Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Tuesday (we're off Monday for Columbus Day), and we'll be writing our regular monthly update on the September 30 data for Wednesday's News. But we also uploaded a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Friday. (We continue to merge the two series, and the N-MFP version is now available via Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of Sept. 30, 2021 includes holdings information from 1,010 money funds (the same number as last month), representing assets of $5.000 trillion (down from $5.027 trillion). Prime MMFs now total $863.6 billion, or 17.3% of the total. We review the new N-MFP data below, and we also look at our revised MMF expense data.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Treasury holdings totaled $1.699 trillion (down from $1.962 trillion), or a massive 34.0% of all holdings. Repurchase Agreement (Repo) holdings in money market funds rose again to $2.264 trillion (up from $1.960 trillion), or 45.3% of all assets, and Government Agency securities totaled $474.0 billion (down from $504.8 billion), or 9.5%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.436 trillion, or a stunning 88.7% of all holdings.
Commercial paper (CP) totals $248.6 billion (up from $246.1 billion), or 5.0% of all holdings, and the Other category (primarily Time Deposits) totals $126.3 billion (down from $159.6 billion), or 2.5%. Certificates of Deposit (CDs) total $120.2 billion (down from $124.1 billion), 2.4%, and VRDNs account for $68.4 billion (down from $70.0 billion last month), or 1.4% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $172.6 billion, or 3.5%, in Financial Company Commercial Paper; $34.9 billion or 0.7%, in Asset Backed Commercial Paper; and, $41.1 billion, or 0.8%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.880 trillion, or 37.6%), U.S. Govt Agency Repo ($333.9B, or 6.7%) and Other Repo ($49.9B, or 1.0%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $244.5 billion (up from $241.7 billion), or 28.3%; Repo holdings of $304.9 billion (up from $247.9 billion), or 35.3%; Treasury holdings of $77.7 billion (down from $104.1 billion), or 9.0%; CD holdings of $120.2 billion (down from $124.1 billion), or 13.9%; Other (primarily Time Deposits) holdings of $86.2 billion (down from $112.5 billion), or 10.0%; Government Agency holdings of $22.9 billion (down from $26.5 billion), or 2.7% and VRDN holdings of $7.2 billion (down from $6.5 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $172.6 billion (up from $168.2 billion), or 20.6%, in Financial Company Commercial Paper; $34.9 billion (down from $35.0 billion), or 4.0%, in Asset Backed Commercial Paper; and $37.0 billion (up from $38.5 billion), or 4.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($237.4 billion, or 27.5%), U.S. Govt Agency Repo ($17.7 billion, or 2.1%), and Other Repo ($49.8 billion, or 5.8%).
In other news, money fund charged expense ratios were flat again in September after hitting a record low of 0.06% in May and inching higher in June. Our Crane 100 Money Fund Index and Crane Money Fund Average were both were 0.07% as of Sept. 30, 2021. 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 Friday 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 yesterday.) Visit our "Content" page for the latest files, and see below for the review of the latest N-MFP Portfolio Holdings data.
Our Crane 100 Money Fund Index, a simple average of the 100 largest taxable money funds, shows an average charged expense ratio (Exp%) of 0.07%, the same as last month's level (and one bps higher than May's record low 0.06%). The average is down from 0.27% on Dec. 31, 2019, so we estimate that funds are waiving 20 bps, or 74% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also showed a charged expense ratio of 0.07% as of July 31, 2021, the same as the month prior but down from 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.10% (the same level as last month), Government Inst MFs expenses average 0.05% (unchanged), Treasury Inst MFs expenses average 0.05% (unch). Treasury Retail MFs expenses currently sit at 0.05%, (unch), Government Retail MFs expenses yield 0.05% (the same as in August). Prime Retail MF expenses are 0.12% (unch). Tax-exempt expenses were up one basis point over the month to 0.07% on average.
Gross 7-day yields were unchanged on average for the month ended Sept. 30, 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 732), shows a 7-day gross yield of 0.08%, the same as the prior month. The Crane Money Fund Average is down 1.64% from 1.72% at the end of 2019. Our Crane 100's 7-day gross yield was down one basis point, ending the month at 0.08%, but down 1.66% from year-end 2019.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $3.374 billion (as of 9/30/21). Our estimated annualized revenue totals decreased from $3.501 last month but are still higher than the record low of $2.927 in May. MMF revenues fell from $6.028 trillion at the start of 2020 and $10.642 trillion at the start of 2019. Charged expenses and gross yields are driven by a number of variables, and the Fed's 0.05% floor on its RRP repo appears to have helped stabilize rates above zero. Nonetheless, severe fee waivers and heavy fee pressure should continue as long as the Fed keeps yields pinned close to the zero floor.
