What has been the range of movement in money market funds’ per-share market value?
Historical evidence confirms that deviations between money market funds’ shadow prices and amortized costs are generally small. Data from a sample of taxable money market funds covering one-quarter of industry assets demonstrate that: • Average per-share market values of all funds in the sample varied within a narrow range over the decade from 2000 to 2010—a period when financial markets experienced wide variations in interest rates and asset prices. Average shadow prices for funds in the sample ranged from $1.0020 in 2001–2002, when the Federal Reserve reduced interest rates sharply, to $0.9990 in the fall of 2008, at the peak of the financial crisis. • Average per-share market values for prime money market funds in the sample—those taxable funds that invest in corporate as well as government securities—varied between $1.0020 and $0.9980 during the decade from 2000 to 2010. These variations are well within the band ($1.0050 to $0.9950) in which a money market fund can price its shares
