Fitch Affirms Two CCLA Managed Deposit Funds at 'AAA'/'V1'

Wed Jun 25, 2014 9:40am EDT

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(The following statement was released by the rating agency) LONDON, June 25 (Fitch) Fitch Ratings has affirmed two deposit funds The CBF Church of England Deposit Fund's and The COIF Charities Deposit Fund's Fund Credit and Fund Volatility Ratings at 'AAA'/'V1' respectively. Both funds are managed by CCLA Investment Management Limited (CCLA). KEY RATING DRIVERS The funds' credit ratings reflect the distribution of ratings, the credit quality, and the short-term maturity of the funds' portfolios. The ratings also recognise the investment advisor's capabilities and resources. The Volatility Ratings reflect the low sensitivity to market risk factors such as interest rate and spread risks. ASSET CREDIT QUALITY The credit quality of the funds' portfolio of assets, combined with the short maturity of assets, is consistent with a 'AAA' Bond Fund Credit Rating. A sizeable proportion of assets held are short-dated, with 34% of portfolio assets maturing within one month for both funds (as of 13 June 2014.) Both funds' portfolios are concentrated in securities rated in the 'A' category. According to the funds' investment policies, the maximum investment in a minimum 'F1+'/ 'AA-' /Support Rating '1' rated entity is limited to 10% of portfolio assets, and the maximum investment in a minimum 'F1'/ 'A' /Support Rating '4' rated entity is capped at 5% of portfolio assets. There is an exception for UK banks, where a 10% limit is allowed if the entity meets minimum 'F1'/'A' /Support Rating '1' criteria. The maximum maturity of any investment must not exceed one year per the funds' investment policies. As of 13 June 2014 the CBF Church of England Deposit Fund and the COIF Charities Deposit Fund invested in 21 and 22 obligors respectively. The top five issuers comprise 43% of the CBF Church of England Deposit Fund and 47% of the COIF Charities Deposit Fund, consistent with Fitch's rating criteria for a 'AAA' credit rating. Fitch considers a portfolio 'moderately concentrated' if the top five issuers exceed 50% of the total portfolio. PORTFOLIO SENSITIVITY TO MARKET RISKS The funds have low exposure to market risk factors such as interest rate and spread risks. The weighted average maturity (WAM; as at 13 June 2014) for the CBF Church of England Deposit Fund and the COIF Charities Deposit Fund was 95 days and 96 days respectively. The funds' WAMs are limited to 120 days as per their respective investment policies. Both funds invest solely in GBP instruments and neither fund is allowed to utilise leverage. Neither fund invests in floating-rate investments. THE TRUSTEE AND ADVISOR The Trustee for the CBF Church of England Deposit Fund is CBF Funds Trustee Limited (CBFFT), and the Trustee for the COIF Charities Deposit Fund is the COIF Board. Both the CBFFT and the COIF Board have delegated to CCLA the investment management and administrative responsibilities for the respective funds. CCLA is a UK-based fund management group offering a range of fund products. CCLA is jointly owned by CCLA Executive Directors (6.9%), The CBF Church of England Investment Fund (55.9%), The COIF Charities Investment Fund (23.3%) and the Local Authorities' Mutual Investment Trust (13.9%). An independent operational risk, internal audit and compliance team maintains oversight of the funds' operations. CBFFT and the COIF Board have appointed The Royal Bank of Scotland Plc to oversee CCLA in respect of its activities related to the management and administration of the funds. At as 31 March 2014, CCLA managed GBP4.9bn of assets. CCLA is changing their operating structure and are in the process of appointing a Depositary and Administrator of both funds. This change is likely to be completed by end-2014. FUND PROFILES Both funds aim to pay competitive rates of interest to reflect short-dated money market rates. The assets of the funds will be invested in eligible securities of counterparties who are regularly reviewed and annually approved by COIF's Board members and CBFFT respectively. The size of the CBF Church of England Deposit Fund was GBP645m and the COIF Charities Deposit Fund was GBP944m as of 13 June 2014. RATING SENSITIVITIES 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 by Fitch. For additional information about Fitch's bond fund ratings guidelines, see the criteria referenced below. To maintain the bond fund ratings, CCLA, the administrator of these funds, provides Fitch with weekly information, including details of the portfolios' holdings and credit quality. Contact: Primary Analyst Richard Woodrow, CFA Associate Director + 44 203 530 1388 Fitch Ratings Limited 30 North Colonnade London E14 5GN Secondary Analyst Alastair Sewell Senior Director + 44 203 530 1147 Committee Chairperson Ralph Aurora Senior Director +1 212 908 0528 Media Relations: Elaine Bailey, London, Tel: +44 203 530 1153, Email: Elaine.Bailey@fitchratings.com. Additional information is available at www.fitchratings.com. The sources of information used to assess this rating were the public domain and CCLA. Applicable Criteria, "Global Bond Fund Rating Criteria", dated 13 August 2013 is available at www.fitchratings.com. Applicable Criteria and Related Research: Global Bond Fund Rating Criteria 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.

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