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 lower in the latest reported quarter (Q1'21) to $296 billion (down from $313 billion in Q4'20 but up from $291 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 Second Calendar Quarter 2019 through First Calendar Quarter 2021 as reported by Form PF filers." (Note: Crane Data believes the largest portion of these liquidity fund assets are securities lending reinvestment pools, and note too that we'd been adding the SEC's Liquidity Fund and Section 3 Liquidity Fund totals in past quarters, but we recently learned that the latter is a subset of the former and not a separate group.)
The tables in the SEC's "Private Funds Statistics: First Calendar Quarter 2021," with the most recent data available, show 72 Liquidity Funds (most of which are "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), up 1 from last quarter and up 9 from a year ago. (There are 53 Section 3 Liquidity Funds out of the 72 Liquidity Funds.) The SEC receives Form PF reports from 36 Liquidity Fund advisers, 23 of which are Section 3 Liquidity Fund advisers, the same number as last quarter (up one from a year ago).
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $296 billion, down $17 billion from Q4'20 but up $5 billion from a year ago (Q1'20). Of this total, $293 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 $306 billion, down $12 billion from Q4'20 but up $11 billion from a year ago (Q1'20). Of this total, $304 billion in is Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $80 billion is held by Other (27.3%), $72 billion is held by Unknown Non-U.S. Investors (24.5%), $54 billion is held by Private Funds (18.5%), $24 billion is held by SEC-Registered Investment Companies (8.1%), $7 billion in held by Pension Plans (2.4%), $9 billion is held by Insurance Companies (3.1%), $2 billion is held by Non-Profits (0.8%) and $1 billion is held by State/Muni Govt. Pension Plans (0.2%).
The tables also show that 71.4% of Section 3 Liquidity Funds have a liquidation period of one day, $271 billion of these funds may suspend redemptions, and $247 billion of these funds may have gates. WAMs average a short 31 days (45 days when weighted by assets), WALs are 48 days (59 days when asset-weighted), and 7-Day Gross Yields average 0.20% (0.10% asset-weighted). Daily Liquid Assets average about 46% (40% asset-weighted) while Weekly Liquid Assets average about 60% (59% asset-weighted). Overall, these portfolios appear shorter with a heavier Treasury exposure than money market funds in general; almost half of them (43.4%) are fully compliant with Rule 2a-7. When calculating NAVs, 75.5% are "Stable" and 24.5% are "Floating."
In other news, Crane Data's latest MFI International shows that assets in European or "offshore" money market mutual funds jumped over the past month to $1.058 trillion, following three months in a row of asset declines. These U.S.-style money funds, domiciled in Ireland or Luxembourg but denominated in US Dollars, Pound Sterling and Euros, increased by $51.8 billion over the 30 days through 11/14. They're down $0.9 billion (-0.1%) year-to-date. Offshore US Dollar money funds are up $17.0 billion over the last 30 days and are up $6.6 billion YTD to $542.3 billion. Euro funds are up E14.0 billion over the past month, but YTD they're down E3.8 billion to E153.5 billion. GBP money funds jumped L13.2 billion over 30 days, but are down by L14.3 billion YTD to L242.3B. U.S. Dollar (USD) money funds (192) account for half (51.2%) of the "European" money fund total, while Euro (EUR) money funds (94) make up 17.1% and Pound Sterling (GBP) funds 122) total 31.7%. We summarize our latest "offshore" money fund statistics and our Money Fund Intelligence International Portfolio Holdings (which went out to subscribers Monday), below.
Offshore USD MMFs yield 0.02% (7-Day) on average (as of 11/14/21), down from 0.05% on 12/31/20, 1.59% on 12/31/19 and 2.29% on 12/31/18. EUR MMFs yield -0.67% on average, compared to -0.71% at year-end 2020, -0.59% at year-end 2019 and -0.49% at year-end 2018. Meanwhile, GBP MMFs yielded 0.01%, up from 0.00% on 12/31/20, down from 0.64% on 12/31/19 and 0.64% on 12/31/18. (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 November MFII Portfolio Holdings, with data as of 10/31/21, show that European-domiciled US Dollar MMFs, on average, consist of 24% in Commercial Paper (CP), 15% in Certificates of Deposit (CDs), 13% in Repo, 30% in Treasury securities, 17% in Other securities (primarily Time Deposits) and 1% in Government Agency securities. USD funds have on average 36.3% of their portfolios maturing Overnight, 10.2% maturing in 2-7 Days, 12.0% maturing in 8-30 Days, 11.4% maturing in 31-60 Days, 10.0% maturing in 61-90 Days, 14.4% maturing in 91-180 Days and 5.8% maturing beyond 181 Days. USD holdings are affiliated with the following countries: the US (38.3%), France (13.3%), Canada (8.2%), Japan (7.7%), Sweden (5.6%), Germany (4.3%), the Netherlands (3.8%), Australia (3.2%), the U.K. (2.7%) and Norway (2.1%).
The 10 Largest Issuers to "offshore" USD money funds include: the US Treasury with $168.2 billion (30.0% of total assets), Credit Agricole with $17.2B (3.1%), BNP Paribas with $16.4B (2.9%), Federal Reserve Bank of New York with $13.7B (2.4%), Skandinaviska Enskilda Banken AB with $13.2B (2.4%), Mizuho Corporate Bank Ltd with $12.3B (2.2%), Societe Generale with $11.8B (2.1%), RBC with $11.2B (2.0%), DNB ASA with $11.1B (2.0%) and Barclays PLC with $9.7B (1.7%).
Euro MMFs tracked by Crane Data contain, on average 35% in CP, 20% in CDs, 28% in Other (primarily Time Deposits), 12% in Repo, 5% in Treasuries and 0% in Agency securities. EUR funds have on average 32.0% of their portfolios maturing Overnight, 12.8% maturing in 2-7 Days, 14.6% maturing in 8-30 Days, 6.3% maturing in 31-60 Days, 15.1% maturing in 61-90 Days, 16.2% maturing in 91-180 Days and 3.0% maturing beyond 181 Days. EUR MMF holdings are affiliated with the following countries: France (36.0%), Japan (11.9%), the U.S. (10.6%), Sweden (6.8%), Germany (5.6%), Switzerland (5.4%), Belgium (3.7%), Supranational (3.5%), the U.K. (3.2%) and Canada (2.7%).
The 10 Largest Issuers to "offshore" EUR money funds include: Credit Agricole with E10.4B (7.3%), BPCE SA with E7.5 (5.3%), BNP Paribas with E7.5B (5.3%), Societe Generale with E6.5B (4.6%), Republic of France with E5.5B (3.9%), Mizuho Corporate Bank with E5.1B (3.6%), Zürcher Kantonalbank with E4.7B (3.3%), Citi with E4.6B (3.2%), Nordea Bank with E4.2B (3.0%) and KBC Group NV with E4.1B (2.9%).
The GBP funds tracked by MFI International contain, on average (as of 10/31/21): 35% in CDs, 19% in CP, 27% in Other (Time Deposits), 15% in Repo, 4% in Treasury and 0% in Agency. Sterling funds have on average 36.1% of their portfolios maturing Overnight, 10.4% maturing in 2-7 Days, 11.2% maturing in 8-30 Days, 5.7% maturing in 31-60 Days, 13.7% maturing in 61-90 Days, 17.7% maturing in 91-180 Days and 5.1% maturing beyond 181 Days. GBP MMF holdings are affiliated with the following countries: France (18.0%), Japan (17.4%), the U.K. (16.5%), Canada (10.5%), the Netherlands (7.9%), the U.S. (4.2%), Sweden (4.2%), Australia (3.7%), Germany (3.6%) and Switzerland (2.5%).
The 10 Largest Issuers to "offshore" GBP money funds include: the UK Treasury with L18.3B (9.0%), Mizuho Corporate Bank Ltd with L11.8B (5.9%), Mitsubishi UFJ Financial Group Inc with L8.8B (4.3%), BPCE SA with L8.2B (4.0%), Rabobank with L8.1B (4.0%), Sumitomo Mitsui Banking Corp with L7.3B (3.6%), RBC with L7.2B (3.6%), BNP Paribas with L6.3B (3.1%), Toronto-Dominion Bank with L6.1B (3.0%) and Credit Agricole with L5.7B (2.8%).
