The SEC released its latest 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 unchanged in the latest reported quarter (Q1'22) at $313 billion (same from $313 billion in Q4'21 and up from $304 billion in Q1'21). (Note: Please join us for our "basic training" event, Money Fund University, which will take place Dec. 15-16 in Boston, Mass at the Hyatt Regency. Clients and friends are welcome to stop by the cocktail party on 12/15 or our Money Fund Wisdom training session on 12/16!)
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 2020 through First Calendar Quarter 2022 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: First Calendar Quarter 2022," with the most recent data available, show 79 Liquidity Funds (most of which are "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), unchanged from last quarter and up 6 from a year ago. (There are 54 Section 3 Liquidity Funds out of the 79 Liquidity Funds.) The SEC receives Form PF reports from 39 Liquidity Fund advisers (23 of which are Section 3 Liquidity Fund advisers), unchanged from last quarter and up 2 from a year ago.
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $313 billion, unchanged from Q4'21 and up $9 billion from a year ago (Q1'21). Of this total, $309 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 $318 billion, unchanged from Q4'21 and up $4 billion from a year ago (Q1'21). Of this total, $314 billion in is Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $103 billion is held by Other (33.4%), $51 billion is held by Unknown Non-U.S. Investors (16.6%), $58 billion is held by Private Funds (18.6%), $24 billion is held by SEC-Registered Investment Companies (7.8%), $5 billion in held by Pension Plans (1.7%), $8 billion is held by Insurance Companies (2.6%), $3 billion is held by Non-Profits (1.0%) and $1 billion is held by State/Muni Govt. Pension Plans (0.3%).
The tables also show that 69.5% of Section 3 Liquidity Funds have a liquidation period of one day, $290 billion of these funds may suspend redemptions, and $261 billion of these funds may have gates. WAMs average a short 38 days (41 days when weighted by assets), WALs are 51 days (61 days when asset-weighted), and 7-Day Gross Yields average 0.45% (0.36% asset-weighted). Daily Liquid Assets average about 50% (49% asset-weighted) while Weekly Liquid Assets average about 60% (60% asset-weighted).
Overall, these portfolios appear shorter with a heavier Treasury exposure than money market funds in general; almost half of them (40.7%) are fully compliant with Rule 2a-7. When calculating NAVs, 74.1% are "Stable" and 25.9% are "Floating." For more, see our Jan. 27 News, "SEC Proposes Amendments to Form PF Large Liquidity Fund Reporting," and see the SEC's proposal "Private Fund Advisers; Documentation of Registered Investment Adviser Compliance Reviews."
In other news, the Investment Company Institute's latest weekly "Money Market Fund Assets" report shows money fund assets falling the past week after skyrocketing in the first week of November. Over the past 52 weeks, money fund assets are up by $51 billion, or 1.1%, with Retail MMFs rising by $157 billion (10.9%) and Inst MMFs falling by $105 billion (-3.4%). ICI shows assets down by $87 billion, or -1.9%, year-to-date, with Institutional MMFs down $209 billion, or -6.4% and Retail MMFs up $121 billion, or 8.3%.
The weekly release says, "Total money market fund assets decreased by $13.84 billion to $4.62 trillion for the week ended Wednesday, November 9, the Investment Company Institute reported.... Among taxable money market funds, government funds decreased by $21.58 billion and prime funds increased by $7.51 billion. Tax-exempt money market funds increased by $226 million." ICI's stats show Institutional MMFs falling $16.8 billion and Retail MMFs increasing $3.0 billion in the latest week. Total Government MMF assets, including Treasury funds, were $3.924 trillion (85.0% of all money funds), while Total Prime MMFs were $580.7 billion (12.6%). Tax Exempt MMFs totaled $113.7 billion (2.5%).
ICI explains, "Assets of retail money market funds increased by $2.98 billion to $1.59 trillion. Among retail funds, government money market fund assets decreased by $4.38 billion to $1.14 trillion, prime money market fund assets increased by $6.46 billion to $348.95 billion, and tax-exempt fund assets increased by $905 million to $101.03 billion." Retail assets account for over a third of total assets, or 34.4%, and Government Retail assets make up 71.7% of all Retail MMFs.
They add, "Assets of institutional money market funds decreased by $16.82 billion to $3.03 trillion. Among institutional funds, government money market fund assets decreased by $17.20 billion to $2.78 trillion, prime money market fund assets increased by $1.05 billion to $231.76 billion, and tax-exempt fund assets decreased by $679 million to $12.66 billion." Institutional assets accounted for 65.6% of all MMF assets, with Government Institutional assets making up 92.0% of all Institutional MMF totals. (Note that ICI's asset totals don't include a number of funds tracked by the SEC and Crane Data, so they're over $400 billion lower than Crane's asset series.)
For the month of November through 11/9, MMF assets increased by $17.6 billion to $5.072 trillion according to Crane's MFI XLS, which tracks a broader universe of funds than ICI. Crane Data's Prime asset totals, which broke the $1.0 trillion level last week, increased $15.2 billion MTD (and $26.8 billion in October) to $1.011 trillion. Given that November and December are the two strongest months of the year seasonally, we expect big inflows in the coming weeks.
