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 January 31 data for Thursday's News. But we also 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 Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of Jan. 31, includes holdings information from 1,003 money funds (down 16 funds from last month), representing assets of $5.122 trillion (down from $5.229 trillion). Prime MMFs now total $824.7 billion, or 16.1% 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 Repurchase Agreement (Repo) holdings in money market funds fell to a still huge $2.262 trillion (down from $2.496 trillion), or 44.2% of all assets. Treasury holdings totaled $1.862 trillion (up from $1.822 trillion), or 36.4% of all holdings, and Government Agency securities totaled $404.9 billion (down from $409.9 billion), or 7.9%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.530 trillion, or a massive 88.5% of all holdings.
Commercial paper (CP) totals $237.6 billion (up from $225.5 billion), or 4.6% of all holdings, and the Other category (primarily Time Deposits) totals $166.2 billion (up from $96.7 billion), or 3.2%. Certificates of Deposit (CDs) total $121.3 billion (up from $108.7 billion), 2.4%, and VRDNs account for $66.8 billion (down from $70.2 billion last month), or 1.3% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $165.1 billion, or 3.2%, in Financial Company Commercial Paper; $34.5 billion or 0.7%, in Asset Backed Commercial Paper; and, $38.0 billion, or 0.7%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($1.873 trillion, or 36.6%), U.S. Govt Agency Repo ($337.7B, or 6.6%) and Other Repo ($52.1B, or 1.0%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $233.9 billion (up from $221.9 billion), or 28.4%; Repo holdings of $185.8 billion (down from $290.5 billion), or 22.5%; Treasury holdings of $118.0 billion (up from $95.9 billion), or 14.3%; CD holdings of $121.3 billion (up from $108.7 billion), or 14.7%; Other (primarily Time Deposits) holdings of $126.8 billion (up from $57.3 billion), or 15.4%; Government Agency holdings of $30.9 billion (up from $28.4 billion), or 3.7% and VRDN holdings of $8.1 billion (down from $9.1 billion), or 1.0%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $165.1 billion (up from $157.7 billion), or 20.0%, in Financial Company Commercial Paper; $34.5 billion (down from $35.2 billion), or 4.2%, in Asset Backed Commercial Paper; and $34.4 billion (up from $29.0 billion), or 4.2%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($115.6 billion, or 14.0%), U.S. Govt Agency Repo ($18.4 billion, or 2.2%), and Other Repo ($51.8 billion, or 6.3%).
In other news, money fund charged expense ratios (Exp%) rose in January to 0.09% from 0.08% the prior month. Charged expenses hit their record low of 0.06% in May 2021 but remained at 0.07% for most the second half of last year. Our Crane 100 Money Fund Index and Crane Money Fund Average were both 0.09% as of Jan. 31, 2022. 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 yesterday.) 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 0.09%, one bps higher than last month's level (and three bps higher than May's record low 0.06%). The average is down from 0.27% on Dec. 31, 2019, so we estimate that funds are waiving 18 bps, or 67% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also showed a charged expense ratio of 0.09% as of Jan. 31, 2022, one bps higher than the month prior but down from 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.13% (unchanged from last month), Government Inst MFs expenses average 0.07% (up 2 bps from previous month), Treasury Inst MFs expenses average 0.08% (up 2 bps from last month). Treasury Retail MFs expenses currently sit at 0.08%, (up 2 bps from last month), Government Retail MFs expenses yield 0.07% (up 1 bps from last month). Prime Retail MF expenses averaged 0.16% (up one bps). Tax-exempt expenses were down four basis points over the month to 0.09% on average.
Gross 7-day yields inched higher on average for the month ended Jan. 31, 2022. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 744), shows a 7-day gross yield of 0.11%, up 2 bps from the prior month. The Crane Money Fund Average is down from 1.72% at the end of 2019 and down from 0.15% the end of 2020. Our Crane 100's 7-day gross yield was up one bps, ending the month at 0.11%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $4.656 billion (as of 1/31/22). Our estimated annualized revenue totals increased from $4.043B last month and are noticeably higher than the record low of $2.927 in May. Annualized MMF revenues have fallen from $6.028 trillion at the end of 2020 and $10.642 trillion at the end of 2019. Charged expenses and gross yields are driven by a number of variables, but revenues should surge in coming months if the Federal Reserve begins raising interest rates as expected.
