The SEC published its latest quarterly "Private Funds Statistics" report recently, 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 (Q2'23) at $319 billion (up from $313 billion in Q1'23 and down from $327 billion in Q2'22). We also again briefly review the part of the SEC's MMF Reforms which addresses "Amendments to Form PF Reporting Requirements for Large Liquidity Fund Advisers" and which go into effect in coming months, below.
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 2021 through Second Calendar Quarter 2023 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: Second Calendar Quarter 2023," with the most recent data available, show 69 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 down 10 from a year ago. (There are 50 Section 3 Liquidity Funds out of the 69 Liquidity Funds.) The SEC receives Form PF reports from 33 Liquidity Fund advisers (21 of which are Section 3 Liquidity Fund advisers), unchanged from last quarter and down 6 from a year ago.
The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $319 billion, up $6 billion from Q1'23 and down $8 billion from a year ago (Q2'22). Of this total, $317 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 $332 billion, up $12 billion from Q1'23 and down $3 billion from a year ago (Q2'22). Of this total, $330 billion in is Section 3 (large manager) Liquidity Funds.
A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $114 billion is held by Other (36.0%), $49 billion is held by Private Funds (15.5%), $64 billion is held by Unknown Non-U.S. Investors (20.2%), $16 billion is held by SEC-Registered Investment Companies (5.0%), $11 billion is held by Insurance Companies (3.5%) and $3 billion is held by Non-Profits (0.9%).
The tables also show that 71.0% of Section 3 Liquidity Funds have a liquidation period of one day, $301 billion of these funds may suspend redemptions, and $274 billion of these funds may have gates. WAMs average a short 30 days (30 days when weighted by assets), WALs are 47 days (50 days when asset-weighted), and 7-Day Gross Yields average 5.05% (4.90% asset-weighted). Daily Liquid Assets average about 56% (56% asset-weighted) while Weekly Liquid Assets average about 61% (65% asset-weighted).
Overall, these portfolios appear shorter with a heavier Treasury exposure than money market funds in general; almost half of them (36.0%) are fully compliant with Rule 2a-7. When calculating NAVs, 72.0% are "Stable" and 28.0% are "Floating."
As we've mentioned before, last July, when the SEC's Money Market Fund Reforms were passed, they also included "Amendments to Form PF Reporting Requirements for Large Liquidity Fund Advisers." The release explains, "Separately, the amendments will also modify certain reporting forms that are applicable to money market funds and large private liquidity funds advisers." The "Fact Sheet" explains, "In addition, the Commission adopted amendments to Form PF, the confidential reporting form for certain SEC-registered investment advisers to private funds, to require additional information regarding the liquidity funds they advise that is generally aligned with the amended reporting for money market funds. These amendments were proposed by the Commission in January 2022."
The full final rules tell us, "The Commission is also amending Form PF, the confidential reporting form for certain SEC-registered investment advisers to private funds to require additional information regarding the liquidity funds they advise. Liquidity funds are private funds that seek to maintain a stable NAV (or minimize fluctuations in their NAVs) and thus can resemble money market funds. The amendments to section 3 of Form PF will provide a more complete picture of the short-term financing markets in which liquidity funds invest and enhance the Commission's and the Financial Stability Oversight Council's ('FSOC') ability to assess short-term financing markets and facilitate our oversight of those markets and their participants. This, in turn, is designed to enhance investor protection efforts and systemic risk assessment. `We have consulted with FSOC to gain input on these amendments to help ensure that Form PF continues to provide FSOC with information it can use to assess systemic risk."
It adds, "In a January 2022 release proposing amendments to Form PF, the Commission proposed changes to section 3 of Form PF that were intended to require large liquidity fund advisers to report substantially the same information that the Commission had proposed money market funds to report on Form N-MFP. The proposed amendments to section 3 of Form PF included requirements for additional and more granular information regarding large liquidity fund operational information and assets, portfolio holdings, financing, and investor information as well as a new item concerning the disposition of portfolio securities. Consistent with the final amendments to Form N-MFP, we are adopting largely as proposed the amendments to section 3 of Form PF, with some modifications to better tailor the reporting to private liquidity funds and remain consistent with the final requirements for money market funds under amended Form N-MFP."
In other news, Crane Data published its latest Weekly Money Fund Portfolio Holdings statistics Tuesday, which track a shifting subset of our monthly Portfolio Holdings collection. The most recent cut (with data as of January 19) includes Holdings information from 52 money funds (down 17 from a week ago), or $2.565 trillion (down from $3.098 trillion) of the $6.341 trillion in total money fund assets (or 40.5%) tracked by Crane Data. (Our Weekly MFPH are e-mail only and aren't available on the website. See our latest Monthly Money Fund Portfolio Holdings here.)
Our latest Weekly MFPH Composition summary shows Government assets dominating the holdings list with Treasuries totaling $1.080 billion (down from $1.319 trillion a week ago), or 42.1%; Repurchase Agreements (Repo) totaling $991.0 trillion (down from $1.243 trillion a week ago), or 38.6%, and Government Agency securities totaling $244.9 billion (down from $266.3 billion), or 9.5%. Commercial Paper (CP) totaled $89.7 billion (down from a week ago at $97.4 billion), or 3.5%. Certificates of Deposit (CDs) totaled $70.9 billion (down from $75.1 billion a week ago), or 2.8%. The Other category accounted for $63.1 billion or 2.5%, while VRDNs accounted for $25.4 billion, or 1.0%.
The Ten Largest Issuers in our Weekly Holdings product include: the US Treasury with $1.080 trillion (42.1% of total holdings), Federal Home Loan Bank with $188.4B (7.3%), Fixed Income Clearing Corp with $167.9B (6.5%), the Federal Reserve Bank of New York with $167.0 billion (6.5%), RBC with $68.1B (2.7%), Barclays PLC with $61.7B (2.4%), JP Morgan with $61.2B (2.4%), Citi with $55.6B (2.2%), Federal Farm Credit Bank with $49.4B (1.9%) and BNP Paribas with $48.0B (1.9%).
The Ten Largest Funds tracked in our latest Weekly include: JPMorgan US Govt MM ($263.3B), Goldman Sachs FS Govt ($218.8B), Fidelity Inv MM: Govt Port ($190.8B), JPMorgan 100% US Treas MMkt ($188.3B), State Street Inst US Govt ($154.8B), Morgan Stanley Inst Liq Govt ($137.0B), Fidelity Inv MM: MM Port ($123.1B), Allspring Govt MM ($116.3B), Dreyfus Govt Cash Mgmt ($116.1B), and Goldman Sachs FS Treas Instruments ($85.8B). (Let us know if you'd like to see our latest domestic U.S. and/or "offshore" Weekly Portfolio Holdings collection and summary.)
