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 new Oct. 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 our Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of Oct. 31, includes holdings information from 993 money funds (down 5 from last month), representing assets of $5.162 trillion (up from $5.090 trillion). Prime MMFs now total $1.014 trillion, or 19.6% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses and money fund revenues flat in October.
Our latest Form N-MFP Summary for All Funds taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds decreased to $2.735 trillion (down slightly from $2.743 trillion), or 53.0% of all assets. Treasury holdings totaled $1.221 trillion (down from $1.263 trillion), or 23.7% of all holdings, and Government Agency securities totaled $548.6 billion (up from $492.2 billion), or 10.6%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.505 trillion, or a massive 87.3% of all holdings.
Commercial paper (CP) totals $263.6 billion (up from $245.1 billion), or 5.1% of all holdings, and the Other category (primarily Time Deposits) totals $159.8 billion (up from $139.0 billion), or 3.1%. Certificates of Deposit (CDs) total $149.6 billion (up from $134.0 billion), 2.9%, and VRDNs account for $83.5 billion (up from $73.4 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: $168.6 billion, or 3.3%, in Financial Company Commercial Paper; $40.5 billion or 0.8%, in Asset Backed Commercial Paper; and, $54.5 billion, or 1.1%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($2.397 trillion, or 46.4%), U.S. Govt Agency Repo ($292.2B, or 5.7%) and Other Repo ($45.9B, or 0.9%).
The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $258.7 billion (up from $239.8 billion), or 25.5%; Repo holdings of $382.3 billion (down from $386.3 billion), or 37.7%; Treasury holdings of $35.6 billion (down from $44.1 billion), or 3.5%; CD holdings of $149.6 billion (up from $134.0 billion), or 14.7%; Other (primarily Time Deposits) holdings of $118.8 billion (up from $97.5 billion), or 11.7%; Government Agency holdings of $62.9 billion (up from $62.6 billion), or 6.2% and VRDN holdings of $6.4 billion (down from $6.6 billion), or 0.6%.
The SEC's more detailed categories show CP in Prime MMFs made up of: $168.6 billion (up from $159.0 billion), or 16.6%, in Financial Company Commercial Paper; $40.5 billion (up from $37.1 billion), or 4.0%, in Asset Backed Commercial Paper; and $49.6 billion (up from $43.7 billion), or 4.9%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($306.6 billion, or 30.2%), U.S. Govt Agency Repo ($29.8 billion, or 2.9%), and Other Repo ($45.9 billion, or 4.5%).
In related news, money fund charged expense ratios (Exp%) were unchanged in October remaining at 0.39% from the prior month (after jumping earlier this year from 0.08% at the start of 2022). Our Crane 100 Money Fund Index and Crane Money Fund Average were 0.26% and 0.39%, respectively, as of Oct. 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 0.26%, unchanged from last month's level (but 18 bps higher than 12/31/21's 0.08%). The average is slightly below the level (0.27%) as it was on Dec. 31, 2019, so we estimate that funds are now charging normal expenses (but starting to waive some fees for competitive purposes). The Crane Money Fund Average, a simple average of all taxable MMFs, showed a charged expense ratio of 0.39% as of Oct. 31, 2022, unchanged from the month prior and now slightly below the 0.40% at year-end 2019.
Prime Inst MFs expense ratios (annualized) average 0.32% (unchanged from last month), Government Inst MFs expenses average 0.28% (unchanged from previous month), Treasury Inst MFs expenses average 0.30% (down 1 bp from last month). Treasury Retail MFs expenses currently sit at 0.52%, (unchanged from last month), Government Retail MFs expenses yield 0.52% (down 1 bp from last month). Prime Retail MF expenses averaged 0.49% (down 1 bp from the previous month). Tax-exempt expenses were unchanged at 0.41% on average.
Gross 7-day yields rose again during the month ended Oct. 31, 2022. (Yields should surge higher again in November following the Nov. 2 75 bps Fed hike.) The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 741), shows a 7-day gross yield of 3.14%, up 21 bps from the prior month. The Crane Money Fund Average has passed the 1.72% at the end of 2019 and up from 0.15% the end of 2020 and 0.09% at the end of 2021. Our Crane 100's 7-day gross yield was up 18 bps, ending the month at 3.09%.
According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $13.226 billion (as of 10/31/22). Our estimated annualized revenue totals increased from $13.171B last month but still below from $13.297B two months ago. Revenue levels are still more than four times larger than May's record low $2.927B level. Charged expenses and gross yields are driven by a number of variables, but revenues should resume their upwards trend in the next 2 months as MMFs see substantial inflows from bank deposits.
