ATM skimmers are devices attached to ATM machines. They read (or "skim") your card information, and store that data until a thief comes to collect it.
To get an idea of how the devices are installed, you can watch a video of one being installed. This video has a happy ending where the thief is caught and arrested.
Some skimming operations also involve hidden cameras to watch you enter your PIN, or a scammer may be nearby watching.
As you might guess, these scams give a thief everything he needs to use the ATM without you. Every time you swipe a card - at the ATM, gas station, or anywhere - you should check to see if a skimming device might be attached to the card reader.
Unfortunately, skimmers are harder and harder to detect. They're getting smaller and they're built to blend in with a variety of card readers.
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