Earlier today, the U.S. Securities & Exchange Commission began posting money market mutual funds' new Form N-MFP, a monthly filing which contains "shadow" NAVs delayed by 60 days. A press release, entitled, "SEC Releases Money Market Fund Portfolio and 'Shadow Nav' Information to the Public," says, "The Securities and Exchange Commission today announced that investors can for the first time access detailed information that money market funds file with the Commission -- including information about a fund's investments and the market-based price of its portfolio known as its "shadow NAV" (net asset value) or mark-to-market valuation."
Crane Data's initial collections of the Nov. 30 shadow NAV prices show that just 30, or 12.7%, of the 236 taxable money market mutual funds with assets over $1 billion show shadow NAVs of 0.9999 or lower. Half of these (15) have mark-to-market prices of 0.9999 and the rest have NAVs ranging from 0.9998 to 0.9984. Just 3 are below 0.9991, and these are still well above the threshold where a price would be in danger of "breaking the buck". (A fund would need to be priced at 0.9949 to round down to 0.99.) Note that Crane Data will begin publishing the full list of "shadow" NAVs in our monthly Money Fund Intelligence XLS, which is available to subscribers only. (We also recently began publishing Money Fund Portfolio Holdings in our Money Fund Wisdom database.)
The SEC's release continues, "The information is available on the SEC's website and will be updated monthly. As part of its overhaul of money market fund regulation, the Commission last year adopted a rule requiring money market funds to file information about their holdings and portfolio valuations." "While the Commission uses this information in its real-time oversight of money market funds, we also believe that public disclosure can provide investors and market analysts with useful insight for their evaluation of these funds," comments SEC Chairman Mary L. Schapiro.
The SEC explains in a "Frequently Asked Questions" piece, "Q: Under new SEC rules, money market funds must report their portfolio holdings and other information to the SEC on Form N-MFP. Will this information be available to the public? A: Yes, on a 60-day delayed basis. Rule 30b1-7(b) states that the "Commission will make the information filed on Form N-MFP available to the public 60 days after the end of the month to which the information pertains." For example, information reported on Form N-MFP for November 2010 will be available 60 days after November 30.... More recent but less detailed information about money market fund portfolio holdings is available on fund websites, and that information must be posted within 5 business days after the end of the month."
The SEC continues, "Q: How do I find the publicly available information that money market funds file on Form N-MFP? A: Information filed on Form N-MFP will be available on the Commission's Electronic Data Gathering, Analysis and Retrieval web page ("EDGAR"), which is at http://www.sec.gov/edgar.shtml. You can retrieve the information in different ways, including a readable format in which information corresponds to the items of the form, or the data format the fund used to submit the information to the Commission (eXtensible Markup Language or "XML"). Useful links on the Commission's website include "Search for Company Filings" (http://www.sec.gov/edgar/searchedgar/webusers.htm), where you can enter the fund's ticker symbol. You can also find links to this information through money market funds' websites that include portfolio holdings information. In addition, it is likely that financial publications will include some of the publicly available information filed on Form N-MFP by money market funds."
The Q&A also asks, "Q: Money market funds report the "shadow price" of their net asset value ("NAV") per share on Form N-MFP (Items 18 and 25). What is a shadow price? A: A money market fund's shadow price is the NAV per share most recently calculated using available market quotations (or an appropriate substitute that reflects current market conditions). In other words, it is the NAV that reflects the current market value of the securities the fund owns, rather than the amortized cost of those securities. SEC rules permit a money market fund to value its securities at cost and spread out (or amortize) any discounts given or premiums paid on the securities when the fund acquired them. SEC rules also permit a fund to round the cost-based NAV to the nearest penny per share. Both of these provisions, combined with the strict limits on money market fund investments under SEC rules, enable a money market fund to maintain a stable NAV, typically $1 per share."
It continues, "Q: What does it mean if a money market fund's shadow price NAV differs from the $1 per share at which the fund sells and redeems its shares? A: Because the markets are constantly changing, a money market fund's market based (shadow price) NAV is constantly changing too. Therefore it is not uncommon for a fund's shadow price NAV per share to differ from exactly $1.0000 per share, for example due to interest rate changes that affect securities values in a fund's portfolio. As long as the fund's shadow price NAV per share is at least 99 1/2 cents (or $0.995) and no greater than 100 1/2 cents (or $1.005), the fund can continue to sell and redeem shares at $1 per share. If a money market fund's shadow price NAV per share goes outside these limits, the fund may need to re-price its shares at a value other than $1 per share, an event known as "breaking the buck." In the past couple of decades since money market funds began, two money market funds have broken the buck. It is also important to remember that the shadow price NAV shown on publicly available Form N-MFP information is at least 60 days old and is likely not the fund's current shadow price NAV. More recent monthly information (including portfolio holdings but not necessarily including shadow prices) is available on money market fund websites. Some money market funds post information on their websites more often than monthly.
Finally, the SEC asks, "Q: Where can I find out more about money market funds, net asset values, etc.? A: SEC publications you may find useful include: Investor Bulletin: Focus on Money Market Funds, and, Mutual Funds: A Guide for Investors." You can search for filings on mutual funds and Form N-MFP via EDGAR's Mutual Fund search page at www.sec.gov/edgar/searchedgar/mutualsearch.htm of by reviewing recent Form N-MFP filings here.
