OREANDA-NEWS. Fitch Ratings has affirmed 45 European money market funds' (MMFs) 'AAAmmf' ratings, following a review of the sector.

Collectively, the 45 MMFs held approximately EUR390bn of assets under management at end-December 2015 and are managed by Aberdeen AM, Amundi, BlackRock, CCLA IM, Deutsche Asset Management, Dreyfus, Federated Investors (UK) LLP, Federated International Management Limited, Goldman Sachs AM, Insight IM, JPMorgan AM, LGIM, Lombard Odier Investment Managers, Morgan Stanley Investment Management, Natixis AM, Invesco, SSGA, Standard Life Investments and UBS Asset Management.

The 45 funds and related ratings are listed below. The rating action worksheet available through the link above provides a full list of ratings affirmed.

KEY RATING DRIVERS
The main drivers for the affirmations are:
-- The MMF portfolios' overall credit quality and diversification
-- Low exposure to interest rate and spread risks
-- Holdings of daily and weekly liquid assets consistent with shareholder profile and concentration
-- Maturity profiles consistent with Fitch's MMF rating criteria
-- The capabilities and resources of the respective asset managers

Portfolio Credit Quality/Diversification
Consistent with Fitch's MMF rating criteria, the reviewed funds seek to maintain high credit quality portfolios by investing exclusively in short-term securities rated at least 'F1' by Fitch or equivalent.

Generally, these MMFs 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. Minor and temporary movements outside these parameters may result mainly from seasonal cash outflows. The funds also limit to 25% of total assets their individual repurchase agreement (as a means of investment) exposures to individual 'F1' or 'A' counterparties, provided the transactions are fully collateralised by high credit quality and liquid government securities. As of mid-January 2016, the funds did not have repo transactions with lower-rated counterparties, although Fitch's criteria for 'AAAmmf'-rated funds provide for repos with counterparties rated 'A-'/'F2' or 'BBB+'/'F2' under specific collateral and diversification risk limits.

As of mid-January 2016, the funds' Portfolio Credit Factor (PCF), which is a risk-weighted measure that considers the credit quality and maturity profile of the portfolio of securities, met Fitch's 'AAAmmf' rating criterion of 1.50 or less.

The funds' cash balances are held at their custodian banks (all rated 'A' or higher). Certain funds may, at times, have temporary high levels of non-invested cash left with their custodian banks, in excess of Fitch's concentration guidelines for 'AAAmmf' funds. Fitch sees, however, the resulting concentration risk as being mitigated by the segregation of funds' assets under custody and by the adequate operational set-up ensuring instant access to such cash. Nonetheless, the protection of investors resulting from custodian regulation and whether a fund's assets are being ring-fenced from its custodian assets depends on the fund's jurisdiction.

Maturity Profiles
The reviewed MMFs 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 single investments is kept below 397 days. Portfolios and/or individual securities maturity limits may be lower, in line with the funds' or asset managers' investment policy and depending on issuers' creditworthiness.

Liquidity Profiles
The funds seek to maintain sufficient levels of daily and weekly liquidity to meet investors' redemption requests. Specifically, MMFs invest at least 10% of total assets in securities offering daily liquidity and at least 30% of total assets in securities providing weekly liquidity, in line with Fitch rating criteria. If a fund invests in less liquid assets, these are constrained to less than 10% and with maximum maturity in line with Fitch's rating criteria. If liquidity levels fall below guidelines, Fitch expects liquidity to be restored in a timely manner.

Funds' Objectives
The funds seek to achieve a return in line with prevailing money market rates while preserving capital consistent with such rates and maintaining high liquidity. In the event of negative interest rates, Fitch considers that principal is preserved provided that the return to an investor is in line with the return on a relevant short-term money market interest rate benchmark. A fund's capacity to preserve principal is evaluated relative to relevant short-term money market interest rate benchmark in the currency in which it invests.

Investment Managers
Fitch views the investment capabilities, resource commitment, operational controls, corporate governance, and compliance procedures of the respective fund's investment managers as consistent with the ratings of the funds.

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. However, material adverse and continued deviations from Fitch's guidelines for any key rating driver may lead to the rating being placed on Rating Watch Negative (RWN) or downgraded.

SURVEILLANCE
Fitch receives fund holdings information and other pertinent fund data twice a month from the funds' administrators and managers to conduct surveillance against ratings guidelines and maintain its money market fund ratings.

For additional information about Fitch's MMF ratings guidelines, please review the criteria referenced below.

List of MMFs affirmed:
Aberdeen Global Liquidity Funds plc - Euro Liquidity Fund, affirmed at 'AAAmmf'
Aberdeen Global Liquidity Funds plc - Sterling Liquidity Fund, affirmed at 'AAAmmf'
Aberdeen Liquidity Fund (Lux) - Canadian Dollar Fund, affirmed at 'AAAmmf'
Aberdeen Liquidity Fund (Lux) - Sterling Fund, affirmed at 'AAAmmf'
Aberdeen Liquidity Fund (Lux) - US Dollar Fund, affirmed at 'AAAmmf'
Amundi Money Market Fund - Short Term (EUR), affirmed at 'AAAmmf'
Amundi Money Market Fund - Short Term (GBP), affirmed at 'AAAmmf'
Amundi Money Market Fund - Short Term (USD), affirmed at 'AAAmmf'
BlackRock ICS Institutional Euro Government Liquidity Fund, affirmed at 'AAAmmf'
BlackRock ICS Institutional Euro Liquidity Fund, affirmed at 'AAAmmf'
BNY Mellon U.S. Dollar Liquidity Fund, affirmed at 'AAAmmf'
CCLA Public Sector Investment Fund - The Public Sector Deposit Fund, affirmed at 'AAAmmf'
Deutsche Global Liquidity Series p.l.c. - Deutsche Managed Dollar Fund, affirmed at 'AAAmmf'
Deutsche Global Liquidity Series p.l.c. - Deutsche Managed Euro Fund, affirmed at 'AAAmmf'
Deutsche Global Liquidity Series p.l.c. - Deutsche Managed Sterling Fund, affirmed at 'AAAmmf'
Federated Short-Term Sterling Prime Fund, affirmed at 'AAAmmf'
Federated Short-Term U.S. Prime Fund, affirmed at 'AAAmmf'
Goldman Sachs Euro Liquid Reserves Fund, affirmed at 'AAAmmf'
Goldman Sachs Sterling Liquid Reserves Fund, affirmed at 'AAAmmf'
Goldman Sachs US Dollar Liquid Reserves Fund, affirmed at 'AAAmmf'
Insight Liquidity Funds plc - ILF GBP Liquidity Fund, affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - Euro Liquidity Fund, affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund, affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - Sterling Liquidity Fund, affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund, affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - US Dollar Liquidity Fund, affirmed at 'AAAmmf'
JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund, affirmed at 'AAAmmf'
LGIM Liquidity Funds PLC - LGIM Sterling Liquidity Fund, affirmed at 'AAAmmf'
LGIM Liquidity Funds PLC - LGIM US Dollar Liquidity Fund, affirmed at 'AAAmmf'
LO Funds (CH) - Short-Term Money Market (USD), affirmed at 'AAAmmf'
MS Liquidity Funds - Euro Liquidity Fund, affirmed at 'AAAmmf'
MS Liquidity Funds - Sterling Liquidity Fund, affirmed at 'AAAmmf'
MS Liquidity Funds - US Dollar Liquidity Fund, affirmed at 'AAAmmf'
Natixis Cash A1P1, affirmed at 'AAAmmf'
Standard Life Investments Euro Liquidity Fund, affirmed at 'AAAmmf'
Standard Life Investments Sterling Liquidity Fund, affirmed at 'AAAmmf'
STIC (Global Series) plc - Euro Liquidity Portfolio (Invesco), affirmed at 'AAAmmf'
STIC (Global Series) plc - Sterling Liquidity Portfolio (Invesco), affirmed at 'AAAmmf'
STIC (Global Series) plc - US Dollar Liquidity Portfolio (Invesco), affirmed at 'AAAmmf'
State Street Global Advisors Liquidity PLC - SSgA EUR Liquidity Fund, affirmed at 'AAAmmf'
State Street Global Advisors Liquidity PLC - SSgA GBP Liquidity Fund, affirmed at 'AAAmmf'
State Street Global Advisors Liquidity PLC - SSgA USD Liquidity Fund, affirmed at 'AAAmmf'
UBS (Irl) Select Money Market Fund - EUR, affirmed at 'AAAmmf'
UBS (Irl) Select Money Market Fund - GBP, affirmed at 'AAAmmf'
UBS (Irl) Select Money Market Fund - USD, affirmed at 'AAAmmf'