Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Friday, and we'll be writing our regular monthly update on the new July 31 data for Monday'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 Thursday. (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 July 31, includes holdings information from 1,000 money funds (up 6 from last month), representing assets of $6.602 trillion (up from $6.474 trillion). (We think these totals are too high and are working to revise these.) Prime MMFs inched up to $1.153 trillion (up $8.2 billion), or 17.5% 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 $17.3 billion (annualized) in July. (Note: We're still adjusting to the SEC's new Form N-MFP formats, so there continue to be some distortions in our data.)
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 $2.440 trillion (up from $2.417 trillion), or 37.0% of all assets, while Treasury holdings rose to $2.242 trillion (up from $2.226 billion), or 34.0% of all holdings. Government Agency securities total $724.2 billion (up from $698.8 billion), or 11.0%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $5.407 trillion, or a massive 81.9% of all holdings.
The Other category (primarily Time Deposits) totals $645.4 billion (up from $596.7 billion), or 9.8%, and Commercial paper (CP) totals $249.2 billion (up from $239.6 billion), or 3.8% of all holdings. Certificates of Deposit (CDs) total $173.3 billion (up from $166.9 billion), 2.6%, and VRDNs account for $127.8 billion (down from $129.4 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: $165.1 billion, or 2.5%, in Financial Company Commercial Paper; $58.1 billion or 0.9%, in Asset Backed Commercial Paper; and, $26.1 billion, or 0.4%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.682 trillion, or 25.5%), U.S. Govt Agency Repo ($675.4B, or 10.2%) and Other Repo ($83.5B, or 1.3%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $237.5 billion (up from $228.2 billion), or 20.6%; Repo holdings of $433.0 billion (down from $438.1 billion), or 37.6%; Treasury holdings of $46.5 billion (down from $79.8 billion), or 4.0%; CD holdings of $173.3 billion (up from $166.9 billion), or 15.0%; Other (primarily Time Deposits) holdings of $249.1 billion (up from $217.6 billion), or 21.6%; Government Agency holdings of $4.6 billion (down from $5.6 billion), or 0.5% and VRDN holdings of $8.6 billion (up from $8.3 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $164.1 billion (up from $155.8 billion), or 14.2%, in Financial Company Commercial Paper; $58.1 billion (up from $55.0 billion), or 5.0%, in Asset Backed Commercial Paper; and $15.3 billion (down from $17.3 billion), or 1.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($237.1 billion, or 20.6%), U.S. Govt Agency Repo ($116.1 billion, or 10.1%), and Other Repo ($79.8 billion, or 6.9%).
In related news, money fund charged expense ratios (Exp%) were mostly unchanged in July. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.27% and 0.37%, respectively, as of July 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 Thursday 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%, up 1 bp 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 July 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 0.51%, (down 2 bps from last month), Government Retail MFs expenses yield 0.53% (down 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 also mixed during the month ended July 31, 2024. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 756), shows a 7-day gross yield of 5.39%, unchanged 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 $17.269 billion (as of 7/31/24). Our estimated annualized revenue totals increased from $17.189B last month, and are still higher from the $16.953B 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.
