1. Finally, we have a NY Fed analysis of the freezing up of the ABCP Market on August 7, 2007. See: http://www.newyorkfed.org/research/conference/2009/cblt/ACHARYA_presentation_FRBNY.pdf
2. See especially slide 3 entitled "Money Market's "Canary in the Coal Mine"".
3. The authors to said presentation still don't understand the regulatory catalyst for the market's sudden departure, namely, rule 2(a)7 which defines the value of a money fund as its amortised cost over a 12 month period. Any Money Market fund that is 50 basis points out of its rule 2(a)7 value must report such to the SEC. Thus, any perceived risk to one MMF is a real risk to all MMFs. They withdrew their support for the ABCP Market altogether.
4. Could they do the same for other asset classes?
5. Absolutely. Any short term market infiltrated by MMF will carry the same sensitive simultaneity.
6. Look to see how the MMFs react to US debt ceiling debate. If one MMF withdraws support to the US Treasuries, then ALL will withdraw support.
7. In n-Category theory terms, MMFs may suddenly come into existence as a morphism from the domain of the normal to the codomain of the chaotic. In the coming weeks, knowing precisely how the MMFs are reacting to announcements made from the political theatre is the single most important factor in the financial trading world.
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