The SEC released its 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 fell sharply in the latest reported quarter to $584 billion (from $617 billion in Q3). 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."

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 First Calendar Quarter 2017 through Fourth Calendar Quarter 2018 as reported by Form PF filers." (Note: Crane Data believes many of the liquidity funds are securities lending reinvestment pools and other short-term investment funds; these are not the 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: Fourth Calendar Quarter 2018," the most recent data available, now show 119 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), up 6 from the last quarter and down 1 from a year ago. (There are 73 Liquidity Funds and 46 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 40 Liquidity Fund advisers and 23 Section 3 Liquidity Fund advisers, or 63 advisers in total, up 3 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 $584 billion, down $33 billion from Q3'18 and up $5 billion from a year ago (Q4'17). Of this total, $295 billion is in normal Liquidity Funds while $289 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 $589 billion, down $34 billion from Q3'18 and up $9 billion from a year ago (Q4'17). Of this total, $297 billion is in normal Liquidity Funds while $292 billion is in Section 3 (large manager) Liquidity Funds.

A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $97 billion is held by Private Funds (33.6%), $55 billion is held by Other (19.0%), $18 billion is held by SEC-Registered Investment Companies (6.2%), $9 billion is held by Insurance Companies (3.1%), $5 billion is held by Non-U.S. Individuals (1.7%), $3 billion is held by Pension Plans (0.9%) and $0 is held by Banking/Thrift Inst (0.0%).

The tables also show that 77.9% of Section 3 Liquidity Funds have a liquidation period of one day, $278 billion of these funds may suspend redemptions, and $243 billion of these funds may have gates (out of a total of $521 billion). The Portfolio Characteristics show that these funds are very close to money market funds. WAMs average a short 28.5 days (38.0 days when weighted by assets), WALs are a short 53.0 days (67.0 days when asset-weighted), and 7-Day Gross Yields average 2.15% (2.28% asset-weighted).

Daily Liquid Assets average about 52.0% (53.0% asset-weighted) while Weekly Liquid Assets average about 63.0% (62.0% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; more than half of them (47.8%) 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, we reprint our "Link of the Day" from Friday below, which explains the huge jump in assets late last week in our MFI Daily product. Subscribers to Crane Data's Money Fund Intelligence Daily product may notice a huge jump in money fund assets on Friday. Please note that the vast majority of the gains are due to the addition of $195 billion in previously untracked funds. The majority of the increase is due to the addition of one fund, the $111 billion American Funds Central Cash Fund. (See our Nov. 16, 2018 News, "American Funds Files for Internal Money Fund, Capital Group Central Cash.")

The MFI Daily file with data as of Thursday, August 22, (and today's file with data as of Friday, Aug. 23) contains 24 new funds with assets totaling $194.5 billion. So there was not a massive jump in MMF assets last week. Over the past several years, following October 2016 when the SEC began disclosing money fund information via its "Form N-MFP" data set in a timely manner, we've added batches of money funds that we hadn't previously tracked to our collections.

A number of these funds are internal or private funds, but they are all "2a-7" money market funds. It's been over a year since we added a major batch of new funds, but we wanted to get our last large block added and over with. Note also that these funds are all already included in our monthly MFI XLS product. We apologize for the disruption in the asset series and any inconvenience this may cause, and we list the largest of these new funds below.

Funds added to MFI Daily Friday include: American Funds Central Cash M (CMQXX with $110.9 billion), PGIM Inst Money Market Fund (PRU01, $18.4B), T Rowe Price Govt Reserve Fund (TRP01, $16.2B), Northern Trust AM Treas Assets Fund (NOR01, $8.0B), TIAA CREF Money Market Account R3 (TIA01, $5.1B), UBS Limited Purpose Cash Inv Fund (UBS03, $5.0B), T Rowe Price Treas Reserve Fund (TRP02, $4.2B), JPMorgan Sec Lending MM Agency SL (VSLXX, $3.5B), Principal Government MM Inst (PGVXX, $3.4B), TIAA CREF Money Market Account R2 (TIA02, $2.9B) and Fidelity VIP Govt Money Market Initial (FID07, $2.3B).

Note once again that this only impacts our MFI Daily; our MFI, MFI XLS and MF Portfolio Holdings data collections already include these funds. For more on the addition of funds to our collections and "internal" money market funds, see our July 17, 2018 Link of the Day, "More Funds Added to MFI Daily," and our Jan. 5, 2017 News, "Internal and Private Money Funds Revealed.")

Email This Article

Use a comma or a semicolon to separate

captcha image