Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Wednesday, and we'll be writing our normal monthly update on the May 31 data for Thursday's News. But we also published 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 May 31, 2021 includes holdings information from 1,029 money funds (down 13 from last month), representing assets of $5.098 trillion (up from $5.034 trillion). Prime MMFs now total $905.5 billion, or 17.8% 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 $2.427 trillion (down from $2.549 trillion), or a massive 47.6% of all holdings. Repurchase Agreement (Repo) holdings in money market funds jumped to $1.442 trillion (up from $1.236 trillion), or 28.3% of all assets, and Government Agency securities totaled $578.5 billion (down from $589.6 billion), or 11.3%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.448 trillion, or a stunning 87.3% of all holdings.

Commercial paper (CP) totals $272.5 billion (down from $278.1 billion), or 5.3% of all holdings, and the Other category (primarily Time Deposits) totals $163.0 billion (up from $162.4 billion), or 3.2%. Certificates of Deposit (CDs) total $139.1 billion (down from $142.8 billion), 2.7%, and VRDNs account for $75.2 billion (down from $76.0 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: $190.5 billion, or 3.7%, in Financial Company Commercial Paper; $38.3 billion or 0.8%, in Asset Backed Commercial Paper; and, $43.7 billion, or 0.9%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($983.6B, or 19.3%), U.S. Govt Agency Repo ($407.9B, or 8.0%) and Other Repo ($50.8B, or 1.0%).

The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $267.9 billion (down from $272.9 billion), or 29.6%; Repo holdings of $174.1 billion (up from $158.3 billion), or 19.2%; Treasury holdings of $165.5 billion (down from $186.7 billion), or 18.3%; CD holdings of $139.1 billion (down from $142.8 billion), or 15.4%; Other (primarily Time Deposits) holdings of $116.6 billion (down from $117.7 billion), or 12.9%; Government Agency holdings of $33.8 billion (down from $35.9 billion), or 3.7% and VRDN holdings of $8.6 billion (up from $7.9 billion), or 1.0%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $190.5 billion (up from $189.9 billion), or 21.0%, in Financial Company Commercial Paper; $38.3 billion (down from $40.8 billion), or 4.2%, in Asset Backed Commercial Paper; and $39.1 billion (down from $42.2 billion), or 4.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($97.0 billion, or 10.7%), U.S. Govt Agency Repo ($26.2 billion, or 2.9%), and Other Repo ($50.8 billion, or 5.6%).

In related news, money fund charged expense ratios fell to a new record low of 0.06% in May, as measured by our Crane 100 Money Fund Index and Crane Money Fund Average. 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 late yesterday.) 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 0.06%, down two basis points from last month's previous record low level. The average is down from 0.27% on Dec. 31, 2019, so funds are waiving 21 bps, or 70% of full charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also shows a charged expense ratio of 0.06% as of May 31, 2021, down two basis points from the month prior and down from 0.40% at year-end 2019.

Prime Inst MFs expense ratios (annualized) now average 0.11% (down two basis point from last month), Government Inst MFs expenses average 0.04% (down a basis point from the month prior), Treasury Inst MFs expenses also average 0.04% (down two basis points from last month). Treasury Retail MFs expenses currently sit at 0.04%, (down two basis points from the month prior), Government Retail MFs expenses yield 0.03% (down a basis point over the month). Prime Retail MF expenses are 0.14% (down two basis points from the month prior). Tax-exempt expenses were down two basis points over the month, averaging 0.11%.

Gross 7-day yields were down a basis point at 0.07% on average in the month ended May 31, 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 734), shows a 7-day gross yield of 0.07%, down two basis points from the previous month. The Crane Money Fund Average is down 1.65% from 1.72% at the end of 2019. The Crane 100's 7-day gross yield also fell two basis points, ending the month at 0.07%, 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 $2.927 billion (as of 5/31/21). Our estimated annualized revenue totals decreased from $3.790 billion last month, and fell from $6.028 trillion at the start of 2020 and from $10.642 trillion at the start of 2019. Charged expenses and gross yields are driven by a number of variables, and increasing Treasury supply should alleviate some of the pressures from this past month. Nonetheless, severe fee waivers and heavy fee pressure should continue as long as the Fed keeps yields pinned to almost zero.

Email This Article




Use a comma or a semicolon to separate

captcha image