Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Monday, and we'll be writing our regular monthly update on the March 31 data for Tuesday's News. But we also uploaded 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, includes holdings information from 1,000 money funds (down 4 funds from last month), representing assets of $5.089 trillion (down from $5.137 trillion). Prime MMFs now total $850.5 billion, or 16.7% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses jumping as fee waivers shrank in March, below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds rose to $2.377 trillion (up from $2.288 trillion), or 46.7% of all assets. Treasury holdings totaled $1.766 trillion (down from $1.844 trillion), or 34.7% of all holdings, and Government Agency securities totaled $403.4 billion (down from $405.8 billion), or 7.9%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.546 trillion, or a massive 89.3% of all holdings.
Commercial paper (CP) totals $232.2 billion (down from $240.4 billion), or 4.6% of all holdings, and the Other category (primarily Time Deposits) totals $130.1 billion (down from $176.1 billion), or 2.6%. Certificates of Deposit (CDs) total $108.8 billion (down from $114.5 billion), 2.1%, and VRDNs account for $71.5 billion (up from $68.7 billion last month), or 1.4% of money fund securities.
Broken out into the SEC's more detailed categories, the CP totals were comprised of: $154.2 billion, or 3.0%, in Financial Company Commercial Paper; $31.6 billion or 0.6%, in Asset Backed Commercial Paper; and, $46.4 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($2.014 trillion, or 39.6%), U.S. Govt Agency Repo ($314.0B, or 6.2%) and Other Repo ($48.4B, or 1.0%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $228.4 billion (down from $236.5 billion), or 26.9%; Repo holdings of $269.1 billion (up from $180.1 billion), or 31.6%; Treasury holdings of $102.3 billion (down from $116.3 billion), or 12.0%; CD holdings of $108.8 billion (down from $114.5 billion), or 12.8%; Other (primarily Time Deposits) holdings of $87.8 billion (down from $135.2 billion), or 10.3%; Government Agency holdings of $43.0 billion (up from $26.0 billion), or 5.1% and VRDN holdings of $11.0 billion (up from $9.5 billion), or 1.3%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $154.2 billion (down from $158.9 billion), or 18.1%, in Financial Company Commercial Paper; $31.6 billion (up from $31.2 billion), or 3.7%, in Asset Backed Commercial Paper; and $42.7 billion (down from $46.4 billion), or 5.0%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($200.7 billion, or 23.6%), U.S. Govt Agency Repo ($20.0 billion, or 2.4%), and Other Repo ($48.3 billion, or 5.7%).
In related news, money fund charged expense ratios (Exp%) jumped in March to 0.26% from 0.12% 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 0.20% and 0.26%, respectively, as of March 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 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.) 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 0.20%, eight bps higher than last month's level (and fourteen 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 now waiving just 7 bps, or 26% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.26% as of March 31, 2022, fourteen bps higher than the month prior but down from 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.25% (up 10 bps from last month), Government Inst MFs expenses average 0.21% (up 12 bps from previous month), Treasury Inst MFs expenses average 0.24% (up 11 bps from last month). Treasury Retail MFs expenses currently sit at 0.30%, (up 17 bps from last month), Government Retail MFs expenses yield 0.29% (up 19 bps from last month). Prime Retail MF expenses averaged 0.35% (up seventeen bps). Tax-exempt expenses were up 14 bps over the month to 0.34% on average.
Gross 7-day yields jumped during the month ended March 31, 2022. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 741), shows a 7-day gross yield of 0.36%, up 22 bps from the prior month. The Crane Money Fund Average is down from 1.72% at the end of 2019 and up from 0.15% the end of 2020. Our Crane 100's 7-day gross yield was up twenty-two bps, ending the month at 0.36%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $10.331B billion (as of 3/31/22). Our estimated annualized revenue totals increased from $5.858B last month, and they are now more than triple May's record low $2.927B level. Annualized MMF revenues have finally past their estimated $6.028 billion at the end of 2020 and are closely approaching the $10.642 billion level from the end of 2019. Charged expenses and gross yields are driven by a number of variables, but revenues should continue rising in coming months if the Federal Reserve continues raising interest rates as expected.
