fitch - mmf quarterly

8/3/2019 Fitch - MMF Quarterly

1/11

U.S. MMF Reforms on the Horizon,Oct. 6, 2011

European Money Market Funds Sector Update, Sept. 21, 2011

European Banks and Market Turmoil,Sept. 20, 2011

U.S. Money Market Fund Sector Update,Aug. 4, 2011

Global Money Market Fund Rating Criteria,April 4, 2011

Key Takeaways 1

Trends in Portfolio Management 2

Credit Environment 4

Market Enviroment 5

Regulatory Developments 7

Appendix A 8

Appendix B 9

Inside This Issue Key TakeawaysEuropean Exposure Declined Further: Fitch-rated U.S. prime money market unds (MMFs)

urther reduced investments in certiicate o deposits (CDs) issued by European banks. French

banks accounted or the largest decline in exposure to 6.4% o the unds total assets at the

end o August 2011 rom 10.5% o assets at the end o May 2011. Fitch expects this trend to

continue, given the ongoing market volatility related to the eurozone sovereign debt crisis.

Primary Focus on Liquidity: Fitch-rated prime MMFs allocated, on average, 30.6% and 42.0%

o their portolios to daily and weekly liquid assets, respectively. As o end o August 2011, these

unds allocated 13.8% o their total assets to short-term time deposits (TDs), up 5.7% rom May

2011. Investments in repurchase agreements (repos) stood at 15.6%.

MMF Portfolios Positioned Conservatively: Fitch-rated prime MMFs are conservatively positioned

with respect to credit, interest rate, and liquidity risk as evidenced by a reduction in credit

exposures, a high level o available liquidity and low weighted average maturity to reset

date (WAMr). Fitch-rated prime MMFs reduced their average WAMr to 37 days as o end o

August 2011, rom 46 days at the end o May 2011, relecting ongoing credit volatility and

recent rating actions aecting both U.S. and European inancial institutions.

Challenging Interest Rate Environment: The low interest rate environment coupled with a

declining supply o MMF eligible assets has been aecting portolio yields or the past ew

years. The Feds announcement o a new monetary policy step to purchase $400 million olong-term Treasuries, while selling the same amount o short-term Treasuries, could be helpu

as an incremental source o new supply but is unlikely to alleviate the yield pressures on MMFs.

Further MMF Reforms Likely: The U.S. MMF industry aces the prospect o additional regulatory

reorms. A range o proposals have been put orth by the industry, regulators, and others to

urther reorm the industry.

This report, originally published on Oct. 17, 2011,

contains corrections in Appendix A: Fitch-Rated

U.S. Money Market Funds.

U.S. Money MarketFunds Sector Update

FUND & ASSET MANAGER RATING GROUP October 18, 201

www.tchratings.com

Analysts

New YorkViktoria Baklanova, CFA

+1 212 908-9162

[email protected]

Greg Fayvilevich

+1 212 908-9151

[email protected]

Gwen Fink-Stone

+1 212 [email protected]

Ben Han+1 212 [email protected]

ChicagoRuss Thomas

+1 312 368-3189

[email protected]

Related Research

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(%)

Figure 1: Fitch-Rated Prime MMFs Allocation to Banks CDs in

Selected Countries

Source: Fund reports, Fitch.
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651371http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651371http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651402http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651402http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=647810http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=647810http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=614345http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=614345mailto:[email protected]:[email protected]:gwen.fink-stone%40fitchratings.com?subject=mailto:ben.han%40fitchratings.com?subject=mailto:[email protected]:[email protected]:ben.han%40fitchratings.com?subject=mailto:gwen.fink-stone%40fitchratings.com?subject=mailto:[email protected]:[email protected]://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=614345http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=614345http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=647810http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=647810http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651402http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651402http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651371http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651371http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686


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U.S. Money Market Funds Quarterly October 18, 2011

Flight to Quality and LiquidityIn the third quarter o 2011, the portolio composition o Fitch-

rated U.S. prime MMFs was aected by investor concerns

related to the eurozone sovereign debt crisis and negative credit

developments in the U.S. banking sector. Relecting these

developments, Fitch-rated U.S. prime MMFs reduced their

exposures to banks CDs, particularly to those issued by Europeanbanks, in avor o U.S. government securities and overnight TDs.

Investments in CDs decreased by 37% to $113 billion rom

$179 billion during the same time period. Figure 2 depicts the change

in asset allocation preerences o Fitch-rated U.S. prime MMFs.

Fitch-rated prime MMFs held 30% o assets invested in CDs at

the end o August 2011. Figure 1 on the title page and Figure

3 illustrate the most signiicant reductions in CD allocation by

country, relecting ongoing market concerns with MMF exposures

to inancial institutions in European countries, as well as a general

declining trend in longer term investments, which aected Canadian

CDs. Fitch-rated U.S. prime MMFs had no direct exposure to bankslocated in Greece, Portugal, Ireland, or Italy. Appendix B at the

end o this report provides a complete list o county allocations.

MMFs allocation to banks TDs increased during the third quarter

o 2011 to $51.2 billion rom $36.0 billion at the end o May 2011

and accounted or 14% o assets under management. At the start o

the third quarter, MMFs deensively repositioned their portolios in

response to sovereign debt concerns in both the U.S. and Europe

The uncertain credit environment and ongoing market volatility have

led to increased asset allocation to U.S. government securities

Some o the cash leaving the longer dated European banks CDs hasbeen redeployed in overnight TDs issued by high-quality banks. Figure

4 illustrates the shit in TD allocation by Fitch-rated prime MMFs

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Figure 2: Asset Allocation Trend in Fitch-Rated U.S. Prime MMFs


Trends in Portolio Management

Figure 3: Change in Allocation to CDs by Fitch-RatedPrime MMFs in Selected Countries(May to August 2011)

$ Bil. (%)

France (23.0) (49.3)

U.K. (10.1) (36.9)

Netherlands (8.0) (45.3)

Canada (6.1) (29.3)

Switzerland (4.2) (38.7)

Germany (2.4) (22.6)



3/11 3

Fitch Ratings

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Figure 4: Fitch-Rated Prime MMFs Allocation to Banks TDs in Selected Countries


Figure 5: Top Five Repo Counterparties in Fitch-RatedU.S. Taxable MMFsCounterparty Ratinga May 2011 Aug. 2011

Barclays Bank AA/F1+, RWN 16.7 19.1

Deutsche Bank AA, RWN/F1+ 12.2 11.6

BNP Paribas AA, RWN/F1+ 10.9 9.1

Bank o America A+/F1+, RWN 9.5 6.6

RBS A/F1 6.8 6.9

Total 51.1 53.8

aWhile MMFs normally conduct repos with unrated wholly owned subsidiaries orated banks and other fnancial institutions, Fitch views such exposure as an ex-posure to the subsidiarys rated parent unless the credit profle o the subsidiarydiers signifcantly rom that o its rated parent. Listed ratings are Fitch ratingsassigned to the repo subsidiarys rated parent. Ratings are as o Oct. 14, 2011.Source: Fund reports, Fitch.

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Total ABCP (RHS) ABCP % of Total Assets (LHS) Top 5 ABCP Programs as % o f To tal ABCP (LHS)

(% of Total ABCP Investments) ($ Bil.)

Figure 6: ABCP Investments by Fitch-Rated Prime MMFs


High Concentration in Top Five Repo

CounterpartiesFitch-rated taxable MMFs increased exposure to Barclays Bank as

the top repo counterparty to 19.1% o total assets at the end o

August 2011 rom 16.7% at the end o May 2011. Figure 5 lists

the top ive counterparties, which continue to account or over 50%

o repo transactions in Fitch-rated U.S. taxable MMFs.

ABCP Investments Continue to DeclineAs o end o August 2011, Fitch-rated prime MMFs allocated

$28.7 billion to asset-backed commercial paper (ABCP), which

represents a $4.8 billion reduction in ABCP investments compared

to the end o May 2011, relecting a long-term declining trend in

overall ABCP outstandings. Figure 6 illustrates this trend both in

dollar terms and as a percentage o Fitch-rated prime MMF portolios.

Figure 6 also depicts a relatively stable high level o concentration in

the top ive ABCP programs, ranging between 30% and 38% o Fitch-

rated MMFs total ABCP investments since the beginning o the year

The composition o speciic ABCP programs held by Fitch-rated prime

MMFs is largely driven by available supply. Figure 7 lists the top 20

ABCP conduits held by Fitch-rated prime MMFs as o August 2011


4/11

Credit Environment

4


Figure 7: Top 20 ABCP Conduits in Fitch-Rated Prime MMFs(As o August 2011)

Held By Fitch-Rated Prime MMFs ($ Mil.)

ABCP Conduit Primary Liquidity Providera 12/10 3/11 6/11 8/11

Atlantis One Funding Rabobank (AA+, RWN/F1+) 3,049 2,937 3,455 3,832

Grampian Funding Lloyds TSB Bank (A/F1) 4,600 3,575 1,304 2,496

Kells Funding FMS Wertmanagement (AAA/F1+) 88 2,568 2,319 1,987

Atlantic Asset Securitization Credit Agricole (AA, RWN/F1+) 479 347 197 1,318

Argento Variable Funding Lloyds TSB Bank (A/F1) 1,273 1,483 1,012 1,280

Barton Capital Societe Generale (A+/F1+) 442 337 786 1,170

LMA Credit Agricole (AA, RWN/F1+) 614 823 478 841

FCAR Various 1,014 1,277 1,105 776

Gemini Securitization Deutsche Bank (AA, RWN/F1+) 1,722 1,606 1,427 728

Amsterdam Funding RBS (A/F1) 743 387 360 723

Govco Citibank (A+/F1+, RWN) 696 1,088 679 671

Chariot Funding JP Morgan (AA/F1+) 551 150 687 632

CIESCO Citibank (A+/F1+, RWN) 184 353 503 617

Newport Funding Deutsche Bank (AA, RWN/F1+) 775 865 548 575

Regency Markets HSBC (AA/F1+) 186 637 148 573Charta Citibank (A+/F1+, RWN) 150 373 300 520

Matchpoint BNP Paribas (AA, RWN/F1+) 275 487 404 500

Aspen Funding Deutsche Bank (AA, RWN/F1+) 560 453 640 470

Shefeld Receivables Barclays Bank (AA/F1+, RWN) 890 600 589 468

Royal Park Investments Government o Belgium (AA+, RWN/F1+) 1,401 310 508 454

Total in Top 20 Programs 20,628

Total ABCP Investments in Fitch-Rated Prime MMFs 28,737

Top 20 Programs as % of Total ABCP 71.8

ABCP as % of Total Assets 7.76

aRatings are as o Oct. 14, 2011.Source: Fund reports, Fitch.

Core European Banks Face Increasing HeadwindsRecent capital market developments aecting European banks

include increased volatility, pronounced declines in the equity prices

o individual institutions and bank sector indices, and widening

o bank cash and credit deault swap spreads. European banks

have also been challenged by constrained interbank markets and

general decreases in liquidity, particularly short-term unding. The

main drivers have been market concerns over whether and how the

eurozone crisis will be resolved and potentially tepid global economic

growth. The eventual eect o these trends on European banksproitability and capital positions is discussed in Fitchs special

report,European Banks and Market Turmoil dated Sept. 20, 2011.

In particular, market scrutiny with respect to major French banks

continued during the third quarter. Since the Greek sovereign crisis

started over a year ago, U.S. prime MMF exposure to French inancial

institutions has gradually declined and stood at 11.2% o total

assets, on average, by the end o August 2011 as discussed in Fitch

special report, U.S. Money Market Funds and European Banks

Exposures and Maturities Decline Further dated Sept. 23, 2011

During the third quarter, Fitch took a number o rating actions related

to European sovereigns. These actions included a downgrade o

Greeces long-term oreign and local currency issuer deault ratings

(IDRs) to CCC rom B+ and the Republic o Cypruss downgrade

to BBB rom A. Fitch also airmed Switzerlands, Norways

Denmarks, and Swedens AAA ratings. Going into October, Fitch

continued its rating reviews related to major European banks. On

Oct. 13, 2011, Fitch lowered its Support Rating Floor (SRF) o

systemically important U.K. banks to A rom AA. This resulted

in IDR downgrades to A rom AA or Lloyds Banking Group and

Royal Bank o Scotland. Fitch has also placed Barclays Bank on

RWN. A ull list o rating actions is available in Fitch Lowered

UK Support Rating Floors; Downgraded Lloyds, RBS to A.
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5/11 5

Market Environment

Fitch Ratings

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7-Day Yield Fed Fund O/N LIBOR

Figure 8: Average Seven-Day Yield on Prime Institutional MMFs

Source: Federal Reserve, iMoneyNet, Bloomberg.

Interest Rates Remain LowOn Sept. 21, 2011, in an eort to provide urther stimulus to the

U.S. economy and keep mortgage rates low, the Federal Reserve

announced a new monetary policy measure (called Operation

Twist) in which the Fed will purchase $400 million o long-term

Treasury securities while selling the same amount o Treasury

securities with maturities within a three-year range. These actionsmay give a small lit to short-term interest rates and provide an

incremental supply o MMF eligible securities. However, the net

eect on MMFs is expected to be limited due to the size and

duration o the program and the osetting demand by other

investors or saety and liquidity.

As o Sept. 6, 2011, the average seven-day yield on individual prime

institutional MMFs reported by iMoneyNet was 0.04%, unchanged

rom the second quarter. Figure 8 depicts an unchanged average

seven-day annualized yield produced by prime institutional MMFs

against the backdrop o the Fed unds and overnight LIBOR rates.

Economic Uncertainty Refected in Low WAMrDuring the third quarter, the U.S. prime institutional MMFs

continued to maintain low average WAMr, relecting expectations

o continuing macroeconomic uncertainty and related market

volatility. Figure 9 illustrates the persistently low average WAMr

hovering just under 40 days since the end o second-quarter 2011.

U.S. Prime MMFs Lost Assets, While Government

MMFs GainedU.S. MMF assets under management declined slightly rom the

second quarter, down approximately $39 billion to $2.64 trillion,

according to the Investment Company Institute. O the $39 billion

in outlows, prime unds (institutional and retail) and tax-exempt

unds declined by $84 billion (minus 5.3%) and $5.3 billion

(minus 1.8%), respectively, while government unds added $50

billion (plus 6.2%). Figure 10 illustrates historical trends in assets

under management o prime, government, and tax-exempt MMFs.

Low Rates Causing Consolidation, LiquidationThe prolonged low interest rate environment continues to exert

pressure on many und operators, orcing them to orego ees in

an eort to stay above negative yields. Evidence o this pressure

has come in the orm o increasing industry consolidation and/o

outright und liquidations. According to Crane Data, the money

und universe experienced a net decrease o nine unds in the third

quarter through early September. This decrease was represented

by various und liquidations and mergers. The Feds recen

announcement o its decision to keep rates low or at least the nex

two years is likely to accelerate und and share class consolidations

and liquidations.

Fees and expenses o prime institutional MMFs averaged 20 basis

points (bps) at the end o August 2011, representing an average

decrease o 1 bp since June 30, 2011, when the average expense

ratio stood at 21 bps. The average und expense ratio with respect

to government institutional MMFs as o Aug. 31, 2011, was 8

bps, representing an average decrease o 2 bps since June 30

2011, when the average expense ratio stood at 10 bps. Fees tha

MMFs are able to charge in this low rate interest environment are

still depressed relative to the precrisis level. Figure 11 illustrates

the downtick in expenses charged by prime institutional and

government institutional MMFs.


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Figure 10: Assets Under Management of U.S. MMFs

Source: iMoneyNet.

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Figure 11: Average Prime and Government Institutional MMF Charged Expense Ratios

Source: iMoneyNet.

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Figure 9: Average WAMr of U.S. Prime Institutional MMFs

Source: iMoneyNet.


7/11 7

Fitch Ratings

Regulatory Developments

MMF industry stakeholders continue to provide comments to the

potential MMF reorm options advanced in the Presidents Working

Group (PWG) report released in October 2010. Some o the

responses to the PWG report included ideas related to establishing

a new subordinated share class designed to absorb a predetermined

amount o losses ahead o MMF investors.

A capital buer would be viewed positively rom a MMF rating

perspective. However, it also may introduce new conlicts o

interests that need to be well understood and appropriately

managed. Examples o new conlicts include a relationship between

traditional MMF investors and those providing the capital buers,

as well as a probable change in und managers risk appetite given

additional costs imposed by the capital buer. Fitch discussed

these and other structural and rating considerations o the urthe

MMF reorms in the special report, U.S. MMFs: New Reorms on

the Horizon dated Oct. 6, 2011.

Nonetheless, Fitch notes that the existing ratings assigned toU.S. MMFs are not under review and are not contingent on urthe

regulatory change. Fitch does not have a bias towards one regulatory

proposal or another but rather stands ready to adjust its criteria and

ratings as needed in response to whatever changes are introduced

i any.
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=652686


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Appendix A: Fitch-Rated U.S. Money Market Funds(All data as o August 2011)

AssetCredit Qualitya (%) Average Asset

Porfolio Liquidity(%)c

Investment Fitch Fund AUM F1 or F2 or Maturity (Days) O/N Seven-DayIssuer Advisor Rating ($ Bil.) PCF Higher Lower WAMr WAMf Liquidity Liquidity

Prime Funds

JP Morgan Prime Money Market Fund JP Morgan AAAmm 116.2 0.90 100.0 0.0 50 98 25.6 33.9

Federated Prime Obligations Fund Federated AAAmm 48.0 0.71 100.0 0.0 36 38 19.7 28.4

Dreyus Cash Management Dreyus AAAmm 28.4 0.35 100.0 0.0 31 60 56.8 58.6

Dreyus Institutional Cash Advantage Fund Dreyus AAAmm 26.7 0.44 100.0 0.0 38 61 52.3 53.8

State Street Institutional Liquid Reserve Fund State Street AAAmm 23.7 0.68 100.0 0.0 18 48 33.5 53.7

Goldman Sachs Financial Square Prime Obligations Fund Goldman Sachs AAAmm 22.8 0.44 100.0 0.0 23 71 35.8 59.0

Federated Prime Cash Obligations Fund Federated AAAmm 22.0 0.78 100.0 0.0 39 39 16.2 26.4

Short-Term Investments Trust Liquid Assets Portolio Invesco AAAmm 19.6 0.96 100.0 0.0 37 69 7.3 28.2

First American Prime Obligations Fund First American AAAmm 13.3 0.71 100.0 0.0 44 85 25.9 44.3

Morgan Stanley Institutional Liquidity Fund Prime Portolio Morgan Stanley AAAmm 13.2 0.19 100.0 0.0 17 17 37.9 72.7

SSgA Prime Money Market Fund State Street AAAmm 9.9 0.74 100.0 0.0 19 54 40.9 57.5

Daily Assets Fund Institutional Deutsche Bank AAAmm 7.6 0.61 100.0 0.0 39 62 34.0 43.5

SSgA Money Market Fund State Street AAAmm 6.6 0.65 100.0 0.0 15 50 41.8 54.7

Dreyus Institutional Reserves Money Fund Dreyus AAAmm 4.8 0.20 100.0 0.0 19 49 69.6 78.0

Marshall Prime Money Market Fund Marshall & Isley AAAmm 3.6 1.28 100.0 0.0 37 71 20.9 44.7

Short-Term Investments Trust STIC Prime Portolio Invesco AAAmm 2.8 0.41 100.0 0.0 15 15 17.5 45.3

Virtus Insight Money Market Fund Virtus AAAmm 0.9 0.47 100.0 0.0 33 33 36.9 45.7

Total/Weighted Average 370.1 0.69 100.0 0.0 37 67 30.6 42.3

Municipal Funds

Federated Tax-Free Obligations Fund Federated AAAmm 10.0 N.A. 100.0 0.0 44 44 N.A. 76.7

Federated Municipal Obligations Fund Federated Amm 5.4 N.A. 97.2 2.8 32 32 N.A. 84.6

Wells Fargo Advantage National Tax-FreeMoney Market Fundb Wells Fargo AAAmm 4.4 N.A. 100.0 0.0 10 10 N.A. 94.6

Wells Fargo Advantage Municipal Cash ManagementMoney Market Fund Wells Fargo AAAmm 2.7 N.A. 100.0 0.0 12 12 N.A. 92.9

Morgan Stanley Institutional Liquidity Fund Tax Exempt Portolio

MorganStanley AAAmm 1.4 N.A. 100.0 0.0 28 28 N.A. 80.9

Alpine Municipal Money Market Fund Alpine AAmm 0.4 N.A. 100.0 0.0 10 10 N.A. 96.1

Total/Weighted Average 24.2 N.A. 99.3 0.7 30 30 N.A. 84.1

Government Funds

Federated Government Obligations Fund Federated AAAmm 34.8 N.A. 100.0 0.0 47 98 42.6 60.5

Short-Term Investments Trust Treasury Portolio Invesco AAAmm 15.4 N.A. 100.0 0.0 45 45 63.0 66.2

First American Treasury Obligation Fund First American AAAmm 9.9 N.A. 100.0 0.0 34 34 100.0 100.0

Short-Term Investments Trust Government &Agency Portolio Invesco AAAmm 9.9 N.A. 100.0 0.0 47 76 38.7 65.1

State Street Institutional Treasury Money Market Fund State Street AAAmm 9.0 N.A. 100.0 0.0 20 20 100.0 100.0State Street Institutional U.S. Government

Money Market Fund State Street AAAmm 5.4 N.A. 100.0 0.0 34 48 40.9 78.8

SSgA U.S. Treasury Money Market Fund State Street AAAmm 4.9 N.A. 100.0 0.0 10 10 93.9 100.0

SSgA U.S. Government Money Market Fund State Street AAAmm 4.3 N.A. 100.0 0.0 32 45 48.3 77.5

Investors Cash Trust Treasury Portolio Deutsche Bank AAAmm 4.0 N.A. 100.0 0.0 29 29 75.3 100.0

State Street Institutional Treasury Plus Money Market Fund State Street AAAmm 2.0 N.A. 100.0 0.0 7 7 96.2 100.0

Dreyus Institutional Reserves Treasury Fund Dreyus AAAmm 1.7 N.A. 100.0 0.0 38 38 100.0 100.0

Fith Third Institutional Government Money Market Fund Fith Third AAAmm 1.6 N.A. 100.0 0.0 44 72 40.6 69.6

Fith Third U.S. Treasury Money Market Fund Fith Third AAAmm 1.2 N.A. 100.0 0.0 41 47 90.7 95.3

Dreyus Institutional Reserves Treasury Prime Fund Dreyus AAAmm 1.1 N.A. 100.0 0.0 34 34 100.0 100.0

Williams Capital Government Money Market FundWilliamsCapital Group AAAmm 0.8 N.A. 100.0 0.0 37 54 41.9 76.8

Marshall Government Money Market Fund Marshall & Isley AAAmm 0.6 N.A. 100.0 0.0 18 53 60.3 84.8

Milestone Treasury Obligations PortolioCLSInvestments AAAmm 0.6 N.A. 100.0 0.0 37 37 92.3 100.0

First American US Treasury Money Market Fund First American AAAmm 0.5 N.A. 100.0 0.0 43 43 100.0 100.0

Total/Weighted Average 107.7 N.A. 100.0 0.0 38 59 62.6 76.5aRated at least A/F1 by Fitch or being o comparable quality by other global rating agencies. Securities with conditional demand eatures such as VRDNs are treated as frst-tiersecurities in cases when a demand eature is frst-tier quality. Investments in repos collatralized by AAA government securities deemed to be AAA quality. bData or Wells Fargo Ad-vantage National Tax-Free Money Market und is as o mid September 2011. cRated MMFs may moderately and temporarily deviate rom the parameters in the agencys rating criteriaAUM Assets under management. PCF Portolio credit actor. WAM Weighted average fnal maturity. WAMr Weighted average maturity to reset dates. N.A. Not applicableunder Fitch global money market und rating criteria.Source: Fund reports, Fitch.


9/11 9

Fitch Ratings

Appendix B: Fitch-Rated U.S. Prime Money Market Funds Average Portfolio Composition(%)

Country Entity ExposureSept.2010

Oct.2010

Nov.2010

Dec.2010

Jan.2011

Feb.2011

March2011

April2011

May2011

June2011

July2011

Aug.2011

U.S. 21.6 21.3 21.0 21.6 20.9 21.0 21.1 20.6 19.6 20.2 24.6 24.6

Bank o America 2.8 3.5 3.4 3.6 3.8 4.4 3.4 3.4 4.1 3.9 3.9 3.4

JP Morgan 1.7 1.7 1.7 2.2 2.3 2.3 2.2 2.1 2.3 2.5 3.0 3.1

FHLMC 1.7 1.4 1.3 1.4 1.3 1.2 1.8 1.7 1.8 1.7 1.9 2.6

US Treasury 0.9 0.5 0.6 0.8 0.6 0.7 0.8 0.8 0.8 0.9 4.2 2.4

Citigroup 2.4 2.3 2.3 2.3 2.5 2.3 2.2 1.9 2.0 1.9 1.9 2.3Others 12.2 12.0 11.6 11.3 10.4 10.0 10.6 10.7 8.6 9.3 9.8 10.8

France 17.3 16.8 16.8 16.2 18.2 18.4 16.6 17.8 18.0 17.7 16.6 14.8

Societe Generale 3.7 4.3 4.5 4.2 4.6 4.3 3.3 3.9 4.4 4.3 4.0 3.8

BNP Paribas 5.6 5.0 4.6 4.4 5.3 5.2 5.0 5.1 5.1 4.3 4.3 3.8

Credit Agricole 4.1 4.1 4.0 4.1 3.9 4.5 3.9 4.4 4.0 3.7 3.3 2.6

Others 3.9 3.3 3.7 3.6 4.5 4.5 4.4 4.3 4.4 5.4 5.0 4.6

U.K. 15.3 15.9 15.6 15.3 13.1 13.0 14.6 13.9 14.7 14.1 13.8 13.4

Barclays Bank 6.5 7.3 6.8 6.8 4.4 4.2 4.8 5.6 5.9 5.6 6.3 5.9

RBS 3.5 3.5 3.2 3.1 3.7 3.8 3.3 3.3 3.3 3.7 3.4 3.5

Lloyds TSB Bank 3.5 3.1 3.7 3.4 2.8 2.7 3.9 3.1 3.0 3.1 2.1 2.8

Others 1.8 1.9 2.0 2.0 2.2 2.4 2.5 1.9 2.5 1.8 2.0 1.2

Germany 8.0 9.9 10.0 8.5 9.3 8.9 8.1 7.2 8.2 7.5 6.8 7.7

Deutsche Bank 4.7 6.3 7.0 6.1 5.6 5.0 4.4 3.8 5.1 4.3 4.2 5.2

Commerzbank 0.9 1.1 1.1 0.2 1.2 0.6 1.1 0.9 1.0 1.2 0.8 0.5

FMS Wertmanagement 0.0 0.0 0.0 0.0 0.0 0.4 0.6 0.6 0.6 0.6 0.6 0.5

Others 2.4 2.5 1.9 2.1 2.5 2.9 2.1 1.9 1.4 1.5 1.3 1.4Australia 4.0 5.0 5.3 5.6 5.3 5.4 5.0 5.6 5.7 6.2 5.9 7.1

Westpac Banking 1.5 1.8 1.9 1.9 1.9 2.0 1.8 1.7 2.2 2.3 2.3 2.3

National Australia Bank 1.3 1.4 1.3 1.4 1.4 1.6 1.4 1.7 1.6 2.4 2.3 2.2

CBA 0.7 1.2 1.4 1.4 0.9 0.8 0.8 1.1 1.0 0.8 0.5 1.4

Others 0.6 0.6 0.7 1.0 1.2 1.0 1.0 1.0 0.9 0.7 0.8 1.2

Canada 4.9 4.9 4.8 5.3 5.4 5.7 6.8 6.4 6.5 6.3 7.2 6.5

Bank o Nova Scotia 1.0 1.3 1.4 1.5 1.6 2.1 3.0 2.9 3.3 2.7 2.9 3.1

RBC 1.3 1.1 1.1 1.6 1.7 1.8 1.4 1.3 1.3 1.5 2.1 1.4

Bank o Montreal 1.0 0.9 1.0 1.1 1.1 1.0 1.1 1.3 1.2 1.1 1.2 1.0

Others 1.6 1.6 1.3 1.0 1.0 0.8 1.4 0.9 0.7 1.0 1.0 1.0

Netherlands 6.3 6.0 6.2 6.7 6.6 6.4 6.4 6.7 6.8 7.2 6.8 6.2

Rabobank 2.9 3.1 3.1 3.5 3.1 3.1 3.4 3.5 3.8 3.7 3.8 3.9

ING 2.8 2.5 2.6 2.7 3.0 2.9 2.9 3.1 2.9 3.2 2.7 1.8

ABN AMRO Bank 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.3

Others 0.5 0.4 0.4 0.4 0.5 0.3 0.0 0.1 0.1 0.3 0.3 0.2

Japan 5.7 5.0 6.0 6.2 5.9 6.1 5.8 5.1 4.8 4.9 4.6 5.8Bank o Tokyo-Mitsubishi 2.7 2.6 2.8 2.7 2.8 2.4 2.6 2.0 2.2 2.6 2.0 3.1

Mizuho 1.1 0.9 1.5 1.7 1.6 1.8 1.6 1.5 1.1 1.2 1.5 1.2

Sumitomo 0.9 0.7 0.9 1.0 1.0 1.3 1.0 1.2 1.0 0.8 0.6 1.1

Others 1.0 0.7 0.8 0.8 0.7 0.6 0.6 0.5 0.4 0.4 0.5 0.4

Switzerland 4.0 3.5 4.0 4.7 4.6 5.2 6.0 5.0 5.2 5.0 4.8 5.0

Credit Suisse 1.4 1.9 1.7 2.2 2.5 3.1 2.6 2.4 2.3 2.8 2.3 2.5

UBS 2.5 1.6 2.3 2.5 2.1 2.2 3.4 2.5 2.8 2.1 2.4 2.4

Novartis 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Sweden 3.1 3.3 3.9 3.2 4.1 4.2 4.5 4.8 4.4 4.3 4.8 4.8

Svenska Handelsbanken 1.1 1.1 1.0 1.4 1.8 2.3 2.5 2.3 2.0 2.3 2.1 2.6

Nordea Bank 1.6 1.6 2.3 1.4 1.4 1.1 1.4 1.6 2.0 1.6 1.6 1.5

SEB 0.4 0.6 0.5 0.4 0.7 0.5 0.4 0.5 0.3 0.2 0.8 0.5

Others 0.0 0.1 0.1 0.0 0.2 0.3 0.1 0.4 0.2 0.2 0.4 0.2

Norway 1.6 1.7 1.3 1.6 1.4 1.7 1.7 2.4 2.4 2.1 1.2 1.8

DNB NOR Bank 1.5 1.7 1.3 1.6 1.4 1.6 1.7 2.4 2.4 2.1 1.2 1.8

Eksportfnans 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Statoil 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Denmark 0.9 1.1 0.8 0.9 1.0 1.3 1.1 1.1 0.8 0.8 1.3 0.6

Danske Bank 0.9 1.1 0.8 0.9 1.0 1.2 1.0 1.0 0.8 0.7 1.3 0.6

Denmark 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Continued on next page.


10/1110


Appendix B: Fitch-Rated U.S. Prime Money Market Funds Average Portfolio Composition (Continued)(%)

Country Entity ExposureSept.2010

Oct.2010

Nov.2010

Dec.2010

Jan.2011

Feb.2011

March2011

April2011

May2011

June2011

July2011

Aug.2011

Austria 0.0 0.0 0.1 0.1 0.3 0.5 0.5 0.5 0.4 1.0 0.6 0.6

Erste Group Bank 0.0 0.0 0.1 0.1 0.3 0.5 0.5 0.5 0.4 1.0 0.6 0.6

OesterreichischeKontrollbank 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Belgium 1.6 1.3 1.2 1.6 2.0 1.0 0.8 1.8 0.9 1.4 0.3 0.5

KBC Bank 1.3 0.9 0.7 1.2 1.5 0.6 0.3 1.0 0.7 1.3 0.3 0.4Belgium 0.2 0.4 0.4 0.3 0.2 0.1 0.1 0.1 0.2 0.1 0.1 0.1

Dexia 0.1 0.1 0.1 0.0 0.3 0.3 0.4 0.6 0.0 0.0 0.0 0.0

Spain 2.2 2.0 1.4 0.8 0.7 0. 0.2 0.2 0. 0.2 0.1 0.1

BBVA 1.3 1.1 1.1 0.5 0.4 0.1 0.1 0.1 0.1 0.1 0.0 0.0

Santander 1.0 0.9 0.3 0.3 0.3 0.2 0.1 0.1 0.1 0.1 0.1 0.1

Italy 2.2 1.6 1.4 1.3 0.6 0.5 0.6 0.6 1.0 0.6 0.0 0.0

Unicredit Bank 1.3 0.7 0.5 0.6 0.2 0.2 0.3 0.5 0.4 0.5 0.0 0.0

Intesa Sanpaolo 0.9 0.8 0.8 0.8 0.4 0.3 0.3 0.1 0.5 0.1 0.0 0.0

ENI 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Other Countries 1.1 0.6 0.5 0.4 0.6 0.5 0.4 0.4 0.5 0.5 0.3 0.5

Total 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0

Note: Other Countries include countries with immaterial exposures and supranational issuers.Source: Fund reports, Fitch.


11/11

Fitch Ratings

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