OREANDA-NEWS. Fitch Ratings has affirmed Attijari Monetaire Jour's (ATTIJMJ) and CDM Securite Plus's (CDMSP) National Money Market Fund Ratings at 'AAAmmf(mar)'. Both money market funds are domiciled in Morocco and managed by Wafa Gestion (Highest Standards(mar)).

KEY RATING DRIVERS

The main drivers of the ratings affirmation are:

-- the portfolio's overall credit quality and diversification;

-- the short portfolio maturity, with minimal exposure to interest rate and spread risks;

-- the holding of daily and weekly liquid assets is consistent with shareholder profile and concentration; and

-- the capabilities and resources of Wafa Gestion as investment manager.

Since it affirmed ATTIJMJ's rating in November 2015, Fitch has noted temporary changes in key portfolio metrics outside of its criteria guidelines. The agency believes that the immediate remedial actions taken by Wafa Gestion have adequately addressed the issues identified during the surveillance process. As at mid-June 2016, ATTIJMJ fully complied with Fitch's criteria; nevertheless, continuous adverse material deviations from Fitch's guidelines would lead the rating to be placed on Rating Watch Negative (RWN) or downgraded.

Portfolio Credit Quality/Diversification

Both funds invest in securities issued by the Kingdom of Morocco or other Moroccan rated issuers of high credit quality, and in repurchase agreements (repos) backed by government bonds.

The funds have recourse to overnight (or callable overnight) inter-fund repos with other funds managed by Wafa Gestion or, in exceptional cases, other pre-approved Moroccan asset managers (20% maximum exposure per fund). Such inter-fund repos are collateralised by the Moroccan government securities or with government-guaranteed bonds. Inter-fund repos represented 61% and 76% of the assets of ATTIJMJ and CDMSP respectively, as of mid-June 2016.

Exposure to a single issuer is limited by regulation to 10% (excluding time deposits) and 20% for repo counterparties, consistent with Fitch's criteria. At 16 June 2016, ATTIJMJ and CDMSP were invested 25% and 18% respectively in government assets.

On several occasions since December 2015, ATTIJMJ's total exposure to AttijariWafa Bank (AA-(mar)/Stable/F1+(mar)) has exceeded Fitch's 15% direct single 'F1+(mar)' concentration guidelines. This has resulted from substantial and volatile in - and out-flows during the period. Wafa has taken steps to stabilise and better anticipate investor flows, while managing the fund in a more conservative manner in the event of future spikes of flow volatility. Further, Wafa has now approved two new counterparties to diversify its repo exposure.

Maturity Profile

Interest rate risk is contained by the portfolios' weighted average maturity (WAM) of below three months, as per Fitch 'AAAmmf(mar)' guidelines. At mid-June 2016, the WAMs of ATTIJMJ and CDMSP were 13 and 11 days, respectively. Individual asset maturity is limited to one year.

Liquidity Profile

The funds maintain a high allocation to liquid assets, with typically more than one quarter of the portfolio in repos overnight (or callable overnight). The largest investor in the funds represented 10% (ATTIJMJ) and 19% (CDMSP) respectively, as of 17 June 2016.

Fund Objectives

The objective of the funds is to preserve capital and provide liquidity. The funds pursue their investment objectives by investing in high-quality money market instruments and short-term debt, including time deposits, certificates of deposit, sovereign bonds and notes, and repos.

Investment Advisor

Incorporated in 1995, Wafa Gestion is the asset management arm of AttijariWafa Bank; the bank is the main shareholder of Wafa Gestion (66% of capital), with the remainder held by French asset manager, Amundi (A+/Stable/F1). Wafa Gestion employed 43 staff, including 11 portfolio managers at end-May 2016 and managed assets totalling MAD94bn (EUR8.6bn). As of 17 June 2016, ATTIJMJ and CDMSP had MAD410m and MAD230m of assets, respectively.

RATING SENSITIVITIES

The ratings may be sensitive to material changes in the credit quality, market risk, and/or liquidity profiles of the funds. Temporary changes in key portfolio metrics outside of Fitch's criteria guidelines need not automatically result in rating changes, provided the fund manager is able to address them with credible near-term remedial actions, as was the case in the first five months of 2016. However, materially adverse and continued deviations from Fitch's guidelines for any key rating driver may lead to the rating being placed on RWN or downgraded.

A downgrade of the sovereign's international Long-term Issuer Default Rating may not necessarily result in a downgrade of either fund's National Money Market Fund Rating, as it could continue to represent the lowest credit, market and liquidity risk available in Morocco, in line with Fitch's national scale rating approach. However, this is based on the assumption that liquidity in capital markets will not be structurally impaired, to the extent it prevents funds from meeting Fitch's national scale rating criteria.

The agency monitors the portfolio composition and its compliance with rating criteria using reports and holdings sent on a weekly basis by Wafa Gestion's risk manager.