We continue to wade our way through the massive SEC Money Market Fund Reform release. Today, we've chosen to focus on a couple of sections. Though most of the release appears as expected, we found some interesting changes among the new portfolio disclosure requirements. These should provide a bonanza to data collectors and publishers like ourselves, but may cause confusion and information overload to many. (Look for Crane Data to add new data points to its products and website as they become available.)
Under "Disclosure of Portfolio Information, the new rules say, "As amended, rule 2a-7(c)(12) will require funds to disclose monthly with respect to each security held: (i) the name of the issuer; (ii) the category of investment (e.g., Treasury debt, government agency debt, asset backed commercial paper, structured investment vehicle note); (iii) the CUSIP number (if any); (iv) the principal amount; (v) the maturity date as determined under rule 2a-7 for purposes of calculating weighted average maturity; (vi) the final maturity date, if different from the maturity date previously described; (vii) coupon or yield; and (viii) the amortized cost value. In addition, the amendments require funds to disclose their overall weighted average maturity and weighted average life maturity of their portfolios.... The amended rule requires funds to post the portfolio information, current as of the last business day of the previous month, no later than the fifth business day of the month." (Oct. 7, 2010, is the deadline for this website disclosure.)
The release also says, "We are adopting a new rule requiring money market funds to provide the Commission a monthly electronic filing of more detailed portfolio holdings information. The information will permit us to create a central database of money market fund portfolio holdings, which will enhance our oversight of money market funds and our ability to respond to market events." Money funds must report the above information on Form N-MFP, plus: "NRSROs designated by the fund, the credit ratings given by each NRSRO, and whether each security is first tier, second tier, unrated, or no longer eligible; ... whether the instrument has certain enhancement features; ... the percentage of the money market fund's assets invested in the security; whether the security is an illiquid security ...; and 'Explanatory notes'"
It adds, "Form N-MFP also requires funds to report to us information about the fund, including information about the fund's risk characteristics such as the dollar weighted average maturity of the fund's portfolio and its seven-day gross yield. Money market funds also must report on Form N-MFP the market-based values of each portfolio security and the fund's market-based net asset value per share.... Under rule 30b1-7, the information contained in the portfolio reports that money market funds file with the Commission on Form N-MFP will be available to the public 60 days after the end of the month to which the information pertains.... [T]he first mandatory filing will be due on December 7, 2010, for holdings as of the end of November 2010."
Note: ignites.com will be hosting a Webinar (available to subscribers only) at 10:00 a.m. moderated by our Peter Crane and featuring Federated Investors' Debbie Cunningham and Goodwin Proctor's John Hunt on "The Future of Money Funds." JPMorgan Securities' Alex Roever and Cie-Jae Brown will also hold a conference call at 11:30 a.m. on the Rule 2a-7 Amendments and Revival of Supplemental Financing Program.
