Thematic Review on Money Market Fund Reforms - Peer review report

In some jurisdictions, the types of assets in which the MMF may invest depend on the structure and type of NAV of the MMF. [...] In some jurisdictions, the types of assets in which the MMF may invest dictates other aspects of the MMF, such as the type of NAV the MMF can offer. [...] The NAV deviations then widened due to the general market volatility at the time of the LDI crisis, in particular due to changes in market expectations on the short-term path for interest rates, which has the greatest effect on the value of MMF assets. [...] The EU, UK and US explicitly had links between the breach of regulatory thresholds and the activation of LMTs: ■ In both the EU (which encompasses five national respondents and the European Commission) and the UK, for public debt CNAVs and LVNAVs, fees and gates are to be considered when the fund’s WLA falls below the 30% requirement and one-day redemptions exceed 10%, whereas full gating (suspens. [...] Finally, they noted three additional points: (i) it may reduce the attractiveness of affected MMFs to investors and may result in significant reductions in the size of the MMF sector; (ii) if the floating NAV alternatives resulted in a decrease in the size of the MMF industry, they would adversely impact the availability of wholesale funding liquidity and access to capital for issuers; and (iii) t.