反向分配机制和负收益：考虑因素和推荐做法（pdf）

Copyright © 2020 Investment Company Institute. All rights reserved. The content contained in this document is proprietary property of ICI and should not be reproduced or disseminated without ICI’s priorconsent. The information contained in this document should be used solely for purposes of assisting firms in making independent andunilateral decisions relevant to their respective business operations. It is not intended to be, and should not be construed as, legal advice. Reverse Distribution Mechanism and Negative Yields:Considerations and Recommended Practices Contents 1Foreword 2Introduction2Reverse Distribution Mechanism High-Level Life Cycle6Calculating RDM 7RDM Considerations8Determining Income Eligibility14Other Factors Affecting Use of RDM 17Communicating RDM Activity17Fund Transactions18Intermediary Transactions 18Fund and Account Reconciliation18Rounding and RDM Foreword As part of its overall response to the COVID-19 pandemic and its effects on the US economy, the Federal Reservereduced its target range for the federal funds rate, the rate at which banks lend and borrow excess reserves overnight,to 0.0 to 0.25 percent. This reduction has caused yields on short-term securities, including Treasury securities, todecline to very low levels. The policy has increased the likelihood that some constant net asset value (CNAV) moneymarket funds will post negative yields after accounting for expenses, due to the number of affected securities thesefunds tend to hold. In response, CNAV money market funds are exploring several actions to mitigate the pressure of negative yields.Potential mitigating actions include the following: »Implementing fee waivers and/or soft closures (e.g., close funds to new investors and new money).»Contributing a fund sponsor’s own capital to stabilize the net asset value (NAV) and maintain a non-negative yield.»Converting from a CNAV money market fund to a floating NAV using processes developed in response to 2014money market fund reforms from the Securities and Exchange Commission (SEC).1 Additional alternatives involve reducing or cancelling full and fractional CNAV money market fund shares on a pro ratabasis to offset the negative yield and enable the fund to maintain a constant NAV. These options include the following: »Daily reverse stock split»Accrue negative yield and periodically post to shareholder accounts»Reverse Distribution Mechanism (RDM)2 The Investment Company Institute (ICI) convened a working group of funds, intermediaries, and their respective serviceproviders to discuss the operational feasibility of these share cancellation alternatives. In the end, the daily reversestock split and negative yield accrual alternatives were deemed operationally unworkable due to a combination ofcurrent system capabilities, operational risks, and the cost and time needed to scale them for widespread use. The working group identified RDM as the most operationally feasible alternative should a CNAV money market fundhave to apply negative yield quickly. This paper provides details on RDM and highlights recommended practices forsuccessful implementation of RDM, should it become necessary. Introduction RDM distributes a CNAV money market fund’s negative yield by cancelling shares in shareholder accounts. It offsetsthe daily negative yield accrued (i.e., a decline in the fund’s net assets) by reducing the number of fund sharesoutstanding. This process allows the fund to maintain a constant NAV per share, typically $1.00. The fund allocatesthe reduction in shares outstanding pro rata across all eligible shareholder accounts by posting a share redemption/cancellation transaction to each shareholder’s account based on the daily negative yield factor per share.3To ensurethey apply reductions to all eligible shareholders, funds and intermediaries must post share cancellations to theirrespective systems daily.4Shares included in the RDM calculation are determined using the same criteria used todistribute positive income. It is anticipated that funds would make the daily negative yield factor per share available around the same time ofday as other positive income factors per share (also known as daily accrual factors). Members of the RDM FeasibilityWorking Group indicated that, should they need to implement RDM, they plan to apply their share cancellationtransactions each day prior to the initiation of their nightly processing cycles. Whatever share cancellation alternative that funds choose to manage negative yield situations for a CNAV moneymarket fund, they should consider proactively communicating their intention to their intermediary partners. Inaddition to assisting counterparties in their preparations, transparency will help ensure consistent accounting fornegative yield when it is necessary. For instance, fund accounting for share cancellation (e.g., RDM) differs from fundaccounting for reductions in accrued dividends (e.g., negative yield accrual). To maintain accur