RPT-Fitch affirms Insight Sterling Liquidity Fund at 'AAAmmf'

Fri Mar 22, 2013 8:24am EDT

March 22 (Reuters) - (The following statement was released by the rating agency) Fitch Ratings has affirmed the Insight Sterling Liquidity Fund at 'AAAmmf.' The fund is managed by Insight Investment Management Limited (Insight), and is a sub-fund of the Irish-domiciled umbrella fund, Insight Liquidity Funds plc. KEY RATING DRIVERS The main drivers of the affirmation are: - The portfolio's overall credit quality, diversification and short maturity profile - Minimal exposure to interest rate and spread risks - Overnight and one-week liquidity profile consistent with Fitch's rating criteria - The capabilities and resources of Insight as investment advisor The 'AAAmmf' money market fund (MMF) rating reflect the fund's extremely strong capacity to achieve the investment objectives of preserving principal and providing shareholder liquidity through limiting credit, market and liquidity risk. PORTFOLIO CREDIT QUALITY/DIVERSIFICATION The fund maintains a high credit quality portfolio consistent with Fitch's criteria for 'AAAmmf' rated MMFs. The fund invests exclusively in short-term securities rated at least 'F1' by Fitch (or of a comparable credit quality by other global rating agencies) and enters into repurchase agreements with counterparties rated at least 'A'/'F1'. Repurchase agreement collateral held is restricted to UK government Gilts and T-Bills, and investments are 100% collateralised. The fund does not currently invest in ABCP. The fund's Portfolio Credit Factor (PCF) is in line with Fitch's 'AAAmmf' rating criterion of 1.50 or less. The PCF is a risk-weighted measure of the fund's portfolio assets that accounts for the credit quality and maturity profile of a fund's portfolio securities. MATURITY PROFILE The fund seeks to limit interest rate and spread risk consistent with Fitch's ratings criteria for funds rated 'AAAmmf'. The fund limits its weighted average maturity (WAM) and weighted average life (WAL) to 60 days and 120 days, respectively. As of 08 March 2013, the fund's WAM and WAL were both 33 days. LIQUIDITY PROFILE In line with Fitch's rating criteria, the fund seeks to maintain at least 10% of its assets in securities maturing overnight or other qualifying liquid assets such as government securities, and at least 25% in securities maturing within seven days or other qualifying liquid assets. The fund's daily and seven-day liquidities are consistent with Fitch's criteria for 'AAAmmf' rated MMFs. FUND OBJECTIVE The investment objective of the Sterling Liquidity Fund is to provide investors with stability of capital and daily liquidity, with an income which is comparable with sterling-denominated short-dated money market interest rates. As of 08 March 2013, the fund had GBP15.1bn in assets under management. INVESTMENT ADVISOR Insight is one of 15 specialist asset managers owned by the Bank of New York Mellon (BoNY; 'AA-'/Stable/'F1+'), a global investment management and investment services company, with USD26.7trn in assets under custody or administration and USD1.4trn under management (as of 31 December 2012). Insight provides tailored investment solutions in liability-driven investments, fixed income, currency, multi-asset, absolute return and specialist equities. As of 31 December 2012, Insight managed GBP229bn of assets. Fitch views BoNY's and Insight's investment advisory capabilities, financial and resource commitments, operational controls, corporate governance and compliance procedures as consistent with the 'AAAmmf' rating assigned to the fund. RATING SENSITIVITIES The rating may be sensitive to material changes in the credit quality or market risk profile of the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could cause the rating to be downgraded by Fitch. For additional information about Fitch money market fund ratings guidelines, please review the criteria referenced below. SURVEILLANCE Fitch receives weekly fund holdings information and other pertinent fund data from the fund's administrator - Northern Trust International Fund Administration Services (Ireland) - to conduct surveillance against ratings guidelines and to maintain the MMF rating.

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