Fitch Money Market Funds Europe

8/3/2019 Fitch Money Market Funds Europe

http://slidepdf.com/reader/full/fitch-money-market-funds-europe 1/5

U.S. Money Funds and EuropeanBanks: French Exposure Down

Macro Credit Research October 20, 201

www.ftchratings.com

Analysts

Macro Credit Research Robert Grossman+1 212 [email protected]

Kevin D’Albert+1 212 908-0823kevin.d’[email protected]

Martin Hansen+1 212 [email protected]

Fund and Asset Manager Group Viktoria Baklanova+1 212 [email protected]

• Rating Banks in a Changing World,

Oct. 13, 2011

• U.S. Money Funds and European Banks:

Exposures and Maturities Continue to

Decline, Sept. 23, 2011

• European Banks and Market Turmoil:

Prolonged Market Stress Negative for

European Bank Credit Profiles,

Sept. 20, 2011

Related Research

Research Highlights

Sample based on 10 largest U.S. prime

MMFs with total exposure o $654 billion

as o Sept. 30, 2011 (down rom$676 billion at month-end August),

representing 45% o $1.47 trillion

in total U.S. prime MMF assets.

Geographic exposures to banks (% o totalMMF assets):

• Europe: 37.7% (Declining)

• France: 6.7% (Declining)

• Canada: 10.7% (Increasing)

Largest exposures to individual banks(% o total MMF assets):

• Deutsche Bank: 3.5%

• Westpac: 3.5%

• Barclays: 3.5%

Continuing European Exposure Decline: As o month-end September, U.S. prime money mark

unds (MMFs) have reduced their total exposure to European banks by 14% on a dollar bas

relative to the prior reporting period o month-end August 2011, and by 37% relative to mont

end May 2011 (see the “Change in Exposure to Banks” table below). European bank exposur

currently represents 37.7% o total holdings o $654 billion within Fitch’s sample o the 1

largest prime MMFs, a decrease rom 42.1% o und assets as o month-end August. The curren

exposure level is the lowest in percentage terms or European banks within Fitch’s historical tim

series, which dates back to the second hal o 2006 (see Appendix). This share is down ro

47.2% as o month-end July, which was based on total MMF holdings o $658 billion.

Trends Vary by Country: Exposure to French banks decreased signiicantly rom 11.2% to 6.7%

MMF assets, which on a dollar basis corresponds to a 42% decline over the past month, and

62% decline since month-end May (see the “Diverging Trends in Exposure to European Banks

chart). At its peak in the second hal o 2009, exposure to French banks represented 16.4% o

all MMF assets. Exposure to U.K. banks decreased rom 8.8% to 8.7% o MMF assets over th

Change in Exposure to Banks (on a Dollar Basis)(% Change in MMF Exposure) Since End-May 2011 Since End-August 201

Europe (37) (14

France (62) (42

Germany (40) (6

U.K. (26) (5

Canada 12 3

Nordic 0 4

Australia 6 4

Japan 41 22

Source: Fitch Ratings, MMF public Web sites, SEC flings.

0

10

20

30

40

50

60

2 H 0 6

1 H 0 7

2 H 0 7

1 H 0 8

2 H 0 8

1 H 0 9

2 H 0 9

1 H 1 0

2 H 1 0

2 / 1 1

5 / 1 1

6 / 1 1

7 / 1 1

8 / 1 1

9 / 1 1

France Nordic

Europe (All) United Kingdom

Diverging Trends in Exposure to European Banks

Source: Fitch Ratings, MMF public Web sites, and SEC filings.

(% of Total MMF Assets Under Management)

0

10

20

30

40

50

60

2 H 0 6

1 H 0 7

2 H 0 7

1 H 0 8

2 H 0 8

1 H 0 9

2 H 0 9

1 H 1 0

2 H 1 0

2 / 1 1

5 / 1 1

6 / 1 1

7 / 1 1

8 / 1 1

9 / 1 1

France Nordic

Europe (All) United Kingdom

Diverging Trends in Exposure to European Banks

Source: Fitch Ratings, MMF public Web sites, and SEC filings.

(% of Total MMF Assets Under Management)

mailto:[email protected]

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=653478













mailto:[email protected]


http://slidepdf.com/reader/full/fitch-money-market-funds-europe 2/52 October 20, 2011

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

past month, a dollar-basis decline o 5%. Exposures to Nordic banks

increased by 4% (on a dollar basis) since end-August and currently

represent 7.2% o total MMF assets, more than France but below

the U.K. level. Globally, the MMFs sampled increased their exposure

to banks in several countries, including Canada, which is currently

the largest single country exposure at 10.7% o total MMF assets.

Since the end o August, exposures to Japanese banks increased by

22% and exposures to Australian banks increased by 4%.

Shortening Maturities: In recent months, the MMFs sampled have

reduced the maturity proile o their CD exposures to European

banks in several countries (see the “Maturity Trends” chart below).

As o the end o September, the proportion o MMF exposure to

French bank CDs in the shortest maturity bucket (seven days orewer) remained elevated at 27%. Additionally, there has been an

evident shit in CD maturities out o the longest term bucket (61

days or greater), which now represent just 20% o French bank CDs

down rom more than hal as o the end o June. Within the U.K.,

bank CDs experienced a proportionate decrease o about 10% rom

the longest-term bucket, with corresponding increases o roughly

5% in both the short-term and medium-term buckets. The maturity

proile o banks in the Netherlands was stable, with slight increases

in both the short-term but also in the longest-term buckets.

Largest Bank Exposures. The 15 largest exposures to individual

banks, as a group, comprise approximately 43% o total MMF assets

(see the “Largest MMF Exposures — Financial Institutions” table).

There are three new entrants in the top 15 relative to the prior reporting

period: Bank o Tokyo Mitsubishi, Citibank, and Commonwealth Bank

o Australia. The six European institutions within the top 15 (down

rom nine institutions in the top 15 as o the end o August) account

in aggregate or roughly 18% o total MMF assets.

Reliance on MMF Funding: The “Bank Reliance on MMF Funding”

table illustrates bank reliance on MMFs as a source o short-term

unding. O the top 15 MMF exposures to global banks, MMF

unding accounts or at least 3% o short-term liabilities or seven

institutions. This igure would be higher i it included the ul

universe o prime MMFs beyond the 10 largest unds, and othe

private and oshore money unds with similar investment proiles

The igure would also be higher i expressed as a percentage o short

term dollar unding, a potentially more relevant metric although one

that is not easible to calculate based on current bank disclosures.

Fitch’s sample represents 45% o the Investment Company

Institute’s estimate o approximately $1.47 trillion in total U.S.

prime MMF assets under management. This study ocuses on

aggregate MMF exposure to banks’ certiicates o deposit (CDs),

commercial paper (CP), asset-backed CP (ABCP), repurchase

agreements (repos), and other short-term notes and deposits.

Largest MMF Exposures — Financial Institutions(As o End-September 2011)

Issuer/Counterparty

CD, CP, Repo, Other/Total MMF Assets Under

Management (%)

Deutsche Bank 3.5

Westpac 3.5

Barclays 3.5

Rabobank 3.3

Bank o Nova Scotia 3.1

Royal Bank o Canada 3.0

Credit Suisse 3.0

BNP Paribas 2.8

Sumitomo Mitsui 2.7

JP Morgan Chase 2.6

National Australia Bank 2.5

Bank o Tokyo Mitsubishi 2.5

Svenska Handelsbanken 2.2

Citibank 2.2

Commonwealth Bank o Australia 2.1

CD – Certifcates o deposit. Repo – Repurchase agreement. Note: European banks arebolded above.Source: Fitch Ratings, MMF public Web sites, SEC flings.

Bank Reliance on MMF Funding (As o End-September 2011)

Issuer/Counterparty

CD, CP, Repo, Other/Financial

Institution’s Short-Term Liabilitiesa

Svenska Handelsbanken 10.6

Westpac 6.3

Rabobank 4.5

Bank o Nova Scotia 4.2

National Australia Bank 4.0

Royal Bank o Canada 3.6

Credit Suisse 3.2

Commonwealth Bank o Australia 2.8

Deutsche Bank 2.1

Barclays 2.0

BNP Paribas 1.6

Sumitomo Mitsui 1.3

Citibank 1.3

JP Morgan Chase 1.2

Bank o Tokyo Mitsubishi 1.1

aTotal deposits, money market, and short-term unding. CD – Certifcate o deposit.REPO – Repurchase agreement. Note: European banks are bolded above.Source: Fitch Ratings, MMF public Web sites, SEC flings.

010203040506070

F r a

n c e

N e t h e r l a

n d s

U K

F r a

n c e

N e t h e r l a

n d s

U K

F r a

n c e

N e t h e r l a

n d s

U K

09/30/11 08/31/11 06/30/11

(% of MMFs' CD Exposure by Country)

Maturity Trends

Source: Fitch Ratings, MMF public Web sites, SEC filings.

0–7 Days 8–60 Days 61+ Days

010203040506070

F r a

n c e

N e t h e r l a

n d s

U K

F r a

n c e

N e t h e r l a

n d s

U K

F r a

n c e

N e t h e r l a

n d s

U K

09/30/11 08/31/11 06/30/11

(% of MMFs' CD Exposure by Country)

Maturity Trends

Source: Fitch Ratings, MMF public Web sites, SEC filings.

0–7 Days 8–60 Days 61+ Days




MMF Exposure to Bank CDs, CP, Repos, and Other — By Country(As a % o Total MMF Assets Under Management) Europe

BE FR DE IE IT NL Nordic PT ES CH U.K. (All) AU CA JP U.S.

2H06 1.4 10.0 10.1 0.4 2.4 4.1 2.6 0.0 0.7 4.0 12.8 48.7 1.6 3.0 2.7 24.6

CD 0.5 6.2 3.4 0.3 0.9 1.0 0.9 0.0 0.1 1.7 5.5 20.4 0.1 2.2 2.6 1.3

CP 0.8 1.4 3.4 0.2 0.3 2.6 1.1 0.0 0.3 0.5 3.3 14.1 1.1 0.4 0.0 7.7

Repo 0.0 0.1 1.2 0.0 0.0 0.0 0.0 0.0 0.0 1.3 1.2 3.8 0.0 0.0 0.0 5.8

Other 0.1 2.4 2.0 0.0 1.2 0.4 0.6 0.0 0.3 0.5 2.8 10.4 0.4 0.3 0.1 9.7

1H07 2.1 10.4 9.8 0.4 1.9 4.3 2.9 0.0 0.9 4.6 13.0 50.5 2.1 3.0 2.3 26.6

CD 1.0 6.1 3.6 0.2 0.5 1.7 0.7 0.0 0.2 2.8 5.1 22.0 0.4 2.2 2.0 1.4CP 0.7 1.1 2.5 0.1 0.2 2.0 1.2 0.0 0.1 1.1 3.1 12.2 1.2 0.3 0.1 7.4

Repo 0.0 0.1 1.2 0.0 0.0 0.0 0.0 0.0 0.0 0.6 1.8 3.7 0.0 0.0 0.0 8.2

Other 0.4 3.0 2.4 0.1 1.2 0.6 1.0 0.0 0.6 0.1 3.1 12.5 0.5 0.6 0.2 9.6

2H07 2.5 8.6 8.4 0.8 1.7 4.8 3.3 0.1 1.9 4.9 13.4 50.5 2.0 3.7 1.8 26.7

CD 1.2 4.8 2.1 0.3 0.4 1.3 1.4 0.0 1.0 2.5 6.2 21.2 0.3 2.5 1.6 2.1

CP 1.2 1.3 1.9 0.4 0.3 2.9 1.3 0.1 0.3 0.6 4.2 14.3 1.0 0.5 0.1 9.2

Repo 0.0 0.4 2.7 0.0 0.0 0.0 0.0 0.0 0.0 1.7 1.0 5.8 0.0 0.0 0.0 8.0

Other 0.1 2.1 1.7 0.1 1.0 0.7 0.7 0.0 0.6 0.1 2.0 9.2 0.7 0.7 0.0 7.3

1H08 2.6 10.2 7.1 1.6 3.2 3.8 3.7 0.0 2.6 3.4 11.0 49.3 4.0 2.9 1.2 18.6

CD 1.1 6.9 2.1 0.8 1.9 1.5 0.9 0.0 2.1 1.4 5.7 24.4 1.0 1.8 1.0 1.3

CP 1.0 1.2 1.1 0.7 0.4 1.6 1.5 0.0 0.1 0.4 2.6 10.8 1.6 0.3 0.1 6.7

Repo 0.0 0.2 2.9 0.0 0.0 0.0 0.0 0.0 0.0 1.2 0.9 5.2 0.0 0.1 0.0 4.5

Other 0.5 1.9 1.0 0.1 0.9 0.6 1.3 0.0 0.4 0.4 1.6 8.9 1.4 0.7 0.1 6.1

2H08 0.5 12.7 3.5 0.5 2.7 5.1 3.7 0.0 3.3 2.9 10.4 45.4 4.2 6.2 0.9 15.8

CD 0.1 7.7 0.9 0.4 2.3 2.5 1.3 0.0 2.6 1.2 5.5 24.5 1.9 4.2 0.5 1.6

CP 0.2 2.1 0.9 0.1 0.4 2.2 1.6 0.0 0.6 0.6 2.9 11.7 1.1 1.0 0.2 7.8

Repo 0.0 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.8 1.1 3.0 0.0 0.2 0.0 2.3Other 0.2 2.4 1.1 0.0 0.0 0.4 0.7 0.0 0.1 0.3 0.9 6.2 1.2 0.9 0.1 4.0

1H09 1.0 16.2 4.9 0.1 3.0 5.3 4.7 0.5 3.2 2.4 10.9 52.3 4.0 5.9 3.5 8.4

CD 0.6 11.4 2.2 0.0 2.4 3.7 2.1 0.5 2.1 1.2 6.2 32.4 1.8 4.8 3.4 1.5

CP 0.0 2.1 1.0 0.0 0.6 1.3 1.7 0.0 0.9 0.5 2.0 10.2 1.3 0.4 0.1 3.8

Repo 0.0 0.8 1.1 0.0 0.0 0.0 0.0 0.0 0.0 0.3 1.7 4.0 0.0 0.2 0.0 2.0

Other 0.4 1.9 0.6 0.0 0.0 0.3 0.9 0.0 0.2 0.3 1.0 5.6 0.9 0.5 0.0 1.0

2H09 1.8 16.4 6.0 0.4 3.2 6.1 5.3 0.3 2.9 1.5 11.2 55.2 6.2 6.0 4.7 9.2

CD 1.0 11.7 2.7 0.4 2.4 4.8 3.1 0.2 2.0 0.6 6.8 35.8 3.0 5.0 4.5 0.6

CP 0.3 2.7 1.7 0.0 0.8 0.8 1.4 0.1 0.9 0.2 1.3 10.2 2.2 0.6 0.1 2.0

Repo 0.0 0.3 1.2 0.0 0.0 0.1 0.0 0.0 0.0 0.5 2.6 4.8 0.0 0.1 0.0 4.6

Other 0.5 1.8 0.4 0.0 0.0 0.3 0.8 0.0 0.0 0.1 0.5 4.4 1.0 0.4 0.0 2.0

1H10 1.3 12.7 7.8 0.0 1.9 5.7 5.8 0.0 1.8 1.7 9.8 48.5 6.1 6.9 4.0 9.8

CD 0.7 9.1 2.3 0.0 1.0 4.1 2.5 0.0 1.2 0.4 5.8 27.1 2.3 5.4 3.7 0.9

CP 0.3 1.7 2.3 0.0 0.9 1.0 1.9 0.0 0.5 0.5 1.1 10.3 2.3 0.2 0.3 1.9

Repo 0.0 0.3 2.0 0.0 0.0 0.2 0.0 0.0 0.0 0.8 2.5 5.9 0.0 0.5 0.0 5.0

Other 0.3 1.6 1.2 0.0 0.0 0.3 1.4 0.0 0.1 0.0 0.3 5.2 1.5 0.9 0.0 2.0

2H10 1.2 14.5 7.8 0.0 1.3 6.2 5.0 0.0 0.6 3.1 9.8 49.6 7.2 7.6 5.5 9.4CD 0.5 10.4 2.4 0.0 0.4 4.4 3.2 0.0 0.3 1.4 4.5 27.5 3.5 5.8 5.3 0.5

CP 0.3 2.2 2.1 0.0 0.9 1.1 1.6 0.0 0.2 0.3 1.9 10.7 2.6 0.4 0.2 1.2

Repo 0.0 0.6 2.5 0.0 0.0 0.5 0.0 0.0 0.0 1.1 2.9 7.7 0.0 0.2 0.0 5.0

Other 0.3 1.4 0.9 0.0 0.0 0.1 0.2 0.0 0.1 0.3 0.5 3.7 1.0 1.1 0.0 2.6

Feb. 2011 1.0 13.3 8.2 0.0 1.5 6.3 5.9 0.0 0.2 4.2 8.6 49.6 7.0 8.0 4.9 8.0

CD 0.3 8.3 2.8 0.0 0.1 4.4 2.9 0.0 0.1 2.0 3.7 24.7 2.9 6.0 4.6 0.4

CP 0.2 2.9 2.0 0.0 1.2 1.3 1.8 0.0 0.1 0.8 1.7 12.0 3.2 0.5 0.2 1.4

Repo 0.0 0.9 2.7 0.0 0.0 0.5 0.0 0.0 0.0 1.2 3.2 8.5 0.0 0.2 0.1 4.0

Other 0.4 1.2 0.7 0.0 0.3 0.1 1.1 0.0 0.0 0.3 0.1 4.4 0.9 1.3 0.0 2.2

May 2011 0.6 15.1 6.8 0.0 0.8 7.2 6.2 0.0 0.2 4.1 10.1 51.5 7.7 8.3 4.8 9.2

CD 0.2 9.2 2.4 0.0 0.1 5.2 3.5 0.0 0.1 2.1 5.3 28.3 3.5 6.9 4.6 0.1

CP 0.1 3.8 1.4 0.0 0.6 1.3 1.9 0.0 0.0 0.4 1.3 10.7 3.2 0.5 0.0 1.1

Repo 0.0 1.2 2.5 0.0 0.0 0.6 0.1 0.0 0.0 1.6 3.5 9.4 0.0 0.2 0.2 6.0

Other 0.3 0.9 0.5 0.0 0.1 0.0 0.8 0.0 0.0 0.0 0.1 3.0 1.0 0.7 0.0 2.0

June 2011 0.7 14.4 5.5 0.0 0.5 7.1 5.7 0.0 0.2 3.7 10.8 48.8 7.8 9.0 5.3 10.4

CD 0.1 9.4 2.0 0.0 0.1 5.4 2.8 0.0 0.2 1.7 5.2 26.8 3.2 7.1 4.7 0.3

CP 0.1 3.4 1.4 0.0 0.5 1.2 1.7 0.0 0.0 0.3 1.1 9.8 3.3 0.5 0.1 1.3Repo 0.0 1.0 1.4 0.0 0.0 0.5 0.0 0.0 0.0 1.6 4.0 8.4 0.0 0.3 0.2 6.8

Other 0.5 0.6 0.7 0.0 0.0 0.0 1.2 0.0 0.0 0.1 0.4 3.8 1.2 1.0 0.3 2.1

July 2011 0.2 14.1 4.6 0.0 0.0 7.2 6.3 0.0 0.0 3.9 10.5 47.2 8.1 9.3 4.8 9.0

CD 0.1 9.0 1.8 0.0 0.0 5.3 3.5 0.0 0.0 1.7 4.6 26.2 3.5 7.2 4.3 0.5

CP 0.1 3.0 1.1 0.0 0.0 1.2 1.9 0.0 0.0 0.4 1.5 9.2 3.5 0.5 0.2 1.4

Repo 0.0 0.9 1.1 0.0 0.0 0.6 0.0 0.0 0.0 1.5 3.9 7.9 0.0 0.4 0.3 5.6

Other 0.0 1.2 0.6 0.0 0.0 0.0 0.8 0.0 0.0 0.3 0.5 3.8 1.1 1.1 0.0 1.6

Aug. 2011 0.6 11.2 4.8 0.0 0.0 5.8 6.7 0.0 0.0 3.9 8.8 42.1 8.8 10.0 6.2 9.2

CD 0.1 5.8 1.3 0.0 0.0 4.1 3.3 0.0 0.0 2.2 3.1 19.9 4.0 8.2 5.3 0.4

CP 0.0 3.0 1.3 0.0 0.0 1.1 2.1 0.0 0.0 0.6 1.8 9.9 3.6 0.7 0.4 1.6

Repo 0.0 0.9 1.3 0.0 0.0 0.6 0.0 0.0 0.0 1.1 3.1 7.0 0.0 0.3 0.3 5.7

Other 0.5 1.6 0.9 0.0 0.0 0.0 1.3 0.0 0.0 0.0 0.8 5.4 1.2 0.9 0.3 1.5

CD – Certifcates o deposit. Repo – Repurchase agreement. BE – Belgium. FR – France. DE – Germany. IE – Ireland. IT – Italy. NL – Netherlands. PT – Portugal. ES – Spain.CH – Switzerland. U.K. – United Kingdom. AU – Australia. CA – Canada. JP – Japan. U.S. – United States. Continued on next page. Source: Fitch Ratings, MMF public Web sites, SEC flings.

Appendix




MMF Exposure to Bank CDs, CP, Repos, and Other — By Country (Continued)(As a % o Total MMF Assets Under Management) Europe

BE FR DE IE IT NL Nordic PT ES CH U.K. (All) AU CA JP U.S.

Sept. 2011 0.4 6.7 4.7 0.0 0.0 5.5 7.2 0.0 0.0 4.5 8.7 37.7 9.4 10.7 7.8 9.6

CD 0.2 3.3 2.2 0.0 0.0 3.6 3.5 0.0 0.0 2.5 2.9 18.2 4.6 8.4 7.0 0.7

CP 0.0 2.0 1.0 0.0 0.0 1.0 2.1 0.0 0.0 0.5 1.4 8.2 3.7 0.7 0.2 1.5

Repo 0.0 0.7 0.9 0.0 0.0 0.6 0.0 0.0 0.0 1.1 3.3 6.7 0.0 0.5 0.2 5.3

Other 0.2 0.7 0.6 0.0 0.0 0.2 1.5 0.0 0.0 0.4 1.0 4.6 1.1 1.1 0.5 2.1

CD – Certifcates o deposit. Repo – Repurchase agreement. BE – Belgium. FR – France. DE – Germany. IE – Ireland. IT – Italy. NL – Netherlands. PT – Portugal. ES – Spain.

CH – Switzerland. U.K. – United Kingdom. AU – Australia. CA – Canada. JP – Japan. U.S. – United States.Source: Fitch Ratings, MMF public Web sites, SEC flings.

Background on Fitch Study

• This research study is intended to provide market participants with inormation on MMF exposures to European banks and does

not comment speciically on Fitch-rated MMFs. At present, the report does not have any ratings implications.

• For the most recent observation period (i.e. Sept. 30, 2011), the MMFs in Fitch’s sample represent roughly $654 billion, or

45%, o the Investment Company Institute’s estimate o approximately $1.47 trillion in total U.S. prime MMF assets under

management.

• The sample set is based on public ilings rom the 10 largest prime institutional and retail MMFs (as measured by assets under

management) as o each observation period. Thus, in some cases the MMFs sampled dier slightly rom period to period. Because

this analysis is based on aggregated data or the 10 MMFs sampled, it does not capture potential dierences in exposure proilesacross individual unds.

• MMF exposure to banks encompasses the ollowing instrument types: CDs, CP, ABCP, repos, and corporate notes. Bank exposure

data or oreign branches is consolidated within the banking group’s home jurisdiction. Exposures to oreign subsidiaries are

generally categorized based on the country classiication designated by Fitch’s inancial institutions group. Bank exposure data

includes state-controlled inancial institutions, where applicable.

• In order to maintain data integrity, Fitch periodically reviews raw exposure-level holdings data and, i warranted, may reclassiy

speciic exposures (e.g., by asset type, industry sector, counterparty, or country). Reclassiication and/or revisions to the dataset

can result in (generally minor) changes to the historical time series o MMF exposures.

• The period o observation covers nine distinct semiannual periods and month-end or February 2011, May 2011, June 2011,

July 2011, August 2011, and September 2011. Note that prior to 2011, inancial reporting dates oten varied across MMFs.

Fitch thereore has applied a degree o judgment in categorizing individual MMF ilings into the appropriate semiannual bucket

within its historical time series.




ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWINGTHIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS AREAVAILABLE ON THE AGENCY’S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THISSITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIESAND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE.

Copyright © 2011 by Fitch, Inc., Fitch Ratings Ltd. and its subsidiaries. One State Street Plaza, NY, NY 10004.Telephone: 1-800-753-4824, (212) 908-0500. Fax(212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings, Fitcrelies on actual inormation it receives rom issuers and underwriters and rom other sources Fitch believes to be credible. Fitch conducts a reasonable investigation o theactual inormation relied upon by it in accordance with its ratings methodology, and obtains reasonable verifcation o that inormation rom independent sources, to the extensuch sources are available or a given security or in a given jurisdiction. The manner o Fitch’s actual investigation and the scope o the third-party verifcation it obtains wilvary depending on the nature o the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is oered and sold and/or theissuer is located, the availability and nature o relevant public inormation, access to the management o the issuer and its advisers, the availability o pre-existing third-partyverifcations such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third partiesthe availability o independent and competent third-party verifcation sources with respect to the particular security or in the particular jurisdiction o the issuer, and a varieto other actors. Users o Fitch’s ratings should understand that neither an enhanced actual investigation nor any third-party verifcation can ensure that all o the inormation Fitch relies on in connection with a rating will be accurate and complete. Ultimately, the issuer and its advisers are responsible or the accuracy o the inormation theyprovide to Fitch and to the market in oering documents and other reports. In issuing its ratings Fitch must rely on the work o experts, including independent auditors withrespect to fnancial statements and attorneys with respect to legal and tax matters. Further, ratings are inherently orward-looking and embody assumptions and predictions

about uture events that by their nature cannot be verifed as acts. As a result, despite any verifcation o current acts, ratings can be aected by uture events or conditionthat were not anticipated at the time a rating was issued or afrmed.

The inormation in this report is provided “as is” without any representation or warranty o any kind. A Fitch rating is an opinion as to the creditworthiness o a security. Thisopinion is based on established criteria and methodologies that Fitch is continuously evaluating and updating. Thereore, ratings are the collective work product o Fitchand no individual, or group o individuals, is solely responsible or a rating. The rating does not address the risk o loss due to risks other than credit risk, unless such risk isspecifcally mentioned. Fitch is not engaged in the oer or sale o any security. All Fitch reports have shared authorship. Individuals identifed in a Fitch report were involvedin, but are not solely responsible or, the opinions stated therein. The individuals are named or contact purposes only. A report providing a Fitch rating is neither a prospec-tus nor a substitute or the inormation assembled, verifed and presented to investors by the issuer and its agents in connection with the sale o the securities. Ratings maybe changed or withdrawn at anytime or any reason in the sole discretion o Fitch. Fitch does not provide investment advice o any sort. Ratings are not a recommendationto buy, sell, or hold any security. Ratings do not comment on the adequacy o market price, the suitability o any security or a particular investor, or the tax-exempt naturor taxability o payments made in respect to any security. Fitch receives ees rom issuers, insurers, guarantors, other obligors, and underwriters or rating securities. Suchees generally vary rom US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number o issues issued by aparticular issuer, or insured or guaranteed by a particular insurer or guarantor, or a single annual ee. Such ees are expected to vary rom US$10,000 to US$1,500,000 (othe applicable currency equivalent). The assignment, publication, or dissemination o a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert inconnection with any registration statement fled under the United States securities laws, the Financial Services and Markets Act o 2000 o Great Britain, or the securitieslaws o any particular jurisdiction. Due to the relative efciency o electronic publishing and distribution, Fitch research may be available to electronic subscribers up to threedays earlier than to print subscribers.

http://www.fitchratings.com/creditdesk/public/ratings_defintions/index.cfm?rd_file=intro#lmt_usage

http://www.fitchratings.com/creditdesk/public/ratings_defintions/index.cfm?rd_file=intro#lmt_usage

Fitch Money Market Funds Europe

Documents

Transcript of Fitch Money Market Funds Europe