Money Market Fund Holdings
Dec. 28, 2022
A Brief History of Holdings Data
Every month, US mutual funds and ETFs must declare all their positions and valuations (along with a host of other data) via the N-PORT filing. The quarterly versions of this filing are publicly available. Since this report was mandated in 2020, Empirasign has indexed and made available to our subscribers and free findabond page users over 20 million bond valuations. Notably exempt from this N-PORT filing requirement are Money Market Funds.
Money Market Funds
Instead of N-PORT, Money Market funds must file FORM N-NMP. From our perspective, this report is more interesting as every monthly Money Fund filing is made public--not just the quarterlies. However, it's not all good news as no valuation information is contained in this filing. This is probably due to concerns around breaking the buck. In addition to the holdings data in this filing, there is also extensive information on the repo market. Money Market funds are very large repo investors (if not the largest). But for right now, let's focus on bond holdings. For any security we can link to a Money Market Fund holding, we'll display such data on applicable bond search screens. These include both our free findabond page as well our bond history page (for logged-in users).
The screenshot below shows the free findabond page for EFF 2022-1 A1. Money Fund holdings are circled in red.
URL for page displayed above: www.empirasign.com/findabond/29375JAA2/
Money Fund holdings data (along with many other linked data sets) can similarly be found on any bond history page for logged-in users. The screenshot below shows data on the same bond for logged-in users.
URL for page displayed above: www.empirasign.com/secid/29375JAA2/
More to Come
As indicated in the subject line, surfacing Money Fund holdings data is just a stocking stuffer. Soon such data will be integrated with other Empirasign functionalities and data access patterns. We are currently working on the following:
- Linking Money Funding holdings to our Matching the World algorithm
- API Access to Money Fund data
- Increasing Probable Sellers hit rates
- Enabling Money Fund sector and issuer level searches
- Identifying free to trade bonds based on repo collateral