Is the EU Money Market Fund Regulation Fit for Purpose? Lessons from the COVID-19 Turmoil

Capotă, Laura-Dona; Grill, Michael; Vivar, Luis Molestina; Schmitz, Niklas; Weistroffer, Christian

doi:10.2139/ssrn.4239306

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Mmf Flows From Refinitiv Lipper Data1

Introduction1

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2023

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“…We do not take into account funds' performance as MMFs are supposed to have a very stable net asset value. For instance, according to Capotȃ et al (2022), for the majority of the USD-denominated LVNAV funds, the deviation in net asset value was typically less than 10 basis points (i.e. less than 0.1%) during the February-April 2020 market turmoil.…”

Section: Mmf Flows From Refinitiv Lipper Datamentioning

confidence: 99%

“…Not for Redistribution constant net asset value (CNAV) funds. Furthermore, Capotȃ et al (2022) underlined the role of a number of weaknesses in European MMF regulatory framework related to non-public debt funds, the LVNAV structure and MMF liquidity requirements. Since margin payments in EUR (as opposed to USD or GBP) are the largest in our dataset, we focus on these margin payments and EUR-denominated MMF flows.…”

Section: Introductionmentioning

confidence: 99%

“…For more information on the requirements, seeCapotȃ et al (2022).©International Monetary Fund. Not for Redistribution…”

mentioning

confidence: 99%

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