Fitch Affirms Natixis Cash A1P1 at 'AAAmmf'

Fri Jan 31, 2014 1:47pm EST

Related Topics

(The following statement was released by the rating agency) PARIS, January 31 (Fitch) 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 strong 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 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 concentration on individual issuers and counterparties. Issuer diversification has improved over the last 12 months and has generally been maintained in line with Fitch’s guidelines. As of mid-January 2014, 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. Only slight and temporary deviations to this PCF criterion were observed over the past 12 months. MATURITY PROFILE The fund has virtually no exposure to interest rate movements as duration is maintained at close to zero, with the individual indexing of instruments it invests in 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 3 months. As such, the portfolio weighted average final maturity (WAL) is structurally capped at 90 days and stood at 29 days as of mid-January 2014. LIQUIDITY PROFILE The fund seeks to manage investor redemption risk through investment restrictions aimed at maintaining sufficient 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. Fitch notes deviations from the agency’s criteria baseline with respect to one-week portfolio liquidity. This deviation is mitigated by the fact that the fund has historically had access to a liquidity facility provided by its parent, Groupe BPCE (A/stable/F1). Fitch typically does not take account of uncommitted liquidity lines in its rating analysis; however, the agency views Natixis Cash A1P1’s liquidity facility as a strategic commitment on the part of its parent. In 2013, the fund temporarily used this facility, which is 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 4.4%. All transactions are executed at arm’s length. Furthermore, 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. INVESTMENT ADVISOR The fund is a France-domiciled Fonds Commun de Placement (FCP) pursuant to the UCITS regulation. As of 17 January 2014 the fund’s total assets stood at EUR2.3bn. 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 2013, Natixis Asset Management had EUR293.9bn of assets under management, of which about 11.5% 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' rating 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. Temporary deviations from Fitch’s criteria 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, including portfolio liquidity, could result in a downgrade of the rating. Given the fund’s high exposure to the French banking sector, the rating may be sensitive to material adverse changes in the bank system. 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. Contact: Primary Analyst Charlotte Quiniou, CFA Director +33 1 44 29 92 81 Fitch France SAS 60 rue de Monceau 75008 Paris Secondary Analyst Francois Vattement, CFA Analyst +33 1 44 29 92 75 Committee Chairperson Roger Merritt Managing Director + 1 212 908 636 Media Relations: Francoise Alos, Paris, Tel: +33 1 44 29 91 22, Email: francoise.alos@fitchratings.com; Hannah Huntly, London, Tel: +44 20 3530 1153, Email: hannah.huntly@fitchratings.com. Additional information is available at www.fitchratings.com. The sources of information used to assess this rating were the public domain, Natixis Asset Management and CACEIS, the fund administrator. Applicable criteria, ‘Global Money Market Fund Rating Criteria’, dated 13 January 2014 are available at www.fitchratings.com. Applicable Criteria and Related Research: Global Money Market Fund Rating Criteria here 2014 Outlook: Money Market Funds here European Money Market Fund Quarterly - Euro - 3Q13 here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

FILED UNDER:
Comments (0)
This discussion is now closed. We welcome comments on our articles for a limited period after their publication.