Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds inched lower over the past 30 days to $1.040 trillion, following a small gain the prior month. These U.S.-style funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, decreased by $4.4 billion over the last 30 days (through 8/12); they're down $18.9 billion (-1.8%) year-to-date. Offshore US Dollar money funds are down $16.4 billion over the last 30 days and are down $15.4 billion YTD to $535.7 billion. Euro funds are up E3.9 billion over the past month, but YTD they're down E14.2 billion to E143.1 billion. GBP money funds have risen by L5.0 billion over 30 days, but are down by L11.7 billion YTD to L244.8B. U.S. Dollar (USD) money funds (193) account for half (50.0%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 16.8% and Pound Sterling (GBP) funds (116) total 33.2%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers yesterday), below.
Offshore USD MMFs yield 0.02% (7-Day) on average (as of 8/12/21), down from 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs yield -0.66% on average, compared to -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs yielded 0.01%, up from 0.00% on 12/31/20, down from 0.64% on 12/31/19 and 0.64% on 12/31/18. (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 August MFII Portfolio Holdings, with data as of 7/31/21, show that European-domiciled US Dollar MMFs, on average, consist of 23% in Commercial Paper (CP), 16% in Certificates of Deposit (CDs), 13% in Repo, 30% in Treasury securities, 17% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 33.7% of their portfolios maturing Overnight, 9.0% maturing in 2-7 Days, 14.3% maturing in 8-30 Days, 13.0% maturing in 31-60 Days, 10.7% maturing in 61-90 Days, 13.2% maturing in 91-180 Days and 6.0% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (39.1%), France (13.4%), Canada (8.6%), Japan (7.8%), Sweden (7.4%), the Netherlands (4.2%), the U.K. (2.9%), Germany (2.5%), Belgium (2.3%) and Australia (2.0%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $165.5 billion (30.4% of total assets), Credit Agricole with $17.4B (3.2%), BNP Paribas with $16.8B (3.1%), Mizuho Corporate Bank with $13.2B (2.4%), Skandinaviska Enskilda Banken AB with $12.9B (2.4%), RBC with $12.1B (2.2%), KBC Group with $11.4B (2.1%), Nordea Bank with $11.0B (2.0%), Societe Generale with $9.5B (1.7%) and Toronto-Dominion Bank with $9.4B (1.7%).
Euro MMFs tracked by Crane Data contain, on average 36% in CP, 21% in CDs, 25% in Other (primarily Time Deposits), 13% in Repo, 4% in Treasuries and 1% in Agency securities. EUR funds have on average 34.7% of their portfolios maturing Overnight, 6.5% maturing in 2-7 Days, 13.2% maturing in 8-30 Days, 12.4% maturing in 31-60 Days, 14.0% maturing in 61-90 Days, 15.6% maturing in 91-180 Days and 3.7% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (35.4%), Japan (14.0%), the U.S. (12.3%), Sweden (7.6%), Switzerland (5.6%), Germany (5.5%), Canada (3.7%), Belgium (3.0%), Supranational (3.0%) and the U.K (2.5%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E8.9B (7.5%), BPCE SA with E6.4B (5.4%), Societe Generale with E6.0B (5.1%), BNP Paribas with E5.4B (4.6%), Mizuho Corporate Bank Ltd with E4.5B (3.8%), Sumitomo Mitsui Banking Corp with E4.5B (3.8%), Zürcher Kantonalbank with E4.2B (3.5%), Republic of France with E4.0B (3.4%), JP Morgan with E3.8B (3.3%) and Citi with E3.7B (3.1%).
The GBP funds tracked by MFI International contain, on average (as of 7/31/21): 33% in CDs, 21% in CP, 21% in Other (Time Deposits), 20% in Repo, 5% in Treasury and 0% in Agency. Sterling funds have on average 36.9% of their portfolios maturing Overnight, 9.0% maturing in 2-7 Days, 9.9% maturing in 8-30 Days, 10.6% maturing in 31-60 Days, 15.1% maturing in 61-90 Days, 13.3% maturing in 91-180 Days and 5.3% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (24.5%), Japan (17.9%), the U.K. (13.4%), Canada (11.2%), the Netherlands (4.4%), the U.S. (4.4%), Sweden (4.2%), Australia (4.1%), Switzerland (3.1%) and Germany (2.8%).
The 10 Largest Issuers to "offshore" GBP money funds include: BNP Paribas with L17.0B (9.4%), the UK Treasury with L10.1B (5.6%), Mizuho Corporate Bank Ltd with L8.8B (4.9%), Mitsubishi UFJ Financial Group Inc with L7.6B (4.2%), BPCE SA with L7.1B (3.9%), Sumitomo Mitsui Banking Corp with L6.9B (3.8%), Sumitomo Mitsui Trust Bank with L5.8B (3.2%), RBC with 5.8B (3.2%), Toronto Dominion with L5.6B (3.1%) and Credit Agricole with L5.5B (3.0%).
In other news, The Wall Street Journal writes about Tether and its unconvincing reserves in "Tether Sheds Light, but Not Enough, on Its $63 Billion Reserves." Columnist James Mackintosh comments, "One of the things most cryptocurrency enthusiasts really don't want is more exposure to the U.S. government. It turns out -- via the biggest so-called stablecoin, tether -- that is exactly what they got. Holdings of Treasury bills backing tether surged, according to the first accountant-verified breakdown of its issuer's $63 billion of assets."
He explains, "The good news is that with more detailed disclosure and the stamp of approval from an accountant, it is less likely that Tether, the company that issues the coin, and linked crypto brokerage Bitfinex are repeating the illegal practices that led to an $18.5 million settlement with the New York Attorney General earlier this year. The bad news is that the disclosure is still far less than is provided by regulated money-market funds. The accountant's assurance is limited to one day, and it is based in the Cayman Islands -- albeit part of Moore Global, a second-tier international firm. And the portfolio still includes plenty of assets that would be hard to sell to support the value of the coin in an emergency."
The Journal adds, "Almost half the assets are in commercial paper, a form of short-term loan used by banks and large companies. The bulk of that is rated investment grade. But its holdings have an average rating of A-2, lower than the norm for a prime money-market fund. They have an average maturity of 150 days, much longer than is usual among such funds.... The danger of taking more risk is that a sudden fall in the markets Tether invests in could wipe out the slim cushion of 0.25% of extra assets Tether holds above its liabilities. If that happened, its assets would be worth less than $1 per tether, which could destroy confidence and prompt a rush to withdraw, as happened to money-market funds that 'broke the buck' during the 2008 financial crisis."
