OREANDA-NEWS. November 17, 2015. Fitch Ratings has affirmed FCP Emergence Serenite's (VEMS) National Fund Credit Quality Rating at 'AAA(mar)' and National Fund Volatility Rating at 'V3(mar)'. The Moroccan-domiciled fund is managed by Valoris Management (High Standards(mar)).

KEY RATING DRIVERS
The main drivers for the affirmation of the National Fund Credit Quality rating are:
- The high credit quality of the fund's portfolio of assets
- The investment guidelines requiring at least 90% of the fund's assets be invested in bonds issued by the Moroccan government
- The remaining 10% being limited to certificate of deposits issued by high-quality local banks or subsidiaries of highly rated international banks

The main drivers for the fund's volatility rating are:
- Sensitivity to interest rates consistent with a 'V3(mar)' National Fund Volatility Rating
- Contained spread duration exposure

ASSET CREDIT QUALITY
The fund is at least 90% invested in government bonds issued by the Kingdom of Morocco (excluding repos and liquidities), as per its prospectus guidelines. The remaining 10% can only be invested in highly rated or publicly owned banks' certificate of deposits. The resulting high credit quality of assets is consistent with Fitch's criteria for a 'AAA(mar)' National Fund Credit Quality Rating.

The fund may also have recourse to repurchase agreements (repos) to manage its liquidity, and can be either on the lender side (with a limit of 20% exposure per repo counterparty), or on the borrower side, therefore being in leverage (authorised up to 10% by regulation).

PORTFOLIO SENSITIVITY TO MARKET RISKS
The fund's interest rate duration is maintained at below 5 years. At end-October 2015, the fund had an interest rate sensitivity of 2.6, and 67% of total assets maturing within two years. The fund has no foreign exchange exposure and does not employ any derivative instruments.

THE ADVISOR
Valoris Management is the asset management arm of Capital Gestion Group for open-ended funds. It is an independent asset management company owned by its two co-founding partners and, to a lesser extent, other senior executives of the company. At end-June 2015, Valoris Management was managing MAD21.6bn worth of assets. The company employs seven investment professionals, four middle- and back-officers and one compliance and control officer. Some activities such as commercial, IT, administrative and financial functions are outsourced to Capital Gestion Group as part of resource mutualisation within the group.

FUND PROFILE
Valoris Emergence Serenite is regulated by the le Conseil Deontologique des Valeurs Mobilieres (CDVM). As of end-October 2015, the fund's total assets stood at MAD1.9bn.

RATING SENSITIVITY
The ratings may be sensitive to material changes in the credit quality or market risk profiles of the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could cause the ratings to be downgraded. For additional information about Fitch's bond fund ratings guidelines, see the criteria referenced below.

SURVEILLANCE
To maintain the fund's ratings, Fitch receives monthly fund and portfolio holdings information from the fund's administrator, Valoris Management, and conducts surveillance checks against its ratings criteria.