Fitch Rates 4 Deutsche Global Liquidity Series plc Money Market Funds 'AAAmmf'
Deutsche Global Liquidity Series plc - Deutsche Managed Euro Fund: 'AAAmmf'
Deutsche Global Liquidity Series plc - Deutsche Managed Sterling Fund: 'AAAmmf'
Deutsche Global Liquidity Series plc - Deutsche Managed Dollar Fund: 'AAAmmf'
Deutsche Global Liquidity Series plc - Deutsche Managed Dollar Treasury Fund: 'AAAmmf(EXP)'
KEY RATING DRIVERS
The main drivers for the rating are:
-The portfolios' overall credit quality, diversification and short maturity profile,
-Minimal exposure to interest rate and spread risks,
-Overnight and one-week liquidity profiles consistent with Fitch's rating criteria, and,
-The capabilities and resources of Deutsche AWM (and its affiliates) as investment advisor.
The 'AAAmmf' money market fund ratings reflect the funds' extremely strong capacity to achieve the investment objectives of preserving principal and providing shareholder liquidity through limiting credit, market and liquidity risk.
The expected rating assigned to the Dollar Treasury Fund reflects that the fund has not as yet been formally launched. Accordingly Fitch has based its rating on a conservative interpretation of the fund's investment guidelines (which limit the fund to investment only in US government and government-guaranteed securities and repurchase agreements collateralised by such securities). Fitch will assign a final rating when the fund formally launches and begins investing.
PORTFOLIO CREDIT QUALITY/DIVERSIFICATION
The funds seek to maintain a high credit quality, consistent with Fitch's money market fund rating criteria at the 'AAAmmf' level, by investing exclusively in securities rated at least 'A-'/'F1' or equivalent and by entering into repurchase agreements with counterparties rated at least 'A' or 'F1' or equivalent. The funds may also invest in asset-backed commercial paper.
The funds limit exposure to individual obligors and counterparties rated 'F1+' or equivalent to a maximum of 10%, and issuers rated 'F1' or equivalent to a maximum of 5%.
The funds' Portfolio Credit Factors (PCF) meet Fitch's 'AAAmmf' rating criterion of 1.50 or less, and were 1.07 for the Euro fund, 1.20 for the Sterling Fund and 0.87 for the Dollar Fund as of the most recent surveillance data (18 August 2015). Fitch expects the PCF of the Dollar Treasury Fund to be extremely low, reflecting its highly conservative investment universe. The PCF is a risk-weighted measure of the fund's portfolio assets that accounts for the credit quality and maturity profile of securities.
MATURITY PROFILE
The funds seek to limit interest rate and spread risk consistent with Fitch's rating criteria for funds rated 'AAAmmf'. The funds limit their weighted average maturity (to interest rate reset date, WAM) and weighted average life (to legal final maturity, WAL) to 60 days and 120 days respectively. As of 18 August 2015 the WAM and WAL of the Euro Fund were 52 days and 61 days respectively, 47 and 90 days for the Sterling Fund and 44 and 67 days for the Dollar Fund respectively.
LIQUIDITY PROFILE
The fund's investment restrictions are aimed at maintaining sufficient levels of daily and weekly liquidity to meet investors' redemption requests. There are no material investor concentrations in any of the funds. Overnight liquidity (including eligible assets) was 22.3%, 23.8% and 27.1% respectively in the Euro Fund, Sterling Fund and Dollar Fund as of 18 August 2015.
FUND OBJECTIVES
The funds have a common objective to remain liquid and seek a high level of current income while preserving capital and, in respect of the stable net asset value shares, to maintain a stable net asset value by investing in a diversified portfolio of short-term debt and debt-related instruments denominated in the funds' base currencies.
The funds had approximately EUR6.3bn, GBP8.1bn and USD15.6bn respectively in the Euro Fund, the Sterling Fund and the Dollar Fund as of 18 August 2015.
INVESTMENT ADVISOR
Fitch views the investment advisers' capabilities, financial and resource commitments, operational controls, corporate governance and compliance procedures as consistent with the 'AAAmmf' rating assigned to the funds.
Deutsche AWM (and its affiliates as sub advisor and sub sub-advisor to the funds) are all indirect subsidiaries of Deutsche Bank AG (A/Negative/F1). Deutsche Asset & Wealth Management International GmbH, the sub advisor to the Euro Fund and the Sterling Fund falls within the rating perimeter of Deutsche Asset & Wealth Management Germany, rated 'Highest Standards' by Fitch. Overall Deutsche AWM had over EUR1trn in assets under management and over 6,000 employees as of end-December 2014. It had around EUR80bn in cash and short-duration assets under management as of end-June 2015.
RATING SENSITIVITIES
The ratings may be sensitive to material changes in the credit quality or market risk profile of the funds. A material adverse deviation from Fitch guidelines for any key rating driver could cause the ratings to be downgraded by Fitch. For additional information about Fitch money market fund ratings guidelines, please see the criteria referenced below, which can be found on Fitch's website.
Fitch seeks weekly fund holdings information and other pertinent fund data from the funds' administrator to conduct surveillance against ratings guidelines and to maintain money market fund ratings.
Комментарии