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 jumped in the latest reported quarter to $614 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 most recent SEC report, as well as our Weekly Money Fund Portfolio Holdings, below.
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 Third Calendar Quarter 2016 through Second 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: Second Calendar Quarter 2018," the most recent data available, now show 113 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers 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 38 Liquidity Fund advisers and 22 Section 3 Liquidity Fund advisers, or 60 advisers in total, down 2 from last quarter (down 2 from a year ago).
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $614 billion, up $38 billion from Q1'18 and up $67 billion from a year ago (Q2'17). Of this total, $309 billion is in normal Liquidity Funds while $305 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 $618 billion, up $38 billion from Q1'18 and up $69 billion from a year ago (Q2'17). Of this total, $311 billion is in normal Liquidity Funds while $307 billion is in Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $109 billion is held by Private Funds (35.7%), $55 billion is held by Other (17.9%), $24 billion is held by SEC-Registered Investment Companies (7.9%), $17 billion is held by Banking/Thrift Inst. (5.6%), $12 billion is held by Insurance Companies (3.9%), $3 billion is held by Pension Plans (1.1%), and $4 billion is held by Non-U.S. Individuals (1.2%).
The tables also show that 79.1% of Section 3 Liquidity Funds have a liquidation period of one day, $284 billion of these funds may suspend redemptions, and $245 billion of these funds may have gates (out of a total of $305 billion). The Portfolio Characteristics show that these funds are very close to money market funds. WAMs average a short 33.3 days (40.9 days when weighted by assets), WALs are a short 60.4 days (67.1 days when asset-weighted), and 7-Day Gross Yields average 1.73% (1.85% asset-weighted).
Daily Liquid Assets average about 46.3% (49.6% asset-weighted) while Weekly Liquid Assets average about 60.8% (61% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; more than half of them (46.7%) 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 Wednesday, which tracks a shifting subset of our monthly Portfolio Holdings collection. The latest cut, with data as of Friday, Feb. 15, 2019, includes Holdings information from 37 money funds (down from 64 on Feb. 1, 2019), representing $606.00 billion, compared to $1.132 trillion on Feb. 1. That represents 19.7% of the $3.082 trillion in total money fund assets tracked by Crane Data. (For our latest monthly Money Fund Portfolio Holdings numbers, see our Feb. 12 News, "Feb. MF Portfolio Holdings: Repo, CD, CP, TD Jump; Treasuries Drop.")
Our latest Weekly MFPH Composition summary shows Government assets again dominated the holdings list with Repurchase Agreements (Repo) totaling $241.0 billion (a decline from $436.2 billion on Feb. 1), or 39.8% of holdings, Treasury debt totaling $210.0 billion (down from $374.3 billion), or 34.7%, and Government Agency securities totaling $102.5 billion (down from $204.9 billion), or 16.9%. Commercial Paper (CP) totaled $23.1 billion (down from $47.1 billion), or 3.8%, and Certificates of Deposit (CDs) totaled $15.2 billion (down from $38.8 billion), or 2.5%. A total of $5.4 billion or 0.9% was listed in the Other category (primarily Time Deposits), and VRDNs accounted for $8.6 billion, or 1.4%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $210.0 billion (34.7% of total holdings), Federal Home Loan Bank with $69.6B (11.5%), Federal Farm Credit Bank with $26.0B (4.3%), BNP Paribas with $23.8B (3.9%), RBC with $22.5B (3.7%), JP Morgan with $19.4B (3.2%), Societe Generale with $16.3B (2.7%), Credit Agricole with $14.2B (2.3%), Barclays PLC with $13.1B (2.2%), and Wells Fargo with $12.0B (2.0%).
The Ten Largest Funds tracked in our latest Weekly Holdings update include: BlackRock Lq FedFund ($86.7B), Wells Fargo Govt MMkt ($76.4B), BlackRock Lq T-Fund ($70.2B), Morgan Stanley Inst Liq Govt ($58.2B), State Street Inst US Govt ($44.0B), BlackRock Lq Trs Trust ($36.8B), Invesco Treasury ($23.8B), Invesco Govt&Agency ($22.0B), Morgan Stanley Inst Liq Trs Sec ($21.7B), and Morgan Stanley Inst Liq Trs ($19.0B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
