Crane Data's latest MFI International shows assets in European or "offshore" money market mutual assets falling in US Dollar and GBP funds but rising in Euro funds in the latest month. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, increased by $8.3 billion over the last 30 days to $897.6 billion; they're up by $21.0 billion year-to-date. Offshore USD money funds, which hit a record $500 billion on Jan. 2, are down $3.3 billion over 30 days but up $3.1 billion YTD. Euro funds are up E11.4 billion over the previous 30 days, and YTD they're up E10.3 billion. GBP funds have fallen by L756 million over 30 days, but are up by L5.3 billion YTD. U.S. Dollar (USD) money funds (189, unchanged from the previous month) account for over half ($497.6 billion, or 55.4%) of our "European" money fund total, while Euro (EUR) money funds (92, up 5 from the previous month) total E109.0 billion (12.1%) and Pound Sterling (GBP) funds (123, up 3 from the previous month) total L230.2 billion (25.6%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Friday), below.
Offshore USD MMFs yield 1.54% (7-Day) on average (as of 2/13/20), 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 1/31/20), show that European-domiciled US Dollar MMFs, on average, consist of 30% in Commercial Paper (CP), 22% in Certificates of Deposit (CDs), 17% in Repo, 15% in Treasury securities, 14% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 36.7% of their portfolios maturing Overnight, 8.4% maturing in 2-7 Days, 16.1% maturing in 8-30 Days, 11.3% maturing in 31-60 Days, 14.1% maturing in 61-90 Days, 8.9% maturing in 91-180 Days and 4.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (24.8%), France (14.4%), Japan (10.6%), Canada (9.7%), Germany (7.2%), the United Kingdom (6.8%), the Netherlands (5.9%), Sweden (4.6%), Australia (2.8%), Switzerland (2.8%), China (1.9%), Norway (1.6%), Singapore (1.6%) and Belgium (1.6%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $82.4 billion (14.6% of total assets), Credit Agricole with $19.4B (3.4%), BNP Paribas with $17.6B (3.1%), Mitsubishi UFJ Financial Group with $16.6B (2.9%), Bank of Nova Scotia with $16.3B (2.9%), Barclays PLC with $15.2B (2.7%), Mizuho Corporate Bank Ltd with $14.2B (2.5%), Credit Suisse with $12.7B (2.3%), Sumitomo Mitsui Banking Corp with $11.1B (2.0%) and Toronto-Dominion Bank with $10.8B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 47% in CP, 20% in CDs, 20% in Other (primarily Time Deposits), 12% in Repo, 1% in Treasuries and 0% in Agency securities. EUR funds have on average 26.8% of their portfolios maturing Overnight, 8.5% maturing in 2-7 Days, 14.8% maturing in 8-30 Days, 13.0% maturing in 31-60 Days, 16.2% maturing in 61-90 Days, 17.7% maturing in 91-180 Days and 3.0% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (30.3%), the US (13.1%), Japan (12.6%), Germany (8.2%), Sweden (7.5%), the U.K. (6.5%), the Netherlands (4.9%), Switzerland (3.2%), China (2.7%), Canada (2.6%), Belgium (2.5%), Finland (1.5%) and Qatar (0.9%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E8.2B (7.7%), BNP Paribas with E4.4B (4.1%), JP Morgan with E3.9B (3.6%), BPCE SA with E3.5B (3.3%), Mitsubishi UFJ Financial Group with E3.5B (3.3%), Sumitomo Mitsui Banking Corp with E3.5B (3.2%), Societe Generale with E3.5B (3.2%), Nordea Bank with E3.3B (3.1%), Mizuho Corporate Bank Ltd with E3.3B (3.1%) and Svenska Handelsbanken with E3.2B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 1/31/20): 38% in CDs, 24% in Other (Time Deposits), 22% in CP, 14% in Repo, 2% in Treasury and 0% in Agency. Sterling funds have on average 31.9% of their portfolios maturing Overnight, 8.0% maturing in 2-7 Days, 10.3% maturing in 8-30 Days, 14.1% maturing in 31-60 Days, 11.4% maturing in 61-90 Days, 17.7% maturing in 91-180 Days and 6.6% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (17.6%), Japan (17.0%), the U.K. (16.6%), Canada (9.3%), Germany (6.7%), the Netherland (5.4%), the US (4.4%), Sweden (4.0%), Australia (3.5%), Switzerland (3.4%) and Singapore (3.4%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L15.5B (8.5%), Mizuho Corporate Bank Ltd with L8.7B (4.8%), Credit Agricole with L8.5B (4.7%), BNP Paribas with L7.4B (4.1%), BPCE SA with L7.0B (3.8%), Sumitomo Mitsui Banking Corp with L6.7B (3.7%), Sumitomo Mitsui Trust Bank with L6.6B (3.7%), Mitsubishi UFJ Financial Group with L6.0B (3.3%), DZ Bank AG with L5.9B (3.3%) and Nordea Bank with L5.4B (3.0%).
In related news, J.P. Morgan Securities writes in their "JPM Mid-Week US Short Duration Update," that, "Dealer repo is open for business." They tell us, "The January taxable MMF holdings reveal that dealers' use of repo came roaring back in January, with their total repo borrowing increasing $140bn.... The last time that dealer repo borrowing was this high was back in September.... Up until this month, primary dealers had been successively paring down their borrowing in each of the last four months, presumably to prepare for year-end constraints. Last month's decline was also due to a massive liquidity injection from the Fed's open market operations, which effectively crowded out MMF lending to dealers."
JPM's piece continues, "Meanwhile, FICC sponsored repo declined $44bn, but this level is still $92bn higher than at the end of November and is the second-highest level on record. This indicates that sponsored repo is not just a year-end alleviator, but is turning into something of a constant force in the repo markets, as more sponsoring and sponsored members are added to the platform.... Usage of the Fed's RRP dropped off, down $43bn to just $5bn as MMFs found better yields beyond RRP's 1.50%."
It adds, "At the country level, most of the return in repo balances was driven by French and US dealers, who respectively increased repo borrowing by $79bn and $35bn.... At the same time, the heroes of US year-end, the Canadian banks, pulled back their repo borrowing by $32bn in order to deal with their own quarter-end this month. As we have noted before, Canadian banks' quarter-ends and year-ends are two months before US and other banks', allowing them to police US funding markets to some degree during times of calendar-related stress."
Finally, JPM comments, "In the second quarter of this year, repo will become increasingly important for MMFs. As Treasury reduces its issuance and the Fed continues to buy bills for its Reserve Management Purchases, the supply of bills will contract to its lowest level since fall 2017.... If this month's repo volumes are any indication, MMFs should be better able to weather the coming storm as dealers are freed from the same year-end constraints which we saw last month."
