Money Market Funds and N-CR Regulations

Kyle D. Allen, Ahmed Baig and Drew B. Winters
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Kyle D. Allen: College of Business and Economics, Boise State University, United States
Ahmed Baig: College of Business and Economics, Boise State University, United States
Drew B. Winters: Rawls College of Business, Texas Tech University, United States

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2024, vol. 27, issue 01, 1-16

Abstract: In an attempt to make money markets safer and more resilient, regulators have created new requirements for market participants. Money market funds are now required to file a new N-CR form if a significant event occurs: for example, fund financial support or liquidity fees. We investigate whether fund stakeholders respond to the N-CR filings. We find that investors do not respond to the N-CR filings. However, fund managers, who do not need the filings to learn of the financial support, reduce the weighted average life (WAL) of the funds and increase the daily liquidity available. These actions have real costs and our results suggest the costs outweigh the benefit of the newly required Form N-CR (N-CR) filing.

Keywords: Money market funds; mangers; N-CR; regulatory filings; retail investors; SEC (search for similar items in EconPapers)
JEL-codes: G14 G18 G23 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0219091524500036

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