Fitch Ratings released a report entitled, "U.S. Money Funds and European Banks: Exposures Down, Maturities Shorter" which "updates its analysis of the exposures of U.S. prime money market funds (MMFs) to European banks." The company says in statement, "Based on a sample of the 10 largest U.S. prime MMFs, Fitch Ratings' study reveals that: MMFs reduced the maturity profile of their CD exposures to European banks in several countries (e.g., of the major European issuers, maturities of French bank CDs shortened the most); Exposure to European banks declined 9% (on a dollar basis) since the end of June and 20% since the end of May; and, Overall exposure to European banks remains significant, representing 47% of total MMF assets in Fitch's sample (down from 48.7% of MMF assets as of end-June)."
Fitch's update explains, "As of month-end July, the MMFs sampled reduced their total exposure to European banks by 9.0% on a dollar basis relative to the prior reporting period of month-end June 2011, and by 20.4% relative to month-end May 2011. European bank exposure currently represents 47.0% of total holdings of $658 billion within Fitch's sample of the 10 largest prime MMFs. This share is down from 48.7% as of month-end June, which was based on total MMF holdings of $698 billion." (See also Crane Data's Aug. 12 News piece, "French Banks Among Top 10 Holdings; MFs Hold 100 Bil. Cash in July".)
In other news, a separate press release says, "SunGard has added credit risk analysis capabilities to its SunGard Global Network (SGN) Short-Term Cash Management portal, a global compliance, trading and research solution for institutional cash investors. Gathering fund data from Standard & Poor's, Sector Treasury and Crane Data, the SGN portal's risk analysis solution provides corporate treasurers with actionable credit and counterparty data to help increase transparency, make critical investment decisions, reduce risk and exposure, and improve operational efficiency." (Crane Data is providing its monthly Money Fund Portfolio Holdings information to SunGard and a number of other "portals" and clients to form the core of various "transparency" database initiatives. E-mail us to request more information on our Holdings series.)
The SunGard release explains, "Investors in money market funds and other short-term cash vehicles need automated tools to help them manage risk more efficiently. Accessible and accurate information is vital to performing any type of risk analysis, yet consolidating and analyzing risk and return information across security types can be time-consuming and challenging. The SGN Short-Term Cash Management portal is a global, multi-fund trading platform that helps corporate treasurers increase efficiency in researching, analyzing and gathering relevant information to help optimize short-term investments. The portal's risk analysis solution helps firms measure risk quickly by providing aggregate, cross-asset counterparty and credit data from multiple data providers in a single location. This helps investors view funds' underlying holdings by characteristics such as country, security type, credit rating or maturity structure on a consolidated basis across their entire portfolio."
Finally, a number of other money fund ratings have been announced over the past few days. Standard & Poor's Ratings Services says, "[I]t has changed its fund ratings on four Luxembourg-domiciled money market subfunds of Aberdeen Liquidity Fund (Lux) to 'AAAm' principal stability fund ratings from 'AAAf/S1+' fund credit quality and volatility ratings. The subfunds are managed by Aberdeen Asset Management in London. 'AAAm' principal stability fund ratings have been assigned to the following funds: Aberdeen Liquidity Fund (Lux) – Canadian Dollar Fund; Aberdeen Liquidity Fund (Lux) – Euro Fund; Aberdeen Liquidity Fund (Lux) – Sterling Fund; and, Aberdeen Liquidity Fund (Lux) – US Dollar Fund."
Another release says, "Moody's Investors Service assigned money market fund ratings of Aaa-mf to four recently launched fund share classes offered pursuant to "hub and spoke" structures. All of the related entities are managed by Western Asset Management Company and each of the four hub funds are rated Aaa-mf by Moody's. The four share classes are as follows: Western Asset Institutional Cash Reserves, Investor Shares, Western Asset Institutional Government Reserves, Investor Shares, Western Asset Institutional U.S. Treasury Reserves, Investor Shares, and Western Asset Institutional TaxFree Reserves, Investor Shares."
