The SEC recently released its quarterly "Private Funds Statistics" report, which summarizes Form PF reporting and includes some data on "Liquidity Funds," or pools which are similar to but not money market funds. The publication shows overall Liquidity fund assets were up in the latest reported quarter (Q3'20) to $639 billion (up from $600 billion in Q2'20). 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 Fourth Calendar Quarter 2018 through Third Calendar Quarter 2020 as reported by Form PF filers." (Note: Crane Data believes the largest portion of these liquidity fund assets are securities lending reinvestment pools.)
The tables in the SEC's "Private Funds Statistics: Third Calendar Quarter 2020," with the most recent data available, show 116 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), up 4 from last quarter and down 3 from a year ago. (There are 69 Liquidity Funds and 47 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 38 Liquidity Fund advisers and 23 Section 3 Liquidity Fund advisers, or 61 advisers in total, up 2 from last quarter (up 1 from a year ago).
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $639 billion, up $39 billion from Q2'20 and up $51 billion from a year ago (Q3'19). Of this total, $321 billion is in normal Liquidity Funds while $318 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 $652 billion, up $41 billion from Q2'20 and up $59 billion from a year ago (Q3'19). Of this total, $328 billion is in normal Liquidity Funds while $324 billion is in Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $55 billion is held by Private Funds (17.3%), $77 billion is held by Unknown Non-U.S. Investors (24.1%), $93 billion is held by Other (29.2%), $18 billion is held by SEC-Registered Investment Companies (5.7%), $10 billion is held by Insurance Companies (3.2%) and $3 billion is held by Non-U.S. Individuals (0.8%).
The tables also show that 72.7% of Section 3 Liquidity Funds have a liquidation period of one day, $302 billion of these funds may suspend redemptions, and $273 billion of these funds may have gates. WAMs average a short 31 days (42 days when weighted by assets), WALs are 52 days (60 days when asset-weighted), and 7-Day Gross Yields average 0.20% (0.20% asset-weighted). Daily Liquid Assets average about 55% (55% asset-weighted) while Weekly Liquid Assets average about 62% (62% asset-weighted). Overall, these portfolios appear shorter with a heavier Treasury exposure than money market funds in general; almost half of them (48.9%) are fully compliant with Rule 2a-7. When calculating NAVs, 74.5% are "Stable" and 25.5% are "Floating."
In other news, Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds inched higher over the last month to $1.011 trillion, following a slight rise in March. These U.S.-style funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, increased by $12.3 billion over the last 30 days (through 5/14); they're down $48.3 billion (-4.6%) year-to-date. Offshore US Dollar money funds, which broke over $500 billion in January 2020, inched up $1.6 billion over the last 30 days and are down $6.5 billion YTD to $529.2 billion. Euro funds are down E4.7 billion over the past month, and YTD they're down E27.6 billion to E129.8 billion. GBP money funds have fallen by L3.4 billion over 30 days, and are down by L22.8 billion YTD to L233.8B. U.S. Dollar (USD) money funds (193) account for half (50.6%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 16.5% and Pound Sterling (GBP) funds (116) total 29.4%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers last Friday), below.
Offshore USD MMFs yield 0.03% (7-Day) on average (as of 05/14/21), down from 1.59% on 12/31/19 and 2.29% at the end of 2018. EUR MMFs yield -0.66% on average, compared to -0.59% at year-end 2019 and -0.49% on 12/31/18. Meanwhile, GBP MMFs yielded 0.01%, down from 0.64% as of 12/31/19 and 0.64% at the end of 2018. (See our latest MFI International for more on the "offshore" money fund marketplace. Note that these funds are only available to qualified, non-U.S. investors.)
Crane's March MFII Portfolio Holdings, with data as of 04/30/21, show that European-domiciled US Dollar MMFs, on average, consist of 24.1% in Commercial Paper (CP), 17.8% in Certificates of Deposit (CDs), 10.2% in Repo, 31.3% in Treasury securities, 15.5% in Other securities (primarily Time Deposits) and 1.0% in Government Agency securities. USD funds have on average 28.9% of their portfolios maturing Overnight, 9.7% maturing in 2-7 Days, 15.1% maturing in 8-30 Days, 13.6% maturing in 31-60 Days, 14.1% maturing in 61-90 Days, 12.5% maturing in 91-180 Days and 6.1% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (37.8%), France (14.0%), Japan (7.5%), Canada (7.3%), Sweden (7.1%), Germany (4.3%), the U.K. (3.7%), the Netherlands (3.4%), Norway (2.4%) and Belgium (2.3%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $174.4 billion (31.3% of total assets), Credit Agricole with $16.7B (3.0%), Skandinaviska Enskilda Banken AB with $13.5B (2.4%), Societe Generale with $12.6B (2.3%), DNB ASA with $12.1B (2.2%), KBC Group NV with $11.9B (2.1%), Svenska Handelsbanken with $11.9B (2.1%), Mizuho Corporate Bank Ltd with $11.6B (2.1%), Toronto-Dominion Bank with $11.2B (2.0%) and Barclays PLC with $10.6B (1.9%).
Euro MMFs tracked by Crane Data contain, on average 37.5% in CP, 19.5% in CDs, 25.3% in Other (primarily Time Deposits), 12.4% in Repo, 4.7% in Treasuries and 0.5% in Agency securities. EUR funds have on average 25.8% of their portfolios maturing Overnight, 13.2% maturing in 2-7 Days, 13.4% maturing in 8-30 Days, 13.8% maturing in 31-60 Days, 14.7% maturing in 61-90 Days, 15.7% maturing in 91-180 Days and 3.3% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (36.2%), Japan (11.8%), the U.S. (10.7%), Sweden (6.7%), Switzerland (5.5%), Germany (5.4%), the U.K. (3.9%), Canada (3.5%), Belgium (3.1%) and Supranational (2.8%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E10.6B (8.7%), Societe Generale with E6.1B (5.0%), BPCE SA with E6.0B (4.9%), BNP Paribas with E6.0B (4.9%), Republic of France with EB E4.4B (3.6%), Zürcher Kantonalbank with E4.2B (3.4%), Svenska Handelsbanken with E4.1B (3.4%), Citi with E4.0B (3.3%), Sumitomo Mitsui Banking Corp with E3.9B (3.2%) and JP Morgan with E3.8B (3.1%).
The GBP funds tracked by MFI International contain, on average (as of 04/30/21): 38.9% in CDs, 20.9% in CP, 18.7% in Other (Time Deposits), 17.0% in Repo, 4.4% in Treasury and 0.2% in Agency. Sterling funds have on average 2.3% of their portfolios maturing Overnight, 37.2% maturing in 2-7 Days, 9.6% maturing in 8-30 Days, 12.7% maturing in 31-60 Days, 13.7% maturing in 61-90 Days, 18.2% maturing in 91-180 Days and 6.4% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: the U.K. (19.3%), France (18.6%), Japan (14.9%), Canada (10.4%), the U.S. (5.6%), Sweden (5.1%), the Netherlands (4.2%), Australia (3.7%), Switzerland (3.7%), and Spain (3.0%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L19.7B (9.7%), Mizuho Corporate Bank Ltd with L8.7B (4.3%), Mitsubishi UFJ Financial Group Inc with L8.1B (4.0%), BNP Paribas with L7.4B (3.7%), BPCE SA with L7.4B (3.6%), Agence Central de Organismes de Securite Sociale with L7.2B (3.6%), Sumitomo Mitsui Banking Corp with L7.0B (3.4%), RBC with L6.9B (3.4%), Standard Chartered Bank with L6.3B (3.1%) and Banco Santander with LB 6.0 (3.0%).
