美联储金融账户报告-货币市场基金脆弱性：全球视角（英）-2022.3-26正式版.pdf

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1、Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Money Market Fund Vulnerabilities: A Global PerspectiveAntoine Bouveret, Antoine Martin, and Patrick E. McCabe2022-012Please cite this paper as:Bouveret, Antoine, Antoine Martin

2、, and Patrick E. McCabe (2022).“Money Mar-ket Fund Vulnerabilities:A Global Perspective,” Finance and Economics DiscussionSeries 2022-012.Washington:Board of Governors of the Federal Reserve System,https:/doi.org/10.17016/FEDS.2022.012.NOTE: Staffworking papers in the Finance and Economics Discussio

3、n Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staffor theBoard of Governors. References in publications to the Finance a

4、nd Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Page1of25MoneyMarketFundVulnerabilities:AGlobalPerspectiveAntoineBouveret(ESMA),AntoineMartin(FRBNY),andPatrickE. McCabe(FRB)18March2022Abstract:Moneymar

5、ketfunds(MMFs)arepopulararoundtheworld,withover$9trillioninassetsundermanagementglobally.Fromtheiroriginsinthe1970s,MMFshaveoperatedinanichebetweenthecapitalmarketsandthebankingsystem,asinvestmentfundsthatofferprivatemoneylikeassetswithfeaturessimilartothoseofbankdeposits.Hence,theyarevulnerabletoru

6、nsthatarisefromliquiditytransformationandfromsuddenchangesininvestorperceptionsofthefundsabilitytoserveasmoneylikeassets.Since2000,MMFrunshaveoccurredinmanycountriesandundermanyregulatoryregimes.TheglobalpatternofrunsandcrisesshowsthatMMFvulnerabilitiesarenotuniquetoaparticularsetofgoverningarrangem

7、ents,andthatmitigatingthesevulnerabilitiesrequiresfundamentalreformsthateitherplaceMMFsmoreclearlywithintheinvestmentfundsectororestablishprotectionsforMMFssimilartothosefordeposits.Keywords:Moneymarketfunds,liquiditytransformation,runs,nonbankfinancialinstitutions,shorttermfundingmarkets,informatio

8、ninsensitiveassets,financialstability.*Moneymarketfunds(MMFs)aremutualfundsthatis,openendcollectiveinvestmentfundsthatinvestprimarilyinshortterminstrumentsandaimtomaintainstable,ornearstable,shareprices.MMFswerefirstcreatedintheUnitedStatesandtheninFrancetoofferinvestorsmoneymarketratesofinterestwhe

9、nbankdepositrateswereconstrainedbyregulatorycaps.Fromtheirorigins,MMFsoperatedinthenichebetweenthecapitalmarketsandthebankingsystem,asinvestmentfundsthatofferedprivatemoneylikeassetswithfeaturessimilartothoseofbankdeposits.EventheearliestfundsintheUnitedStatesweredesignedtoblendinvestmentanddepositf

10、eatures,suchassharepricesroundedto$1.00andcheckwritingprivileges,androundedsharepriceswereadoptedinsomeothercountries.MMFstodayarepopulararoundtheworld,withover$9trillioninassetsundermanagement(AUM)asofmid2021,about13percentofglobalmutualfundassets.2However,MMFsarealsovulnerabletodisruptivewavesofre

11、demptionsandruns.MMFs,likeotherinvestmentfunds,arenoteligiblefortheprotectionsprovidedtomodernbankdeposits,includingpublicbackstopssuchasdepositguaranteeschemesandroutinecentralbankliquiditysupport.Hence,themoneylikefeaturesofMMFshavemadethemvulnerablejustasbankdepositshistoricallyweretorunsthataris

12、efromliquiditytransformationandfromsuddenchangesininvestorperceptionsofthe1ThispaperrepresentstheviewsoftheauthorsanddoesnotnecessarilyreflecttheviewsoftheEuropeanSecuritiesandMarketsAuthority(ESMA),theFederalReserveBankofNewYork(FRBNY),theBoardofGovernorsoftheFederalReserve(FRB),ortheirstaffs.Theau

13、thorswouldliketothankKenechukwuAnadu,BurcuDuyganBump,RefetGrkaynak,SatoshiIzumihara,MariusdeJongh,HelenKeilLosch,MartinaKelly,SteffenKern,AkberKhan,LeiLi,RobertPlaze,GaryRichardson,WillRiordan,AndreasSchrimpf,andJonathanWrightforassistance,helpfulconversations,suggestions,andanalysis.2Sources:TheInt

14、ernationalInvestmentFundsAssociation(IIFA)andSECFormNMFPfilings(forU.S.MMFs).SeeFSB(2021)foradiscussionoftherolesofMMFsforinvestorsandborrowersintheshorttermfundingmarketsaroundtheworld.Page2of25fundsmoneyness.RapidgrowthoftheMMFindustry,increasinguseofMMFsbyinstitutionalinvestorsforcashmanagement,l

15、argerfootprintsintheshorttermfundingmarketsthatcontributetocontagionrisk,andcrossborderinvestinghaveheightenedvulnerabilities.Since2000,MMFrunsandothercriseshaveoccurredinmanycountriesandundermanyregulatoryregimes,withearlystrainsmostlyduetopoormanagementofcreditorinterestraterisksbutmorerecentrunsa

16、risingfromliquiditytransformation.Forthemostpart,thecriseshaveoccurredamongMMFsthatinvestinprivatedebtinstruments,suchasU.S.primefundsthatholdcommercialpaperandbankobligations.3Afterthesecrises,authoritieshaveoftenmodifiedMMFrulestopreventrecurrenceoftheproblemsjustobservedandwiththeintentionofmitig

17、atingbroadervulnerabilities.ThesevererepercussionsofrunsonMMFsduringtheglobalfinancialcrisisandattheonsetoftheCOVID19pandemic,andtheneedforcentralbankinterventions,aswellastaxpayersupportinsomeinstances,haveledtocallsforsignificantadditionalreformstolimittheriskMMFsposetofinancialstability.Theglobal

18、patternofrunsandcrisesshowsthatMMFvulnerabilitiesarenotuniquetoaparticularsetofgoverningarrangements,andthatmitigatingthesevulnerabilitiesrequiresstructuralreformsthateitherplaceMMFsmoreclearlywithintheinvestmentfundsectororestablishprotectionsforMMFssimilartothosefordeposits.Althoughthispaperfocuse

19、sonMMFs,othernonbankfinancialinstitutionsuseliquiditytransformationtooffermoneylikefeaturestoinvestorsandhencemaybevulnerabletoruns.Examplesincludeprivateliquidityfundsandbanksponsoredshortterminvestmentfunds(STIFs)intheUnitedStatesandtherapidlygrowingworldwidestablecoinsector.1.MMForigins.MMFsweref

20、irstintroducedintheUnitedStatesandtheninFrancetoofferinvestorsmoneymarketratesofinterestwhenbankdepositrateswerecappedbyregulation.Assuch,fromtheirorigins,MMFsstraddledthefunctionsofbankdepositsandinvestmentfunds.UnitedStates,1972.MMFswereinventedintheUnitedStatesandfirstapprovedbytheU.S.Securitiesa

21、ndExchangeCommission(SEC)inSeptember1972.ThefirstMMFswereintendedtogiveinvestorswithmodestwealthincludingsmallbusinessesaccesstomoneymarketyields,asbankinterestrateswerecappedatthetimebyFederalReserveRegulationQ,andTreasurybills(whichwereapopularmeansofearningmarketrates)weresubjectto$10,000minimumi

22、nvestments.4Fromthebeginning,U.S.MMFsweredesignedtomimicdepositfeatures,withmanyfundsmaintainingstableshareprices(thatis,netassetvaluespershare,orNAVs)fixedat$1or$100.By1974,FidelitywasofferingcheckwritingprivilegesforitsMMFs(Nocera,1994).5Bystraddlingthefunctionsofbankdepositsandinvestmentfunds,MMF

23、sgainedpopularitybutalsostirredcontroversy.AssetsinMMFsgrewfrom$1.7billionin1974to$220billionin1982thatis,from5percentto74percentofallU.S.mutualfundassets(Chart1).ThebankingindustrysawMMFs,whichwerealready10percentofthesizeofbankdepositsby1982,asanendrunaroundbankregulationsandacompetitivethreat.Ban

24、ksmountedcampaignsatthefederalandstatelevelstoreigninMMFs3Suchfundsare“nonpublicdebt”fundsinEurope.Incontrast,“government”MMFsintheUnitedStatesand“publicdebt”fundsinEuropeprimarilyinvestinsovereigndebtsecuritiesandrepobackedbythem.4“TreasuryPutsMinimumonBills,”NewYorkTimes,26February1970,p.68.5Seeal

25、so:“OvernightMutualFundsforSurplusAssets,”NewYorkTimes,7January1973,p.5.Page3of25andliberalizedepositratepolicy.Onlythelatterwassuccessful:Bankdepositrateceilingswereeffectivelyeliminatedin1986.6Thus,MMFssurvivedandhadakeyroleingivingmiddleclassinvestorsaccesstocompetitiveshortterminterestrates(Noce

26、ra,1994;Gilbert,1986).Meanwhile,withinthreeyearsofapprovingthefirstMMFs,theSECwasalreadyexpressingconcernsaboutpracticesthatforeshadowedthevulnerabilitiesofMMFs.TheSECin1975and1977noted“deficiencies”inMMFsuseofamortized(historical)costforvaluingportfolioassetsandstatedthatuseofamortizedcostwhichtoth

27、isdayhelpsMMFsinmanycountriesmaintainstableNAVsmightadvantageredeeminginvestorsoverothers:7TheCommissionisconcernedthattheuseoftheamortizedcostmethodmayresultinovervaluationorundervaluationoftheportfoliosofMMFssothatinvestorspurchasingorredeemingsharescouldpayorreceivemoreorlessthantheactualvalueoft

28、heirproportionatesharesofthefundscurrentnetassets.Theeffectofsuchsalesorredemptionsmaythereforeresultininappropriatedilutionoftheassetsandreturnsofexistingshareholders(SEC,1977).Ifmarketvaluesforafundsportfolioassetsdrop,amortizedcostovervaluesthem,andredeeminginvestorscanreceivemorethanthevalueofth

29、eassetsbackingtheirshares.Hence,withinfiveyearsof6Untilitsrepealin2011undertheDoddFrankAct,RegulationQcontinuedtorequirethatnointerestbepaidondemanddeposits,butotherdepositrateceilingsendedin1986.See:https:/www.federalreserve.gov/newsevents/pressreleases/bcreg20110714a.htm.7Amortizedcostisavaluation

30、methodthatistypicallyusedforshorttermdiscountinstruments.Itsetsthevalueattheinstrumentsinitial(historical)costplusanyinterestthathasaccruedsinceacquisition,whereinterestisassumedtoaccrueataconstantrate,ratherthanatcurrentmarketrates.Becausethismethodresultsinstablevaluationsforportfolioassets,itfaci

31、litatesMMFsmaintenanceofstableshareprices.050010001500200025003000350040004500500001020304050607080901001973 1976 1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012 2015 2018BillionsofdollarsPercentNotes.Dataareannual.Totaldepositsischeckabledeposits(excludingthoseissuedbytheFederalReserve)

32、plustimeandsavingsdeposits.Sources:InvestmentCompanyInstitute;SEC(1975);FederalReserveBoard,FinancialAccountsoftheUnitedStates.Chart1:U.S.MMFassetsundermanagementandsizerelativetoallmutualfundsandtodepositsSizerelativetototaldeposits(leftaxis)Shareofmutualfundassets(leftaxis)U.S.MMFassets(rightaxis)

33、Page4of25MMFscreation,itwascleartoregulatorsthatMMFpracticescouldcreateafirstmoveradvantageforredeeminginvestors.Inaddition,theSECrecognizedearlythatsomeMMFportfolioassets,suchascommercialpaper,donothavesubstantialsecondarymarkets:“Marketquotationsarenotreadilyavailableformanymoneymarketinstrumentsi

34、nthesefundsportfoliosbecausetheyaregenerallyheldtomaturity,therebyeliminatingameaningfulsecondarymarket”(SEC,1975). Morethanfourdecadeslater,theseinstrumentsarestillilliquid(FSB,2021).Assuch,MMFsperformliquiditytransformation:Thesharestheyoffertoinvestors,whichbyU.S.lawmustberedeemabledaily,aremorel

35、iquidthansomeoftheirunderlyingassets.Asdiscussedbelow,thiscontributestoMMFsvulnerabilitytoruns.Basedontheseconsiderations,theSECin1977statedthatamortizedcostwouldbeinappropriate“underallbutverylimitedcircumstances”(SEC,1977).Nonetheless,aftermanyMMFssoughttouseamortizedcost,theSECchangeddirection.In

36、1983,itadoptedRule2a7,whichallowedfundstouseamortizedcostandNAVroundingtomaintainstablesharepricesiftheyadheredtocertainrestrictions,includingholdingonlyshorttermassetsthatpresent“minimalcreditrisks”andlimitingportfolioaveragematuritytonomorethan120days(SEC,1983).Overthenextdecade,theU.S.MMFindustry

37、tripledinsizetomorethan$500billioninassetsundermanagement.Today,theU.S.MMFsectorisstilltheworldslargest,withAUMofover$5trillion.8France,1981.ThefirstEuropeanMMFswerecreatedinFranceforregulatoryarbitragepurposessimilartothosethatspurreddevelopmentoftheU.S.industry.In1981,alargeshareofFrenchtermdeposi

38、tsbecamesubjecttoaninterestratecap,asthegovernmentsoughttoreducebankfundingcosts.9Toavoidlosingclientele,banksbypassedtheratecapsbysettingupMMFsthroughtheirassetmanagementaffiliatestooffermoneymarketyieldstoinvestors.Initially,MMFsinvestedmostlyinshorttermgovernmentdebt,butderegulationinthemid1980sa

39、ndtheopeningofFrenchcapitalmarketsallowedMMFstoinvestmoreinprivateshorttermdebtinstruments,suchascommercialpaper(CP)andcertificatesofdeposit(CDs).DemandforMMFsexpandedduetofavorablechangestothetaxcodein1989(IcardandDrumetz,1994)andtheintroductionintheearly1990sofnewtypesof“dynamic”MMFswithhighercred

40、itriskandlongerportfoliomaturities.10By1993,totalassetsofFrenchMMFshadreachedalmost240billion(Chart2)andaccountedformorethan60percentoftheFrenchopenendinvestment(mutual)fundindustry(Leclair,2009).UnliketheirU.S.counterparts,FrenchMMFsallhadvariablenetassetvalues(VNAVs,or“floating”NAVs),assocalled“co

41、nstant”NAVs(CNAVs)equivalenttothestableNAVsthatprevailedintheUnitedStateswereprohibited.FrenchMMFswerepermittedtouseamortizedcosttovalueassets8AsofSeptember30,2021.Source:SECFormNMFPfilings.9On4September1981,ratesontermdepositswithmaturitiesoflessthan6monthsandbalancesbelow500,000francswerecappedat6

42、percent(comparedtomoneymarketratesof15percent).10MMFsweregiventheabilitytoaccumulatecoupons,ratherthandistributethemtoMMFinvestors,soinvestorsearningsbecamesubjecttocapitalgainstaxes,ratherthan(higher)incometaxes.Page5of25withlessthanthreemonthstomaturityinpartbecauseofverylimitedsecondarymarketacti

43、vityfortheseassetsandhencethelackofadequatemarketdatatovaluethem.11LuxembourgandIreland,late1980searly1990s.InadditiontoFrance,IrelandandLuxembourghavebecomemajordomicilesforEuropeanMMFs(Chart3).MMFshaveremainedrelativelysmallinmostotherEuropeancountries,wheretheyaremainlytargetedatretailinvestors.L

44、uxembourghaslongbeenahubforEuropeanmutualfunds,andMMFsfirstappearedthereinthelate1980s.EarlyMMFsinLuxembourgwereVNAVfundspatternedonFrenchMMFsbutwithtaxadvantagesthatallowedthemtoinvesteconomicallyinabroaderrangeof(nonFrench)assets.TaxadvantagesalsoencouragedinvestmentbyresidentsofotherEuropeancount

45、ries,suchasGermanyandSpain(BaklanovaandTanega,2018).Inaddition,LuxembourgdevelopedaU.S.dollar(USD)MMFsectorwithCNAVfundsmainlytargetedatnonresidentinstitutionalinvestors,whoweremostlyoutsideofEurope(Ansideietal.,2012).IrelandsfirstMMFswereaCNAVUSDgovernmentfundandaUSDprimefundopenedin1991and1993,res

46、pectively,byFederated,aU.S.assetmanagementfirm.12Moreover,manyoftheIrishdomiciledmanagementcompaniesthatofferedadditionalIrishMMFsbelongedtoU.S.assetmanagementgroups.LikemostotherEuropeanmutualfunds,IrishMMFscompliedwithEuropeanUCITSrules.13Atthesametime,theylargelyadheredtoU.S.MMFrulesandguidelines

47、fromcredit11CNAVswereprohibitedinFrancebeforetheentryintoforceinJuly2018oftheEuropeanMoneyMarketFundRegulation(MMFR),whichallowsforCNAVfunds.Asofend2020,noFrenchMMFsofferedstableNAVs.12USDgovernmentfundsprimarilyinvestinU.S.governmentsecuritiesandrepobackedbythosesecurities.SeeCentralBankofIrelandUC

48、ITSRegister.13TheUndertakingsfortheCollectiveInvestmentinTransferableSecurities(UCITS)DirectiveprovidestheregulatoryframeworkformutualfundsintheEU.05010015020025030035040045019811984198719901993199619992002200520082011201420172020Notes.Dataaremonthly.Sources:BanquedeFrance,authors.Chart2:Totalassets

49、ofFrenchMMFs(billionsofeuros)010020030040050060070019972000200320062009201220152018Notes.TotalassetsofUCITSMMFs;dataareannual.NodataforIrelandbefore2010.FiguresforFrancedifferfromBanquedeFrancedataduetodifferentdefinitionsofMMFs.Sources:EFAMA,authors.Chart3:MMFassetsbycountryinEurope(billionsofeuros

50、)FranceIrelandLuxembourgOtherEuropeancountriesPage6of25ratingagencies(CRAs),astherewasnoEuropeanregulatoryframeworkspecificallyforMMFsbefore2018andthefundswereofferedlargelytononresidentinstitutionalinvestors,whowerefamiliarwithU.S.rulesandcreditratings.Hence,anAAAmoneymarketfundratingfromaCRAwasini