As we mentioned in our "Link of the Day" yesterday, Goldman Sachs announced that they would begin reporting mark-to-market, or "shadow" NAVs out to 4 decimal places on a daily basis. Now the 2nd largest money fund manager says it will join them. A press release says, "J.P. Morgan Asset Management today announced that three of its U.S. money market funds will begin to disclose their market-based NAVs per share (also known as Shadow NAVs) on a daily basis. This additional disclosure will provide investors with greater transparency regarding the Market-Based NAV's fluctuation, but will not change the funds' existing objective to maintain $1.00 stable NAV."
The JPMAM release continues, "Beginning on January 14, 2013, the JPMorgan Prime Money Market Fund, JPMorgan Liquid Assets Money Market Fund and the JPMorgan Current Yield Money Market Fund will calculate their Market-Based NAVs per share to four decimals at the Funds' close of each trading day and disclose it the following business day on its website. J.P. Morgan plans to add Market-Based NAVs disclosure for its other money market funds in the near future."
Robert Deutsch, head of Global Liquidity at J.P. Morgan Asset Management, tells us, "Daily disclosure of market-based NAVs will help investors better understand how day to day market movements or events can affect the value of the funds' portfolios. Increased NAV transparency will allow investors to better understand the nature of money market fund risks and to make more informed decisions regarding their investments while they continue to enjoy the benefits that money market funds offer."
The release adds, "Money market funds' Market-Based NAVs per share have historically been calculated at least weekly, and since December 2010, have been disclosed monthly to the SEC within Form N-MFP and made public with a 60-day lag."
Goldman's statement, entitled, "GSAM To Disclose Daily Nav For US-Domiciled Commercial Paper Money Market Funds," explains, "Goldman Sachs Asset Management announced that it will begin disclosing a daily market value Net Asset Value ("NAV") for its US-domiciled Commercial Paper Money Market funds effective today. Disclosure of the NAV for the Government and Municipal funds is expected to follow next week."
James McNamara, Managing Director and President of Goldman Sachs Mutual Funds," says, "As a leading provider of liquidity solutions, we believe that more frequent disclosure and greater transparency will benefit investors. This will have no impact to how fund shareholders transact or the way the funds are managed. It is our belief that this level of transparency will also benefit the ongoing dialogue around potential regulatory changes to money market funds."
Goldman's release adds, "As the industry and regulators work to determine the next course of action relative to money market fund reform, GSAM believes increased transparency will help investors, and the market at large. This disclosure is also consistent with Goldman Sachs' long-standing advocacy of mark-to-market accounting."
David Fishman and James McCarthy, Managing Directors and Co-Heads of GSAM's Global Liquidity Management business, comment, "Given that much of the discussion about systemic risk has centered on the commercial paper fund market in the US, we have decided as a first step to disclose those funds' market value NAVs. This additional transparency gives fund investors more information to understand the underlying value of the portfolio -- a data point we already use each day to manage risk and achieve the funds' primary goal: seeking to achieve a $1.00 NAV."
Goldman tells us, "The calculation, disclosure and monitoring of a market value NAV for a money market fund is not new. In fact, every money market fund is required by the Securities and Exchange Commission (SEC) to calculate a market value NAV to the nearest hundredth of a cent (or $0.0001) on a monthly basis, which is made available to investors on a 60-day lag. Additionally, GSAM and its Funds' Board regularly monitor the funds’ market value NAV."
Finally, they say, "GSAM will begin disclosing a daily market value NAV for the following US-domiciled commercial paper or "prime" funds: the GS Financial Square Money Market Fund, the GS Financial Square Prime Obligations Fund and the GS VIT Money Market Fund. The information will be available to investors on the Funds website. GSAM plans to disclose daily NAVs for US-domiciled tax-exempt, government, and Treasury funds next week and for non-US Money Market funds in the near future."
