Skip to main content
. 2020 Aug 3;21(5):375–392. doi: 10.1057/s41260-020-00177-y

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