ICI FAQs on Form N-MFP
The Investment Company Institute recently updated a document entitled, "Frequently Asked Questions About Money Market Fund N-MFP Data." It explains, "The Securities and Exchange Commission's 2010 money market fund amendments require such funds to file detailed portfolio information with the agency monthly, on SEC Form N-MFP. The data in this monthly report comes from that form, which ICI members also send directly to ICI. The Institute has been tracking this data since firms began filing it in December 2010, and is now making a summary of the data publicly available in a monthly report, beginning in January 2014. The summary report is intended to provide aggregated insights into the holdings of taxable money market funds, which includes both prime and government money market funds.... Form N-MFP provides detailed information about the nature and maturity of money market funds' holdings of securities and repurchase agreements. ICI's data release provides aggregated data for funds holding roughly 94 percent of the assets in taxable money market funds, as well as insights on the: Types of securities in government and prime money market funds' portfolios; Home countries and regions of issuers of securities and repurchase agreements held in money market funds' portfolios (based on the home country of the issuer's parent company); Maturity of funds' portfolios, expressed as weighted average maturity (WAM) and weighted average life (WAL); Liquidity of funds' portfolios; and Maturity distribution of securities in money market funds' portfolios, by type of securities and by home country of issuers. The monthly press release that will accompany ICI's report will focus on daily and weekly liquidity, WAM and WAL, and the home regions of issuers of securities held by prime and government taxable money market funds. The release will include a link to additional tables for the rest of the data.... When significant trends emerge or when economic or political developments focus attention on money market funds and their holdings, ICI intends to offer its insights through its blog, ICI Viewpoints. In 2014, ICI published a series of ICI Viewpoints pieces examining the N-MFP data and explaining what insights it can yield about money market funds." (Note: Crane Data publishes a collection of Money Fund Portfolio Holdings each month too, and produces a summary of trends in a "Reports & Pivot Tables" version of our holdings info. Contact us if you'd like to see our latest cut. Note too that the SEC will be making changes to Form N-MFP beginning in April 2016, when new disclosure reforms go into effect.)
