Crane Data's MFI International shows assets in European or "offshore" money market mutual hitting a record $1.050 trillion last week, after breaking above $1.0 trillion for the first time ever two months ago. These U.S.-style funds, domiciled in Ireland or Luxemburg and denominated in US Dollars, Pound Sterling and Euros, increased by $23.1 billion over the last 30 days to $1.044 trillion; they're up by $167.3 billion year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January, are up $10.6 billion over the last 30 days and are up $62.3 billion YTD. Euro funds are up E3.9 billion over the previous 30 days, and YTD they're up E26.5 billion. GBP funds have risen by L6.2 billion over 30 days, and are up by L41.2 billion YTD. U.S. Dollar (USD) money funds (192) account for over half ($556.7 billion, or 53.3%) of the "European" money fund total, while Euro (EUR) money funds (92) total E125.1 billion (12.0%) and Pound Sterling (GBP) funds (123) total L266.2 billion (25.5%). 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 0.18% (7-Day) on average (as of 7/14/20), down from 1.59% on 12/31/19 and 2.29% at the end of 2018. EUR MMFs yield -0.53% on average, compared to -0.59% at year-end 2019 and -0.49% on 12/31/18. Meanwhile, GBP MMFs yielded 0.10%, down from 0.64% as of 12/31/19 and 0.64% at the end of 2018. (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 July MFII Portfolio Holdings, with data as of 6/30/20, show that European-domiciled US Dollar MMFs, on average, consist of 24.0% in Commercial Paper (CP), 15.6% in Certificates of Deposit (CDs), 13.4% in Repo, 34.4% in Treasury securities, 10.8% in Other securities (primarily Time Deposits) and 1.7% in Government Agency securities. USD funds have on average 30.3% of their portfolios maturing Overnight, 8.6% maturing in 2-7 Days, 17.2% maturing in 8-30 Days, 13.7% maturing in 31-60 Days, 11.7% maturing in 61-90 Days, 14.7% maturing in 91-180 Days and 3.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (43.8%), France (11.3%), Canada (8.2%), Japan (6.4%), the United Kingdom (5.2%), Sweden (4.8%), Germany (4.5%), the Netherlands (3.5%), Switzerland (2.0%), Australia (1.9%), China (1.5%), Norway (1.4%), Singapore (1.1%) and Belgium (1.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $212.1 billion (33.4% of total assets), BNP Paribas with $17.0B (2.7%), Barclays PLC with $15.0B (2.4%), RBC with $14.8B (2.3%), Fixed Income Clearly Co with $11.2B (1.8%), Mitsubishi UFJ Financial Group Inc with $11.0B (1.7%), Credit Agricole with $10.9B (1.7%), Sumitomo Mitsui Banking Corp with $10.8B (1.7%), Toronto-Dominion Bank AB with $10.3B (1.6%) and JP Morgan with $10.1B (1.6%).
Euro MMFs tracked by Crane Data contain, on average 42.9% in CP, 17.4% in CDs, 21.5% in Other (primarily Time Deposits), 12.2% in Repo, 5.1% in Treasuries and 0.7% in Agency securities. EUR funds have on average 30.3% of their portfolios maturing Overnight, 11.5% maturing in 2-7 Days, 18.1% maturing in 8-30 Days, 14.9% maturing in 31-60 Days, 12.7% maturing in 61-90 Days, 10.1% maturing in 91-180 Days and 2.4% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (29.5%), the U.S. (11.0%), Japan (10.9%), Germany (9.2%), Sweden (6.8%), the Netherlands (5.4%), the U.K. (4.8%), Switzerland (4.5%), Belgium (3.2%), Canada (3.2%), Austria (2.4%), China (1.9%) and Qatar (1.6%).
The 10 Largest Issuers to "offshore" EUR money funds include: BNP Paribas with E6.6B (5.5%), Republic of France with E5.0B (4.2%), Credit Agricole with E4.3B (3.6%), BPCE SA with E4.2B (3.5%), Svenska Handelsbanken with E3.9B (3.3%), Mizuho Corporate Bank Ltd with E3.9B (3.3%), Societe Generale with E3.8B (3.2%), ING Bank with E3.7B (3.1%), JP Morgan with E3.6B (3.1%) and Sumitomo Mitsui Banking Corp with E3.5B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 6/30/20): 33.2% in CDs, 20.0% in CP, 23.1% in Other (Time Deposits), 16.2% in Repo, 6.8% in Treasury and 0.6% in Agency. Sterling funds have on average 34.2% of their portfolios maturing Overnight, 9.9% maturing in 2-7 Days, 11.7% maturing in 8-30 Days, 15.6% maturing in 31-60 Days, 10.8% maturing in 61-90 Days, 13.4% maturing in 91-180 Days and 4.3% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the U.K. (21.7%), France (19.2%), Japan (12.8%), Canada (9.7%), Germany (5.7%), the U.S. (5.4%), the Netherlands (4.4%), Sweden (3.9%), Australia (3.3%), Singapore (2.2%) and Abu Dhabi (2.1%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L32.0B (13.6%), BNP Paribas with L9.8B (4.2%), BPCE SA with L8.1B (3.5%), RBC with L8.1B (3.4%), Mizuho Corporate Bank Ltd with L8.0B (3.4%), Sumitomo Mitsui Banking Corp with L7.7B (3.3%), Agence Central de Organismes de Securite Sociale with L6.9B (2.9%), Mitsubishi UFJ Financial Group Inc with L6.6B (2.8%), Credit Agricole with L6.1B (2.6%) and Nordea Bank with L5.9B (2.5%).
In other news, a press release entitled, "ICD and The Carfang Group Introduce Beta(m) for Corporate Treasury Investing," explains, "ICD, corporate treasury's trusted independent portal provider of money market funds and other short-term investments, and advisory firm The Carfang Group have developed a new quantitative model for assessing risk-weighted investment opportunities in money markets."
ICD Chief Marketing Officer Justin Brimfield comments, "Balancing safety, liquidity and yield while adhering to corporate investment policies is never easy, especially when there is unrest in the markets as we saw in March this year.... Because the dynamics of the market are always shifting, corporations can't just take a set-it-and-forget-it approach to their investments. Now ICD has a quantitative tool to assess the risks/returns of money market investment products."
The release adds, "The Beta(m) model is based on Nobel Prize winning economist Harry Markowitz's Modern Portfolio Theory (MPT), adapted for the money markets. MPT looks at volatility as a method for measuring risk, and states that a diversified portfolio is less risky than risk associated with each individual security within. From MPT, plotting The Money Markets Efficient Frontier allows investors to identify investment opportunities and to avoid investments that are not worth the inherent risk based on their return."
ICD and The Carfang Group introduced the concept in a webinar and white paper, "BETA(m): A Fresh Look at Tradeoffs & Opportunities in Money Markets." The introduction tells us, "In March 2020, U.S. money markets showed their strength as they successfully weathered unprecedented market stress and an overwhelming flight to quality. Companies shifted assets, drew down credit lines and issued debt as they furiously worked to increase the liquidity and safety of their cash. As the dust settled, however, many companies were left sitting on large cash balances, leaving some ready to venture into higher-yielding money instruments. For many corporates considering their next move, two questions remain: Is safety, liquidity and yield still the best way to achieve an efficient portfolio, and What – if any – investment opportunities exist?"
It adds, "ICD teamed up with The Carfang Group for a technical deep dive to find out. This whitepaper presents a compelling approach to Modern Portfolio Theory, adapted to money market instruments. The results reveal a stunning confirmation of the efficiency of the money markets, a demonstrable window of opportunity for Prime and FICA instruments, and a new model for assessing tradeoffs and opportunities in money markets going forward."
