Daily Links Archives: May, 2013

Reuters writes "U.S. SEC taking steps to watch for money market fund outflows". The article says, "The U.S. Securities and Exchange Commission is taking steps to help spot if money starts flowing to alternative investments as the SEC cracks down on money market funds. The SEC is due to meet next week to propose new rules for the roughly $2.6 trillion money market fund industry, in the hope extra safeguards will prevent the type of runs on money funds that happened during the financial crisis. At the same meeting, the SEC plans to propose a reform that would require less-regulated private liquidity funds to make additional disclosures to the SEC. The proposal was included at the request of SEC Democratic Commissioner Luis Aguilar. It is designed as a way to detect potential outflows from money market funds into the less-regulated funds, according to a person familiar with the matter." In other news, ICI's latest "Money Market Mutual Fund Assets" says, "Total money market mutual fund assets increased by $12.20 billion to $2.613 trillion for the week ended Wednesday, May 29, the Investment Company Institute reported today. Taxable government funds increased by $6.85 billion, taxable non-government funds increased by $6.24 billion, and tax-exempt funds decreased by $900 million."

Reuters writes "Shrinking money funds may risk systemic ructions", saying, "Any European Central Bank move to cut interest rates below zero could deal a further blow to money market funds already struggling in a low rate environment, raising risks to the wider financial system. Money market funds help grease the wheels of the financial system, providing an important source of short-term funds for banks and companies and offering investors an alternative to banks as a place to park their cash. But the industry has been shrinking since the financial crisis. Aggregated assets held by euro zone money funds fell to just 929 billion euros at the end of March from 1 trillion euros in 2011, according to the ECB. Not only have they suffered outflows after some funds with risky investments made a loss in 2008-9, ultra-low interest rates mean they are struggling to give decent returns. If rates go negative, the industry's contraction is likely to accelerate."

The Baltimore Sun writes "T. Rowe Price, Legg Mason offering up ultrashort-term bond funds". The article, subtitled, "Funds are seen as an alternative to money market funds," says, "Baltimore's two major mutual fund companies have joined a small but growing number of investment firms offering ultrashort-term bond funds, which may become an alternative to the traditional money market fund. The T. Rowe Price Ultra Short-Term Bond Fund launched in December and has $175 million in assets. Legg Mason Inc.'s California subsidiary this month filed to register the Western Asset Ultra Short Obligations Fund with regulators. There are now close to 50 ultrashort bond funds, with seven of them introduced last year, according to Morningstar Inc., which tracks funds.... Some fund experts say companies are offering ultrashort-term bond funds as an alternative for risk-averse investors fed up with the low rates offered by money market funds. But others say companies also are gearing up for possible regulatory reforms that could make money market funds less attractive.... Joseph Lynagh, manager of the new Price Ultra Short-Term Bond Fund, said the money manager introduced the fund in response to current low interest rates, not potential changes in money market funds." "Regulatory reform is going to happen in some way, shape or form, and we can't predict what that will be or when that will be," he said. "Here is a product we felt filled a gap in our product line up." The piece adds, "Lynagh said the ultrashort bond fund fits between a money market that now pays an annual yield of 0.01 percent and a short-term bond fund at 1.63 percent. It's geared for investors who want a place to park cash that they won't need immediately, he said. The annual yield on the fund is currently 0.3 percent. It invests in corporate and government securities with an average maturity of no more than 1.5 years. Though the share price can fluctuate, it has remained at $5 since the fund's launch in December."

In Friday's "Link of the Day, we quoted Reuters on a leaked draft of proposed EU buffer requirements on European money funds. It appears Bloomberg has a different spin on the story, writing late Friday night, "Money Market Funds Set to Win Delay of EU Reserve Rules." The article says, "Money-market funds may win more time to comply with planned European Union rules requiring them to hoard cash reserves, a person familiar with the talks said. The European Commission is considering whether to extend a draft timetable for funds that maintain a fixed share price to build up a cash "buffer" equivalent to 3 percent of their assets, on concerns that a short deadline could harm businesses' access to finance, said the person, who asked not to be named because the negotiations are private. An early draft of the plans, seen by Bloomberg News, would have required funds to comply with the measure six months after the final version of the law is published, following agreement by legislators. Under a revised version being considered by the commission, that may increase to as long as three years, the person said.... Funds with fixed share prices have come in for particular attention from regulators, as they give "an impression of safety even though MMFs are subject to credit, interest rate and liquidity risk," the International Organization of Securities Commissions said last year. The failure of one fund to honor this commitment can put pressure on others, and "trigger a run" that destabilizes the financial system, IOSCO said. The commission's proposals, once they are published, will need approval by governments and by the European Parliament before they can become law."

Reuters writes "European money market funds face cash buffer rule: EU document". The article explains, "About half of the European Union's trillion euro money market funds would have to set aside a chunk of cash under a proposed EU reform to make a run on a fund in rocky markets less likely.... The draft EU law, a copy of which was obtained by Reuters, calls for a major type of fund to have a cash buffer to help keep the financial system stable. The industry is hoping for a last minute change of heart by the EU's European Commission, which is writing the draft law that will need approval from EU states and the European Parliament to take effect. A Commission spokeswoman said the proposal is likely to be published in late June. The buffer requirement would be for so-called constant net asset value funds (CNAV) whose share price shows little change over time, like the U.S. fund that broke the buck." "These CNAV funds must establish and maintain at all times a buffer amounting to at least 3 percent of the total value of their assets," Reuters quotes the EU document. The piece adds, "An EU official said on condition of anonymity the 3 percent buffer proposal is likely to remain in the final proposal but funds could be given time to reach that level. The London-based Institutional Money Market Funds Association (IMMFA), an industry body, said a requirement for a cash buffer won't improve stability of the financial system."

U.S. Treasury Secretary Jacob Lew testified before a Senate Banking Committee hearing earlier this week. He said about "Key Areas of Focus of the 2013 Annual Report" and "Wholesale Funding Markets," "The Council remains concerned that vulnerabilities in wholesale funding markets could lead to destabilizing fire sales. Specifically, run-risk vulnerabilities related to money market mutual funds (MMFs), which became apparent during the financial crisis, still remain, despite an initial set of reforms implemented in 2010. In November 2012, the Council issued proposed recommendations for public comment to implement structural reforms of MMFs to reduce the likelihood of runs. Council members should also examine whether similar reforms are warranted for other cash management vehicles. Vulnerabilities to fire sales also remain in the tri-party repo market, particularly with respect to borrowers such as securities broker-dealers. The Council's report recognizes the positive steps that have been taken in the last year to reduce the reliance on discretionary intraday credit, but recommends coordinated efforts by market participants and financial regulatory agencies to address the risks associated with the tri-party repo market, notably by better preparing investors and other market participants to deal with the consequences of the distress or default of a dealer or other large borrower."

The SEC filing for a new "enhanced cash" fund, Western Asset Ultra Short Obligations, says of its objective, "The fund seeks a high level of income, consistent with liquidity and the preservation of capital." The IS class will charge 0.35% (after a 0.10% waiver), while the I class will charge 0.45% and the FI 0.70%. The Form N1-A filing explains, "The fund may invest in all types of U.S. dollar denominated short-term debt instruments, including bank obligations, commercial paper and asset-backed securities, structured instruments and repurchase agreements.... The fund may invest without limit in bank obligations, such as certificates of deposit, fixed time deposits and bankers' acceptances. The fund generally limits its investments in foreign securities to U.S. dollar denominated obligations.... Under normal circumstances, the fund will invest at least 25% of its assets in securities issued by companies in the financial services industry.... Under normal circumstances, the fund expects to maintain a dollar-weighted average effective maturity of not more than 90 days. The "average effective portfolio maturity" of the fund is a weighted average of all the maturities of the securities in the portfolio, computed by weighting each security's effective maturity, as estimated by the subadviser, by the market value of the security. In addition, the fund will not purchase a security if, at the time of purchase, the security has a remaining final maturity, taking into account demand features and any interest reset provisions, of more than 397 days."

A press release posted Friday, entitled, "Federated Investors, Inc. Earns Institutional Investor Award," says, "Federated Investors, Inc., one of the nation's largest investment managers, today announced that it has been recognized by Institutional Investor magazine in their annual U.S. Investment Management Awards. Federated was recognized in the Cash Management & Short-Term Fixed Income category. The awards, now in their fourth year, recognize U.S. institutional money managers for their innovative strategies, fiduciary savvy and impressive short- and long-term returns, as well as U.S. money managers in more than 35 asset classes and strategies who stood out in the eyes of the investor community for their exceptional performance, risk management and service. Federated's award was presented at a ceremony on Thursday, May 16, 2013." John B. Fisher, president and chief executive officer of Federated Advisory Companies, comments, "As a cash-management pioneer and leader, we are honored that Institutional Investor magazine recognized Federated for products that play a central role in client needs and capital markets. For nearly four decades, investors have turned to Federated for cash-management solutions that offer diligent credit analysis, broad diversification and daily liquidity at par."

U.S. Securities and Exchange Commission Chair Mary Jo White spoke briefly on money funds Thursday in "Testimony on Oversight of the SEC Before the U.S. House of Representatives Committee on Financial Services." She commented on "Money Market Funds," "A rule proposal pertaining to money market mutual fund reform is well underway at the SEC and has been the product of a comprehensive and collaborative process. Any proposal that results would seek to preserve many of the benefits of money market funds for investors and the short-term funding markets while lessening money market funds' susceptibility to runs; improving their ability to manage and mitigate potential contagion from high levels of redemptions; and increasing the transparency of their risks." Later, she commented, "RSFI economists also have made important contributions to pre-proposal rule development. For example, RSFI economists performed qualitative and quantitative analyses to study money market funds in order to respond to a series of questions posed by Commissioners. This analysis has assisted the Commission in its deliberations as it considers the scope of any future rulemaking relating to money market funds." Finally, the footnote accompanying the mention of the SEC study says, "See Memorandum from the Division of Risk, Strategy, and Financial Innovation, Response to Questions Posed by Commissioners Aguilar, Paredes, and Gallagher (November 30, 2012)."

Bloomberg writes "BlackRock Develops Alternatives to Money Funds: Credit Markets", which says, "BlackRock Inc. and Western Asset Management Co. are offering a new twist on traditional money-market funds as regulators are set to impose sweeping changes on the $2.58 trillion industry. BlackRock, the world's biggest money manager, and Legg Mason Inc.'s Western Asset unit have started bond funds designed to work much like money funds, with a key difference. The new "ultra-short" funds have share prices that fluctuate along with the value of their holdings, rather than a fixed net asset value, or NAV, a distinguishing feature of money funds. They also have shorter maturities than similar ultra-short bond funds that ran into trouble when credit markets froze in 2008. The firms are preparing for what could be a seismic reallocation of assets by institutional investors and corporate treasurers if regulators overhaul money funds for a second time.... The BlackRock and Western Asset funds have shorter maturities and can only invest in high-quality debt. Some short-term bond funds that were touted as higher-yielding alternatives to money funds faced severe losses in 2008 as they held debt tied to mortgages. State Street Corp.'s SSgA Yield Plus Fund fell 19 percent in the first five months of 2008 before being liquidated. Charles Schwab Corp.'s YieldPlus fund fell to $1.8 billion in assets in 2008 from a peak of $13.5 billion in 2007, after it invested more than 25 percent of fund assets in private issuer mortgage-backed securities." See also, ICI's latest "Money Market Mutual Fund Assets", which says, "Total money market mutual fund assets decreased by $1.04 billion to $2.582 trillion for the week ended Wednesday, May 15, the Investment Company Institute reported today."

The Federal Reserve Bank of New York writes "Securities Loans Collateralized by Cash: Reinvestment Risk, Run Risk, and Incentive Issues." It says, "Securities loans collateralized by cash are by far the most popular form of securities-lending transaction. But when the cash collateral associated with these transactions is actively reinvested by a lender's agent, potential risks emerge. This study argues that the standard compensation scheme for securities-lending agents, which typically provides for agents to share in gains but not losses, creates incentives for them to take excessive risk. It also highlights the need for greater scrutiny and understanding of cash reinvestment practices -- especially in light of the AIG experience, which showed that risks related to cash reinvestment, by even a single participant, could have destabilizing effects."

The Treasury Management Association of New England begins its Annual Conference today in Boston. Today's sessions include: "Industry experts Tony Carfang and Peter Crane will host two back-to-back sessions on money markets and cash investing to give attendees an intensive crash course on the rash of developments in the space. Each presenter will participate in the other's session, and both will include money fund portfolio managers to weigh in on all things cash. The first session, "Money Fund Trends & Regulatory Developments," says in its description, "Crane Data's Peter Crane, UBS's Rob Sabatino and Nutter's John Hunt will discuss recent asset flows, investment trends, and other hot topics in the money markets, including recent and pending regulatory changes. The second summary says, "Corporate Cash Issues & Global Investing," is described, "Treasury Strategies' Tony Carfang will be joined by Fitch Rating's Ian Rasmussen and will review recent trends in the corporate cash investing world and recent events in the European and global money market mutual fund space." Crane Data is also among a number of money market mutual fund providers exhibiting at the event, which is being held at the Boston Marriott Copley Place Wednesday through Friday morning.

A press release says, "Fitch Ratings has released a report, "U.S. Corporate Cash Part I: Growth at an Inflection Point?, that examines trends in corporate cash accumulation from 2000 to the present for the vast majority of the U.S. universe, putting this growth into context relative to the change in business activity over this period. Also examined is the rationale for the increase. Fitch Ratings' study reveals that: Median industrial U.S. corporate cash levels increased approximately 250% since 2000 and about 60-80% since year-end 2007. Even accounting for the substantial increase in business activity over the past decade, cash has increased impressively, outpacing the growth in corporate revenues or earnings by 50%-80% since 2000, and 30%-50% since year-end 2007. While cash balances over the intermediate term has increased substantially, Median corporate cash growth rates approached zero in 2011 and 2012, with results being wide ranging. For example, within the broader universe, 25% of U.S. industrial corporates saw cash balances increase by more than 25% in 2012 vis-a-vis 2011, while another 25% of the universe saw cash balances decrease by at least 25% last year. Cash balances usually spike at the onset of increased economic uncertainty, such as the approximate 30%35% increase experienced by the median company in just one year at the height of the "great recession" and the tech bust earlier in the past decade."

Bloomberg writes "SEC Money-Fund Rule Said to Make Riskier Funds Float Share Value", saying, "U.S. securities regulators have narrowed the target of new rules for money-market funds, according to a person familiar with the matter, limiting changes to a smaller set of funds than many executives anticipated. The Securities and Exchange Commission proposal would impose a floating-share value only on funds that buy corporate debt and cater to institutional clients, said the person, who asked not to be identified because the plan isn't public.... A proposal limiting rule changes to so-called prime institutional funds would be a victory for companies, including Vanguard Group Inc. and Charles Schwab Corp., that called for exempting funds that invest only in government securities and those that serve only retail investors. Money funds are allowed to keep a stable value of $1 a share and are used as cash-equivalent accounts by individuals, institutional investors and corporations. Adopting a floating net-asset value is intended to make investors less sensitive to variations in the share price, thus limiting redemptions during times of stress. Institutional prime funds account for 35 percent of money- fund assets, which amount to $2.58 trillion, according to the Washington-based Investment Company Institute, a trade group for the mutual-fund industry."

The Investment Company Institute's latest "Money Market Mutual Fund Assets" totals rose for the first time in 5 weeks. ICI says, "Total money market mutual fund assets increased by $19.54 billion to $2.583 trillion for the week ended Wednesday, May 8, the Investment Company Institute reported today. Taxable government funds increased by $15.85 billion, taxable non-government funds increased by $3.36 billion, and tax-exempt funds increased by $330 million.... Assets of retail money market funds increased by $3.28 billion to $893.73 billion. Taxable government money market fund assets in the retail category increased by $1.59 billion to $193.16 billion, taxable non-government money market fund assets increased by $770 million to $512.95 billion, and tax-exempt fund assets increased by $910 million to $187.63 billion.... Assets of institutional money market funds increased by $16.27 billion to $1.689 trillion. Among institutional funds, taxable government money market fund assets increased by $14.26 billion to $701.69 billion, taxable non-government money market fund assets increased by $2.59 billion to $914.81 billion, and tax-exempt fund assets decreased by $580 million to $72.55 billion. ICI reports money market fund assets to the Federal Reserve each week. Revisions are due to data adjustments, reclassifications, and changes in the number of funds reporting. Weekly money market assets for the last 20 weeks are available on the ICI website."

Wells Fargo Advantage Funds' latest "Overview, strategy, and outlook" comments, "The European Union (E.U.) is taking steps toward adopting a financial transaction tax (FTT) that could significantly affect U.S. dollar-denominated money markets. Broadly defined to cover all markets, instruments, and actors, the FTT is slated to become effective January 1, 2014, and has several objectives, as detailed by the European Commission. The FTT is intended to reduce the number of different approaches to national taxation; ensure the financial sector makes a fair and substantial contribution to public revenues; and support regulatory measures that encourage the financial sector to engage in more responsible activities -- those the European Commission views as geared toward supporting the real economy. Similar efforts failed at the G-20 and E.U. levels, but now 11 member states—representing two-thirds of E.U. gross domestic product (GDP) -- have indicated that they would approve the common FTT under a process called enhanced cooperation, which requires the approval of nine member states in order to move ahead.... The minimum tax applied to various transactions will be initially set at 0.10% of the amount of the transaction for shares and bonds, units of collective investment funds, money market instruments, repurchase agreements (repos), and securities lending arrangements.... As written, the FTT has significant implications for U.S. investors, including money market funds. While it does not appear that the tax would apply to new issuance, it would apply to secondary market transactions and repos.... The FTT is not a done deal. Member states and working groups may propose changes that would lessen the impact on short-term instruments, and the U.K. legal challenge is a serious threat. We do not dismiss this effort simply because it seems radical or outlandish; those do not seem to be effective criteria for assessing the likelihood of government action."

Fitch Ratings published "Money Market Tranches in Structured Finance" on Monday. The report says, "Money market (MM) tranches issued as part of global structured finance transactions constitute eligible securities for purchase by money market funds under Rule 2a-7 of the U.S. Investment Company Act. Due to their short-term nature -- final legal maturity cannot be more than 397 days after closing -- Fitch Ratings assigns Tier 1 short-term ratings ('F1+' or 'F1') to these securities at issuance. The market for MM tranches is sizable and continues to grow; Fitch notes that the investor base is also expanding, as corporate treasurers and short-term fund managers, among others, continue to look for cash alternatives." The study's "Key Findings" include: "Issuance of structured finance MM tranches has recovered from crisis-era lows. The number of Fitch-rated MM tranches reached new highs in 2011 and 2012, largely driven by U.S. ABS.... U.S. ABS MM tranches continued to be successfully issued in 2008 and 2009, while many other sectors remained in virtual standstill. The sector represents one-half of the outstanding Fitch-rated MM tranches and continues to account for the majority of new ratings.... MM tranches can be divided into two main categories: those where the term of assets and liabilities is matched (e.g., ABS) and those where long-term assets are funded with short-term liabilities (e.g., RMBS). The first category accounts for 84% of Fitch-rated tranches and is the typical structure for U.S.-issued MM tranches."

The Federal Reserve Bank of New York posted a blog entry yesterday entitled, "Uncertainty, Liquidity Hoarding, and Financial Crises." NY Fed Staffer Tanju Yorulmazer writes, "One of the most interesting phenomena marking the recent financial crisis was the disruptions in the interbank market, where banks borrow and lend reserves to each other. This post draws upon my paper with Douglas Gale, "Liquidity Hoarding," to discuss this practice by banks during times of increased uncertainty about future liquidity needs and its consequences for the efficient transfer of liquidity in the interbank market." On "Disruptions in the Interbank Market," he says, "As early as fall 2007, following the collapse of the market for asset-backed commercial paper, European banks reported an inability to borrow in the interbank market. At the same time, interbank borrowing rates reached record-high levels. Furthermore, there was a dramatic change in markets for the sale of repurchase agreements (repos) -- a major source of funding for financial institutions that borrow money in exchange for securities, agreeing to buy them back at a later date. These markets, which are typically highly liquid, shrank dramatically and experienced unprecedented high "haircuts" -- markdowns in the market value of collateral being used for the loans -- in all asset classes, including nonsubprime-related classes (Gorton and Metrick offer interesting papers on repo runs and haircuts). Difficulty obtaining liquidity in the interbank market was subsequently experienced in many countries. As a result, central bank borrowing facilities became an essential source of liquidity for financial institutions."

Sunday's FT writes "Death, leaks and money market funds". It says, "Leaked reform proposals from the European Commission -- as reported in FTfm last Monday -- show that European money fund managers will be required to set aside cash buffers of 3 per cent or the market equivalent of E15bn. The proposals form part of a global regulatory backlash against constant NAV money funds, which invest in high-quality, short-term money market instruments and trade at a fixed €1 or $1 a share, except in extreme circumstances.... The leaked reforms, however, have left money fund specialists questioning their own mortality. "Three per cent will basically kill the CNAV industry in Europe. Even if it's negotiated down, we still believe that the vast majority of CNAV funds will get out of the business," one industry figure told FTfm. Others queued up to vent their anger. "It is a big spanner in the works. I don't see [the buffer] as workable," said Martin O'Donovan, assistant director of the Association of Corporate Treasurers. A significantly more irate London executive added: "There has been a sustained attack on money market funds for a while now and this 3 per cent buffer is just another example of the contempt for money funds. Regulators seem to want shot of us."" The piece adds, Dan Waters, managing director of `ICI Global, opposes any reform proposals that would impose "bank-like regulatory requirements, such as capital requirements" on funds. "Requiring advisers to commit capital would likely drive sponsors away from offering regulated money market funds," he told FTfm. Instead he suggests a positive step would be the imposition of "sensible, specific risk-limiting provisions, such as the liquidity requirements imposed in the US in 2010"."

Charles Schwab Investment Management's CEO Marie Chandoha appeared on CNBC yesterday, and made a couple of comments involving money market mutual funds. She told Tyler Mathieson in an interview, "One of the things that we saw was an uptick in equity flows, and what was interesting was, it was coming from money funds and moving into equity. So, people weren't rotating from fixed-income to equities, they were taking money out of cash and putting it into equities." Mathieson says, "Let's talk a little bit about those money funds, from where money seems to be flowing. You have waived something like $150 million in fees in just the first quarter because the interest rates are so low.... What kind of a drain is that and how long can you keep doing that?" Chandoha comments, "The reality is, money funds are really a core investment for clients. Clients need to put their cash somewhere, and money funds are a key vehicle for that. We still make some money on our money funds ... there's still a little bit left there to make. But we are waiving substantial fees.... Hopefully at some point, the Fed raises interest rates and we'll begin to make [more] money again."

The Treasury published its latest "Treasury Assistant Secretary for Financial Markets Matthew Rutherford May 2013 Quarterly Refunding Statement ", which says, "Treasury expects to keep note and bond auction sizes stable in the coming quarter. Treasury believes that the current coupon issuance schedule and offering sizes for notes and bonds are adequate to address forecasted borrowing needs over the near term. As is typical after the April tax season, borrowing needs have declined. Treasury addressed this seasonal reduction in borrowing needs by reducing weekly bill issuance starting in late April. We anticipate that this seasonal decline in borrowing needs will last through the remainder of the third fiscal quarter. Depending on how the fiscal situation develops, Treasury may decide to gradually decrease coupon auction sizes. Treasury will continue to provide guidance to market participants regarding any changes in the fiscal outlook that might impact the government's financing needs." on "Floating Rate Notes (FRNs)," they write, "At the August 2012 Quarterly Refunding, Treasury announced plans to develop a floating rate note (FRN) program to complement our existing suite of securities and to help achieve our objective of financing the government at the lowest cost over time. Treasury has reviewed the comment letters that were received in response to the Advance Notice of Proposed Rulemaking (ANPR) published on December 5, 2012. We have decided to use the weekly High Rate of 13-week Treasury bill auctions, which was described in the ANPR, as the index for Treasury FRNs. More broadly, we plan to issue a final rule on floating rate notes in the coming months, with the first FRN auction estimated to occur in either Q4 2013 or Q1 2014. This timeframe reflects Treasury's best estimate for implementing required auction regulations and IT systems modifications. Treasury will provide additional information regarding the timing of the first auction at the August refunding." Note that the Treasury's Matthew Rutherford is scheduled to speak at the upcoming (June 19-21) Crane's Money Fund Symposium.

A release entitled, "Fitch: U.S. Money Market Funds Signal Tentative Retreat from Eurozone in Holdings," says, "U.S. prime money market fund (MMF) exposure to Eurozone banks declined in March 2013, likely reflecting investor concerns over recent events in Italy and Cyprus, according to Fitch Ratings. As of end-March 2013, MMF allocations to Eurozone banks represented 13.2% of assets under management within Fitch's sample, a decline of 19% on a dollar basis relative to the end-February level of 16% of MMF assets. Despite this recent decline, Fitch notes allocations to Eurozone banks have increased by over 70% since end-June 2012 when European Central Banks (ECB) actions led to relative stabilization of market sentiment. Canadian banks remained the largest single country exposure at 13.4% of assets, a 9% increase since end-February. In aggregate, MMF allocations to Canadian, Japanese and Australian banks represented approximately one-third of total assets in Fitch's sample versus approximately 20% of assets as of end-May 2011. Australian, Canadian and Japanese banks collectively represent 10 of the top-15 largest exposures of MMF assets in Fitch's sample, with just three European institutions in the top-15."