Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Thursday, and we'll be writing our regular monthly update on the May 31 data for Friday's News. But we also uploaded a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Wednesday. (We continue to merge the two series, and the N-MFP version is now available via our Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of May 31, includes holdings information from 997 money funds (down 2 funds from last month), representing assets of $4.989 trillion (down from $5.028 trillion). Prime MMFs now total $852.3 billion, or 17.1% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses moving higher again as fee waivers shrank to almost nothing in May, below.
Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds increased to $2.424 trillion (up from $2.369 trillion), or 48.6% of all assets. Treasury holdings totaled $1.539 trillion (down from $1.674 trillion), or 30.8% of all holdings, and Government Agency securities totaled $436.9 billion (up from $402.6 billion), or 8.8%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.400 trillion, or a massive 88.2% of all holdings.
Commercial paper (CP) totals $238.4 billion (up from $231.0 billion), or 4.8% of all holdings, and the Other category (primarily Time Deposits) totals $153.7 billion (down from $158.4 billion), or 3.1%. Certificates of Deposit (CDs) total $119.6 billion (up from $116.1 billion), 2.4%, and VRDNs account for $77.9 billion (up from $76.6 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: $157.5 billion, or 3.2%, in Financial Company Commercial Paper; $29.6 billion or 0.6%, in Asset Backed Commercial Paper; and, $51.3 billion, or 1.0%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($2.082 trillion, or 41.7%), U.S. Govt Agency Repo ($294.9B, or 5.9%) and Other Repo ($46.9B, or 0.9%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $234.3 billion (up from $228.4 billion), or 27.5%; Repo holdings of $262.8 billion (up from $234.8 billion), or 30.8%; Treasury holdings of $69.9 billion (down from $88.4 billion), or 8.2%; CD holdings of $119.6 billion (up from $116.1 billion), or 14.0%; Other (primarily Time Deposits) holdings of $110.8 billion (down from $115.5 billion), or 13.0%; Government Agency holdings of $47.7 billion (up from $42.9 billion), or 5.6% and VRDN holdings of $7.1 billion (down from $9.7 billion), or 0.8%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $157.5 billion (up from $151.5 billion), or 18.5%, in Financial Company Commercial Paper; $29.6 billion (down from $30.5 billion), or 3.5%, in Asset Backed Commercial Paper; and $47.2 billion (up from $45.4 billion), or 5.5%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($197.1 billion, or 23.1%), U.S. Govt Agency Repo ($18.9 billion, or 2.2%), and Other Repo ($46.8 billion, or 5.5%).
In related news, money fund charged expense ratios (Exp%) rose again in May (after surging in April) to 0.38% from 0.29% the prior month. Charged expenses hit a record low of 0.06% in May 2021 but remained at 0.07% for most the second half of 2021. Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.26% and 0.38%, respectively, as of May 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 Wednesday 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 0.26%, 4 basis points higher than last month's level (and 20 bps higher than May's record low 0.06%). The average is still down from 0.27% on Dec. 31, 2019, so we estimate that funds are now waiving just 1 bp, or 3.7% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.38% as of May 31, 2022, 9 bps higher than the month prior but still down from 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.32% (up 5 bps from last month), Government Inst MFs expenses average 0.26% (up 4 bps from previous month), Treasury Inst MFs expenses average 0.30% (up 3 bps from last month). Treasury Retail MFs expenses currently sit at 0.49%, (up 11 bps from last month), Government Retail MFs expenses yield 0.51% (up 18 bps from last month). Prime Retail MF expenses averaged 0.49% (up 10 bps). Tax-exempt expenses were up 5 bps at 0.39% on average.
Gross 7-day yields rose again during the month ended May 31, 2022 (after jumping on the first Fed hike in March). (Yields should jump again this month if, as expected, the Fed hikes by 50 bps next Wednesday.) The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 738), shows a 7-day gross yield of 0.84%, up 40 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 42 bps, ending the month at 0.85%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $12.937 billion (as of 5/31/22). Our estimated annualized revenue totals increased from $10.984B last month and from $10.331B two months ago, and they are now more than quadruple May's record low $2.927B level. Annualized MMF revenues have now surpassed their record $11.996 level from April 2020). Charged expenses and gross yields are driven by a number of variables, but revenues should continue rising in coming months as the Federal Reserve continues raising interest rates and MMF start seeing inflows.
