us, "It appears there is another reason why the repo markets were so tame at year-end. In addition to the Fed's massive liquidity injections and Canadian banks' increased activity in the funding markets, market participants substantially increased their use of sponsored repo at the end of the year. The latest data released by FICC shows gross daily average volumes surged by 16% in December to $384bn, the highest monthly level reported thus far. Even more striking are monthly peak volumes, which show usage peaked at $524bn in December (presumably at year-end) versus $346bn in November and the prior high of $400bn in September."
The Update continues, "These are large volumes, particularly for a product that expanded its service only a couple of years, and underscore the growing use and popularity of sponsored repo among market participants. Indeed, December's monthly MMF holdings show that MMFs participated in $276bn of FICC sponsored repo, roughly twice what it had the previous month as well as last year-end.... In contrast, with the exception of Canadian banks which increased their repo exposures with MMFs by $30bn in December, MMFs saw reduced repo exposures to almost all other banks/dealers. In effect, sponsored repo has become the de facto source of backstop supply for MMFs, as opposed to the Fed's ON RRP, which is not surprising as the rate offered often sits above the ON RRP rate."
It explains, "With MMFs willing to transact in sponsored repo, this has, in turn, given banks/dealers greater capacity to lend (also via sponsored repo). Subtracting MMFs' participation from December's peak gross volumes, this suggests sponsoring members provided as much as $248bn of financing into the repo markets at year-end, either to sponsored members such as hedge funds or to other FICC members. Combining this with other liquidity provisions available in the marketplace at the time (i.e., ~$400bn in Fed liquidity and ~$30bn in incremental repo capacity from Canadian banks), it's no wonder year-end was a non-event."
Finally, JPM's piece adds, "Interestingly, a closer look at MMF holdings do not reveal any additional sponsoring members that are engaged with MMFs. Based on what is disclosed, it appears MMFs continue to be engaged in sponsored repo with BNY, JPM, and SST, in spite of the jump in the number of sponsoring members at the end of last year. Currently, there are 12 approved sponsors (Bank of America, Bank of New York Mellon, BNP Paribas, ED&F Man, JPMorgan Chase Bank, JPMorgan Securities, Mizuho, Morgan Stanley, NatWest Markets Securities, Palafox Trading, State Street, and UBS AG Stamford Branch), sponsoring cash and/or collateral providers."
