Crane Data Subscribers
SIV Exposure In Rated Money Market Funds Has Decreased Significantly. Standard & Poor's has released "SIV Exposure In Rated Funds Drops More Than 40% In Two Months" which shows that funds have reduced SIV exposure dramatically over the past two months. S&P says 87 rated funds had exposure to a total of approximately $50 billion of SIVs, a decline of 42% from "$86 billion in SIV exposure among 109 rated funds at the end of August.... This decrease can be largely attributed to maturity of existing holdings, but there have been a few instances in which the sponsors of rated funds purchased SIV holdings." The average SIV holding is "6.25% and the average holding size of any one SIV issuer is 1.35%". S&P's Peter Rizzo says the total SIV average is down from 14%. The most widely held SIVs by rated funds are: Sigma Finance ($7.5 billion), Cullinan Finance ($6.3 bil.), Links Finance ($6.3 bil.), K2 Corp. ($3.6 bil.), and Beta Finance ($2.9 bil.). S&P includes a full table of SIV program exposures. Among nonbank SIVs, Cheyne Funding represents $1.4 billion in total exposure for rated funds while Axon Financial represents $1.3 billion. S&P rates nearly 500 money funds with over $2 trillion in assets. Almost 25%, or $500 billion, is held in the 10 largest rated funds. S&P expects continued decreases in SIV exposure, and adds, "To date, we have not taken rating actions ... due to the proactive measures fund sponsors are taking to protect the funds net asset values (NAVs)."
