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As of July 31, the exposure of the 10 largest US prime MMFs to European banks had fallen by 9.0 per cent from the end of June and 20.4 per cent from May, on a dollar basis.
The exposure remained high -- 47.0 per cent of the combined $658 billion held by the 10 funds, down from 48.7 per cent on June 30.
But, displaying a greater wariness over the economic situation, the funds were also moving to more short-term instruments, Fitch said.
For the three European countries whose banks represent the largest certificate of deposit exposure -- Britain, France and the Netherlands -- there was a shift to shorter CD maturities, Fitch said.
French bank CDs were the most affected, with more than 20 per cent of MMF exposure placed in 0-7 day short maturity CDs, a three-fold increase from June 30.
Only one-third of French CD exposure was in the longest term maturity (at least 61 days), compared with more than half of at the end of June.
British and Netherlands bank CDs also experienced similar, but smaller, shifts to shorter maturities.
A money market fund is required by US law to invest in low-risk securities but is not guaranteed by the federal government.
The funds are considered a relatively safe investment. But in 2008 as Lehman Brothers went bankrupt, a major fund holding its debt "broke the buck" -- a rare event when it fell below its $1 a share base value -- and other funds were shored up by their owners to prevent the same from happening.
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