March 22 (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
- Minimal exposure to interest rate and spread risks
- Overnight and one-week liquidity profile consistent with Fitch's rating
- 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
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.
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.
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.
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.
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.
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.
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.