The SEC added a second clarification on floating rate securities and WAL (weighted average life calculations) in a letter on demand features. (See Crane Data's August 12 News "Stradley's Swirsky on SEC No-Action Letter Regarding Floaters and WAL".) The letter says, "Based on the analysis set forth in your letter of August 10, 2010, we agree that for purposes of calculating a money market fund's weighted average portfolio maturity under rule 2a 7(c)(2)(iii) under the Investment Company Act of 1940, a money market fund may treat a short-term floating rate security that is subject to a demand feature as having a maturity equal to the period remaining until the principal can be recovered through demand." (See the original ICI letter here.) In other news, see the press release "BNY Mellon Asset Servicing and Investor Analytics to Provide Money Market Stress Test Service to OneAmerica Funds, Inc.", which says, "BNY Mellon Asset Servicing, the global leader in securities servicing, and Investor Analytics, a global leader in risk measurement and risk management solutions, have been selected by OneAmerica Funds to provide stress tests that model the impact of interest-rate shocks, credit risk shocks and liquidity risk shocks on its money market funds. This service will help money market funds comply with Rule 2a-7 issued by the U.S. Securities and Exchange Commission (SEC). The rule requires money market funds to examine combinations of potential stresses." (Note, though, that Crane Data is unaware of any money market fund provided by OneAmerica.)
