The average maturity of money market funds and Eurodollar futures by Glenn Mancher
ARTICLE SYNOPSIS ...The average maturity of money market funds and Eurodollar futures by Glenn Mancher
The high interest rate environment of the early 1980s resulted in great swings in the average maturity of money market funds (Figure 1). As the yield on short-term instruments dropped from 14-17% to 8%,
fund managers extended the average maturity to a high of 51 days in summer 1980. At this point, a period of four to five months of shortening followed as the average maturity was reduced to a record low of 23 days in December 1980 through January 1981 (needless to say, rates had rocketed back up to 15-20%). From...