The SEC released it latest quarterly "Private Funds Statistics" report recently, which summarizes Form PF reporting and includes some data on "Liquidity Funds." The publication shows that overall Liquidity fund assets inched lower in the latest quarter to $567 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, and we also give an update on our latest Weekly Money Fund Portfolio Holdings data collection.

The SEC'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 Second Calendar Quarter 2016 through First Calendar Quarter 2018 as reported by Form PF filers." (Note: Crane Data believes the liquidity funds are primarily securities lending reinvestment pools and other short-term investment funds; these are not 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 2018," the most recent data available, now show 113 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisors with over $1 billion total in cash), down 3 funds from the prior quarter and down 2 from a year ago. (There are 68 Liquidity Funds and 45 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 39 Liquidity Fund advisers and 23 Section 3 Liquidity Fund advisers, or 62 advisers in total, down 2 from last quarter (down 1 from a year ago).

The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $567 billion, down $3 billion from Q4'17 and up $21 billion from a year ago (Q1'17). Of this total, $285 billion is in normal Liquidity Funds while $282 billion is in Section 3 (large manager) Liquidity Funds. The SEC's table on "Aggregate Private Fund Gross Asset Value" shows total Liquidity Fund assets at $571 billion, down $1 billion from Q4'18 and up $22 billion from a year ago (Q1'17). Of this total, $287 billion is in normal Liquidity Funds while $284 billion is in Section 3 (large manager) Liquidity Funds.

A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $94 billion is held by Private Funds (33.1%), $56 billion is held by Other (20.0%), $23 billion is held by SEC-Registered Investment Companies (8.1%), $13 billion is held by Banking/Thrift Inst. (4.8%), $9 billion is held by Insurance Companies (3.3%), $5 billion is held by Pension Plans (1.8%), and $4 billion is held by Non-U.S. Individuals (1.4%). State/Muni Govt Pension Plans held $1 billion (0.3%), and Non-Profits held $1 billion (0.5%).

The tables also show that 78.6% of Section 3 Liquidity Funds have a liquidation period of one day, $265 billion of these funds may suspend redemptions, and $228 billion of these funds may have gates (out of a total of $282 billion). The Portfolio Characteristics show that these funds are very close to money market funds. WAMs average a short 32 days (42 days when weighted by assets), WALs are a short 65 days (70 days when asset-weighted), and 7-Day Gross Yields average about 1.60% (1.65% asset-weighted).

Daily Liquid Assets average about 44% (46% asset-weighted) while Weekly Liquid Assets average about 60% (59% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; almost half of them (44.4%) are fully compliant with Rule 2a-7. (See also our March 15, 2017 News, "CAG's Pan on Pros and Cons of Private Liquidity Funds, SEC Paper, Stats.")

In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics and summary Tuesday, which tracks a shifting subset of our monthly Portfolio Holdings collection. The latest cut, with data as of Nov. 16, includes Holdings information from 68 money funds (up from 64 on Nov. 2), representing $1.185 trillion (up from $1.098 trillion) of the $2.984T (39.7%) in total money fund assets tracked by Crane Data. (For our latest monthly Money Fund Portfolio Holdings numbers, see our Nov. 13 News, "Nov. MF Portfolio Holdings: Treasury, Repo, CDs Up; Fed Repo Near Zero.")

Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Repurchase Agreements (Repo) totaling $454.9 billion (up from $418.6 billion on Nov. 2), or 38.4% of holdings, Treasury debt totaling $383.4 billion (up from $354.2 billion) or 32.4%, and Government Agency securities totaling $222.4 billion (up from $206.6 billion), or 18.8%. Commercial Paper (CP) totaled $49.7 billion (down from $44.4 billion), or 4.2%, and Certificates of Deposit (CDs) totaled $40.0 billion (down from $32.3 billion), or 3.4%. A total of $17.8 billion or 1.5% was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $16.4 billion, or 1.4%.

The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $383.4 billion (32.4% of total holdings), Federal Home Loan Bank with $166.9B (14.1%), BNP Paribas with $54.1 billion (4.6%), RBC with $49.0B (4.1%), Federal Farm Credit Bank with $39.2B (3.3%), Credit Agricole with $32.4B (2.7%), Wells Fargo with $25.5 B (2.1%), Barclays PLC with $23.5B (2.0%), HSBC with $23.5B (2.0%), and Societe Generale with $23.0B (1.9%).

The Ten Largest Funds tracked in our latest Weekly Holdings update include: Fidelity Inv MM: Govt Port ($119.9B), Goldman Sachs FS Govt ($102.3B), BlackRock Lq FedFund ($85.9B), BlackRock Lq T-Fund ($72.7B), Wells Fargo Govt MMkt ($68.5B), Goldman Sachs FS Trs Instruments ($58.6B), Dreyfus Govt Cash Mgmt ($54.3B), Morgan Stanley Inst Liq Govt ($50.1B), State Street Inst US Govt ($43.8B) and Fidelity Inv MM: MMkt Port ($42.6B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)

Email This Article

Use a comma or a semicolon to separate

captcha image