Crane Data's latest monthly Money Fund Portfolio Holdings statistics will be sent out Tuesday, and we'll be writing our regular monthly update on the December 31 data for Wednesday's News. But we also uploaded a separate and broader Portfolio Holdings data set based on the SEC's Form N-MFP filings on Monday. (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 Dec. 31, includes holdings information from 1,019 money funds (down one fund from last month), representing assets of $5.229 trillion (up from $5.134 trillion). Prime MMFs now total $811.8 billion, or 15.5% of the total. We review the new N-MFP data below, and we also look at our revised MMF expense data. (Note: Again, we've cancelled our physical Money Fund University but will host a virtual event on January 20-21. Registration for MFU Online is $250. Click here for the latest agenda and here to register.)

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 massive $2.496 trillion (up from $2.285 trillion), or 47.7% of all assets. Treasury holdings totaled $1.822 trillion (up from $1.802 trillion), or 34.8% of all holdings, and Government Agency securities totaled $409.9 billion (down from $437.2 billion), or 7.8%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.728 trillion, or a massive 90.3% of all holdings.

Commercial paper (CP) totals $225.5 billion (down from $256.4 billion), or 4.3% of all holdings, and the Other category (primarily Time Deposits) totals $96.7 billion (down from $154.7 billion), or 1.8%. Certificates of Deposit (CDs) total $108.7 billion (down from $130.7 billion), 2.1%, and VRDNs account for $70.2 billion (up from $68.2 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: $157.7 billion, or 3.0%, in Financial Company Commercial Paper; $35.2 billion or 0.7%, in Asset Backed Commercial Paper; and, $32.6 billion, or 0.6%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($2.128 trillion, or 40.7%), U.S. Govt Agency Repo ($409.9B, or 7.8%) and Other Repo ($52.9B, or 1.0%).

The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $221.9 billion (down from $252.6 billion), or 27.3%; Repo holdings of $290.5 billion (up from $228.5 billion), or 35.8%; Treasury holdings of $95.9 billion (up from $67.8 billion), or 11.8%; CD holdings of $108.7 billion (up from $130.7 billion), or 13.4%; Other (primarily Time Deposits) holdings of $57.3 billion (down from $114.7 billion), or 7.1%; Government Agency holdings of $28.4 billion (down from $31.4 billion), or 3.5% and VRDN holdings of $9.1 billion (up from $6.7 billion), or 1.1%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $157.7 billion (down from $175.9 billion), or 19.4%, in Financial Company Commercial Paper; $35.2 billion (up from $34.4 billion), or 4.3%, in Asset Backed Commercial Paper; and $29.0 billion (down from $42.2 billion), or 3.6%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($216.8 billion, or 26.7%), U.S. Govt Agency Repo ($20.9 billion, or 2.6%), and Other Repo ($52.8 billion, or 6.5%).

In other news, money fund charged expense ratios rose in December to 0.08% from 0.07% 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 were 0.08% as of Dec. 31, 2021. 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 Monday 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, 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 0.08%, one bps higher than last month's level (and two 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 19 bps, or 70% of normally charged expenses. The Crane Money Fund Average, a simple average of all taxable MMFs, also showed a charged expense ratio of 0.08% as of Dec. 31, 2021, 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% (up 1 basis point from last month), Government Inst MFs expenses average 0.05% (unchanged), Treasury Inst MFs expenses average 0.06% (up 1 bps from last month). Treasury Retail MFs expenses currently sit at 0.06%, (up 1 bps from last month), Government Retail MFs expenses yield 0.06% (up 1 bps from last month). Prime Retail MF expenses averaged 0.15% (up two bps). Tax-exempt expenses were up five basis points over the month to 0.13% on average.

Gross 7-day yields inched higher on average for the month ended Dec. 31, 2021. The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 741), shows a 7-day gross yield of 0.09%, unchanged 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 0.10%.

According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is approximately $4.043 billion (as of 12/31/21). Our estimated annualized revenue totals increased from $3.598 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.

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