OREANDA-NEWS. September 14, 2015. Fitch Ratings has assigned 'AAAmmf' ratings to two short-term money market funds managed by BlackRock, as follows:

BlackRock ICS Institutional Euro Liquidity Fund: 'AAAmmf'
BlackRock ICS Institutional Euro Government Liquidity Fund: 'AAAmmf'

The funds are sub-funds of the Irish-domiciled umbrella fund, BlackRock Institutional Cash Series plc.

KEY RATINGS DRIVERS
The main drivers of the ratings 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.
- The capabilities and resources of BlackRock as investment manager.

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 their exposures to individual issuers at 10% of the fund's assets, with no more than 5% for those above seven days in tenor.

The funds' Portfolio Credit Factors (PCF) meet Fitch's 'AAAmmf' rating criterion of 1.50 or less, and were 1.14 for the euro fund and 0.0 for the euro government fund as at mid-August 2015. 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 by maintaining their weighted average maturity (WAM) and weighted average life (WAL) below 60 days and 120 days, respectively. The maturity date of any single investment is kept below 397 days. The WAM and WAL of the euro fund were 57 days and 60 days, respectively, and 44 and 45 days, respectively, for the euro government fund as at mid-August 2015.

LIQUIDITY PROFILE
The funds' 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. The funds had overnight liquidity (including eligible assets) of 27.9% and 84.8%, respectively, in the euro and euro government funds as at mid-August 2015. The high overnight liquidity in the euro government fund reflects its direct exposure to government securities with maturity of less than 397 days, which Fitch considers eligible assets for overnight liquidity.

FUNDS OBJECTIVES
The euro fund seeks to maximise current income consistent with preservation of principal and liquidity by the maintenance of a portfolio of high quality short-term money market instruments. The euro government fund seeks a moderate level of current income as is consistent with liquidity and stability of principal.

The euro fund had approximately EUR16.5bn and the euro government fund EUR613m in assets under management (AUM) as of 14 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.

BlackRock is a leading global asset manager with USD4.72trn of AUM as of end-June 2015. It is the second largest provider of constant net asset value money market funds in Europe.

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. For additional information about Fitch money market fund ratings guidelines, please review the criteria referenced below.

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.

Up-to-date surveillance and analytical information on the fund will shortly be available in the Funds Surveillance section of Fitch's website.