A press release entitled, "J.P. Morgan Asset Management to disclose daily and weekly money market fund liquidity," announced that, "J.P. Morgan Asset Management's U.S. money market funds will begin disclosing their levels of daily and weekly liquid assets online each business day as of the prior business day, effective June 18, 2013. The information will provide investors with greater transparency, but there will be no change to the operation of the funds." The company is getting the jump on the SEC's recent Proposed Rules on Money Market Fund Reform, which includes a recommendation for "Daily Disclosure of Daily Liquid Assets and Weekly Liquid Assets." J.P. Morgan is the second largest manager of money funds with $230.7 billion according to the most recent Money Fund Intelligence XLS.
The SEC Proposal says starting on page 326, "We are proposing amendments to rule 2a-7 that would require money market funds to disclose prominently on their websites the percentage of the fund's total assets that are invested in daily and weekly liquid assets, as well as the fund's net inflows or outflows, as of the end of the previous business day. The proposed amendments would require a fund to maintain a schedule, chart, graph, or other depiction on its website showing historical information about its investments in daily liquid assets and weekly liquid assets, as well as the fund's net inflows or outflows, for the previous 6 months, and would require the fund to update this historical information each business day, as of the end of the preceding business day. These amendments would complement the proposed requirement, as discussed elsewhere in this Release, for money market funds to provide on their monthly reports on Form N-MFP the percentage of total assets invested in daily liquid assets and weekly liquid assets broken out on a weekly basis."
The SEC explains, "We believe that daily disclosure of money market funds' daily liquid assets and weekly liquid assets would promote transparency regarding how money market funds are managed, and thus may permit investors to make more efficient and informed investment decisions. Additionally, we believe that this enhanced disclosure may impose external market discipline on portfolio managers, in that it may encourage fund managers to carefully manage their daily and weekly liquid assets, which may decrease portfolio risk and promote stability in the short-term financing markets. We also believe that it could encourage funds to ensure that the fund's liquidity level is at least as large as its shareholders' demand for liquidity. The proposed daily disclosure requirement would provide an additional level of detail to the proposed requirement for money market funds to break out their daily liquid assets and weekly liquid assets on a weekly basis on their monthly reports on Form N-MFP, which in turn would further enhance investors' and the Commission's ability to monitor fund risks."
It continues, "[D]aily website disclosure of liquid asset levels would help investors estimate, in near-real time, the likelihood that a fund may be able to satisfy redemptions by using internal cash sources (rather than by selling portfolio securities) in times of market turbulence, or, if our liquidity fees and gates proposal is adopted, whether a fund may approach or exceed a trigger for the potential imposition of a liquidity fee or gate. Requiring daily website disclosure of liquid assets across the money market fund industry also would permit investors more readily to determine whether liquidity-related stresses are idiosyncratic to particular funds, thus minimizing the prospect of redemption pressures on funds that are not similarly affected. This disclosure also could make information about fund liquidity more accessible to a broad range of investors. This daily website disclosure should also assist the Commission in its oversight role and promote certain efficiencies, in that it would permit the Commission to access detailed portfolio liquidity information as necessary to its oversight of money market funds, without the need to contact fund management or service providers to obtain it.... The proposed disclosure also could increase the volatility of a fund's flows, even during times when the fund is not under stress, if shareholders are sensitive to changes in the fund's liquidity levels."
JPMAM's release explains, "This liquidity disclosure is in addition to the money market funds' current practice of disclosing daily market-based net asset values (NAVs) per share, announced by J.P. Morgan Asset Management on January 9, 2013. The information can be found on the web at www.jpmorganfunds.com."
John Donohue, Chief Investment Officer, J.P. Morgan Asset Management Global Liquidity, comments, "Providing investors with timely and easy access to daily and weekly liquidity information about money market funds helps investors develop a better understanding of how market movements impact liquidity fluctuations. This will allow investors to make more informed decisions about their investments."
Note: Crane Data currently publishes "%Mat7" (percent maturing in 7 days) and "%M1" (percent maturing in 1 day) statistics in our monthly MFI XLS spreadsheet. We also track MNAV, or "market NAVs" in our MFI Daily product. We will add these daily website disclosures to MFI Daily is other funds follow JPMAM's lead, or once they become final rules at some point in 2014. (E-mail info@cranedata.com for a sample.)
