U.S. prime money market funds are lowering their exposure to European banks and holding shorter maturity securities, Fitch reports.
Between May 31 and July 31, prime money market funds reduced their European bank holdings by 20.4% to 47%.
The funds have also lowered the maturities of their holdings, particularly CD exposure in France, where more than 20% of their holdings mature in seven days or less.
Fitch’s report is based on the 10 largest prime money market funds, with a total exposure to European banks of $658 billion as of the end of July.
Fitch will release full findings of its report on a conference call Tuesday, Aug. 23 at 3 p.m. EST, with Robert Grossman, group managing director and head of Fitch’s macro credit research team, leading the call. The dial-in number is: 877-819-0890, conference ID 93470380.