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 June 30 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 June 30, 2021 includes holdings information from 1,027 money funds (down 2 from last month), representing assets of $5.100 trillion (up from $5.098 trillion). Prime MMFs now total $890.8 billion, or 17.5% 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 $2.291 trillion (down from $2.427 trillion), or a massive 44.9% of all holdings. Repurchase Agreement (Repo) holdings in money market funds jumped (again) to $1.715 trillion (up from $1.442 trillion), or 33.6% of all assets, and Government Agency securities totaled $536.3 billion (down from $578.5 billion), or 11.3%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.543 trillion, or a stunning 89.1% of all holdings.

Commercial paper (CP) totals $235.1 billion (down from $272.5 billion), or 4.6% of all holdings, and the Other category (primarily Time Deposits) totals $123.7 billion (up from $163.0 billion), or 2.4%. Certificates of Deposit (CDs) total $124.1 billion (down from $139.1 billion), 2.4%, and VRDNs account for $74.9 billion (down from $75.2 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: $161.6 billion, or 3.2%, in Financial Company Commercial Paper; $35.6 billion or 0.7%, in Asset Backed Commercial Paper; and, $37.9 billion, or 0.7%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.299 trillion, or 25.5%), U.S. Govt Agency Repo ($361.8B, or 7.1%) and Other Repo ($53.6B, or 1.1%).

The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $230.3 billion (down from $267.9 billion), or 25.9%; Repo holdings of $272.3 billion (up from $174.1 billion), or 30.6%; Treasury holdings of $144.4 billion (down from $165.5 billion), or 16.2%; CD holdings of $124.1 billion (down from $139.1 billion), or 13.9%; Other (primarily Time Deposits) holdings of $78.4 billion (down from $116.6 billion), or 8.8%; Government Agency holdings of $33.6 billion (down from $33.8 billion), or 3.8% and VRDN holdings of $7.5 billion (up from $8.6 billion), or 0.8%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $161.6 billion (down from $190.5 billion), or 18.1%, in Financial Company Commercial Paper; $35.6 billion (down from $38.3 billion), or 4.0%, in Asset Backed Commercial Paper; and $33.2 billion (down from $39.1 billion), or 3.7%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($191.1 billion, or 21.5%), U.S. Govt Agency Repo ($27.8 billion, or 3.1%), and Other Repo ($53.4 billion, or 6.0%).

In other news, money fund charged expense ratios inched higher in June after hitting a record low of 0.06% in May. Our Crane 100 Money Fund Index and Crane Money Fund Average both were 0.07% as of June 30, 2021. 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 Friday morning.) 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 0.07%, up one basis point from last month's record low level. The average is down from 0.27% on Dec. 31, 2019, so we estimate that funds are waiving 20 bps, or 74% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also showed a charged expense ratio of 0.07% as of June 30, 2021, up one basis points from the month prior but down from 0.40% at year-end 2019.

Prime Inst MFs expense ratios (annualized) now average 0.12% (up one basis point from last month), Government Inst MFs expenses average 0.05% (up a basis point from the month prior), Treasury Inst MFs expenses also average 0.05% (up one basis point from last month). Treasury Retail MFs expenses currently sit at 0.05%, (up one bp), Government Retail MFs expenses yield 0.05% (up two basis points in June). Prime Retail MF expenses are 0.14% (unchanged from the month prior). Tax-exempt expenses, however, were down 4 basis points over the month to 0.07% on average.

Gross 7-day yields were higher on average for the month ended June 30, 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 734), shows a 7-day gross yield of 0.09%, up two basis points from the previous month. The Crane Money Fund Average is down 1.65% from 1.72% at the end of 2019. Our Crane 100's 7-day gross yield also rose two basis points, ending the month at 0.09%, but down 1.66% 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 $3.530 billion (as of 6/30/21). Our estimated annualized revenue totals increased from $2.927 billion last month, but fell from $6.028 trillion at the start of 2020 and $10.642 trillion at the start of 2019. Charged expenses and gross yields are driven by a number of variables, and the Fed's 0.05% floor on its RRP repo appears to have helped stabilize rates above zero. Nonetheless, severe fee waivers and heavy fee pressure should continue as long as the Fed keeps yields pinned close to the zero floor.

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