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Robert Grossman, Managing Director and head of  Macro Credit Research team, Fitch Ratings

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US money fund exposure to Eurozone banks diverging, says Fitch

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US prime money market funds (MMFs) continued to reduce their exposure to Eurozone banks, according to Fitch Ratings. In other signs of ongoing risk aversion, MMFs maintained relatively sizable exposure in the form of repos and in short-term Treasury and agency securities.

As of month-end December, exposure to Eurozone banks was approximately 10% of total MMF holdings of USD644 billion within Fitch’s sample of the 10 largest MMFs, a 16% decline since end-November 2011. In the most recent reporting period, there were two Eurozone banks among the top 15 largest institution-specific exposures, down from six Eurozone banks as of end-July.

‘US prime money fund exposure to European banks is diverging, with Eurozone exposure declining while European banks outside of the Eurozone remain stable at approximately 22% of MMF holdings,’ says Robert Grossman (pictured), managing director of Fitch’s Macro Credit Research group.

Exposure to banks in Australia, Canada, and Japan each increased and represented more than 30% of MMF assets, up from 20% of MMF holdings as of end-May 2011.

The full report ‘US Money Fund Exposure and European Banks: Eurozone Diverging’ is available at ‘www.fitchratings.com.’ This is the 10th in a series of Fitch reports tracking MMF portfolio exposure to European financial institutions.
 

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