Crane Data's latest MFI International shows assets in European or "offshore" money market mutual assets falling in US Dollar MMFs and rising in GBP and 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 $35.9 billion over the last 30 days to $933.5 billion; they're up by $56.9 billion year-to-date. Offshore USD money funds, which hit a record $500 billion in January, are down $7.4 billion over the last 30 days and are down $4.2 billion YTD. Euro funds are up E17.8 billion over the previous 30 days, and YTD they're up E28.1 billion. GBP funds have risen by L681 million over 30 days, and are up by L6.0 billion YTD. U.S. Dollar (USD) money funds (189, unchanged from the previous month) account for over half ($490.2 billion, or 52.2%) of our "European" money fund total, while Euro (EUR) money funds (92, unchanged from the previous month) total E126.8 billion (14.9%) and Pound Sterling (GBP) funds (123, unchanged from the previous month) total L230.9 billion (30.4%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Friday), below. (See also, "Federal Reserve Board announces establishment of a Commercial Paper Funding Facility (CPFF)," and watch for coverage of this tomorrow.)
Offshore USD MMFs yield 1.24% (7-Day) on average (as of 3/13/20), down from 2.29% on 12/31/18, but up from 1.19% at the end of 2017. EUR MMFs yield -0.58% on average, compared to -0.49% at year-end 2018 and -0.55% on 12/29/17. Meanwhile, GBP MMFs yielded 0.58%, down from 0.64% as of 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 2/29/20), show that European-domiciled US Dollar MMFs, on average, consist of 30% in Commercial Paper (CP), 21% in Certificates of Deposit (CDs), 18% in Repo, 15% in Treasury securities, 14% in Other securities (primarily Time Deposits) and 2% in Government Agency securities. USD funds have on average 36.3% of their portfolios maturing Overnight, 8.9% maturing in 2-7 Days, 14.2% maturing in 8-30 Days, 15.0% maturing in 31-60 Days, 11.4% maturing in 61-90 Days, 10.8% maturing in 91-180 Days and 3.5% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (25.5%), France (14.3%), Canada (10.7%), Japan (10.0%), the United Kingdom (7.1%), Germany (7.0%), the Netherlands (5.1%), Sweden (4.6%), Australia (2.8%), Belgium (2.5%), Switzerland (2.3%), Norway (1.7%), Singapore (1.6%) and China (1.4%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $83.4 billion (15.1% of total assets), BNP Paribas with $19.4B (3.5%), Credit Agricole with $17.4B (3.1%), Bank of Nova Scotia with $15.4B (2.8%), Barclays PLC with $15.4B (2.8%), Mitsubishi UFJ Financial Group Inc with $15.3B (2.8%), Mizuho Corporate Bank Ltd with $12.6B (2.3%), Standard Chartered Bank with $11.5B (2.1%), Sumitomo Mitsui Banking Corp with $11.3B (2.1%) and RBC with $10.8B (2.0%).
Euro MMFs tracked by Crane Data contain, on average 48% in CP, 18% in CDs, 22% in Other (primarily Time Deposits), 10% in Repo, 1% in Treasuries and 1% in Agency securities. EUR funds have on average 24.8% of their portfolios maturing Overnight, 7.0% maturing in 2-7 Days, 12.6% maturing in 8-30 Days, 18.9% maturing in 31-60 Days, 14.3% maturing in 61-90 Days, 18.7% maturing in 91-180 Days and 3.6% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.1%), the US (12.0%), Japan (11.6%), Germany (8.8%), Sweden (8.4%), the U.K. (6.4%), the Netherlands (5.7%), Switzerland (4.4%), Canada (3.0%), Belgium (2.6%), China (2.1%), Finland (1.4%) and Austria (1.0%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E6.6B (6.4%), BNP Paribas with E4.4B (4.2%), Societe Generale with E3.8B (3.6%), ING Bank with E3.7B (3.6%), Nordea Bank with E3.4B (3.2%), Mitsubishi UFJ Financial Group Inc with E3.3B (3.2%), BPCE SA with E3.3B (3.2%), Svenska Handelsbanken with E3.3B (3.2%), Sumitomo Mitsui Banking Corp with E3.2B (3.1%) and Procter & Gamble Co with E2.8B (2.7%).
The GBP funds tracked by MFI International contain, on average (as of 2/29/20): 38% in CDs, 25% in CP, 21% in Other (Time Deposits), 14% in Repo, 2% in Treasury and 0% in Agency. Sterling funds have on average 27.5% of their portfolios maturing Overnight, 8.7% maturing in 2-7 Days, 12.5% maturing in 8-30 Days, 13.1% maturing in 31-60 Days, 13.3% maturing in 61-90 Days, 19.5% maturing in 91-180 Days and 5.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (19.0%), Japan (15.2%), the U.K. (14.5%), Canada (9.3%), Germany (6.9%), the US (5.5%), the Netherlands (5.3%), Sweden (4.5%), Switzerland (3.6%), Singapore (3.6%) and Australia (3.4%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L11.7B (6.7%), BNP Paribas with L7.6B (4.4%), Mizuho Corporate Bank Ltd with L7.4B (4.3%), Credit Agricole with L7.4B (4.2%), BPCE SA with L7.3B (4.2%), Mitsubishi UFJ Financial Group Inc with L6.5B (3.7%), Nordea Bank with L6.3B (3.6%), Sumitomo Mitsui Banking Corp with L5.6B (3.2%), ING Bank with L5.5B (3.2%) and Toronto-Dominion Bank with L5.3B (3.1%).
In other news, yields on money market funds and rates on brokerage sweep accounts both fell sharply in the week ahead of the Federal Reserve's 100 basis point rate cut. Our flagship Crane 100 Money Fund Index fell 20 basis points to 1.09%, according to yesterday's Money Fund Intelligence Daily (with data as of Friday, 3/13). The Crane 100 is down from 1.46% at the start of the year and down 1.14% from the beginning of 2019 (2.23%). The Crane Brokerage Sweep Index fell to 0.07% (for balances of $100K), down from 0.10% a week ago and down 21 bps from the end of 2018 (0.28%). Our latest Brokerage Sweep Intelligence, with data as of March 13, shows five out of 11 major brokerages cut rates in the past week (six brokerages lowered rates the previous week). Yields should plunge towards zero as markets digest the Fed's latest panic cut in coming days.
The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 674), shows a 7-day yield of 0.98%, down 19 basis points in the week through Friday, March 13. Prime Inst MFs were down 16 bps to 1.23% in the latest week, while Government Inst MFs fell by 18 bps to 1.08% and Treasury Inst MFs dropped by 25 bps to 0.94%. Treasury Retail MFs currently yield 0.66%, (down 24 bps), Government Retail MFs yield 0.80% (down 16 bps), and Prime Retail MFs yield 1.05% (down 14 bps), Tax-exempt MF 7-day yields increased 0.05% to 0.83%.
Yesterday's Brokerage Sweep Intelligence shows that Ameriprise, Raymond James, RW Baird and Wells Fargo all lowered rates across the board in the past week, while TD Ameritrade dropped their rates on balances of $200K and up. RW Baird cut rates under $250K by 0.23%, their 100K balance is now 0.10%. RW Baird cut tiers over 250K by 0.26%, $1M and up by 0.34% and >$5M by 0.45%.
Ameriprise also trimmed rates across the board; their $100K balance tier now pays 0.03%. Raymond James cut its rates; its $100K balance declined from 0.05% to 0.02%. Wells Fargo also dropped rates for all tiers. Schwab's $100K balance shifted from 0.05% down to 0.01%. TD Ameritrade cut rates among its higher tiers, with their $100K balance remaining at 0.01%. No brokerage sweep rates or money fund yields have dropped to zero or gone negative to date, but this could become a distinct possibility in coming weeks or months.
Crane's Brokerage Sweep Index fell three basis points to 0.07% in the week ended March 13 (for balances of $100K.) E*Trade, TD Ameritrade, Merrill Lynch, Morgan Stanley, Schwab, UBS and Wells Fargo all currently have the lowest rate (0.01%) for balances at the $100K level. Meanwhile, Fidelity continues to have the highest sweep rate (0.57%). (Fidelity also has a higher-yielding money fund option for new accounts.) Raymond James is paying 0.02%, Ameriprise is paying 0.33%, and RW Baird is paying 0.10% for balances of $100K.
Our MFI Daily, with data as of March 13, shows money fund assets have risen $65.4 billion over the past week to $4.101 trillion. Crane Data's daily collection totals broke above the $4.0 trillion level for the first time ever roughly two weeks ago, as assets jumped with market volatility. Prime assets were down $39.1 billion, while Government assets jumped by $104.4B. Tax-Exempt MMFs increased $82 million. Month-to-date money fund assets have risen $135.4 billion. Prime assets are down $30.1 billion MTD, while Government assets jumped up $165.6 billion. Tax-Exempt MMFs fell by $98 million.
