货币市场基金现已发展成为我国金融市场的重要组成部分，影响着我国金融市 场的稳定与发展，防范货币市场基金引发的风险问题对维护我国金融市场的稳定意 义重大。估值核算，在货币市场基金投资运营中有着举足轻重的地位，符合产品特 性的估值核算方法，对产品在整个行业的发展具有良性的促进作用。对于我国货币 市场基金统一使用摊余成本法进行估值核算，在市场利率大幅波动的情况下，同时 发生巨额赎回，就可能会引发流动性风险问题。整理和回顾过去的文献，行业内有 许多关于货币市场基金的理论研究，但却很少站在估值核算的角度，结合货币市场 基金和估值核算两个交叉领域进行研究。 本文首先运用文献综述法，整理国内和国外权威著作，分别归纳出货币市场基 金和估值核算方法的理论知识。其次，本文的重点是运用案例分析法，选择债券投 资频繁、基金规模变化较大的A货币市场基金作为研究对象，通过A货币市场基金 先后发生负偏离和万份收益暴涨的事件为切入点，探讨出其发生的原因是由于债券 市场价格大幅波动，A货币市场基金使用摊余成本法核算的资产净值与公允价值核 算的资产净值相差较大，导致负偏离超0.5%。负偏离发生后，引起份额持有人集中 赎回，并触发征收1%的强制赎回费用，赎回费用全部进入基金财产作为收入，最后 导致万份收益超10元。 通过分析发现，事件发生的核心原因在于:市场利率波动大，使用摊余成本法核 算净值会与市值偏差较大；其次，由于机构投资者集中度高，造成了大额赎回。那 么，如何避免事件的再次发生，提高A货币市场基金使用摊余成本法估值核算的使 用效果。文中先分析了A货币市场基金使用摊余成本法核算存在的问题：1、摊余成 本计价与市值偏差大；2、影子定价容易导致挤兑风险；3、摊余成本法容易成为盈 余管理工具。针对问题提出了相应的改善建议：基于基金管理公司层面，首先应提 高风险准备金比例，以应付市场利率大幅波动发生挤兑赎回时，管理公司有足够的 风险准备金应急；同时还应该建立多元的业绩评价体系，真正理解货币市场基金使 用摊余成本法估值的本质是债券持有至到期，不对货币市场基金经理进行收益率和 规模的排名；还要提升基金经理专业素质，避免激进的投资方式，使用稳健的投资 方式吸引更多的个人投资者；基于产品合同方面，需完善赎回费用征收标准，改进 合同关于采用估值核算方法的判断标准，以及调整合同关于大额赎回的条款。 关键词：货币市场基金；摊余成本；估值核算 A货币市场基金使用摊余成本法估值核算的问题研究 I Abstract Money market funds have become an important part of China's financial market now, affecting the stability and development of China's financial market. However, the prosperity and development of money market funds contain huge risks. Valuation accounting is an important part of the investment operation of money market funds. Unreasonable valuation results will make fund managers prefer radical investment methods to maximize returns. Throughout the past, study on money market funds, but it seldom combines money market funds and valuation accounting to carry out research in two cross-cutting fields. Firstly, this paper summarize the theories of money market fund about valuation accounting, and summarizes the key points of money market fund and valuation accounting theory. This paper also uses the case analysis method, selects A money market fund with frequent bond investment and large fund scale changes as the research object, and through the negative deviation of A money market fund and the soaring of ten thousand returns as the starting point, discusses the reason for the occurrence of the negative deviation exceeding 0.5% due to the large fluctuation of the bond market and the large difference between the net asset value and the fair value calculated by A money market fund using amortized cost method. After the negative deviation occurred, it caused the share holders to redemptive collectively, and triggered the imposition of 1% compulsory redemptive fee. The redemptive fee all entered the fund property as income, resulting ten thousand returns exceeding to10 yuan. Through analysis, it is found that the core causes of the incident are: the market interest rate fluctuates greatly, and the net value calculated by amortized cost method will deviate greatly from the market value; Secondly, due to the high concentration of institutional investors, large redemptions have taken place. How to avoid the recurrence of the incident and improve the effect of A money market fund valuation using amortized cost method. Firstly, the paper analyzes the problems existing in A money market fund's accounting with amortized cost method: 1. The deviation between amortized cost valuation and market value is large; 2. Shadow pricing is easy to lead to the risk of bank run. 3. Amortized cost method is easy to become a tool for earnings management. According to the problems, the corresponding improvement suggestions are put forward: Based on the level of fund management companies, first of all, the proportion of risk reserves should be increased to cope with large fluctuations in market interest rates when there is a run on the bank for redemption, the management companies have sufficient risk reserves for emergency response; At the same time, a diversified performance evaluation system should be established to truly understand that the essence of using amortized cost Abstract II method to evaluate money market funds is that bonds are held to maturity and money market fund managers are not ranked in terms of yield and scale. We should also improve the professional quality of fund managers, avoid radical investment methods, and use stable investment methods to attract more individual investors. Based on the product contract, it is necessary to improve the collection standard of redemption fees, improve the judgment standard of the contract on the valuation accounting method, and adjust the contract on large redemption terms. Key Words: money market funds; amortized cost; valuation and accounting A货币市场基金使用摊余成本法估值核算的问题研究 1 目 录 导 论 ································································································ 1 一、选题背景和研究意义 ···································································· 1 二、国内外研究动态 ·········································································· 2 三、论文研究内容与研究方法 ······························································ 6 四、研究难点与创新点 ······································································· 8 第一章 货币市场基金及估值核算相关概念 ········································ 9 第一节 货币市场基金相关概述 ······························································· 9 一、货币市场基金定义 ······································································· 9 二、货币市场基金投资特点 ······························································· 10 三、我国货币市场基金发展情况 ························································· 11 第二节 货币市场基金的估值核算 ·························································· 14 一、货币市场基金估值核算的内容 ······················································ 14 二、货币市场基金国内及国外的估值核算方法 ······································· 14 第二章 A货币市场基金及其核算方法 ·············································· 18 第一节 A货币市场基金产品介绍 ·························································· 18 一、A货币市场基金规模的变化······················