Money Market Fund Portfolio and “Shadow NAV” Information Now Available to the Public, Says SEC

The Securities and Exchange Commission says that investors can now access detailed data about money market funds, including their portfolio’s market-based price, called its “shadow NAV” (net asset value). The public can now access this information, which will be updated regularly, on the SEC’s website through the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system.

It was just last year that the SEC adopted a rule that requires money market funds to submit information about their portfolio valuations and holdings. SEC Chairman Mary L. Schapiro says that the Commission believes that the public disclosure of this data will help market analysts and investors in evaluating mutual funds.

Per the new rule, the SEC will make available within 60 days the information that the funds file on new Form N-MFP. Money market funds also must now post current portfolio data on their on Web sites within five business days after the month has ended.

According to a study released last month by the Investment Company Institute, money funds’ market value usually adhere to the stable $1 net asset value unless there are unusual market conditions. ICI is the national association for mutual funds.

ICI report says that per securities laws, money funds can offer shares at a stable $1 NAV as long as per-share values remain within one-half cent of $1. Also, between 2000 and 2010, money funds’ average shadow price shifted between $0.998 and $1.002. During this time, the market underwent significant valuations in asset prices and interest rates. For the money fund’s market value to fluctuate beyond one-half cent of the $1 NAV, certain market condition changes would have to occur, such as investor net redemptions hitting 80% of a fund’s assets, short-term interest rates going up by over 300 basis points in a day, and a 100 basis point rise in interest rates added to investor redemptions of 70% of a fund’s assets.

Related Web Resources:
SEC Releases Money Market Fund Portfolio and “Shadow NAV” Information to the Public, SEC, January 31, 2011
The ICI Report (PDF)

More Blog Posts on Money Market Funds:
SEC is working on issues related to asset-backed securities, credit ratings, and money market mutual funds, says Schapiro, Stockbroker Fraud Blog, January 31, 2011
US Treasury Department Extends Money Market Fund Guarantee Program Through April 2009, Stockbroker Fraud Blog, December 10, 2008
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