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 new Aug. 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 our Holding file listings to Money Fund Wisdom subscribers.) Our new N-MFP summary, with data as of August 31, includes holdings information from 997 money funds (up 1 from last month), representing assets of $5.087 trillion (down from $5.097 trillion). Prime MMFs now total $956.4 billion, or 18.8% of the total. We review the new N-MFP data, and we also look at our revised MMF expense data, which shows charged expenses inching lower and money fund revenues dipping to a $13.3 trillion annualized rate in August.

Our latest Form N-MFP Summary for All Funds (taxable and tax-exempt) shows Repurchase Agreement (Repo) holdings in money market funds increased to $2.669 trillion (up from $2.644 trillion), or 52.5% of all assets. Treasury holdings totaled $1.350 trillion (down from $1.433 trillion), or 26.5% of all holdings, and Government Agency securities totaled $458.0 billion (up from $445.8 billion), or 9.0%. Holdings of Treasuries, Government agencies and Repo (almost all of which is backed by Treasuries and agencies) combined total $4.477 trillion, or a massive 88.0% of all holdings.

Commercial paper (CP) totals $252.7 billion (up from $236.6 billion), or 5.0% of all holdings, and the Other category (primarily Time Deposits) totals $146.6 billion (down from $148.0 billion), or 2.9%. Certificates of Deposit (CDs) total $135.7 billion (up from $122.1 billion), 2.7%, and VRDNs account for $75.6 billion (up from $68.2 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: $161.4 billion, or 3.2%, in Financial Company Commercial Paper; $36.1 billion or 0.7%, in Asset Backed Commercial Paper; and, $55.2 billion, or 1.0%, in Non-Financial Company Commercial Paper. The Repo totals were made up of: U.S. Treasury Repo ($2.345 trillion, or 46.1%), U.S. Govt Agency Repo ($277.9B, or 5.5%) and Other Repo ($45.8B, or 0.9%).

The N-MFP Holdings summary for the Prime Money Market Funds shows: CP holdings of $247.9 billion (up from $232.1 billion), or 25.9%; Repo holdings of $343.7 billion (up from $327.5 billion), or 35.9%; Treasury holdings of $53.9 billion (down from $58.4 billion), or 5.6%; CD holdings of $135.7 billion (up from $122.1 billion), or 14.2%; Other (primarily Time Deposits) holdings of $106.2 billion (down from $108.2 billion), or 11.1%; Government Agency holdings of $62.7 billion (up from $62.2 billion), or 6.6% and VRDN holdings of $6.2 billion (up from $5.9 billion), or 0.6%.

The SEC's more detailed categories show CP in Prime MMFs made up of: $161.4 billion (up from $154.1 billion), or 16.9%, in Financial Company Commercial Paper; $36.1 billion (up from $29.2 billion), or 3.8%, in Asset Backed Commercial Paper; and $50.3 billion (up from $48.8 billion), or 5.3%, in Non-Financial Company Commercial Paper. The Repo totals include: U.S. Treasury Repo ($277.2 billion, or 29.0%), U.S. Govt Agency Repo ($21.1 billion, or 2.2%), and Other Repo ($45.5 billion, or 4.8%).

In related news, money fund charged expense ratios (Exp%) inched lower in August to 0.38% from 0.41% 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 0.38%, respectively, as of Aug. 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 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%, 3 basis points lower than 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 0.38% as of August 31, 2022, 3 bps lower than the month prior and now below the 0.40% at year-end 2019.

Prime Inst MFs expense ratios (annualized) average 0.32% (down 2 bps from last month), Government Inst MFs expenses average 0.28% (down 2 bps from previous month), Treasury Inst MFs expenses average 0.31% (down 2 bps from last month). Treasury Retail MFs expenses currently sit at 0.52%, (down 3 bps from last month), Government Retail MFs expenses yield 0.52% (down 3 bps from last month). Prime Retail MF expenses averaged 0.50% (down 4 bps from the previous month). Tax-exempt expenses were down 5 bps at 0.41% on average.

Gross 7-day yields rose again during the month ended August 31, 2022 (month after a 75 bps hike). (Yields should jump again in September if, as expected, the Fed hikes again.) The Crane Money Fund Average, which includes all taxable funds tracked by Crane Data (currently 740), shows a 7-day gross yield of 2.30%, up 41 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 39 bps, ending the month at 2.28%.

According to our revised MFI XLS and Crane Index numbers, we now estimate that annualized revenue for all money funds is $13.297 billion (as of 8/31/22). Our estimated annualized revenue totals decreased from $14.860B last month and from $13.301B 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 coming months as the MMFs start seeing substantial inflows from bank deposits.

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