rec_38

(38) In order to strengthen MMFs' ability to face redemptions and prevent their assets from being liquidated at heavily discounted prices, MMFs should hold on an ongoing basis a minimum amount of liquid assets that mature daily or weekly. Daily maturing assets should comprise assets such as cash, securities that mature within one working day and reverse repurchase agreements. Weekly maturing assets should comprise assets such as cash, securities that mature within one week and reverse repurchase agreements. In the case of public debt CNAV MMFs and low volatility net asset value MMFs (LVNAV MMFs), a limited percentage of government paper with a residual maturity of 190 days that can be settled within one working day should also be able to be counted towards the weekly liquidity requirements. In the case of variable net asset value MMFs (VNAV MMFs), a limited percentage of money market instruments or units or shares of eligible MMFs should also be able to be counted towards the weekly liquidity requirements provided they can be settled within five working days. To calculate the proportion of daily and weekly maturing assets, the legal redemption date of the asset should be used. The possibility for the manager of an MMF to terminate a contract on a short-term basis can be taken into consideration. For instance, if a reverse repurchase agreement can be terminated by giving prior notice of one working day, it should count as a daily maturing asset. If the manager has the possibility of withdrawing cash from a deposit account by giving prior notice of one working day, it should count as a daily maturing asset. When a financial instrument embeds a put option and the put can be freely exercised on a daily basis, or within five working days, and the strike price of the put is close to the expected value of the instrument, that instrument should count respectively as a daily or weekly maturing asset.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-30 · Text as adopted (Official Journal); later amendments are not incorporated in this text.