Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Wednesday, and we'll be writing our regular monthly update on the new August 31 data for Thursday's News. But we also already uploaded a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Tuesday. (We continue to merge the two series, and the N-MFP version is now available via our Portfolio Holdings file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of August 31, includes holdings information from 1,020 money funds (up 20 from last month), representing assets of $6.644 trillion (up from $6.602 trillion). Prime MMFs fell down to $1.129 trillion (down $24.0 billion), or 17.0% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses were mostly the same and money fund revenues slightly rose to $17.6 billion (annualized) in August. (Note: We're still adjusting to the SEC's new Form N-MFP format, so there continue to be some distortions in our data. Let us know if you see any issues or have any questions!)
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) remaining the top spot for largest type of portfolio holding in money market funds, Repo holdings in money market funds now total $2.355 trillion (down from $2.440 trillion), or 35.4% of all assets, while Treasury holdings rose to $2.333 trillion (up from $2.242 billion), or 35.1% of all holdings. Government Agency securities total $738.8 billion (up from $724.2 billion), or 11.1%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $5.427 trillion, or a massive 81.7% of all holdings.
The Other category (primarily Time Deposits) totals $664.8 billion (up from $645.4 billion), or 10.0%, and Commercial paper (CP) totals $261.3 billion (up from $249.2 billion), or 3.9% of all holdings. Certificates of Deposit (CDs) total $161.0 billion (down from $173.3 billion), 2.4%, and VRDNs account for $129.5 billion (up from $127.8 billion last month), or 1.9% of money fund securities. (Note: We believe our "Other" totals are too high and we expect to adjust these as we recategorize some of the underlying holdings.)
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $177.1 billion, or 2.7%, in Financial Company Commercial Paper; $57.2 billion or 0.9%, in Asset Backed Commercial Paper; and, $27.0 billion, or 0.4%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.603 trillion, or 24.1%), U.S. Govt Agency Repo ($672.6B, or 10.1%) and Other Repo ($79.5B, or 1.2%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $248.7 billion (up from $237.5 billion), or 22.0%; Repo holdings of $404.5 billion (down from $433.0 billion), or 35.8%; Treasury holdings of $41.9 billion (down from $46.5 billion), or 3.7%; CD holdings of $160.9 billion (down from $173.3 billion), or 14.3%; Other (primarily Time Deposits) holdings of $259.2 billion (up from $249.1 billion), or 23.0%; Government Agency holdings of $4.6 billion (unchanged), or 0.4% and VRDN holdings of $9.0 billion (up from $8.6 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $176.1 billion (up from $164.1 billion), or 15.6%, in Financial Company Commercial Paper; $56.3 billion (down from $58.1 billion), or 5.0%, in Asset Backed Commercial Paper; and $16.3 billion (up from $15.3 billion), or 1.4%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($221.1 billion, or 19.6%), U.S. Govt Agency Repo ($109.5 billion, or 9.7%), and Other Repo ($73.9 billion, or 6.5%).
In related news, money fund charged expense ratios (Exp%) were mostly unchanged in August. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.27% and 0.37%, respectively, as of Aug. 31, 2024. Crane Data revises its monthly expense data and gross yield information after the SEC updates its latest Form N-MFP data the morning of the 6th business day of the new month. (They posted this info Tuesday morning, so we revised our monthly MFI XLS spreadsheet and historical craneindexes.xlsx averages file to reflect the latest expenses, gross yields, portfolio composition and maturity breakout, then.) Visit our "Content" page for the latest files.
Our Crane 100 Money Fund Index, a simple average of the 100 largest taxable money funds, shows an average charged expense ratio of 0.27%, unchanged from last month's level (also 19 bps higher than 12/31/21's 0.08%). The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.37% as of Aug. 31, 2024, unchanged from the month prior and slightly below the 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.29% (unchanged from last month), Government Inst MFs expenses average 0.26% (unchanged from last month), Treasury Inst MFs expenses average 0.28% (unchanged from last month). Treasury Retail MFs expenses currently sit at 0.53%, (up 2 bps from last month), Government Retail MFs expenses yield 0.54% (up 1 bp from last month). Prime Retail MF expenses averaged 0.48% (unchanged from last month). Tax-exempt expenses were also unchanged at 0.40% on average.
Gross 7-day yields were mostly down during the month ended August 31, 2024. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 735), shows a 7-day gross yield of 5.36%, down 3 bps from the prior month. The Crane Money Fund Average was 1.72% at the end of 2019, 0.15% at the end of 2020 and 0.09% at the end of 2021. Our Crane 100's 7-day gross yield was down 3 bps, ending the month at 5.37%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $17.620 billion (as of 8/31/24). Our estimated annualized revenue totals increased from $17.269B last month, and are still higher from the $17.189B seen two months ago. Revenue levels are more than five times larger than May's 2021's record-low $2.927B level. Charged expenses and gross yields are driven by a number of variables, but revenues should continue their climb higher as inflows resume to money funds following a pause around April 15.
