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 (Q2'20) to $600 billion (up from $585 billion in Q1'20). 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 Third Calendar Quarter 2018 through Second 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: Second Calendar Quarter 2020," with the most recent data available, show 112 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash),up seven from the last quarter and down four from a year ago. (There are 67 Liquidity Funds and 45 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 37 Liquidity Fund advisers and 22 Section 3 Liquidity Fund advisers, or 59 advisers in total, up two from last quarter (down two from a year ago).
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $600 billion, up $15 billion from Q1'20 and up $20 billion from a year ago (Q2'19). Of this total, $302 billion is in normal Liquidity Funds while $298 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 $611 billion, up $17 billion from Q1'20 and up $27 billion from a year ago (Q2'19). Of this total, $307 billion is in normal Liquidity Funds while $304 billion is in Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $57 billion is held by Private Funds (19.0%), $59 billion is held by Unknown Non-U.S. Investors (19.9%), $92 billion is held by Other (30.7%), $17 billion is held by SEC-Registered Investment Companies (5.7%), $11 billion is held by Insurance Companies (3.7%) and $3 billion is held by Non-U.S. Individuals (0.9%).
The tables also show that 73.2% of Section 3 Liquidity Funds have a liquidation period of one day, $280 billion of these funds may suspend redemptions, and $251 billion of these funds may have gates (out of a total of $531 billion). WAMs average a short 32 days (41 days when weighted by assets), WALs are 54 days (60 days when asset-weighted), and 7-Day Gross Yields average 0.30% (0.30% asset-weighted). Daily Liquid Assets average about 52% (40% asset-weighted) while Weekly Liquid Assets average about 60% (56% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; almost half of them (48.9%) are fully compliant with Rule 2a-7.
In other news, Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Tuesday, and we'll be writing our normal monthly update on the January 31 data for Wednesday's News. But we also published a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Monday. (We continue to merge the two series, and the N-MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of Jan. 31, 2021 includes holdings information from 1,073 money funds (up two from last month), representing assets of $4.827 trillion (up from $4.786 billion). Prime MMFs now total $950.1 billion, or 19.5% of the total. We review the new N-MFP data below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Treasury holdings totaled $2.488 trillion (up from $2.470 trillion), or a massive 51.5% of all holdings. Repurchase Agreement (Repo) holdings in money market funds totaled $1.005 trillion (down from $1.069 trillion), or 20.8% of all assets, and Government Agency securities totaled $665.4 billion (down from $688.1 billion), or 13.8%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.158 trillion, or a stunning 86.1% of all holdings.
Commercial paper (CP) totals $267.4 billion (up from $231.6 billion), or 5.5% of all holdings, and the Other category (primarily Time Deposits) totals $174.9 billion (up from $116.2 billion), or 3.6%. Certificates of Deposit (CDs) total $141.8 billion (up from $126.0 billion), 2.9%, and VRDNs account for $84.7 billion (down from $85.3 billion last month), or 1.8% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $179.9 billion, or 3.7%, in Financial Company Commercial Paper; $45.9 billion or 1.0%, in Asset Backed Commercial Paper; and, $41.7 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($565.1B, or 11.7%), U.S. Govt Agency Repo ($380.8B, or 7.9%) and Other Repo ($58.6B, or 1.2%).
The N-MFP Holdings summary for the 207 Prime Money Market Funds shows: CP holdings of $262.1 billion (up from $226.2 billion), or 27.6%; Treasury holdings of $240.7 billion (up from $232.0 billion), or 25.3%; CD holdings of $141.8 billion (up from $126.0 billion), or 14.9%; Other (primarily Time Deposits) holdings of $131.1 billion (up from $72.1 billion), or 13.8%; Repo holdings of $120.7 billion (down from $188.0 billion), or 12.7%; Government Agency holdings of $44.5 billion (down from $55.3 billion), or 4.7% and VRDN holdings of $9.2 billion (down from $10.5 billion), or 1.0%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $179.9 billion (up from $153.1 billion), or 18.9%, in Financial Company Commercial Paper; $45.9 billion (down from $45.4 billion), or 4.8%, in Asset Backed Commercial Paper; and $36.3 billion (up from $27.6 billion), or 3.8%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($24.3 billion, or 2.6%), U.S. Govt Agency Repo ($37.9 billion, or 4.0%), and Other Repo ($58.6 billion, or 6.2%).
