The SEC recently released its quarterly "Private Funds Statistics" report, which summarizes Form PF reporting and includes some data on "Liquidity Funds." The publication shows overall Liquidity fund assets were up in the latest reported quarter (Q1'20) to $585 billion (up from $578 billion in Q4'19). The SEC's "Introduction" tells us, "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 2018 through First Calendar Quarter 2020 as reported by Form PF filers." Note: Crane Data believes many of these liquidity funds are securities lending reinvestment pools and other short-term investment funds.
The tables in the SEC's "Private Funds Statistics: First Calendar Quarter 2020," with the most recent data available, show 105 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), down three from the last quarter and down 12 from a year ago. (There are 64 Liquidity Funds and 41 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 36 Liquidity Fund advisers and 21 Section 3 Liquidity Fund advisers, or 57 advisers in total, down one from last quarter (down four from a year ago).
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $585 billion, up $7 billion from Q4'19 and up $12 billion from a year ago (Q1'19). Of this total, $296 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 $594 billion, up $11 billion from Q4'19 and up $2 billion from a year ago (Q1'19). Of this total, $300 billion is in normal Liquidity Funds while $294 billion is in Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $72 billion is held by Private Funds (24.9%), $61 billion is held by Unknown Non-U.S. Investors (21.0%), $76 billion is held by Other (26.2%), $12 billion is held by SEC-Registered Investment Companies (4.3%), $10 billion is held by Insurance Companies (3.5%) and $4 billion is held by Non-U.S. Individuals (1.5%).
The tables also show that 75.5% of Section 3 Liquidity Funds have a liquidation period of one day, $274 billion of these funds may suspend redemptions, and $239 billion of these funds may have gates (out of a total of $513 billion). WAMs average a short 29 days (42 days when weighted by assets), WALs are 58 days (77 days when asset-weighted), and 7-Day Gross Yields average 0.75% (0.5% asset-weighted). Daily Liquid Assets average about 51% (51% asset-weighted) while Weekly Liquid Assets average about 64% (65% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; almost half of them (46.3%) are fully compliant with Rule 2a-7.
In other news, ICI released its latest monthly "Money Market Fund Holdings" summary yesterday, which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (For more, see our December 10 News, "December MF Portfolio Holdings: Repo Retakes $1 Tril., Agencies Drop.")
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in November, prime money market funds held 38.8 percent of their portfolios in daily liquid assets and 51.7 percent in weekly liquid assets, while government money market funds held 75.1 percent of their portfolios in daily liquid assets and 84.6 percent in weekly liquid assets." Prime DLA was up from 37.9% in October, and Prime WLA increased from 50.9%. Govt MMFs' DLA increased from 74.4% in October and Govt WLA increased from 84.4% from the previous month.
ICI explains, "At the end of November, prime funds had a weighted average maturity (WAM) of 43 days and a weighted average life (WAL) of 58 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 45 days and a WAL of 99 days." Prime WAMs were down five days from the previous month, while WALs were down four days from the previous month. Govt WAMs were unchanged, while Govt WALs were down two days from October.
Regarding Holdings By Region of Issuer, the release tells us, "Prime money market funds' holdings attributable to the Americas declined from $277.24 billion in October to $268.37 billion in November. Government money market funds' holdings attributable to the Americas rose from $3,209.56 billion in October to $3,249.75 billion in November." The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $268.4 billion, or 47.3%; Asia and Pacific at $91.7 billion, or 16.2%; Europe at $201.1 billion, or 35.5%; and, Other (including Supranational) at $5.6 billion, or 1.0%. The Government Money Market Funds by Region of Issuer table shows Americas at $3.250 trillion, or 870%; Asia and Pacific at $126.7 billion, or 3.4%; Europe at $339.5 billion, 9.1%, and Other (Including Supranational) at $18.8 billion, or 0.5%."
Finally, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of December 11) includes Holdings information from 77 money funds (up 5 from two weeks ago), which represent $2.106 trillion (up from $2.078 trillion) of the $4.711 trillion (44.7%) in total money fund assets tracked by Crane Data. (Note that our Weekly MFPH are e-mail only and aren't available on the website.)
Our latest Weekly MFPH Composition summary again shows Government assets dominating the holdings list with Treasury totaling $1.182 trillion (up from $1.141 trillion two weeks ago), or 56.1%, Repurchase Agreements (Repo) totaling $485.9 billion (down from $488.0 billion two weeks ago), or 23.1% and Government Agency securities totaling $247.5 billion (down from $269.9 billion), or 11.8%. Commercial Paper (CP) totaled $68.5 billion (up from $56.7 billion), or 3.3%, and Certificates of Deposit (CDs) totaled $54.5 billion (up from $53.9 billion), or 2.6%. The Other category accounted for $38.6 billion or 1.8%, while VRDNs accounted for $29.3 billion, or 1.4%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.185 trillion (56.3% of total holdings), Federal Home Loan Bank with $124.3B (5.9%), BNP Paribas with $68.9B (3.3%), Fixed Income Clearing Corp with $62.6 (3.0%), Federal Farm Credit Bank with $49.8B (2.4%), Federal National Mortgage Association with $43.7B (2.1%), RBC with $40.5B (1.9%), Mitsubishi UFJ Financial Group Inc with $30.0B (1.4%), JP Morgan with $28.7B (1.4%) and Federal Home Loan Mortgage Corp with $27.7B (1.3%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($194.9 billion), Goldman Sachs FS Govt ($164.7B), Wells Fargo Govt MM ($141.5B), Fidelity Inv MM: Govt Port ($141.1B), BlackRock Lq T-Fund ($108.7B), Morgan Stanley Inst Liq Govt ($96.2B), JP Morgan 100% US Treas MMkt ($91.3B), Goldman Sachs FS Treas Instruments ($82.4B), First American Govt Oblg ($80.6B) and Dreyfus Govt Cash Mgmt ($72.4B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary, or our Bond Fund Portfolio Holdings data series.)
