Turns out that the Primary Fund, like many other money market funds, made significant investments in asset-backed commercial paper (ABCP), which offered juicy yields, but did so because they were backed by things like mortgages, auto loans, credit card receivables and other risky assets that, despite their risk, came with investment-grade ratings.
For example, if the structural primary balance (budget balance excluding debt interest) in 2015-16 turns out to be only one percentage point better than the OBR now expects, our public sector debt would now be on a long term sustainable path.