Page 315 - Special Topic Session (STS) - Volume 1

STS441 Giulio B. et al.
20% of the total. All the most important asset management companies in our
sample own at least some public funds. The median number of public fund
holdings associated to a single bank holding is 2, while the average is 3.4.
We match the bank and fund holdings on a security-quarter basis and drop
observations when a bond only appeared in the bank’s proprietary portfolio,
but not in any of the bank’s affiliated mutual funds’ portfolios. Similarly, we
disregard observations of sovereign bond holdings by a fund when the parent
bank does not hold the same bond. Overall during the sample period, the
average bank holds 329 distinct sovereign bonds that also appear in the
sample of common bond holdings with its mutual funds, 170 of which are
German Bunds and 70 of which are issued by one of the GIIPS countries.
However, this number varies widely: the three most important banks in the
sample hold on average 1148 distinct securities, while 7 banks have few bonds
in common with their asset management arm, with no common holding at all
in several quarters.
The 31 asset management companies that appear in the sample own as
many as 3059 different funds, each of which holds on average 21 distinct
bonds that the parent bank also has (median 11). The upper 10% hold from
47 to 396 distinct securities and the bottom 10% hold just one.
9
The second sample focuses on banks’ and their retail customers’ holdings
of sovereign bonds. Here no matching is required, because each German bank
has to report besides their own security holdings the aggregate holdings of
its retail customers on a security-by-security basis directly to the SHS. In total,
538 banks report at least one euro-area sovereign bond held both in the
bank’s and its customers’ portfolio. We have on average 13 different securities
for each of these 538 banks, out of which 45% are German and 38% are issued
by the GIIPS countries: in particular, 24% are Greek bonds. Again, the
distribution is extremely skewed: 41% of these banks have only one bond in
common with their households customers, while the largest held a total of 990
distinct securities.
We use the two separate samples not only because analyzing bank-fund
level correlations and bank-customer level correlations is interesting in its own
right. The bank-fund level sample also has a much larger cross-section of
bonds, while the bank-customer sample has a larger cross-section of banks
allowing us to also study the effects of bank characteristics.

9 The same funds’ portfolios include overall (independently of whether they appear in the
portfolio of the parent bank) an average of 40 distinct euro-area sovereign bonds over the
sample period (median 24).
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