A total of 60 investment funds, as of the most current holdings dates, have exposure to non-bank asset-backed commercial paper vehicles, with the vast majority of it in money market funds, according to new research from Morningstar Canada.

Morningstar reviewed its database for funds that reported holding some of the ABCP issues that were put on the watchlist by ratings agency DBRS on August 16.

Of these 60 funds (down from 76 reported earlier), just 24 were money market funds, the firm found. The funds’ total exposure was $1.27 billion, with the money market funds accounting for $1.14 billion of that total.

The National Bank Corporate Cash Management Fund had the largest reported exposure, as of July 31, with $288.6 million of its $760.7 million in total assets invested in the affected issues, Morningstar Canada reported.

Indeed, the funds with the four largest dollar exposures were National Bank funds. Earlier this week, the bank stepped in and volunteered to acquire all of the ABCP held by National Bank Mutual Funds and its Altamira Mutual Funds, subject to regulatory approvals.

Only five funds had as much as $100 million in exposure. However, a handful of funds had a significant chunk of their assets in the affected issues. The IA Uflx R-M Money Market Fund reported 80% of its assets were in the affected ABCP as of July 31. Another fund, the Genus Money Market Fund, reported 64.9% of its assets were in the affected issues, as of June 30. The next biggest exposure by share of assets was the National Bank Corporate Cash Management Fund, at 37.9%.