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Fitch Rates Natixis Tresorerie Plus Fund 'Af'/'S1'
August 31, 2017 / 1:56 PM / 3 months ago

Fitch Rates Natixis Tresorerie Plus Fund 'Af'/'S1'

(The following statement was released by the rating agency) LONDON/PARIS, August 31 (Fitch) Fitch Ratings has assigned Natixis Tresorerie Plus a Fund Credit Quality Rating of 'Af' and a Fund Market Risk Sensitivity Rating of 'S1'. The fund is managed by Natixis Asset Management, part of Groupe BPCE. KEY RATING DRIVERS The 'Af' Fund Credit Quality Rating reflects the high credit quality of the fund as measured by its weighted average rating factor (WARF) of 1.46. The 'S1' Fund Market Risk Sensitivity Rating recognises the fund's very low sensitivity to market risk factors. The rating also recognises the investment advisor's strong capabilities and ample resources as well as the fund's sound legal and regulatory environment. Weighted Average Credit Quality The 'Af' rating reflects not only the fund's high credit quality but also a low sensitivity to Fitch's stress testing analysis. The portfolio's WARF of 1.46 as at July 2017 is within the 'Af' Fund Credit Quality Rating range (1.0-2.6). Over two-thirds of the portfolio was invested in securities rated 'A-' or better as at end-June 2017, with the fund's investment guidelines limiting the minimum rating to 'BBB-' (or equivalent). The WARF is constrained by a small portion of the portfolio invested in securities not rated by a globally recognised rating agency (1.8% as at July 2017), but deemed to be equivalent to investment-grade by the fund's manager. Fitch assumes a 'CCC' rating for such assets for the purpose of its WARF calculation. The fund invests in a diversified portfolio of assets, typically comprising certificates of deposit, commercial paper, time deposits, as well as fixed- and floating-rate corporate and government bonds of European states. The fund also invests in short-term and money market funds (MMFs) that are less sensitive to market risk, but with similar credit risk profiles to Natixis Tresorerie Plus based on their investment guidelines and WARF as at end-June 2017. These funds are also managed by Natixis Asset Management. Portfolio Sensitivity to Market Risks The fund has very low exposure to interest rate and spread risks. Interest rate risk is managed within a maximum duration of six months; however, the fund had a much shorter weighted average maturity (WAM) of 39 days as at end-July 2017. The fund's low sensitivity to spread risk is underscored by a weighted average life (WAL) of 170 days and 85% of total assets maturing within one year. The maximum WAL is limited to one year, and the maximum maturity of investments to two years. The fund does not use leverage or hold any structured products. It may invest up to 20% in non-euros denominated securities, provided these are fully hedged. Over a quarter of total assets was held in cash and overnight securities as at end-June 2017, which together with the liquidity of underlying securities, mitigates liquidity risk Fund Profile Launched in May 2010, the fund is a UCITS-compliant French "Fonds Commun de Placement", with total assets of EUR11.5 billion as of end-June 2017. It invests primarily in certificates of deposit, commercial paper, time deposits, bonds and money market funds managed by the same manager. The fund has daily dealing with a T+0 day settlement period. The Asset Manager 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 (A/Stable/F1). At end-March 2017, Natixis Asset Management had EUR358 billion of assets under management, of which about 11% were money market assets. Fitch assesses Natixis Asset Management to be a suitably qualified, competent and capable asset manager for the fund. RATING SENSITIVITIES The ratings may be sensitive to material changes in the fund's credit quality or market risk profile. A material adverse deviation from Fitch's guidelines for any key rating drivers could cause Fitch to downgrade the ratings. For example, if credit deterioration occurs or the proportion of unrated assets increases such that the WARF weakens beyond criteria levels for a 'Af' Fund Credit Quality Rating, the rating may be downgraded. Fitch's WARF stress testing shows that the rating is robust at the current rating level. The rating may be upgraded if the WARF is consistently at a higher rating level or if the amount invested in unrated securities is significantly reduced. Potential downgrades to the Fund Market Risk Sensitivity Rating are limited in scope, given the fund's low sensitivity to interest rate and spread risks, and the fund's investment guidelines. Contact: Primary Analyst Abis Soetan Director +44 20 3530 1311 Fitch Ratings Limited 30 North Colonade London E14 5GN Secondary Analyst Manuel Arrive, CFA Senior Director +33 1 44 29 91 77 Committee Chairperson Alastair Sewell, CFA Senior Director +44 20 3530 1147 Media Relations: Francoise Alos, Paris, Tel: +33 1 44 29 91 22, Email: francoise.alos@fitchratings.com; Rose Connolly, London, Tel: +44 203 530 1741, Email: rose.connolly@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria Global Bond Fund Rating Criteria (pub. 22 Aug 2016) here Additional Disclosures Solicitation Status here#solicitation Endorsement Policy 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 WEB SITE AT 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. 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. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. 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