Fitch's London and Paris offices released, "Rated Money Market Funds Weather Wind Down of SIVs", which says, "Since the onset of the credit crisis in mid-2007, Fitch Ratings has closely monitored money market funds with exposure to asset-backed commercial paper (ABCP) and medium-term notes (MTNs) issued by structured investment vehicles (SIVs). The heightened monitoring was precipitated by the credit and liquidity pressures facing SIVs in general, and most recently, by the receivership of Sigma Finance Corporation (Sigma), which experienced an event of default under its Liquidity Facility on Oct. 2, 2008 and the appointment of receivers on Oct. 6, 2008."

The release continues, "Fitch's review of money market funds globally indicates that funds have successfully reduced their exposures to SIVs over the last year. Specifically, of 47 prime funds reviewed, average SIV exposure decreased to 1% of funds' portfolio balances as of November 2008 from 5% of funds' portfolio balances as of November 2007, including no exposure to ABCP or MTNs issued by Sigma. Furthermore, U.S.-domiciled money market funds have eliminated SIV exposure entirely. The support of institutional sponsors of money market funds has played an important role in reducing SIV exposure, as certain sponsors have provided funding access for funds or otherwise affected the outright purchase of ABCP and MTNs that were no longer eligible money market fund investments."

Finally, Fitch says, "From a credit quality perspective, all remaining SIV exposure underlying money market funds is rated 'A+' or higher, consistent with Fitch's rating criteria for 'AAA/V1+' rated money market funds. The degree of downside risk for remaining underlying SIV collateral is further mitigated by the active support of SIV's sponsoring institutions. For example, Citibank N.A. maintains a number of SIV programs of which Fitch rates the long-term senior notes 'A+', consistent with the long-term rating of Citibank N.A.... Fitch will continue to monitor remaining SIV exposure in money market funds and comment as warranted."

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