OREANDA-NEWS. Fitch Ratings has assigned CDG Serenite a 'AAAmmf(mar)' National Money Market Fund Rating. The fund is domiciled in Morocco and managed by CDG Capital Gestion.

KEY RATING DRIVERS
The main drivers of the rating are:
-- The portfolio's overall credit quality
-- Short portfolio maturity with minimal exposure to interest rate and spread risks
-- Portfolio liquidity managed in line with high investor concentration in the fund's inception phase
-- The capabilities and resources of CDG Capital Gestion as investment manager

The 'AAAmmf(mar)' National Money Market Fund Rating reflects the fund's strong capacity to achieve the investment objectives of preserving principal and providing shareholder liquidity through limiting credit, market and liquidity risk, relative to all other short-term investments in Morocco.

PORTFOLIO CREDIT QUALITY/DIVERSIFICATION
In line with Fitch's 'National Scale Money Market Fund Rating Criteria', the fund seeks to maintain a high credit quality by investing exclusively in securities issued by the Kingdom of Morocco or high-quality and publicly-rated issuers or counterparties, and in repurchase agreements collateralised by government bonds, with adequate margining procedures and a sound legal framework.

The fund may use overnight, or weekly callable overnight, inter-fund repo with other funds managed by CDG Capital Gestion. Such inter-fund transactions are collateralised by Moroccan government, and an appropriate level of overcollateralisation should the collateral's residual maturity exceed that of instruments eligible for direct investment. At end-January 2015, inter-fund repos represented 29% of the fund's assets.

The fund controls concentration risk by setting adequate limits on its exposures to individual issuers (10%) and repo counterparties (20%).

MATURITY PROFILE
The fund's maturity profile is maintained in line with Fitch's 'AAAmmf' national scale money market fund rating criteria. The fund also limits the maturity date of any single investment to 397 days other than sovereign or quasi-sovereign floating-rate notes, which may have maturities of up to 24 months. At end-January, the fund's weighted average maturity and weighted average life stood at 46 days and 99 days, respectively.

LIQUIDITY PROFILE
The fund's investment restrictions are aimed at maintaining strong levels of daily and weekly liquidity to meet investors' redemption requests, in line with Fitch's rating criteria for 'AAAmmf(mar)' funds. The liquidity profile of the fund is managed in line with its high investor concentration, in the current ramp up phase that follows the recent launch of the fund.

FUND OBJECTIVES
The fund's objective is to provide capital stability, liquidity and income through investment in a portfolio of high credit quality money market instruments and short-term bonds.

INVESTMENT MANAGERS
CDG Capital Gestion, the fund's asset manager is rated 'Highest Standards(mar)'. Incorporated in 1997, CDG Capital Gestion is a subsidiary of CDG Capital, itself owned by CDG Group, a public institution and the largest institutional investor in Morocco, comprising a large portfolio of activities. At end-2014, CDG Capital Gestion was the second-largest Moroccan asset manager with MAD50.3bn assets under management (around EUR4.6bn). Its assets are concentrated on fixed income (90%), including 25% in money market products, in line with the overall local market, with the remainder being equity and balanced portfolios.

Fitch views CDG Capital Gestion's investment management capabilities, operational controls, financial and resource commitments and compliance procedures as consistent with a 'AAAmmf(mar)' National Money Market Fund rating.

RATING SENSITIVITIES
The rating may be sensitive to material changes in the credit quality or market risk profile of the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could cause Fitch to downgrade the rating. Fitch recognises that the fund's newly launched nature results in high investor concentration. The agency will monitor how this is reduced through time.

A downgrade of the sovereign's international Long-Term Issuer Default Rating may not necessarily result in a downgrade of the 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.

SURVEILLANCE
To maintain the fund's rating, Fitch will seek weekly fund and portfolio holdings information sent through an independent source at CDG Capital Gestion and will conduct surveillance checks against its ratings guidelines.