Table 6.
t-tests of means of money market mutual funds shares in which the fund’s sponsors did (Y = 1) and did not (Y = 0) obtain SEC approval to provide assistance to the fund in 2007 or 2008
| t-tests of money market mutual funds shares in which the sponsors supported the fund according to the SEC | ||||||
|---|---|---|---|---|---|---|
| Variable | Mean when Y = 1 | Mean when Y = 0 | Difference | t-stat. | Number of Y = 1 Obs. | Number of Y = 0 Obs. |
| Adhered to 2010 SEC reforms’ daily liquidity standard in September 2008 (Y = 1, N = 0) | 0.785 | 0.647 | 0.137 | 0.697 | 316 | 1140 |
| Adhered to 2010 SEC reforms’ weekly liquidity standard in September 2008 (Y = 1, N = 0) | 0.930 | 0.918 | 0.012 | 4.655*** | 316 | 1140 |
| Adhered to 2010 SEC reforms’ WAM standard in September 2008 (Y = 1, N = 0) | 0.876 | 0.925 | − 0.049 | − 2.744*** | 315 | 1084 |
| Adhered to 2010 SEC reforms’ second-tier commercial paper standard in September 2008 (Y = 1, N = 0) | 1.000 | 0.998 | 0.002 | 0.745 | 316 | 1140 |
| Second-tier commercial paper as % of AUM | 0.000 | 0.017 | − 0.017 | − 1.142 | 316 | 1140 |
| Weighted average life (WAL) proxy, floating-rate notes as % of AUM | 12.813 | 9.994 | 2.819 | 3.038*** | 316 | 1140 |
| Participated in Federal Reserve’s Asset-Backed Commercial Paper Money Market Liquidity Facility (AMLF) (Y = 1, N = 0) | 0.528 | 0.175 | 0.353 | 13.822*** | 320 | 1245 |
| Sponsor prevented fund from breaking the buck during the financial crisis (Y = 1, N = 0) | 0.175 | 0.001 | 0.174 | 15.994** | 320 | 1245 |
| Sponsor injected money into the fund during the financial crisis (Y = 1, N = 0) | 0.259 | 0.002 | 0.257 | 20.188*** | 320 | 1245 |
| Fund participated in U.S. Treasury’s guarantee program (Y = 1, N = 0) | 0.938 | 0.903 | 0.035 | 1.934* | 320 | 1245 |
| Fund share identified as having NAV < $0.9975 at the start of U.S. Treasury guarantee program (Y = 1, N = 0) | 0.206 | 0.078 | 0.128 | 6.507*** | 296 | 1119 |
| Institutional fund (Y = 1, N = 0) | 0.722 | 0.546 | 0.176 | 5.739** | 320 | 1245 |
| Prime fund (Y = 1, N = 0) | 0.703 | 0.406 | 0.297 | 9.767*** | 320 | 1245 |
| Prime and institutional fund (Y = 1, N = 0) | 0.453 | 0.198 | 0.256 | 9.690*** | 320 | 1245 |
| Municipal or tax-free fund (Y = 1, N = 0) | 0.097 | 0.190 | − 0.094 | − 3.977*** | 320 | 1245 |
| U.S. government fund (Y = 1, N =0) | 0.081 | 0.229 | − 0.148 | − 5.967*** | 320 | 1245 |
| U.S. Treasury fund (Y = 1, N =0) | 0.119 | 0.174 | − 0.056 | − 2.403** | 320 | 1245 |
| Natural log of one plus assets under management in USD billions | 0.651 | 0.569 | 0.082 | 1.658* | 320 | 1245 |
| Fund age in years at the start of the U.S. Treasury money fund guarantee | 9.976 | 11.475 | − 1.498 | − 3.009*** | 320 | 1245 |
| Monthly return in September 2008 | 0.166% | 0.140% | 0.026% | 9.609*** | 319 | 1242 |
| Share class expense ratio in September 2008 | 0.514% | 0.604% | − 0.090% | − 3.712*** | 297 | 1206 |
| Change in fund’s assets under management (AUM) from September 12, 2008 to September 18, 2008 | − 4.833% | 1.995% | − 6.827% | − 5.165*** | 314 | 1079 |
| Fund’s yield in September 2008 | 0.708% | 0.572% | 0.136% | 4.988*** | 320 | 1244 |
AUM stands for assets under management. Statistical significances with 99, 95, and 90% confidence are denoted by t-statistics with superscripts of ***, **, and *, respectively