by Calculated Risk on 12/04/2007 12:01:00 AM

From the WSJ: SIV Exposure Seen at Some Money Funds

Funds recently holding some of the SIVs include some from Barclays PLC's Barclays Global Investors; UBS AG; Charles Schwab Corp.; Deutsche Bank AG; BNY Hamilton Funds and Morgan Stanley.
...
The funds range in asset size from $2 billion to $36 billion, and hold about 1% to 2% of their investments in some of the SIVs.
...
Among funds holding SIVs is the $29 billion Western Asset Money Market Fund, run by a unit of Legg Mason Inc. The fund holds a SIV called Orion Finance, which was on Friday downgraded by Moody's. Orion represents about 0.5% of the fund.

A Legg Mason spokeswoman said in an email that the company is confident in the stability of the fund's net asset value. "By and large, SIVs are paying on time, and Legg Mason's money funds' exposure to SIVs continues to come down as paper matures and pays."

It is extremely unlikely that any of these funds will "break the buck". However the last comment is important for the SIVs: everyone wants to reduce their exposure to SIVs as the paper matures.