Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds moved sharply lower over the last month to $1.010 trillion, following big gains in 2020. These U.S.-style funds, domiciled in Ireland or Luxembourg and denominated in US Dollars, Pound Sterling and Euros, decreased by $55.9 billion over the last 30 days (through 2/11); they're down $49.5 billion (-4.7%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January 2020, are down $17.9 billion over the last 30 days and are down $12.7 billion YTD to $523.0 billion. Euro funds are down E15.3 billion over the past month, and YTD they're down E19.0 billion to E138.3 billion. GBP money funds have fallen by L15.1 billion over 30 days, and are down by L10.9 billion YTD to L245.7B. U.S. Dollar (USD) money funds (191) account for half (50.6%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 16.5% and Pound Sterling (GBP) funds (117) total 29.4%. 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 0.04% (7-Day) on average (as of 02/11/21), down from 1.59% on 12/31/19 and 2.29% at the end of 2018. EUR MMFs yield -0.66% on average, compared to -0.59% at year-end 2019 and -0.49% on 12/31/18. Meanwhile, GBP MMFs yielded 0.00%, 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 January MFII Portfolio Holdings, with data as of 01/31/21, show that European-domiciled US Dollar MMFs, on average, consist of 23.9% in Commercial Paper (CP), 15.6% in Certificates of Deposit (CDs), 13.4% in Repo, 32.9% in Treasury securities, 13.0% in Other securities (primarily Time Deposits) and 1.1% in Government Agency securities. USD funds have on average 30.0% of their portfolios maturing Overnight, 6.7% maturing in 2-7 Days, 16.8% maturing in 8-30 Days, 14.5% maturing in 31-60 Days, 11.5% maturing in 61-90 Days, 16.1% maturing in 91-180 Days and 4.4% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (41.1%), France (12.9%), Canada (7.5%), Japan (7.1%), Sweden (6.0%), the Netherlands (4.3%), Germany (4.2%), the U.K. (3.4%), Belgium (2.7%) and Australia (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $185.3 billion (32.9% of total assets), BNP Paribas with $19.6B (3.5%), Fixed Income Clearing Corp with $15.5B (2.8%), Credit Agricole with $14.1B (2.5%), Mizuho Corporate Bank Ltd with $12.1B (2.2%), Mitsubishi UFJ Financial Group Inc with $11.2B (2.0%), RBC with $11.1B (2.0%), Toronto-Dominion Bank with $10.5B (1.9%), KBC Group NV with $10.4B (1.9%) and JP Morgan with $10.4B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 40.5% in CP, 20.3% in CDs, 21.2% in Other (primarily Time Deposits), 11.7% in Repo, 5.9% in Treasuries and 0.4% in Agency securities. EUR funds have on average 28.0% of their portfolios maturing Overnight, 7.8% maturing in 2-7 Days, 17.9% maturing in 8-30 Days, 15.1% maturing in 31-60 Days, 11.9% maturing in 61-90 Days, 16.2% maturing in 91-180 Days and 3.0% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (36.6%), Japan (12.3%), the U.S. (9.2%), Sweden (6.5%), Germany (5.3%), Switzerland (4.9%), Belgium (4.6%), Canada (3.2%), the U.K. (2.9%) and the Supranational (2.6%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E8.8B (6.7%), BNP Paribas with E7.3B (5.6%), BPCE SA with E7.3B (5.6%), Republic of France with E5.9B (4.5%), Zürcher Kantonalbank with E4.9B (3.7%), Credit Mutuel with E4.5B (3.4%), Societe Generale with E4.4B (3.4%), Mizuho Corporate Bank Ltd with E4.4B (3.4%), Svenska Handelsbanken with E4.3B (3.3%) and Citi with E4.2B (3.2%).
The GBP funds tracked by MFI International contain, on average (as of 01/31/21): 37.2% in CDs, 20.9% in CP, 18.6% in Other (Time Deposits), 21.0% in Repo, 2.2% in Treasury and 0.1% in Agency. Sterling funds have on average 35.3% of their portfolios maturing Overnight, 8.7% maturing in 2-7 Days, 12.2% maturing in 8-30 Days, 12.0% maturing in 31-60 Days, 12.1% maturing in 61-90 Days, 13.8% maturing in 91-180 Days and 5.9% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (21.8%), the U.K. (18.5%), Japan (14.3%), Canada (10.1%), the U.S. (5.7%), Sweden (4.4%), Switzerland (4.0%), the Netherlands (3.2%), Australia (3.0%), and Germany (2.8%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L17.0B (8.0%), BNP Paribas with L10.6B (5.0%), Mizuho Corporate Bank Ltd with L10.1B (4.8%), RBC with L8.8B (4.1%), Agence Central de Organismes de Securite Sociale with L8.5B (4.0%), Barclays PLC with L8.3B (3.9%), Sumitomo Mitsui Banking Corp with L8.0B (3.8%), Credit Agricole with L8.0B (3.8%), Standard Chartered Bank with L7.4B (3.5%) and BPCE SA with L7.0B (3.3%).
