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 September 30 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 September 30, includes holdings information from 1,011 money funds (down 9 from last month), representing assets of $6.872 trillion (up from $6.644 trillion). Prime MMFs rose to $1.139 trillion (up $10.0 billion), or 16.6% 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 flat and money fund revenues rose to $18.3 billion (annualized) in September. (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 questions!)
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreements (Repo) and Treasuries remain the largest types of portfolio holdings in money market funds. Repo holdings in money market funds now total $2.478 trillion (up from $2.355 trillion), or 36.1% of all assets, while Treasury holdings rose to $2.402 trillion (up from $2.333 billion), or 35.0% of all holdings. Government Agency securities total $757.6 billion (up from $738.8 billion), or 11.0%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $5.638 trillion, or a massive 82.1% of all holdings.
The Other category (primarily Time Deposits) totals $689.9 billion (up from $664.8 billion), or 10.0%, and Commercial paper (CP) totals $256.0 billion (down from $261.3 billion), or 3.7% of all holdings. Certificates of Deposit (CDs) total $158.3 billion (down from $161.0 billion), 2.3%, and VRDNs account for $129.5 billion (unchanged from last month), or 1.9% of money fund securities. (Note: We believe our "Other" totals are still 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: $168.8 billion, or 2.5%, in Financial Company Commercial Paper; $62.8 billion or 0.9%, in Asset Backed Commercial Paper; and, $24.4 billion, or 0.4%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.704 trillion, or 24.8%), U.S. Govt Agency Repo ($695.5B, or 10.1%) and Other Repo ($78.7B, or 1.1%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $246.0 billion (down from $248.7 billion), or 21.6%; Repo holdings of $463.9 billion (up from $404.5 billion), or 40.7%; Treasury holdings of $16.6 billion (down from $41.9 billion), or 1.5%; CD holdings of $158.3 billion (down from $160.9 billion), or 13.9%; Other (primarily Time Deposits) holdings of $239.9 billion (down from $259.2 billion), or 21.1%; Government Agency holdings of $5.2 billion (up from $4.6 billion), or 0.5% and VRDN holdings of $9.2 billion (up from $9.0 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $168.7 billion (down from $176.1 billion), or 14.8%, in Financial Company Commercial Paper; $62.4 billion (up from $56.3 billion), or 5.5%, in Asset Backed Commercial Paper; and $14.8 billion (down from $16.3 billion), or 1.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($270.2 billion, or 23.7%), U.S. Govt Agency Repo ($119.0 billion, or 10.4%), and Other Repo ($74.7 billion, or 6.6%).
In related news, money fund charged expense ratios (Exp%) were mostly flat in September. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.27% and 0.38%, respectively, as of Sept. 30, 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.) 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 0.38% as of Sept. 30, 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 0.26% (down 2 bps from last month), Government Inst MFs expenses average 0.26% (up 1 bp from last month), Treasury Inst MFs expenses average 0.30% (up 2 bps from last month). Treasury Retail MFs expenses currently sit at 0.53%, (up 1 bps from last month), Government Retail MFs expenses yield 0.54% (unchanged from last month). Prime Retail MF expenses averaged 0.49% (unchanged from last month). Tax-exempt expenses were also up 1 bp at 0.40% on average.
Gross 7-day yields were down during the month ended September 30, 2024. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 713), shows a 7-day gross yield of 5.02%, down 35 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 also down 35 bps, ending the month at 5.02%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $18.265 billion (as of 9/30/24), a new record high. Our estimated annualized revenue totals increased from $17.620B last month, and are still higher from the $17.269B 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.
