July 25, 2012 / 8:15 PM / 5 years ago

TEXT-Fitch: U.S. money fund exposures to euro zone banks at record low

 (The following statement was released by the rating agency)
 July 25 - U.S. prime money market fund (MMF) exposures to Eurozone banks
declined 33% during the month of June 2012 and now represent approximately 8% of
total MMF assets, according to Fitch Ratings' study of the exposures of the 10
largest U.S. prime MMFs. This figure represents a record low during Fitch's
period of study going back to end- 2006.

Aggregate MMF allocations to the rest of Europe declined moderately with
decreasing exposure to U.K. banks partially offset by increased allocations to
Nordic banks. Outside of Europe, MMF exposures to Japanese banks have doubled
since May-2011 and are now at their highest level, at almost 12% of total fund
assets, over Fitch's study period. Holdings of Canadian and Australian banks
remained relatively steady.

'Money fund disengagement stems from both ongoing risk aversion and heightened
caution by some European banks and their regulators on using this potentially
volatile form of funding,' said Robert Grossman, Managing Director, Fitch Macro
Credit Research.

The 15 largest exposures to individual banks collectively represent
approximately 43% of total MMF assets. Consistent with Fitch's findings, only
one Eurozone institution remained within the top-15, compared with three
Eurozone banks at end-May 2012 and seven at end-May 2011.

Holdings of short-term U.S. Treasuries and agencies continue to exceed 20% of
MMF assets, another sign of risk aversion. Additionally, almost 10% of MMF
assets are in the form of repos collateralized by Treasurys and Agencies,
meaning in effect that roughly one-third of prime MMF assets within Fitch's
sample represent Treasury and Agency exposure, versus 20% as of end-May 2011.

Fitch will host a teleconference on this report on July 26 at 11:00 a.m. ET, the
details of which are below:

--Conference ID # 14964768
--Call Leader Name: Robert Grossman
--Participant Dial-In (North America): (877) 467-8597
--Participant Dial-In (EMEA/Asia/Latin America): (706) 643-6296

Slides for the teleconference can be downloaded here

The full report 'U.S. Money Fund Exposure and European Banks: Eurozone Hits
Fresh Low' is available at 'www.fitchratings.com.' A video highlighting the
study's key findings and background will also be available on the site.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research: U.S. Money Fund Exposure and European
Banks: Eurozone Hits Fresh Low

 (New York Ratings Team)
 

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