Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds inched lower over the last month to $1.000 trillion, following a drop in January and big gains in 2020. These U.S.-style funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $17.3 billion over the last 30 days (through 3/11); they're down $62.3 billion (-5.9%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January 2020, are down $7.7 billion over the last 30 days and are down $17.4 billion YTD to $521.6 billion. Euro funds are down E4.4 billion over the past month, and YTD they're down E22.3 billion to E134.6 billion. GBP money funds have fallen by L3.4 billion over 30 days, and are down by L14.1 billion YTD to L242.8B. U.S. Dollar (USD) money funds (193) 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 (116) total 29.4%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers last Friday), below.
Offshore USD MMFs yield 0.03% (7-Day) on average (as of 03/11/21), 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 0.01%, 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 02/28/21, show that European-domiciled US Dollar MMFs, on average, consist of 23.6% in Commercial Paper (CP), 16.2% in Certificates of Deposit (CDs), 10.6% in Repo, 32.0% in Treasury securities, 16.6% in Other securities (primarily Time Deposits) and 1.0% in Government Agency securities. USD funds have on average 31.0% of their portfolios maturing Overnight, 8.3% maturing in 2-7 Days, 13.0% maturing in 8-30 Days, 15.0% maturing in 31-60 Days, 11.7% maturing in 61-90 Days, 16.4% maturing in 91-180 Days and 4.6% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.2%), France (13.5%), Canada (8.3%), Japan (7.4%), Sweden (6.2%), Germany (4.2%), the Netherlands (4.2%), the U.K. (3.5%), Belgium (2.5%) and Australia (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $177.9 billion (32.0% of total assets), Credit Agricole with $17.0B (3.1%), BNP Paribas with $16.1B (2.9%), RBC with $14.1B (2.5%), Mizuho Corporate Bank Ltd with $12.5B (2.3%), KBC Group NV with $12.2B (2.2%), Societe Generale with $12.0B (2.2%), Svenska Handelsbanken with $11.0B (2.0%), Skandinaviska Enskilda Banken AB with $10.4B (1.9%) and Canadian Imperial Bank of Commerce with $10.2B (1.8%).
Euro MMFs tracked by Crane Data contain, on average 36.0% in CP, 19.5% in CDs, 26.9% in Other (primarily Time Deposits), 12.0% in Repo, 5.0% in Treasuries and 0.6% in Agency securities. EUR funds have on average 32.6% of their portfolios maturing Overnight, 7.2% maturing in 2-7 Days, 13.1% maturing in 8-30 Days, 16.0% maturing in 31-60 Days, 11.4% maturing in 61-90 Days, 15.7% maturing in 91-180 Days and 3.9% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (36.0%), Japan (12.2%), the U.S. (9.7%), Sweden (7.0%), Switzerland (5.0%), Belgium (4.9%), Germany (4.0%), the U.K. (3.5%), Canada (3.2%) and the Supranational (2.8%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E9.2B (7.5%), BPCE SA with E7.3B (5.9%), BNP Paribas with E6.7B (5.5%), Societe Generale with E5.5B (4.5%), Republic of France with E5.2B (4.3%), Mizuho Corporate Bank Ltd with E4.5B (3.7%), Svenska Handelsbanken with E4.2B (3.4%), Citi with E4.1B (3.4%), KBC Group NV with E3.8B (3.1%) and Zürcher Kantonalbank with E3.7B (3.0%).
The GBP funds tracked by MFI International contain, on average (as of 02/28/21): 37.6% in CDs, 19.4% in CP, 19.5% in Other (Time Deposits), 20.6% in Repo, 2.7% in Treasury and 0.4% in Agency. Sterling funds have on average 34.1% of their portfolios maturing Overnight, 8.4% maturing in 2-7 Days, 10.0% maturing in 8-30 Days, 14.5% maturing in 31-60 Days, 9.7% maturing in 61-90 Days, 16.3% maturing in 91-180 Days and 7.0% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (20.2%), the U.K. (18.2%), Japan (14.4%), Canada (11.0%), the U.S. (5.9%), Sweden (4.2%), Switzerland (4.1%), the Netherlands (3.7%), Australia (3.3%), and Spain (2.6%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L18.2B (8.9%), Mizuho Corporate Bank Ltd with L9.4B (4.6%), BNP Paribas with L9.3B (4.5%), RBC with L9.0B (4.4%), Mitsubishi UFJ Financial Group Inc with L7.9B (3.9%), Agence Central de Organismes de Securite Sociale with L7.6B (3.7%), Standard Chartered Bank with L7.4B (3.6%), BPCE SA with L7.3B (3.6%), Sumitomo Mitsui Banking Corp with L7.1B (3.5%) and Credit Agricole with L6.4B (3.1%).
Crane Data also published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of Mar. 12, 2021) includes Holdings information from 67 money funds (down 4 funds from two weeks ago), which represent $1.978 trillion (down from $2.082 trillion) of the $4.701 trillion (42.1%) in total money fund assets tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website.)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $1.071 trillion (down from $1.082 trillion two weeks ago), or 54.2%, Repurchase Agreements (Repo) totaling $468.8 billion (down from $532.8 billion two weeks ago), or 23.7% and Government Agency securities totaling $248.0 billion (down from $261.6 billion), or 12.5%. Commercial Paper (CP) totaled $69.8 billion (down from $73.1 billion), or 3.5%. Certificates of Deposit (CDs) totaled $48.0 billion (down from $53.1 billion), or 2.4%. The Other category accounted for $49.3 billion or 2.5%, while VRDNs accounted for $21.2 billion, or 1.1%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.075 trillion (54.4% of total holdings), Federal Home Loan Bank with $128.6B (6.5%), BNP Paribas with $61.2B (3.1%), RBC with $51.4B (2.6%), Federal Farm Credit Bank with $46.2B (2.3%), Federal National Mortgage Association with $41.9B (2.1%), Fixed Income Clearing Corp with $41.0B (2.1%), JP Morgan with $38.3B (1.9%), Federal Home Loan Mortgage Corp with $28.9B (1.5%) and Mitsubishi UFJ Financial Group Inc with $27.8B (1.4%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($222.1 billion), Goldman Sachs FS Govt ($180.0B), Wells Fargo Govt MM ($142.0B), Fidelity Inv MM: Govt Port ($132.1B), Morgan Stanley Inst Liq Govt ($114.7B), JPMorgan 100% US Treas MMkt ($98.2B), Dreyfus Govt Cash Mgmt ($94.3B), Goldman Sachs FS Treas Instruments ($85.0B), First American Govt Oblg ($82.2B) and State Street Inst US Govt ($76.0B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)
