TEXT-Fitch affirms Natixis Cash A1P1 At 'AAAmmf'
Feb 4 - Fitch Ratings has affirmed Natixis Cash A1P1, a France-domiciled money market fund managed by Natixis Asset Management at 'AAAmmf'. KEY RATING DRIVERS The main drivers for the rating affirmation are: -- The portfolio's overall credit quality -- Low exposure to interest rate and spread risks -- Short maturity profile with all assets maturing within three months -- The fund benefits from close ties with its parent, including access to a liquidity facility -- The adequate capabilities and resources of Natixis Asset Management as investment manager. Fitch notes deviations from the agency's criteria with respect to diversification and liquidity criteria, which result from the fund's self-imposed constraints on asset maturity at 90 days in a context of ultralow short term yields. Fitch's criteria permits for temporary deviations from its criteria, provided the fund manager is able to execute upon credible near term remedial actions. As part of its money market fund surveillance process, Fitch will closely monitor the fund to ensure that available liquidity and diversification increases and remains consistent with Fitch's rating criteria. Should the deviations become structural and more permanent this would have negative rating consequences. PORTFOLIO CREDIT QUALITY/DIVERSIFICATION Consistent with Fitch's 'AAAmmf' money market fund rating criteria, the fund seeks to maintain a high credit quality by investing exclusively in short-term securities rated at least 'F1' by Fitch or a comparable credit quality by other global rating agencies. Also in line with Fitch's criteria, the fund limits its exposures to individual issuers and counterparties. At end-January 2013, over 60% of the fund's issuers and counterparties carried the highest short-term rating of 'F1+', or equivalent. Fitch however notes that the fund is heavily exposed to the cooperative French banking groups (Credit Mutuel, Banque Populaire, Credit Agricole), deviating from Fitch's issuer group diversification criteria. As of the same date, and with only slight and temporary deviations over the year, the fund's Portfolio Credit Factor (PCF), which is a risk-weighted measure of the fund's portfolio assets accounting for the credit quality and maturity profile of the portfolio securities, met Fitch's 'AAAmmf' rating criterion of 1.50 or less. MATURITY PROFILE The fund has virtually no exposure to interest rate movements as duration is maintained close to zero with the individual indexing of instruments to euro overnight index average (EONIA) through interest rate swaps with several highly-rated counterparties. The fund's guidelines also restrict the maturity of investments to 90 days. As such, the portfolio weighted average final maturity (WAL) is structurally capped at 90 days and stood at 19 days at end-January 2013. LIQUIDITY PROFILE The fund seeks to manage investor redemption risk through investment restrictions that aim to maintain sufficient levels of liquidity. In line with Fitch's rating criteria, the fund seeks to maintain on average 10% of assets in securities maturing overnight or other qualifying liquid assets such as government securities. Over the past year liquid assets have fallen below this level on several occasions requiring the fund to rely on a liquidity facility provided by its parent Groupe BPCE ('A+'/Negative/'F1+'). Use of this facility; however, was limited to 10% of portfolio total assets as per UCITS regulation. PARENT EXPOSURE Exposure to Groupe BPCE, the fund's ultimate parent, is currently at 7% with maturities going up to three months. Fitch notes that the fund's current and target unsecured exposures to Groupe BPCE are outside the agency's 'AAAmmf' criteria, which call for unsecured exposures under one month. However, this variance is mitigated by the fact that Groupe BPCE is among Europe's most highly rated banks with a Viability Rating of 'a-' and a Support Rating Floor of 'A+' and that all transactions are executed at arm's length. Furthermore, Fitch notes that, relative to Groupe BPCE's overall funding profile, the fund is not a significant short-term funding provider to its parent. FUND OBJECTIVES The fund's objective is to provide a steadily accruing accumulative net asset value (NAV), in line with daily euro interbank rates as measured by the EONIA. The fund pursues its investment objective by investing in a diversified portfolio of short-term money market instruments including time deposits, certificates of deposit, commercial papers, sovereign bonds and notes, and repurchase agreements. As of 31 January 2013 the fund had EUR3.1bn in assets under management compared to EUR5.3bn as of 31 January 2012. INVESTMENT ADVISOR The fund is a France-domiciled Fonds Commun de Placement (FCP) pursuant to the UCITS regulation. Natixis Asset Management, the fund's investment manager, is the European investment expert of Natixis Global Asset Management (the global asset manager of Natixis, a subsidiary of Groupe BPCE). At end-December 2012, Natixis Asset Management was managing EUR286.5bn of assets, of which about 13.8% were money market assets. Fitch views Groupe BPCE, Natixis and Natixis Asset Management's investment advisory capabilities, financial and resource commitments, operational controls, corporate governance, and compliance procedures as consistent with the 'AAAmmf' ratings assigned to the fund. RATING SENSITIVITY AND SURVEILLANCE The ratings may be sensitive to material changes in the fund's credit quality, liquidity or market risk profiles. Specifically, continued deviations of Fitch's liquidity and diversification criteria for 'AAAmmf'-rated funds would result in a negative rating action. Material adverse deviations from Fitch's guidelines for other key rating drivers could cause Fitch to downgrade the ratings. Furthermore, in the case of Natixis Cash A1 P1, given the high exposure to the French banking system, the ratings may be sensitive to material adverse changes in the French banking system. For additional information about Fitch's money market fund ratings guidelines, please review the criteria referenced below, which can be found on Fitch's website. Fitch receives weekly fund holdings information and other pertinent fund data from the funds' administrator to conduct surveillance against ratings guidelines and maintain its money market fund ratings. Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. The sources of information used to assess this rating were the public domain, Natixis Asset Management and CACEIS Fastnet, the fund administrator. Applicable criteria, 'Global Money Market Fund Rating Criteria', dated 29 March 2012 are available at www.fitchratings.com. Applicable Criteria and Related Research: Global Money Market Fund Rating Criteria 2013 Outlook: Global Money Market Funds European Money Market Funds - Sector Update
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