Crane Data's latest MFI International shows assets in European or "offshore" money market mutual assets rising in US Dollar and GBP funds but falling 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 $32.6 billion over the last 30 days to $956.4 billion; they're up by $79.8 billion year-to-date. Offshore USD money funds, which broke over $500 billion in January and which just retook this level, are up $16.3 billion over the last 30 days and are up $9.1 billion YTD. Euro funds are down E2.4 billion over the previous 30 days, but YTD they're up E21.2 billion. GBP funds have risen by L14.6 billion over 30 days, and are up by L19.4 billion YTD. U.S. Dollar (USD) money funds (190, up one from the previous month) account for over half ($503.5 billion, or 52.6%) of our "European" money fund total, while Euro (EUR) money funds (92, unchanged from the previous month) total E119.8 billion (13.9%) and Pound Sterling (GBP) funds (123, unchanged from the previous month) total L244.3 billion (31.0%). We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Wednesday), below.
Offshore USD MMFs yield 0.51% (7-Day) on average (as of 4/14/20), down from 2.29% on 12/31/18 and 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 0.25%, 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 3/31/20), show that European-domiciled US Dollar MMFs, on average, consist of 22% in Commercial Paper (CP), 15.3% in Certificates of Deposit (CDs), 22.5% in Repo, 25.8% in Treasury securities, 11.7% in Other securities (primarily Time Deposits) and 2.7% in Government Agency securities. USD funds have on average 40.1% of their portfolios maturing Overnight, 8.3% maturing in 2-7 Days, 16.4% maturing in 8-30 Days, 11.5% maturing in 31-60 Days, 6.0% maturing in 61-90 Days, 12.5% maturing in 91-180 Days and 5.1% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (36.6%), France (12.9%), Japan (9.2%), Canada (8.0%), the United Kingdom (6.4%), Germany (4.7%), the Netherlands (4.2%), Sweden (3.4%), Switzerland (3.2%), Australia (2.7%), Norway (1.9%), Belgium (1.5%), Singapore (1.5%) and China (1.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $140.0 billion (25.8% of total assets), BNP Paribas with $23.2B (4.3%), Barclays PLC with $14.2B (2.6%), Credit Suisse with $14.1B (2.6%), Bank of Nova Scotia with $14.0B (2.6%), Sumitomo Mitsui Banking Corp with $13.1B (2.4%), Mitsubishi UFJ Financial Group Inc with $11.6B (2.1%), Societe Generale with $11.2B (2.1%), Mizuho Corporate Bank with $10.6B (2.0%) and Fixed Income Clearing Corp with $10.0B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 45.4% in CP, 15.6% in CDs, 29.1% in Other (primarily Time Deposits), 7.8% in Repo, 1.4% in Treasuries and 0.7% in Agency securities. EUR funds have on average 35.3% of their portfolios maturing Overnight, 10.2% maturing in 2-7 Days, 14.3% maturing in 8-30 Days, 12.3% maturing in 31-60 Days, 7.5% maturing in 61-90 Days, 17.4% maturing in 91-180 Days and 3.0% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.9%), Japan (12.4%), the U.S. (9.9%), Germany (9.8%), the Netherlands (6.9%), Sweden (6.7%), the U.K. (5.3%), Switzerland (4.3%), Canada (3.5%), China (3.0%), Belgium (1.8%), Abu Dhabi (1.3%) and Austria (1.1%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E5.2B (4.7%), Societe Generale with E5.1B (4.6%), BNP Paribas with E4.4B (4.0%), Sumitomo Mitsui Banking Corp with E3.9B (3.6%), Mizuho Corporate Bank with E3.7B (3.3%), BPCE SA with E3.6B (3.3%), Mitsubishi UFJ Financial Group Inc with E3.5B (3.2%), ING Bank with E3.4B (3.1%), Republic of France with E3.1B (2.8%) and Rabobank with E3.1B (2.8%).
The GBP funds tracked by MFI International contain, on average (as of 3/31/20): 29.9% in CDs, 23.2% in CP, 29.2% in Other (Time Deposits), 14.6% in Repo, 2.8% in Treasury and 0.3% in Agency. Sterling funds have on average 39.4% of their portfolios maturing Overnight, 7.4% maturing in 2-7 Days, 10.0% maturing in 8-30 Days, 12.0% maturing in 31-60 Days, 10.1% maturing in 61-90 Days, 16.8% maturing in 91-180 Days and 4.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.5%), the U.K. (16.2%), Japan (13.1%), Canada (10.1%), Germany (7.3%), the Netherlands (7.0%), the U.S. (4.9%), Australia (4.1%), Sweden (3.5%), Singapore (3.4%) and Switzerland (3.2%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L18.3B (10.2%), BNP Paribas with L8.8B (4.9%), BPCE SA with L7.8B (4.4%), Mizuho Corporate Bank with L6.6B (3.7%), Sumitomo Mitsui Banking Corp with L5.1B (2.9%), Sumitomo Mitsui Trust Bank with L5.1B (2.8%), Toronto-Dominion Bank with L5.1B (2.8%), Nordea Bank with L5.0B (2.8%), Credit Agricole with L4.9B (2.7%) and Rabobank with L4.8B (2.7%).
In other news, a J.P. Morgan Securities' latest "US Short Duration Update" writes that, "March was a cruel month for prime funds." They explain, "In a rare turn of events, prime MMFs' cash balances fell by $138bn or 18% in March. Outflows of this magnitude have not occurred since the 2016 MMF reform. But unlike the 2016 episode where outflows persisted for months leading to the reform implementation date, last month's outflows were concentrated over only a two-week time period.... It goes without saying that this sharp, sudden pullback severely hampered prime MMFs' ability to manage their portfolios without disrupting the broader money markets, particularly as funds were rapidly approaching the 30% weekly liquidity minimum."
The piece tells us, "Under the circumstances, prime MMFs saw a material shift in their holdings in March.... Based on Crane data, their repo holdings declined by $99bn or 46% month-over-month. This makes sense given the short-dated nature of these instruments which we suspect were used to meet redemptions. The combination of bank CP/CD and ABCP holdings also decreased by $120bn month-over-month, presumably to meet withdrawals too but also to rotate into more liquid assets. Indeed, prime MMFs' exposures to Treasuries, Agencies, and Fed RRP grew $80bn last month."
JPM's update adds, "With MMLF balances registering $53bn as of April 1, this implies that roughly 44% of the change in bank CP/CD and ABCP holdings found their way into the facility while most of the remainder matured. It's unclear what exactly was pledged to the facility, though we can infer from the month-over-month change in holdings by asset class and parent company domicile that most of what was pledged were CDs issued by French, Japanese, and Canadian banks with US branches.... This is not surprising as those issuers also tend to be the largest unsecured borrowers in the bank CP/CD market."
Finally, they comment, "Going forward, with flows stabilizing in prime MMFs, focus among fund managers is likely going to be a balancing act between maintaining liquidity and maintaining yield. While MMLF has helped funds restore weekly liquidity buffers, volatility in the broader markets will continue to challenge how much liquidity they have to hold, and thereby how much they should invest in short-dated paper. At the same time, yields on prime MMFs continue to collapse and are currently averaging around 0.50%, down 50bp from just a month ago. To combat, funds are gradually adding duration as evidenced by their WAMs extending out by 4 days over the past week. To the degree funds continue to extend, this should be supportive of further Libor-OIS narrowing."
