U.S. Money Funds and European Banks: French Exposure Down

Continuing European Exposure Decline: As of month-end September, U.S. prime money market funds (MMFs) have reduced their total exposure to European banks by 14% on a dollar basis relative to the prior reporting period of month-end August 2011, and by 37% relative to month-end May 2011 (see the “Change in Exposure to Banks” table below). European bank exposure currently represents 37.7% of total holdings of $654 billion within Fitch’s sample of the 10 largest prime MMFs, a decrease from 42.1% of fund assets as of month-end August. The current exposure level is the lowest in percentage terms for European banks within Fitch’s historical time series, which dates back to the second half of 2006 (see Appendix). This share is down from 47.2% as of month-end July, which was based on total MMF holdings of $658 billion.