Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Tuesday, and we'll be writing our regular monthly update on the June 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 Monday. (We continue to merge the two series, and the N-MFP version is now available via our Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of June 30, includes holdings information from 996 money funds (down 1 fund from last month), representing assets of $5.033 trillion (up from $4.989 trillion). Prime MMFs now total $859.1 billion, or 17.1% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses moving higher again as the last of the zero-yield fee waivers disappeared, below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds increased to $2.596 trillion (up from $2.424 trillion), or 51.6% of all assets. Treasury holdings totaled $1.466 trillion (down from $1.539 trillion), or 29.1% of all holdings, and Government Agency securities totaled $423.5 billion (down from $436.9 billion), or 8.4%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.485 trillion, or a massive 89.1% of all holdings.
Commercial paper (CP) totals $220.5 billion (down from $238.4 billion), or 4.4% of all holdings, and the Other category (primarily Time Deposits) totals $131.9 billion (down from $153.7 billion), or 2.6%. Certificates of Deposit (CDs) total $118.5 billion (down from $119.6 billion), 2.4%, and VRDNs account for $76.9 billion (down from $77.9 billion last month), or 1.5% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $149.3 billion, or 3.0%, in Financial Company Commercial Paper; $27.0 billion or 0.5%, in Asset Backed Commercial Paper; and, $44.2 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($2.317 trillion, or 46.0%), U.S. Govt Agency Repo ($233.9B, or 4.6%) and Other Repo ($45.1B, or 0.9%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $216.0 billion (down from $234.3 billion), or 25.1%; Repo holdings of $314.0 billion (up from $262.8 billion), or 36.5%; Treasury holdings of $61.8 billion (down from $69.9 billion), or 7.2%; CD holdings of $118.5 billion (down from $119.6 billion), or 13.8%; Other (primarily Time Deposits) holdings of $89.2 billion (down from $110.8 billion), or 10.4%; Government Agency holdings of $53.9 billion (up from $47.7 billion), or 6.3% and VRDN holdings of $5.8 billion (down from $7.1 billion), or 0.7%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $149.3 billion (down from $157.5 billion), or 17.4%, in Financial Company Commercial Paper; $27.0 billion (down from $29.6 billion), or 3.1%, in Asset Backed Commercial Paper; and $39.7 billion (down from $47.2 billion), or 4.6%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($250.9 billion, or 29.2%), U.S. Govt Agency Repo ($18.1 billion, or 2.1%), and Other Repo ($44.9 billion, or 5.2%).
In related news, money fund charged expense ratios (Exp%) rose again in June (after jumping in May) to 0.40% from 0.38% the prior month. Charged expenses hit a record low of 0.06% in May 2021 but remained at 0.07% for most the second half of 2021. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.27% and 0.40%, respectively, as of June 30, 2022. 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 Monday 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.
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%, 1 basis point higher than last month's level (and 21 bps higher than May's record low 0.06%). The average is the same level (0.27%) as it was on Dec. 31, 2019, so we estimate that funds are now charging normal expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.40% as of June 30, 2022, 2 bps higher than the month prior and the same level as 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.32% (unchanged from last month), Government Inst MFs expenses average 0.28% (up 2 bps from previous month), Treasury Inst MFs expenses average 0.31% (up 1 bp from last month). Treasury Retail MFs expenses currently sit at 0.53%, (up 4 bps from last month), Government Retail MFs expenses yield 0.54% (up 3 bps from last month). Prime Retail MF expenses averaged 0.54% (up 5 bps). Tax-exempt expenses were up 2 bps at 0.41% on average.
Gross 7-day yields rose again during the month ended June 30, 2022 (which included a 75 bps hike). (Yields should jump again late this month if, as expected, the Fed hikes again.) The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 738), shows a 7-day gross yield of 1.44%, up 60 bps from the prior month. The Crane Money Fund Average is still down from 1.72% at the end of 2019 but up from 0.15% the end of 2020 and 0.09% at the end of 2021. Our Crane 100's 7-day gross yield was up 60 bps, ending the month at 1.45%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $13.301 billion (as of 6/30/22), a new record level. Our estimated annualized revenue totals increased from $12.937B last month and from $10.984B two months ago, and they are now more than quadruple May's record low $2.927B level. Charged expenses and gross yields are driven by a number of variables, but revenues should continue rising in coming months as the MMF start seeing substantial inflows.
