Crane Data: money market fund holdings and assets (licensed)

Licensed: not exercised here

Crane Data is a licensed commercial dataset (Crane Data LLC), so it carries no provenance badge: the access path below was not run in this session (no Crane Data subscription was available). The page documents the access route and the gotchas; treat it as unverified until someone exercises it through a licensed account. This is the honest grade under the institute’s Verified discipline.

Crane Data is a money-market-fund (MMF) data service, operated by Crane Data LLC. It provides monthly fund-level total net assets (AUM), yields, and portfolio holdings (instrument type, issuer, maturity), with the portfolio-weight detail needed to study fund composition (e.g. Treasury-bill and Fed reverse-repo / RRP weights). It is a source in MMF and short-term markets research: used in, for example Siriwardane, Sunderam & Wallen (MMF total net assets and holdings for the money-fund-reform analysis, cross-checked with SEC Form N-MFP), and Stein & Wallen (monthly money-fund holdings and AUM, T-bill and RRP portfolio weights, fund-level elasticity estimation, and an AUM decomposition).

• Cost: licensed, subscription.
• Vendor: Crane Data LLC.
• Coverage: US money-market funds, monthly, fund and holding level. The free public counterpart is SEC Form N-MFP (the monthly MMF portfolio filing on EDGAR), which carries much of the same holdings detail but needs assembly.

Access (when licensed)

• Directly from Crane Data LLC. Data are delivered by subscription via file delivery or downloads. License required; contact Crane Data LLC for terms.
• Free alternative. SEC Form N-MFP filings are available on EDGAR and cover similar holdings detail. The trade-off is more processing: filings must be fetched, parsed, and assembled into a panel before use.
• Credentials and subscription details should be stored in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• Commercial repackaging of regulatory filings. Crane Data cleans and repackages fund filings; convenient, but the underlying source for holdings is the same N-MFP filings on EDGAR. Cross-check against EDGAR when accuracy matters for a specific holding or vintage.
• Fund vs. share-class structure. AUM and yields are reported at the share-class and fund levels. Decide the unit of analysis before aggregating and avoid double-counting share classes when computing fund-level totals.
• Monthly snapshots only. Holdings are month-end snapshots; intra-month dynamics and same-day repo turnover are not captured.
• Proprietary instrument and issuer taxonomy. Crane’s instrument and issuer classifications are their own taxonomy. Map them explicitly before merging with other sources; do not assume they align with EDGAR N-MFP field codes or other data vendors.
• Fund identity changes over time. Fund-name and identifier changes across mergers and liquidations break a naive panel. Build a crosswalk before treating the fund identifier as a stable entity key.
• Coverage is not a regulatory census. Crane tracks a broad universe of US MMFs, but it is not identical to the full SEC-registered population the way N-MFP is. Funds near launch or wind-down may appear or disappear differently than in EDGAR.

Citation

Cite Crane Data LLC money market fund data, stating the vintage (date range pulled), the unit of observation (fund level or share-class level), and whether holdings were cross-checked against SEC Form N-MFP filings on EDGAR.