Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Monday, and we'll be writing our normal monthly update on the March 31 data for Tuesday's News. But we also published 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 March 31, 2021 includes holdings information from 1,047 money funds (down 20 from last month), representing assets of $5.046 trillion (up from $4.862 trillion). Prime MMFs now total $921.4 billion, or 18.3% 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 $2.587 trillion (up from $2.450 trillion), or a massive 51.3% of all holdings. Repurchase Agreement (Repo) holdings in money market funds totaled $1.195 trillion (up from $1.084 trillion), or 23.7% of all assets, and Government Agency securities totaled $616.8 billion (down from $651.9 billion), or 12.2%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.399 trillion, or a stunning 87.2% of all holdings.
Commercial paper (CP) totals $275.1 billion (up from $271.7 billion), or 5.5% of all holdings, and the Other category (primarily Time Deposits) totals $156.7 billion (down from $192.0 billion), or 3.1%. Certificates of Deposit (CDs) total $136.3 billion (up from $132.2 billion), 2.7%, and VRDNs account for $79.1 billion (down from $80.2 billion last month), or 1.6% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $189.0 billion, or 3.7%, in Financial Company Commercial Paper; $41.1 billion or 0.8%, in Asset Backed Commercial Paper; and, $45.0 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($719.3B, or 14.3%), U.S. Govt Agency Repo ($422.7B, or 8.4%) and Other Repo ($52.9B, or 1.0%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $269.9 billion (up from $266.3 billion), or 29.3%; Treasury holdings of $200.1 billion (down from $210.2 billion), or 21.7%; Repo holdings of $159.7 billion (up from $119.8 billion), or 17.3%; CD holdings of $136.3 billion (down from $132.2 billion), or 14.8%; Other (primarily Time Deposits) holdings of $107.9 billion (down from $145.4 billion), or 11.7%; Government Agency holdings of $39.2 billion (up from $28.8 billion), or 4.2% and VRDN holdings of $8.2 billion (down from $8.9 billion), or 0.9%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $189.0 billion (up from $182.3 billion), or 20.5%, in Financial Company Commercial Paper; $41.1 billion (down from $43.4 billion), or 4.5%, in Asset Backed Commercial Paper; and $39.8 billion (down from $40.6 billion), or 4.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($73.3 billion, or 8.0%), U.S. Govt Agency Repo ($33.5 billion, or 3.6%), and Other Repo ($52.9 billion, or 5.7%).
Money fund expense ratios again hit their lowest level ever, falling 2 more bps to an average of 0.08%, as measured by our Crane 100 Money Fund Index and Crane Money Fund Average, as of March 31, 2021. The previous record low for monthly annualized charged expense ratios was 0.10% last month (and 0.11% in November 2014 prior to that). 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 late 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 0.08%, down from 0.10% last month. The average is down from 0.27% on Dec. 31, 2019, so we estimate that funds are waived approximately 17 bps, or almost two-thirds of full charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also shows a charged expense ratio of 0.08% as of Mar. 31, 2021, down 2 basis points from the month prior and down from 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) now average 0.13% (down 0.01% from last month), Government Inst MFs expenses average 0.06% (down 0.02% from the month prior), Treasury Inst MFs expenses also average 0.06% (down 0.02% from last month). Treasury Retail MFs expenses currently sit at 0.06%, (down 0.02% from the month prior), Government Retail MFs expenses yield 0.05% (down 0.02% over the month). Prime Retail MF expenses are 0.15% (down 0.02% from the month prior). Tax-exempt expenses were higher, now averaging to 0.12% (up 0.01% from last month).
Gross 7-day yields were also lower, falling to 0.10% on average in the month ended Mar. 31 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 736), shows a 7-day gross yield of 0.10%, down 2 basis points from the previous month. The Crane Money Fund Average is down 1.62% from 1.72% at the end of 2019. The Crane 100's 7-day gross yield also fell 2 basis points in March, ending the month at 0.10%, down 1.63% 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 $3.869 billion (as of 3/31/21). Our estimated annualized revenue totals have fallen from $4.587 billion last month, from $6.028 trillion at the start of 2020 and from $10.642 trillion at the start of 2019. Thus, we'd estimate that fee waivers are currently costing fund managers, and their distribution partners, over $6.0 trillion annually. (That's at these levels.) Of course, charged expenses and gross yields are driven by a number of variables, and increasing Treasury supply should alleviate some of the pressures from this past month. Nonetheless, severe fee waivers and heavy fee pressure should continue as long as the Fed keeps yields pinned to almost zero.
