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 new May 31 data for Wednesday'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 Monday. (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 May 31, includes holdings information from 975 money funds (up 3 from last month), representing assets of $6.540 trillion (up from $6.425 trillion). Prime MMFs inched up to $1.391 trillion (up $14.0 billion), or 21.3% of the total. (Note too that there were no funds reclassifying away from "Prime" in the SEC's latest monthly data set.) We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses inching higher and money fund revenues slightly dropping to $17.0 billion (annualized) in May. (Note: We look forward to seeing you at our Money Fund Symposium show in Pittsburgh this week (June 12-14)! Safe travels, and attendees and Crane Data subscribers may access the conference binder and materials via our "Money Fund Symposium 2024 Download Center.")

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 after taking back the top spot the month prior, Repo holdings in money market funds now total $2.501 trillion (up from $2.472 trillion), or 38.2% of all assets, while Treasury holdings rose to $2.467 trillion (up from $2.415 billion), or 37.7% of all holdings. Government Agency securities total $753.8 billion (up from $733.4 billion), or 11.5%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $5.722 trillion, or a massive 87.4% of all holdings.

Commercial paper (CP) totals $280.9 billion (down from $283.7 billion), or 4.3% of all holdings, and the Other category (primarily Time Deposits) totals $202.1 billion (up from $175.1 billion), or 3.1%. Certificates of Deposit (CDs) total $199.6 billion (down from $215.2 billion), 3.1%, and VRDNs account for $135.8 billion (up from $131.3 billion last month), or 2.1% of money fund securities.

Broken out into the SEC's more detailed categories, the CP totals were comprised of: $179.9 billion, or 2.8%, in Financial Company Commercial Paper; $70.5 billion or 1.1%, in Asset Backed Commercial Paper; and, $30.6 billion, or 0.5%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.707 trillion, or 26.1%), U.S. Govt Agency Repo ($697.7B, or 10.7%) and Other Repo ($95.8B, or 1.5%).

The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $273.1 billion (down from $276.7 billion), or 19.6%; Repo holdings of $431.0 billion (up from $428.0 billion), or 31.0%; Treasury holdings of $235.6 billion (up from $228.8 billion), or 16.9%; CD holdings of $199.6 billion (down from $215.2 billion), or 14.4%; Other (primarily Time Deposits) holdings of $192.8 billion (up from $168.4 billion), or 13.9%; Government Agency holdings of $49.2 billion (down from $50.4 billion), or 3.5% and VRDN holdings of $9.7 billion (up from $9.6 billion), or 0.7%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $179.9 billion (up from $179.1 billion), or 12.9%, in Financial Company Commercial Paper; $70.5 billion (down from $71.7 billion), or 5.1%, in Asset Backed Commercial Paper; and $22.8 billion (down from $25.8 billion), or 1.6%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($232.2 billion, or 16.7%), U.S. Govt Agency Repo ($111.6 billion, or 8.0%), and Other Repo ($87.2 billion, or 6.3%).

In related news, money fund charged expense ratios (Exp%) were mixed in May. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.26% and 0.38%, respectively, as of May 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 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, 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 0.26%, down 1 bp from last month's level (but 18 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 0.38% as of May 31, 2024, up 1 bp from the month prior and slightly below the 0.40% at year-end 2019.

Prime Inst MFs expense ratios (annualized) average 0.28% (down 4 bps from last month), Government Inst MFs expenses average 0.31% (up 5 bps from last month), Treasury Inst MFs expenses average 0.28% (unchanged from last month). Treasury Retail MFs expenses currently sit at 0.52%, (unchanged from last month), Government Retail MFs expenses yield 0.54% (unchanged 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 also mixed during the month ended May 31, 2024. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 760), shows a 7-day gross yield of 5.41%, up 1 bp 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 unchanged, ending the month at 5.40%.

According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $16.953 billion (as of 5/31/24). Our estimated annualized revenue totals decreased from $17.301B last month (the all-time record), but is still higher from the $16.883B 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.

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