U.S. money market funds have continued paring their exposure to European banks, and now have Canada as their largest exposure, according to Fitch Ratings.
The rating agency reports that, from May to September, US prime money market fund exposure to Canadian banks increased by 12%, and Canada is now the largest single country exposure at 10.7% of total MMF assets.
Conversely, Fitch says that funds have reduced their total exposure to European banks by 14% on a dollar basis over the previous month. European bank exposure now represents 37.7% of total holdings of $654 billion within Fitch’s sample of the 10 largest funds, a decrease from 42.1% in August and from 47.2% in July.
The largest decline has come in their exposure to French banks, which decreased significantly to 6.7% from 11.2% of fund assets. On a dollar basis this represents a 42% decline over the past month and a 62% decline since May 2011.