The SEC released its latest quarterly "Private Funds Statistics" report earlier this month, 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 higher in the latest reported quarter (Q3'22) at $333 billion (up from $328 billion in Q2'22 and up from $302 billion in Q3'21). (Note: Register soon for our Money Fund Symposium, which is June 21-23, 2023 in Atlanta, Ga. We hope you'll join us!)
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 2020 through Third 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: Third 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), down 1 from last quarter and up 2 from a year ago. (There are 51 Section 3 Liquidity Funds out of the 79 Liquidity Funds.) The SEC receives Form PF reports from 40 Liquidity Fund advisers (21 of which are Section 3 Liquidity Fund advisers), unchanged from last quarter and up 3 from a year ago.
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $333 billion, up $5 billion from Q2'22 and up $31 billion from a year ago (Q3'21). Of this total, $327 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 $336 billion, up $1 billion from Q2'22 and up $26 billion from a year ago (Q3'21). Of this total, $331 billion in is Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $106 billion is held by Other (32.4%), $64 billion is held by Private Funds (19.6%), $68 billion is held by Unknown Non-U.S. Investors (20.7%), $15 billion is held by SEC-Registered Investment Companies (4.6%), $8 billion is held by Insurance Companies (2.5%) and $3 billion is held by Non-Profits (0.8%).
The tables also show that 68.1% of Section 3 Liquidity Funds have a liquidation period of one day, $313 billion of these funds may suspend redemptions, and $281 billion of these funds may have gates. WAMs average a short 26 days (30 days when weighted by assets), WALs are 42 days (48 days when asset-weighted), and 7-Day Gross Yields average 2.70% (2.75% asset-weighted). Daily Liquid Assets average about 54% (54% asset-weighted) while Weekly Liquid Assets average about 63% (66% asset-weighted).
Overall, these portfolios appear shorter with a heavier Treasury exposure than money market funds in general; almost half of them (35.3%) are fully compliant with Rule 2a-7. When calculating NAVs, 72.5% are "Stable" and 27.5% are "Floating." For more, see our Jan. 27, 2022 News, "SEC Proposes Amendments to Form PF Large Liquidity Fund Reporting."
In other news, money fund yields were relatively flat again last week, inching higher by just one basis point. They've mostly digested the Fed's March 22nd 25 basis point rate hike and should remain flat until the Fed hikes again on May 2 (if they hike as expected). Our Crane 100 Money Fund Index (7-Day Yield) was up 1 bp to 4.64% in the week ended Friday, 4/21. Yields are up from 4.61% on March 31, 4.39% on Feb. 28, 4.15% on Jan. 31 and 4.05% on 12/31/22. They've increased from 3.59% on Nov. 30, from 2.88% on Oct. 31 and from 2.66% on Sept. 30. Just a handful of the top-yielding money market funds yield above the 5.0% level, but more should move above this level after the next hike.
The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 687), shows a 7-day yield of 4.53%, up 1 bp in the week through Friday. Prime Inst MFs were up 1 bp at 4.74% in the latest week. Government Inst MFs rose by 1 bp to 4.63%. Treasury Inst MFs up 2 bps for the week at 4.52%. Treasury Retail MFs currently yield 4.30%, Government Retail MFs yield 4.32%, and Prime Retail MFs yield 4.57%, Tax-exempt MF 7-day yields were unchanged at 2.19%.
According to Monday's Money Fund Intelligence Daily, with data as of Friday (4/21), only 26 money funds (out of 823 total) yield under 2.0% with $405 million, or 0.0%; 111 funds yield between 2.00% and 2.99% with $114.4 billion, or 2.0%; 37 funds yield between 3.00% and 3.99% ($23.0 billion, or 0.4%), and 649 funds yield 4.0% or more ($5.510 trillion, or 97.6%). Ten funds have now officially surpassed the 5.0% mark (though most are private and not listed in our "Highest-Yielding Funds" table above) but we expect more to follow in coming weeks.
Our Brokerage Sweep Intelligence Index, an average of FDIC-insured cash options from major brokerages, was unchanged at 0.56% after increasing 1 bp the week prior to last. The latest Brokerage Sweep Intelligence, with data as of April 21, shows that there were no changes over the past week. Just 3 of 11 major brokerages still offer rates of 0.01% for balances of $100K (and lower tiers). These include: E*Trade, Merrill Lynch and Morgan Stanley.
