The Investment Company Institute released its latest "Money Market Fund Assets" report yesterday. It shows that Prime money market funds dipped in the latest week, but they've risen in 10 out of the past 12, and the 17 out of the past 20 weeks. Prime MMFs have risen by $37.2 billion, or 9.1%, over the past 19 weeks, and $75.7 billion, or 20.5%, year-to-date. We review ICI's latest money fund asset totals below, and we also summarize the SEC's new quarterly "Private Funds Statistics" update, which includes some totals and information on "private liquidity funds."
ICI writes, "Total money market fund assets increased by $3.61 billion to $2.75 trillion for the week ended Wednesday, October 25, the Investment Company Institute reported today. Among taxable money market funds, government funds increased by $4.61 billion and prime funds decreased by $1.38 billion. Tax-exempt money market funds increased by $382 million." Total Government MMF assets, which include Treasury funds too, stand at $2.174 trillion (79.1% of all money funds), while Total Prime MMFs stand at $445.4 billion (16.2%). Tax Exempt MMFs total $128.5 billion, or 4.7%.
They explain, "Assets of retail money market funds decreased by $2.58 billion to $981.09 billion. Among retail funds, government money market fund assets decreased by $2.35 billion to $596.83 billion, prime money market fund assets increased by $97 million to $262.26 billion, and tax-exempt fund assets decreased by $329 million to $122.00 billion." Retail assets account for over a third of total assets, or 35.7%, and Government Retail assets make up 60.9% of all Retail MMFs.
ICI's release adds, "Assets of institutional money market funds increased by $6.19 billion to $1.77 trillion. Among institutional funds, government money market fund assets increased by $6.96 billion to $1.58 trillion, prime money market fund assets decreased by $1.48 billion to $183.11 billion, and tax-exempt fund assets increased by $711 million to $6.52 billion." Institutional assets account for 64.3% of all MMF assets, with Government Inst assets making up 89.3% of all Institutional MMFs.
In other news, the SEC released it latest quarterly "Private Funds Statistics" report, which summarizes Form PF statistics and includes some data on "Liquidity Funds." The publication shows a decrease in overall Liquidity fund assets in the latest quarter to $546 billion. A previous press release, entitled, "SEC Staff Supplements Quarterly Private Funds Statistics" tells us, "The U.S. Securities and Exchange Commission staff ... published a suite of new data and analyses of private fund statistics and trends. The Private Funds Statistics ... offers investors and other market participants valuable insights by aggregating data reported by private fund advisers on Form ADV and Form PF. New analyses include ... characteristics of private liquidity funds." We review the latest SEC report below.
The document's "Introduction" explains, "This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings. Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from First Calendar Quarter 2015 through First Calendar Quarter 2017 as reported by Form PF filers." (Note: Crane Data believes these are primarily securities lending reinvestment pools and other short-term investment funds; these aren't the new breed of "3c-7" private liquidity funds being marketed by Federated, JPMorgan and a few others.)
The tables in the SEC's "Private Funds Statistics: First Calendar Quarter 2017," the most recent data available, now show 115 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisors with over $1 billion total in cash), up 2 funds from the prior quarter and up 15 from a year ago. (There are 70 Liquidity Funds and 45 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 39 Liquidity Fund advisers and 24 Section 3 Liquidity Fund advisers, or 63 advisers in total, the same number as last quarter (and seven more than a year ago).
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $546 billion, down $20 billion from Q4'16 and up $28 billion from a year ago (Q1'16). Of this total, $281 billion is in normal Liquidity Funds while $265 billion is in Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $75 billion is held by Private Funds, $60 billion is held by Unknown Non-U.S. Investors, $51 billion is held by Other, $18 billion is held by SEC-Registered Investment Companies, zero is held by Banking/Thrift Inst, $9 billion is held by Insurance Companies, $5 billion is held by Pension Plans, and $4 billion is held by Non-U.S. Individuals. State/Muni Govt Pension Plans held $3 billion, while Non-Profits held $2 billion.
The tables also show that 78.0% of Section 3 Liquidity Funds have a liquidation period of one day, $246 billion of these funds may suspend redemptions, and $215 billion of these funds may have gates (out of a total of $265 billion). The Portfolio Characteristics show that these funds are very close to money market funds. WAMs average a short 31 days (40 days when weighted by assets), WALs are a short 65 days (78 days when asset-weighted), and 7-Day Gross Yields average about 1.10% (0.80% asset-weighted). Daily Liquid Assets average about 45% while Weekly Liquid Assets average about 60%. Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; half of them (48.9%) are fully compliant with Rule 2a-7.
