RiskMetrics Money Market Stress Tests
MSCI's RiskMetrics recently announced the availability of Money Market Stress Tests. The company, which also recently commented on the SEC's Proposed Money Market Fund Reforms, says in a marketing e-mail, "The SEC's Proposed Rule on the Money Market Fund Reform incorporates a fair number of requirements that push money market stress testing to a new level. It specifies a richer set of stress testing guidelines to be implemented, depending on which alternative would be adopted: transacting at a floating NAV or imposing a liquidity fee. MSCI, in a comment sent to the SEC in September, pointed out that stress testing could be an important piece in the new framework, so we developed sophisticated stress testing tools to help you comply with the SEC's procedures. With the new RiskMetrics Money Market Stress Tests, you can: Stress daily and weekly liquidity levels; Model issuer default correlations; and, Perform scenario analysis on historical events, like the 2008 Great Financial Crisis and 2011 Euro Crisis." In other news, the ICI released its latest weekly "Money Market Mutual Fund Assets" report, which says, "Total money market mutual fund assets decreased by $3.15 billion to $2.669 trillion for the week ended Wednesday, November 13, the Investment Company Institute reported today. Taxable government funds decreased by $680 million, taxable non-government funds decreased by $860 million, and tax-exempt funds decreased by $1.61 billion."
